Convertible bond calls typically cause significant reactions in equity prices. The empirical research largely finds negative and positive announcement effects for the in-the-money and the out-of-the-money calls respectively. However, this research has difficulty distinguishing between the two...

We compare 330 ARCH-type models in terms of their ability to describe the conditional variance. The models are compared out-of-sample using DM-$ exchange rate data and IBM return data, where the latter is based on a new data set of realized variance. We find no evidence that a GARCH(1,1) is...

type="main" xml:id="sjos12056-abs-0001" <title type="main">ABSTRACT</title>This paper introduces a new continuous-time framework for modelling serially correlated count and integer-valued data. The key component in our new model is the class of integer-valued trawl processes, which are serially correlated, stationary,...

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...