This paper presents two methods to measure market-specific contributions to price discovery in non-overlapping sequential markets: one is a non-parametric approach using high-frequency data and the other is a structural VAR model based on open-to-close returns. The methods complement the...

While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the expected return. We examine the effects of the risk...

We examine the large sample properties of Bayes procedures in a general framework, where data may be dependent and models may be misspecified and nonsmooth. The posterior distribution of parameters is shown to be asymptotically normal, centered at the quasi maximum likelihood estimator, under...

type="main" xml:id="twec12089-abs-0001" <title type="main">Abstract</title> <p>This study examines how the volatility and liquidity of 10 Asian exchange rates against the US dollar change with volatilities in commodity price and carry trade over the period of January 2000 to June 2010. We find that uncertainties in commodity...</p>

While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the expected return. We examine the effects of the risk...