The credit crisis roiling the world's financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however, demonstrates that the losses in certain markets, in this case the US equity markets, follow a cascade...

The paper proposes an original class of conditionally heteroskedastic models aimed to capture a new concept of asymmetry. Not only past up and down moves of stock market returns have different impacts on the conditional variance, but also, positive and negative changes are governed by different...

Using density forecasts, we compare the predictive performance of dur ation models that have been developed fo modelling intra-day data on stock markets. Our model portfolio encompasses the auto regressive conditional duration (ACD) model, its logarithmic version (Log-ACD), the threshold...

This paper studies the links existing between the Swiss stock market and the five largest stock markets in the world (USA, Japan, United Kingdom, Germany and France) in terms of return and volatility. We find that conditional heteroskedasticity is present in every market and also that...

In a multi-period, multi-commodity economy with stock markets, we try to extend the work of Drèze (1974) to define the behaviour of the firms. We exhibit first order necessary conditions for a constrained Pareto optimal allocation. The financial constraints lead to non-collinear supporting spot...

The paper extends the Drèze's Criterion [Investment under private ownership : optimality, equilibrium and stability, in «Allocation under Uncertainty ; Equilibrium and Optimality», Wiley, New York, 1974, p.129] for firms to non-smooth and non-convex technologies and to non-ordered preferences...

Seasonal patterns during the day and during the week in the stock exchange markets are idiosyncratic and thus they should be taken into account wh en modelling these data. In this paper we propose a component model for the analysis of financial durations, that can be extended easily to any othe...