We empirically investigate the short-run impact of anticipated and unanticipated unemployment rates on stock prices. We particularly examine the nonlinearity in stock market’s reaction to unemployment rate and study the effect at each individual point (quantile) of stock return distribution....

We empirically investigate the short-run impact of anticipated and unanticipated unemployment rates on stock prices. We particularly examine the nonlinearity in stock market's reaction to unemployment rate and study the effect at each individual point (quantile) of stock return distribution....

This paper proposes a new nonparametric test for conditional independence, which is based on the comparison of Bernstein copula densities using the Hellinger distance. The test is easy to implement because it does not involve a weighting function in the test statistic, and it can be applied in...

This paper proposes a new nonparametric test for conditional independence, which is based on the comparison of Bernstein copula densities using the Hellinger distance. The test is easy to implement because it does not involve a weighting function in the test statistic, and it can be applied in...

This paper proposes a new nonparametric test for conditional independence, which is based on the comparison of Bernstein copula densities using the Hellinger distance. The test is easy to implement because it does not involve a weighting function in the test statistic, and it can be applied in...

How often do jumps or price discontinuities occur on energy markets? What is the dynamics of the energy market sentiment (based on media coverage of economic fundamentals and other news events) that influence market behavior? How does the market sentiment affect the commodity returns? This study...

This empirical paper tests out the weak form efficiency of Pakistani stock market by examining the weekly KSE ?100 index over the period 2000 ? 2010 . Return series has a leptokurtic and negatively skewed distribution, which is away from normal distribution as reflected by significant...

A new class of foreign equity option pricing model is suggested that not only allows for the volatility but also for the correlation coefficient to vary stochastically over time. A modified Jacobi process is proposed to evaluate risk premium of the stochastic correlation, and a partial...

Art is often used as an investment vehicle. Given the importance of market efficiency in finance, we use a large auction-based index to test whether the art market is weakly efficient. Evidence reveals that returns on artworks exhibit high positive auto-correlation. We attribute this result to...