This paper aims to assess dynamic tail risk exposure in the hedge fund sector using daily data. We use a copula function to model both lower and upper tail dependence between hedge-fund and broad-market returns as a function of market uncertainty. We proxy the latter by means of a single index...

Annual stress tests have become a regular part of the supervisors' toolkit following the global financial crisis. We investigate their capital market implications in the United States by looking at price and trade reactions, information asymmetry and uncertainty indicators, and bank activities....

Agents usually use a discrete set of prices to alleviate transaction costs for it reduces the bargaining time by reducing the amount of information that parties must exchange. On the other hand, if the discrete price set does not include an acceptable price for both parties, then some...

We formulate a price discovery model in which the price discovery measures vary either locally, say, for instance, at intervals of 30 minutes or at a daily frequency. Given the empirical and theoretical evidence that price discovery measures relate to highly persistent fundamentals, we adopt a...

The aim of this paper was to measure for the first time the size of the Brazilian ocean economy. To do so we used the OECD methodology adapted for the Brazilian national economic accounts. An input-output matrix was developed to calculate the participation of the sectors. Multipliers of...

This paper proposes a framework to gauge the degree of volatility transmission among international stock markets by deriving tests for conditional independence among daily volatility measures. We suppose that asset prices follow a multivariate jump-diffusion process, and make no parametric...

We show that the standard econometric framework typically yields inconsistent estimates of price discovery measures in the presence of richer market microstructure noise dynamics. We address this errors-in-variable issue using instrumental variables. We devise valid instruments for two...