A series of GARCH models are investigated for the volatility of the Chinese equity data from the Shenzhen and Shanghai markets. There has been empirical evidence of volatility clustering, contrary to findings in previous studies. Each market contains different GARCH models which fit well. The...

Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/USD, JPY/USD, and GBP/USD. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility...

In this comment we identify a lacuna in a proof in the paper by M. Caner published in 1997 in <italic>Econometric Theory</italic> concerning the weak limit behavior of various expressions involving heavy-tailed multivariate vectors and the convergence of stochastic integrals. In a later paper (Caner, 1998) the...

Traditional management of electricity portfolios is focused on the day-ahead market and futures of longer maturity. Within limits, market participants can however also resort to the balancing energy market to close their positions. In this paper, we determine strategic positions in the balancing...

In this paper, we introduce a new GARCH model with an infinitely divisible distributed innovation. This model, which we refer to as the rapidly decreasing tempered stable (RDTS) GARCH model, takes into account empirical facts that have been observed for stock and index returns, such as...

This paper examines whether there is a discrepancy in estimating the elasticity of intertemporal substitution using food consumption instead of nondurable consumption data. We show that a discrepancy exists and that the discrepancy increases as nondurable consumption increases.

In the post-crisis era, financial institutions seem to be more aware of the risks posed by extreme events. Even though there are attempts to adapt methodologies drawing from the vast academic literature on the topic, there is also skepticism that fat-tailed models are needed. In this paper, we...

This paper proposes a profit model for spread trading by focusing on the stochastic movement of the price spread and its first hitting time probability density. The model is general in that it can be used for any financial instrument. The advantage of the model is that the profit from the trades...

We consider the sensitivity of conditional value-at-risk (CVaR) with respect to the tail index assuming regularly varying tails and exponential and faster-than-exponential tail decay for the return distribution. We compare it to the CVaR sensitivity with respect to the scale parameter for stable...

In this paper, we introduce a new GARCH model with an infinitely divisible distributed innovation, referred to as the rapidly decreasing tempered stable (RDTS) GARCH model. This model allows the description of some stylized empirical facts observed for stock and index returns, such as volatility...