This article investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim is to identify whether there is an ex ante cool-off or magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the São Paulo stock...

In this article we propose a model in discrete and continuous time that incorporates explicitly a technical trading rule in the specification of the volatility. The proposed discrete-time model is an alternative to GARCH-type processes. We derive conditions for the covariance and strict...

We propose a semiparametric factor model, which approximates the implied volatility surface (IVS) in a finite dimensional function space. Unlike standard principal component approaches typically used to reduce complexity, our approach is tailored to the degenerated design of IVS data. In...

In order to estimate the conditional variance of some specific day, the sum of squared intraday returns, as known as "realized volatility" (RV) or "realized variance," is often used. Although this estimator does not converge to the true volatility when the observed price involves market...

In this paper, we present a realized range-based multipower variation theory, which can be used to estimate return variation and draw jump-robust inference about the diffusive volatility component, when a high-frequency record of asset prices is available. The standard range-statistic--routinely...

This paper elaborates sequential procedures for monitoring the validity of a volatility model. A state-space representation describes dynamics of daily integrated volatility. The observation equation relates the integrated volatility to its measures such as the realized volatility or bipower...

This paper proposes a parsimonious approach to test nonlinear dependence on the conditional mean and variance of hedge funds with respect to several market factors. My approach introduces nonlinear dependence by means of empirically relevant polynomial functions of the factors. For comparison...

We examine the asymptotic and finite-sample properties of the two-pass (TP) cross-sectional regressions estimators when factors and asset returns are conditionally heteroskedastic and/or autocorrelated. Using a minimum distance approach, we derive the heteroskedasticity- and/or...

This paper presents two classes of tick-by-tick covariance estimators adapted to the case of rounding in the price time stamps to a frequency lower than the typical arrival rate of tick prices. Through Monte Carlo simulations, we investigate the behavior of such estimators under realistic market...

Equity index implied volatility functions are known to be excessively skewed in comparison with implied volatility at the single stock level. We study this stylized fact for the case of a major German stock index, the DAX, by recovering index implied volatility from simulating the 30-dimensional...