We use high-frequency data to study the dynamic relationship between volatility and equity returns. We provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. The leverage hypothesis asserts that...

We propose estimators for the parameters of a linear median regression without any assumption on the shape of the error distribution including no condition on the existence of moments allowing for heterogeneity (or heteroskedasticity) of unknown form, noncontinuous distributions, and very...

In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...

We test for the presence of time-varying parameters (TVP) in the long-run dynamics of energy prices for oil, natural gas and coal, within a standard class of mean-reverting models. We also propose residual-based diagnostic tests and examine out-of-sample forecasts. In-sample LR tests support the...

We propose a semiparametric approach for testing orthogonality and causality between two infinite-order cointegrated vector autoregressive IVAR(1) series. The procedures considered can be viewed as extensions of classical methods proposed by Haugh (1976, JASA) and Hong (1996, Biometrika) for...

We study two linear estimators for stationary invertible VARMA models in echelon form to achieve identification (model parameter unicity) with known Kronecker indices. Such linear estimators are much simpler to compute than Gaussian maximum-likelihood estimators often proposed for such models,...

We provide a generalization of the Anderson-Rubin (AR) procedure for inference on parameters which represent the dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity parameters). We focus on second-order dependence and stress...