Volatility clustering is a well-known stylized feature of financial asset returns. This paper investigates asymmetric pattern in volatility clustering by employing a univariate copula approach of Chen and Fan (2006). Using daily realized kernel volatilities constructed from high frequency data...

This paper presents a stylized exchange rate pass-through model of crude oil price formation for the purpose of understanding the price reactions of OPEC Member Countries to changes in the exchange rate of the US dollar against major currencies and the prices of other Members. Our empirical...

Selecting an estimator for the covariance matrix of a regression's parameter estimates is an important step in hypothesis testing. From less to more robust estimators, the choices available to researchers include Eicker/White heteroskedasticity-robust estimator, cluster-robust estimator, and...

In this paper we provide several applications of Gram-Charlier expansions in financial derivative pricing. We first give an exposition on how to calculate swaption prices under a two-factor Cox-Ingersoll-Ross (CIR2) model. Then we apply this method to an extended version of the model (CIR2++)....

There is evidence to suggest that a single factor of duration running on single time scale is not adequate to capture the dynamics of the duration process of financial transaction data. This assertion is motivated by the observation that some existing one-factor stochastic duration models have...

We investigate the nature of sovereign credit risk for selected Asian and European countries based on a set of sovereign CDS data over an eight-year period that includes the episode of the 2008-2009 global financial crisis. The principal component analysis results indicate that there exists...

This paper studies a stochastic conditional duration (SCD) model with a mixture of distribution processes for financial asset’s transaction data. Specifically it imposes a mixture of two positive distributions on the innovations of the observed duration process, where the mixture component...

Building on the tools developed for American call options in financial markets and the optimal timing of investment under uncertainty in economics, this paper proposes a stylized equilibrium model to study the optimal time for a risk-averse unemployed individual, who receives an unemployment...