We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....

This paper studies cross-sectional determinants of stock returns and order flow around five recent episodes of market crashes in the United States during the period from 1998 to 2008. Stocks with high volatility, turnover and market beta are consistent losers during crashes and winners during...

This paper derives relationships between frequency-domain and standard time-domain distributed-lag and autoregessive moving-average models. These relations are well known in the literature but are presented here in a pedogogic form in order to facilitate interpretation of spectral and...