There is much literature that deals with modeling and forecasting asset return volatility. However, much of this research does not attempt to explain variations in the level of volatility. Movements in volatility are often linked to trading volume or frequency, as a reflection of underlying...

The present article reports evidence of national favouritism from professional referees in two major sports: Rugby League and Rugby Union. National favouritism can appear when a referee is in charge of a match where one team (and only one) is from his country. For fear of the risk of such...

The basis between spot and future prices will be affected by jump behavior in each asset price, challenging intraday hedging strategies. Using a formal cojumping test this paper considers the cojumping behavior of spot and futures prices in high frequency US Treasury data. Cojumping occurs most...

To match the NBER business cycle features it is necessary to employ Generalised dynamic categorical (GDC) models that impose certain phase restrictions and permit multiple indexes. Theory suggests additional shape restrictions in the form of monotonicity and boundedness of certain transition...

The forecasting of variance-covariance matrices is an important issue. In recent years an increasing body of literature has focused on multivariate models to forecast this quantity. This paper develops a nonparametric technique for generating multivariate volatility forecasts from a weighted...

This paper investigates several competing procedures for computing the price of European and digital options in which the underlying model has a characteristic function that is known in at least semi-closed form. The algorithms for pricing the options investigated here are the half-range Fourier...

Appropriate measurement of competitive balance is a cornerstone of the economic analysis of professional sports leagues. We examine the distributional properties of the ratio of standard deviations (RSD) of points percentages, the most widely used measure of competitive balance in the sports...

Understanding the dynamics of volatility and correlation is a crucially important issue. The literature has developed rapidly in recent years with more sophisticated estimates of volatility, and its associated jump and diffusion components. Previous work has found that jumps at an index level...

Appropriate measurement of competitive balance is a cornerstone of the economic analysis of professional sports leagues. We examine the distributional properties of the ratio of standard deviations (RSD) of points percentages, the most widely used measure of competitive balance in the sports...

This paper investigates several competing procedures for computing the price of European and digital options in which the underlying model has a characteristic function that is known in at least semi-closed form. The algorithms for pricing the options investigated here are the half-range Fourier...