Both in practice and in the academic literature, models for setting margin requirements in futures markets use daily closing price changes. However, financial markets have recently shown high intraday volatility, which could bring more risk than expected. Such a phenomenon is well documented in...

The dynamic properties of micro based stochastic macro models are often analyzed through a linearization around the associated deterministic steady state. Recent literature has investigated the error made by such a deterministic approximation. Complementary to this literature we investigate how...

The dynamic properties of micro based stochastic macro models are often analyzed through a linearization around the associated deterministic steady state. Recent literature has investigated the error made by such a deterministic approximation. Complementary to this literature we investigate how...

The dynamic properties of micro based stochastic macro models are often analyzed through a linearization around the associated deterministic steady state. Recent literature has investigated the error made by such a deterministic approximation. Complementary to this literature we investigate how...

The dynamic properties of micro based stochastic macro models are often analyzed through a linearization around the associated deterministic steady state. Recent literature has investigated the error made by such a deterministic approximation. Complementary to this literature we investigate how...

For an ARCH model, we propose a multistage weighted least squares (WLS) estimate which consists of repeated WLS procedures until the corresponding asymptotic variance equals that of the quasi-maximum likelihood estimate (QMLE). At every stage, the current estimate is of a WLS type weighted by...

Recent progresses in option pricing using ARCH processes for the underlying are summarized. The stylized facts are multiscale heteroscedasticity, fat-tailed distributions, time reversal asymmetry, and leverage. The process equations are based on a finite time increment, relative returns,...