We extend the double-well potential process to a three-parameter version in order to model intraday price dynamics, with a focus on the intraday momentum and reversal. The proposed process has a parsimonious form of three parameters controlling momentum, reversal, and volatility respectively. By...

We employ the R-vine copula approach to study the dependence structures among non-ferrous metal commodity futures on the London Metal Exchange, focusing on the comparison before and after the 2008 financial crisis. We document that the center of dependence structure among non-ferrous metal...

We apply functional data analysis to survey expectations data, and show that functional principal component analysis combined with functional regression analysis is a fruitful way of capturing the effects of others' forecasts on a respondent's inflation forecasts. We estimate forward-looking...