We develops a new conditional jump model to study jump dynamics in stock market returns. We propose a simple filter to infer ex post the distribution of jumps. This permits construction of the shock affecting the time t conditional jump intensity, and is the main input into an autoregressive...

Efficiency scores are determined for Canadian universities using both data envelopment analysis and stochastic frontier methods for selected specifications. The outcomes are compared. There is considerable divergence in the efficiency scores and their rankings among methods and specifications....

A dynamic hedging strategy based on a bivariate GARCH-jump model augmented with autoregressive jump intensity is proposed to manage currency risk. The GARCH-jump model, capable of capturing volatility clustering and leptokurtosis, provides a comprehensive description of the joint dynamics of the...

A dynamic hedging strategy based on a bivariate GARCH-jump model augmented with autoregressive jump intensity is proposed to manage currency risk. The GARCH-jump model, capable of capturing volatility clustering and leptokurtosis, provides a comprehensive description of the joint dynamics of the...

Introduction: Suboptimal management of patients with chronic renal insufficiency (CRI) is thought to contribute to the high morbidity and early mortality seen after the onset of end-stage renal disease (ESRD), and may therefore impact on healthcare costs associated with patients with ESRD. The...

This study empirically tests how and to what extent the choice of the sampling frequency, the realized volatility (RV) measure, the forecasting horizon and the time‐series model affect the quality of volatility forecasting. Using highly synchronous executable quotes retrieved from an...