The thesis consists of empirical studies on currency market as well as US equity market. A new volatility estimator using wavelets is proposed and used to analyze financial markets. Currency tick data are analyzed to determine the effects of economic releases on foreign exchange market....

The concordance probability, also called the C-index, is a popular measure to capture the discriminatory ability of a predictive model. In this article, the definition of this measure is adapted to the specific needs of the frequency and severity model, typically used during the technical...

Based on intraday data for a large cross-section of individual stocks and Exchange traded funds, we show that short-term as well as long-term fluctuations of realized market and average idiosyncratic higher moments risks are priced in the crosssectionof asset returns. Specifically, we find that...

Financial signals' abrupt spectral changes in temporal scale correspond to the perception bias on risk which is a well-known epistemologically decision-making factor in behavioral finance research. In this paper, we explored the epistemological role of S&P 500 signal's non-stationarity on...

In retailing markets of storable goods, consumer behavior is typically characterized by stockpiling. While existing research has developed rich models for such strategic consumer behavior, little is known about how sellers should ideally respond to it. In this paper, we provide insights into how...

Using a landscape simulation model, we examined ecological and economic implications of forest policies designed to emulate the historical fire regime across the 2 x 10⁶ ha Oregon Coast Range. Simulated policies included two variants of the current policy and three policies reflecting aspects...