The rate of information diffusion and consequently price discovery, is conditional upon not only the design of the market microstructure, but also the informational structure. This paper presents a market microstructure model showing that an increasing number of information hierarchies among...

We construct a comprehensive measure for the evolution of the US financial crisis by extracting the common components in the real estate market (S&P Case-Shiller composite-10 housing price index), the equity market (S&P 500 index), and the money market (M2 money multiplier). We then investigate...

This paper extends the classical work of bipower variation by allowing the return process to be autocorrelated. We propose a method of estimating the return volatility when the price process is described by a fractal Brownian motion with jumps.

The rate of information diffusion and consequently price discovery, is conditional upon not only the design of the market microstructure, but also the informational structure. This paper presents a market microstructure model showing that an increasing number of information hierarchies among...

Volatility clustering, with autocorrelations of the hyperbolic decay rate, is unquestionably one of the most important stylized facts of financial time series. This paper presents a market microstructure model, that is able to generate volatility clustering with hyperbolic autocorrelations...

This paper designs a visual goodness-of-fit test based on the probability integral transformation of the residuals of an estimated model. We illustrate the method with histograms and correlograms of transformed series for different distributions of disturbances in simulated models. An...

This article reports a new seasonality in the volatility of Eurofutures contracts as a function of the time left before contract expiry. The fact that futures markets, unlike foreign exchange or equity markets, offer contracts that expire on specific dates, with typically one expiry per quarter...