We use realized volatilities based on after-hours high frequency stock returns to predict next day stock volatility. We extend the GARCH model to include additional information: the whole after hours period, the preopen realized variance, the postclose realized variance, and the overnight...

This thesis introduces the "buyer power" model, probes into the influence on the chain relationship of the growth and decline of power between the headquarters and chain stores, and further overthrows the traditional literature's argument on the cause of exclusive dealing. First, this paper...

Recently, Li et al. (2012a,b) have presented two biased Optimal L-statistics Quantile Estimators (OLQEs). In this work, we present two unbiased versions of the two biased OLQEs. Similar to the biased OLQEs, the proposed unbiased OLQEs are able to accommodate a set of scaled populations and a...

We use realized volatilities based on after hours high frequency returns to predict next day volatility. We extend GARCH and long-memory forecasting models to include additional information: the whole night, the preopen, the postclose realized variance, and the overnight squared return. For four...