Some economy theories assume that human is rational and when they make a decision in uncertainty conditions, they will prefer the best choice. Many evidences have been given against these theories. Especially psychology professor Daniel Kahneman's studies provide evidence that human behave...

During the financial crisis, stock returns became more correlated, increasing the R-square of market models estimated during that time. However, the overall increase in volatility also increased the standard error of these models. As a result, conventional event studies tend to find too many...

The objective / contribution of this study is five-fold: 1) to propose a nonparametric test for seasonality studies, namely the Friedman's test; 2) to test for seasonality for major international indexes; 3) to find out if dividend yields cause seasonalities; 4) to determine if seasonality is...

This paper investigates a selection of methods disentangling contributions from price jumps to realized variance. Flat prices (consecutively sampled prices in calendar time with the same value) and no trading (no price observation at sampling points), both frequently occurring stylized facts in...

This paper investigates a selection of methods disentangling contributions from price jumps to realized variance. Flat prices (consecutively sampled prices in calendar time with the same value) and no trading (no price observation at sampling points), both frequently occurring stylized facts in...

This paper presents a comprehensive comparison of nonparametric tests for jumps in the prices of financial assets. The relative performance of eight tests is examined in a Monte Carlo simulation covering scenarios of both finite and infinite activity jumps, and stochastic volatility models with...

Many securities markets are organized as double auctions where each incoming limit order --- i.e., an order to buy or sell at a specific price --- is stored in a data structure called the limit order book. A trade happens whenever a market order arrives --- i.e., an order to buy or sell at the...

Many recently developed nonparametric jump tests can be viewed as multiple hypothesis testing problems. For such multiple hypothesis tests, it is well known that controlling type I error often makes a large proportion of erroneous rejections, and such situation becomes even worse when the jump...

We propose semi-parametric CUSUM tests to detect a change point in the covariance structure of non-linear multivariate models with dynamically evolving volatilities and correlations. The asymptotic distributions of the proposed statistics are derived under mild conditions. We discuss the...