This paper estimates models of high frequency index futures returns using 'around the clock' 5-minute returns that incorporate the following key features: multiple persistent stochastic volatility factors, jumps in prices and volatilities, seasonal components capturing time of the day patterns,...

This paper examines an issue overlooked in the finance and economics literature: time variation in announcement volatility or event risk. We combine long spans of high-frequency data with a flexible parametric model of returns, which al- lows to identify announcement returns, capture intraday...

Level-k thinking and Cognitive Hierarchy have been widely applied as a normalform solution concept in behavioral and experimental game theory. We consider the extension of level-k thinking to extensive-form games. Player's may learn about levels of opponents' thinking during the play of the game...

Trilateral development cooperation is believed to reflect aid's changing geographies while helping to forge new, more equitable partnerships. Chinese engagement in trilateral development cooperations has so far received limited attention, and this paper by Hang Zhou seeks to fill the gap. By...

Trilateral development cooperation is believed to reflect aid's changing geographies while helping to forge new, more equitable partnerships. Chinese engagement in trilateral development cooperations has so far received limited attention, and this paper by Hang Zhou seeks to fill the gap. By...

We incorporate terms-of-trade externality into a small open economy featuring an incomplete market, sterilized intervention, and capital controls as in Chang et al. (2015), and we highlight the central banks reaction to exchange rate movement. Our calibrated model using data from China shows...

Level-k thinking and Cognitive Hierarchy have been widely applied as a normal-form solution concept in behavioral and experimental game theory. We consider the extension of level-k thinking to extensive-form games. Player’s may learn about levels of opponents’ thinking during the play of the...