This paper proposes a test for common conditionally heteroskedastic (CH) features in asset returns. Following Engle and Kozicki (1993), the common CH features property is expressed in terms of testable overidentifying moment restrictions. However, as we show, these moment conditions have a...

In order to derive closed-form expressions of the prices of credit derivatives, standard credit-risk models typically price the default intensities, but not the default events themselves. The default indicator is replaced by an appropriate prediction and the prediction error, that is the...

High frequency transaction prices exhibit two major cha racteristics: they are discrete in level and only exist at random transaction dates. In this paper, we seek to model transaction price dynamics, taking into account these two features. We specify the transaction price process as a Markov...

The paper presents a study of temporal dependence in nonlinear transformations of time series. We examine the effects of parametric transformations on autocorrelation values and the persistence range with special emphasis on long memory processes. We derive an invariance property for the order...