We briefly introduce some basic facts about multivariate extreme value theory and present some new results regarding finite aggregates and multivariate extreme value distributions. Based on our results high frequency data can considerably improve quality of estimates of extreme movements in...

We introduce two quot;eventquot; scales for financial markets, called quot;scale of market shocksquot; (SMS), which measure the importance of the market movements. These indices are based on the price volatility and are computed by integrating mapped asset volatilities over time horizons that...

We derive two risk adjusted performance measures for investors with risk averse preferences. Maximizing these measures is equivalent to maximizing the expected utility of an investor. The first measure, X(eff), is derivedassuming a constant risk aversion while the second measure, R(eff),is based...

This paper studies the statistical properties of the price, volatility and tick dynamics of the intraday Eurofutures markets by utilizing the transactions and quote data. We build two different types of price series, by position and by contract. The findings indicate numerous sources of intraday...

This paper studies the statistical properties of the price and volatility dynamics of the intraday Eurofutures markets by utilizing the transactions and quote data. We build two different types of price series, by position and by contract. The findings indicate numerous sources of intraday and...

We investigate the multivariate intraday structure in interest rates, focusing on implied forward rates from Eurofutures contracts. Since futures markets are the most liquid for interest rate instruments and they yield high-quality intraday data, it is somehow surprising that their intraday...

In this paper we present both a new formulation of the HARCH process and a study of the forecasting accuracy of ARCH-type models for predicting short-term volatility. Using high frequency data, the market volatility is expressed in terms of partial volatilities which are formally exponential...

We perform a tail index estimation of financial asset returns in two markets: the foreign exchange market and the interbank market of cash interest rates. Thanks to the high-frequency of the data, we obtain good estimates of the tail indices and we are able to analyze their stability with time...

In this paper, we show that intra-daily foreign exchange rate returns exhibit even stronger nonlinearities than daily or weekly returns. These nonlinearities result from the intra-daily seasonality and the presence of market participants with different time-horizons. Moreover, we present some...

In this paper, we show that the use of an alternative time scale can eliminate the inefficiencies in the estimation of a GARCH model caused by intra-daily seasonal patterns. Even so, however, the temporal aggregation properties of the GARCH model do not hold at the intra-daily frequencies,...