This paper is part of a larger research program pertaining to the role of derivatives during financial crisis and also part of the research pertaining to the causes of the Asian financial crisis. The Korean market is studied because of two reasons: (1) it is a representative example of the Asian...

This paper studies the time series effect of changes in liquidity on optimal portfolio allocations. Using a nonparametric approach, we are able to handle models that are analytically intractable. Specifically, we directly estimate optimal portfolio weights for a CRRA investor as functions of...

In this survey, we review econometric models for conducting statistical inference on option price data. We limit our review to European options on a stock index as well as to statistical methods which have been specifically developped for options. Emphasis is put on the synthesis of the various...

This paper considers predictive tests for structural change in models estimated via Generalized Method of Moments. Our analysis extends earlier work by Ghysels and Hall (1990a) by allowing for the instability to occur at an unknown point in the sample. We analyze various statistics based on...

We introduce Mixed Data Sampling (henceforth MIDAS) regression models. The regressions involve time series data sampled at different frequencies. Technically speaking MIDAS models specify conditional expectations as a distributed lag of regressors recorded at some higher sampling frequencies. We...

Time series are demeaned when sample autocorrelation functions are computed. By the same logic it would seem appealing to remove seasonal means from seasonal time series before computing sample autocorrelation functions. Yet, standard practice is only to remove the overall mean and ignore the...

One of the early examples of stochastic volatility models is Clark [1973]. He suggested that asset price movements should be tied to the rate at which transactions occur. To accomplish this, he made a distinction between transaction time and calendar time. This framework has hitherto been...

Much of the research describing the cross-sectional and time series behavior of asset returns can be characterized as a search for the relevant state variables and also a search for the relevant model specification. Ultimately the scope of such efforts is to find a satisfactory and stable asset...

In this paper, we survey some of the recent nonparametric estimation methods which were developed to price derivative contracts. We focus on equity options and start with a so-called model-free approach which incolves very little financial theory. Next we discuss nonparametric and...

This paper documents the importance of testing for structural change in the context of emerging markets. Typically, asset pricing factor models for emerging markets are conditioned on world financial market factors such as world equity excess returns, risk and maturity spreads as well as other...