This paper studies in some details the joint-use of high-frequency data and economic variables to model financial returns and volatility. We extend the Realized LGARCH model by allowing for a timevarying intercept, which responds to changes in macroeconomic variables in a MIDAS framework and...

We establish a general formula for the distribution of the score in table tennis. We use this formula to derive the probability distribution (and hence the expectation and variance) of the number of rallies necessary to achieve any given score. We use these findings to investigate the dependence...

We establish a general formula for the distribution of the score in table tennis. We use this formula to derive the probability distribution (and hence the expectation and variance) of the number of rallies necessary to achieve any given score. We use these findings to investigate the dependence...

We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ('efficient return') factor and two market-side-specific components...