This paper examines the relationship among daily information flow, return volatility, and bid-ask spreads based on the framework of the mixture of distribution hypothesis (MDH). The MDH model is modified to permit separate effects of informed and liquidity trading volume on return volatility....

Previous research indicates that the maximum likelihood estimates of Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models on foreign exchange rates, under various distributional assumptions, are sensitive to the presence of outliers. The advantage of the proposed Bounded...

Utilizing advanced asset pricing techniques, we investigate the long-term relation between the general economy, the broad equity market and Real Estate Investment Trusts (REITs). Both monetary and real economy factors, along with the stock market factor, are found to be determinants in REIT...

This article examines the relationship among intradaily information flows, volatility and volume based on the Mixture of Distribution Hypothesis (MDH). We generalize the MDH model to accommodate both informed and uninformed trading effects on return volatility. Using a Fourier filtering...