This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of high-frequency asset returns both in ordinary clock time and in...

This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of high-frequency asset returns both in ordinary clock time and in...

This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of high-frequency asset returns both in ordinary clock time and in...

The “Flash Crash” of May 6th, 2010 comprised an unprecedented, rapid decline in the Dow Jones Industrial Average that was followed by a rapid, disorderly recovery of prices. We illuminate the causes of this singular event with the first analysis of all order book activity at millisecond...

Data censoring causes ordinary least squares estimators of linear models to be biased and inconsistent. The Tobit estimator yields consistent estimators in the presence of data censoring if the errors are normally distributed. However, non-normality or heteroskedasticity results in the Tobit...

A number of flexible distributions (generalized beta of the second kind, inverse hyperbolic sine, g-and-h, Weibull, Burr-3, Burr-12, generalized gamma) are examined in the setting of option-pricing to explore potential improvements over the standard assumption of lognormal returns. Price...

Bounds for the skewness kurtosis space corresponding to the skewed generalized T, skewed generalized error, skewed T, and some other distributions are presented and contrasted with the bounds reported by Klaassen et al.(2000) for unimodal probability density functions. The skewed generalized T...

This study tests the degree to which payday and title lenders differentiate their store location and interest rates based on the socioeconomic characteristics of the areas in which they operate. We use store-level lender data, geographically matched IRS income data, and Census Bureau demographic...

Utility functions that are additively-separable in goods consumption and leisure are often used in dynamic stochastic general equilibrium (DSGE) models. This paper illustrates how the use of an elliptical functional form for the utility of leisure can be substituted for the more common constant...