Taking advantage of a trades-and-quotes high-frequency database, we document the main stylized facts and dynamic properties of spot precious metals, i.e. gold, silver, palladium, and platinum. We analyze the behaviors of spot prices, returns, volume, and selected liquidity measures. We find...

Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...

We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...

The impact of news from the Moscow and New York stock exchanges on the daily returns and volatilities of Baltic stock market indices is studied. A nonlinear time series model that accounts for asymmetries in conditional mean and variance functions is used for the empirical work. News from New...

The impact of news of the Moscow and New York stock market exchanges on the <p> returns and volatilities of the Baltic state stock market indices is studied using daily <p> return data for the period of 2000-2005. A nonlinear time series model that accounts <p> for asymmetries in the conditional mean and...</p></p></p>

The price adjustment coefficient model of Amihud and Mendelson (1987) is shown to be suitable for estimation by the Kalman filter. A techique that, under some commonly used conditions, is asymptotically efficient. By Monte Carlo simulations it is shown that both bias and mean squared error are...

Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing through markets with little connection to such fundamentals? To answer the question, this research explores the volatility dynamics and measures the persistence of shocks to the...

Given the process {X(t), t in T}, the definition of self-affinity is reformulated in terms of diameter of the space of the rescaled pdf's of X(t). Two necessary conditions are deduced which contribute to discriminate uniscaling processes. Furthermore, by properly choosing the distance, the...

We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as an...