We introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. It is shown that the LMACP nicely captures salient features of...

This study extends the standard consumption-based capital asset pricing model (C-CAPM) to include two additional factors related to firm size (SMB) and book-to-market value ratio (HML). The inclusion of HML improves mainly the fit of the low book-to-market portfolios, SMB, and HML that are not...

We propose a new test based on the no-arbitrage condition that compares cross-sectional variation in equity returns to the cross-sectional variation in their conditional covariance with the discount factors. Using the multivariate generalized heteroskedasticity in mean model (MGM) to estimate...

We undertake a structural analysis of the Hasbrouck unobserved components and the Madhavan, Richardson, and Roomans microstructure models. We map carefully the relationship between the structural parameters and four alternative measures of price discovery: (1) Hasbrouck; (2) Harris-McInish-Wood;...

The goal of the current study is to determine the information influence between the developed and developing capital market in the conditions of global financial crisis since 2007, discussed in the aspect of the Efficient-Market Hypothesis (EMH) on the example of the DJIA, DAX and SOFIX indexes....

This study aims to investigate the speculative efficiency of the New York Mercantile Exchange (NYMEX) Light Sweet Crude Oil futures market and the effectiveness of these futures contracts in hedging the West Texas Intermediate (WTI) crude oil price risk. The period of interest ranges between...

The purpose of this paper is to look at the ‘size-effect’ question using a large sample drawn from New York Stock Exchange prices. The impact of the stock returns' size is also examined and the validity of models explaining the observed negative relations between asset returns and inflation...

This paper proposes a new panel model of cross-sectional dependence. The model has a number of potential structural interpretations that relate to economic phenomena such as herding in financial markets. On an econometric level it provides a flexible approach to the modelling of interactions...