This paper provides new evidence on the dynamic dependences of European corporate credit spread in three markets: Bond, Credit Default Swap (CDS), and Asset Swap (ASP). Using daily data from 2005 to 2009, we find that credit spread returns are primarily driven by innovations. The intra-market...

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...

Bid and ask sizes at the top of the order book provide information on short-term price moves. Drawing from classical descriptions of the order book in terms of queues and order-arrival rates (Smith et al (2003)), we consider a diffusion model for the evolution of the best bid/ask queues. We...

When Japanese short-term bond yields were near their zero bound, yields on long-term bonds showed substantial fluctuation, and there was a strong positive relationship between the level of interest rates and yield volatilities/risk premia. We explore whether several families of dynamic term...

Electricity has become one of the most essential factors in economic growth in Sri Lanka. This paper applies a simple econometric model to identify the causal relationship between Gross Domestic Product (GDP) and electricity consumption in industrial and commercial sectors of Sri Lanka for the...

A number of conditional transition probability models make use of side information - explanatory variable values known only initially and useful for predicting transitions of the variables of interest. For example, the Cox Proportional Hazard Model is used to provide future hazard arrival...

In this paper, we propose a Markov Chain Quasi-Monte Carlo (MCQMC) approach for Bayesian estimation of a discrete-time version of the stochastic volatility (SV) model. The Bayesian approach represents a feasible way to estimate SV models. Under the conventional Bayesian estimation method for SV...

We argue that the practise of valuing the portfolio is important for the calculation of the VaR. In particular, the seller (buyer) of an asset does not face horizontal demand (supply) curves. We propose a partially new approach for incorporating this fact in the VaR and in an empirical...

Using organizational control theory and a related model of firm level outsourcing capabilities, we analyze the effects of buyer, contract, and vendor characteristics on abnormal stock returns among buyer firms that have announced large scale Information Technology (IT) and Business Process...

In this study, we develop a framework to analyse resource-demanding projects in regard to their risk of resource scarcity and apply the framework to the German Energy System. With the interpretation of a commodity's price being an economic scarcity indicator, we define price thresholds, which,...