The purpose of this study is to uncover the impacts of macroeconomic risks on oil price uncertainty. We consider three sub-periods, the 2008 global financial crisis, post-global financial crisis, and COVID-19 crisis. A quantile regression model is employed to investigate the related impacts...

We relax the strong rationality assumption for the agents in the paradigmatic Kyle model of price formation, thereby reconciling the framework of asymmetrically informed traders with the Adaptive Market Hypothesis, where agents use inductive rather than deductive reasoning. Building on these...

Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this paper, we show how...

This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

This paper studies the self-weighted least squares estimator (SWLSE) of the ARMA model with GARCH noises. It is shown that the SWLSE is consistent and asymptotically normal when the GARCH noise does not have a finite fourth moment. Using the residuals from the estimated ARMA model, it is shown...