This paper investigates the impact of volatility in profitability shock and capital adjustment cost on aggregate total factor productivity (TFP) in Chinese industries firms. To quantify the effects of volatility and adjustment costs on aggregate TFP, we recover key structural parameters in a...

It is well-known that the market prices of options produce implied volatilities that inexplicably vary by exercise price in a pattern often referred to as the volatility smile. This paper shows that not only do market prices produce volatility smiles, but so do model prices. This result occurs...

In this paper, we analyze the return-volatility relation for the New Third Board market in China. Various properties for cross sectional (daily and weekly) returns and volatility are obtained and interpreted. The cross sectional return-volatility relations are analyzed at weekly frequency and...

Bitcoin has gotten significant interest throughout the world, in not just investors and the financial community, but also among the general public. Over the past few years, the price of Bitcoin has risen and fallen dramatically. Because of the dramatic price increases, many articles in the...