We use the HYBRID GARCH model of Chen, Ghysels, and Wang (2009) to predict future volatility at daily horizons using intra-daily returns. The latter requires us to address intra-daily periodic patterns. We propose two approaches and compare their relative merits. The first approach uses raw...

The Fourier estimator of Malliavin and Mancino depends on both sample size and a so-called cutting frequency. The latter controls the number of Fourier coefficients to be included, and it also determines how the Fourier estimator responds to market microstructure noise. By examining the finite...

Suppose one uses a parametric density function based on the first four (conditional) moments to model risk. There are quite a few densities to choose from and depending on which is selected, one implicitly assumes very different tail behavior and very different feasible skewness/kurtosis...

The active Chihshang fault in the southern segment of longitudinal valley of eastern Taiwan is part of the suture boundary between the Eurasia plate and the Philippine Sea plate. Radon anomalies in groundwater were recorded prior to three major earthquakes—(1) 2003 M <Subscript>w</Subscript> = 6.8 Chengkung, (2)...</subscript>

We investigate the recent financial crisis with an emphasis on the interlock among housing, mortgage, and credit markets. Following Geanakoplos (Econometric Society Monographs 2:170–205, <CitationRef CitationID="CR5">2003</CitationRef>, <CitationRef CitationID="CR6">2010</CitationRef>), we develop a model in which both prices of the mortgage and its collateral are simultaneously...</citationref></citationref>

Using a simple dividend model, we illustrate and synthesize the sources of stock market mispricing and excess volatility based upon two hypotheses—inflation illusion and heterogeneous beliefs. Our theoretical framework posits that equity mispricing arises when investors have subjective...

In Lorentz Lattice Gases a point particle moves along the bonds of a lattice, whose lattice sites are occupied by randomly placed scatterers, which scatter the particle according to certain a priori given scattering rules. We consider here mainly the simplest case of a square lattice fully or...

Unfunded pension liabilities lower ratings of non-senior secured bonds but do not affect ratings of senior secured bonds due to their higher seniority. Pension funding improvement (deterioration) is associated with bond rating upgrade (downgrade). Moreover, large unfunded liabilities increase...

The literature overwhelmingly belives that over (under) valued real exchange rate is associated with high (low) financial premiums under exchange rate. We wish to opppose this view.