This paper examines the capabilities of the Normal Inverse Gaussian distribu-tion as a model for stock returns. We extend the model of Barndorff-Nielsen (1997) to allow for a richer volatility structure and compare with the existing GARCH-type models. We conclude that the proposed model...

This paper investigates the process determining mutual funds conditional probability of closure, i.e. their hazard function. Using a nonparmetric approach to estimate the effects of a funds age on its hazard rate, we find a distinctly nonlinear, inverse U-shaped pattern in the relationship....

This article formulates a bivariate point process to jointly analyze trade and quote arrivals. In microstructure models, trades may reveal private information that is then incorporated into new price quotes. This article examines the speed of this information flow and the circumstances that...

We examine moving average (MA) filters for estimating the integrated variance (IV) of a financial asset price in a framework where high-frequency price data are contaminated with market microstructure noise. We show that the sum of squared MA residuals must be scaled to enable a suitable...