Recent crises have focused interest on methods to improve the functioning of financial markets. In this context it would be prudent to evaluate the effects of previous changes. Previous research on decimalization of tick size, a significant microstructure change, mostly examines its effects on...

We propose a modelling treatment for the option-implied risk neutral distribution (RND) which disaggregates its long-term and short-term dynamics. Long memory parameters calibrated on the RND moments serve as tractable mathematical constructs to filter out effects of smooth structural change...

The vast of literature concerning the reaction to macroeconomic announcements focus on American releases and their impact on returns and volatility. We are interested if the news from the German and the Polish economy are significant for the stock exchanges in these two countries. Using...

This paper presents a methodology for calculating the Value at Risk (VaR) of portfolios of financial assets using a multivariate ARCH model. A slight modification of the factor-ARCH model proposed by Engle, Ng, and Rothschild (1990) is used to calculate VaR of portfolios of Danish zero-coupon...

This paper studies the co-movements between the daily returns of forwards on natural gas traded in the NYMEX with maturity of 1, 2 and 3 months. We identify a structural multivariate BEKK model using a recursive assumption whereby shocks to the volatility of the returns are transmitted from the...

We investigate the spatial dependence between commercial and residential mortgage defaults. A new class of observation-driven frailty factor models is introduced to do so. The idea of dynamic parameters embedded in the class of GAS models is utilized to estimate dynamic models of default risk...

This paper presents a methodology for calculating the Value at Risk (VaR) of portfolios of financial assets using a multivariate ARCH model. A slight modification of the factor-ARCH model proposed by Engle, Ng, and Rothschild (1990) is used to calculate VaR of portfolios of Danish zero-coupon...

This paper studies the co-movements between the daily returns of forwards on natural gas traded in the NYMEX with maturity of 1, 2 and 3 months. We identify a structural multivariate BEKK model using a recursive assumption whereby shocks to the volatility of the returns are transmitted from the...

Modeling and forecasting of dynamically varying covariances have received much attention in the literature. The two most widely used conditional covariances and correlations models are BEKK and DCC. In this paper, we advance a new method to introduce targeting in both models to estimate matrices...

The availability of intraday data led to the development of new concepts and models. In the paper we focus on the jumps observed in the stock and index returns. These abnormal returns should be linked to information on the market. Here we detect jumps in equally spaced 15-minute intraday returns...