What are the advances introduced by realized volatility models in pricing options? In this short paper we analyze a simple option pricing framework based on the dually asymmetric realized volatility model, which emphasizes extended leverage effects and empirical regularity of high volatility...

This paper examines whether there is evidence of spillovers of volatility from the Chinese stock market to its neighbours and trading partners, including Australia, Hong Kong, Singapore, Japan and USA. China's increasing integration into the global market may have important consequences for...

In this paper a number of alternative autoregressive conditional duration (ACD) models are compared using a sample of data for three major companies traded on the Australian Stock Exchange. The comparison is performed by employing the methodology for evaluating density and interval forecasts,...

The phenomenon of the occurrence of rare yet extreme events, “Black Swans” in Taleb's terminology, seems to be more apparent in financial markets around the globe. This means there is not only a need to design proper risk modelling techniques which can predict the probability of risky events...

In the tourism demand literature, much of the research focuses on income and price variables as demand determinants for travel. Nevertheless, the literature has neglected other possible indicators such as consumers’ perceptions of the future course of the economy, household debt and the number...

Interstate tourism is an important component of the domestic tourism business in Australia. However, empirical analyses of interstate tourism demand have not been previously undertaken. The motivation for this paper is to investigate the short- and long-run causal relationships between economic...

This paper considers a new class of time series models called autoregressive conditional duration (ACD) models. These models have been developed and applied to investigate the price discovery process in the context of financial markets. The various statistical properties of this class of ACD...

The issue of whether or not to form a monetary union in East Asia remains a hot issue in the study of the East Asian economies. Most of the existing studies apply a framework focusing on the symmetric issue of the fundamental shocks and the extent of correlations by applying the Blanchard and...