One of the many challenges posed by the study of high frequency financial market data is to develop models capable of explaining asset price behaviour at a range of frequencies. At the same time as presenting researchers with new opportunities, it also calls into question whether standard time...

This paper derives a general equilibrium option-pricing model for a European call assuming that the economy is exogenously driven by a dividend process following Hamilton's (1989) Markov regime switching model. The derived formula is used to investigate if the European call option prices are...

Stock market volatility clusters in time, carries a risk premium, is fractionally integrated, and exhibits asymmetric leverage effects relative to returns. This paper develops a first internally consistent equilibrium based explanation for these longstanding empirical facts. The model is cast in...

This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models. Results reveal the presence of ARCH effect in B2 and B3 equity returns. In addition, the estimated models could not find evidence of leverage effect. On evaluating the estimated...

We develop theory of a novel fast bootstrap for dependent data. Our scheme deploys i.i.d. resampling of smoothed moment indicators. We characterize the class of parametric and semiparametric estimation problems for which the method is valid. We show the asymptotic re refinements of the new...

This paper models the time between trades of the after-hours electronically traded equity futures market, a market which is previously unstudied in this regard. Using a relatively long 2 year data set, trades in the NASDAQ and S&P500 equity futures are shown to require different forms of...

We use a dynamic multipath general-to-specific algorithm to capture structural instability in the link between euro area sovereign bond yield spreads against Germany and their underlying determinants over the period January 1999 – August 2011. We offer new evidence suggesting a significant...

This paper examines the determinants of the breakeven inflation rate (BEI) on 5 and 10 year US Treasury inflation protected securities (TIPS). The estimation is conducted using a bias-corrected, automated model selection algorithm with indicator saturation and non-linearities. The vast majority...

This paper proposes a class of stochastic volatility (SV) models which offers an alternative to the one introduced in Andersen (1994). The class encompasses all standard SV models that have appeared in the literature, including the well known lognormal model, and allows us to empirically test...

This article proposes an estimation procedure for the affine stochastic volatility models with jumps both in the asset price and variance processes. The estimation procedure is based on the joint (here bi-variate) unconditional characteristic function for the stochastic process for which we...