While the stochastic volatility (SV) generalization has been shown to improve the explanatory power over the Black-Scholes model, empirical implications of SV models on option pricing have not yet been adequately tested. The purpose of this paper is to first estimate a multivariate SV model...

While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the Black-Scholes model, the empiricalimplications of the SV models on option pricing have not been adequately tested.The purpose of this paper is to first estimate a multivariate SV...

This paper evaluates the performance of volatility forecasting based on stochastic volatility (SV) models. We show that the choice of squared asset-return residuals as a proxy for ex-post volatility directly leads to extremely low explanatory power in the common regression analysis of volatility...

While the conditional volatility of time series is always dependent of the model specification, the {\\em ex post} or realized volatility series is often constructed on a model-free basis. The common proxies of daily volatility in the literature are the squared daily asset returns and the sum of...

While the stochastic volatility (SV) generalization has been shown to improve the explanatory power compared to the Black-Scholes model, the empirical implications of the SV models on option pricing have not been adequately tested. The purpose of this paper is to first estimate a multivariate SV...

We show that average excess returns during the last two years of the presidential cycle are significantly higher than during the first two years: 9.8 percent over the period 1948 2008. This pattern in returns cannot be explained by business-cycle variables capturing time-varying risk premia,...

This paper assesses the determinants of market impact costs of institutional equity trades, using unique data from the world's second largest pension fund. We allow the impact of trade characteristics and market conditions on trading costs to depend on the level of trading costs itself and...

Often, a relatively small group of trades causes the major part of the trading costs on an investment portfolio. For the equity trades studied in this paper, executed by the world's second largest pension fund, we find that only 10% of the trades determines 75% of total market impact costs....

In this article we examine the backfill bias or instant history bias for hedge funds using additional information from the Tass database. This is information about the exact date a hedge fund starts to reporting to Tass. Using this information we are able to reveal the length of the instant...