We show that historical volatility from high frequency returns outperforms implied volatility when standardized returns by historical volatility tends to be normally distributed. For the FTSE 100 futures, we find that historical volatility using high frequency returns outperforms implied...

In this paper, we show that spurious cointegration can occur when there are breaks in the variances of the innovation errors of time series, especially when the breaks occur early in the sample period. An empirical example is provided to demonstrate the case.

This study aims to demonstrate that the concentration (or distribution) of firm R&D intensities within an industry is closely related to the overall R&D intensity of the industry. Unlike the well-studied relationship between sales concentration, or market structure, and industry R&D intensity,...

This paper examines the dissemination of market timing information (signals on the overall performance of risky assets relative to the risk free rate). We consider two delivery systems. Under the newsletter delivery system market timing information is disseminated solely through newsletter....