This paper examines the degree of pass-through and adjustment speed of retail interest rates in response to changes in benchmark market rates in New Zealand during the period 1994 to 2004. We consider the effects of policy transparency and financial structure of the monetary transmission...

In this paper we propose a tick time model for dealer quote interactions using ultra-high-frequency data. This model includes duration functions to measure the time dependence of volatility as well as information asymmetry. In order to assess price discovery we define several measures in tick...

We propose a new model that uses non-synchronous, ultra-high frequency data to analyze the sequential impact of trades and quotes on the price process. Private information is related to the impact of trades and public information to the impact of quotes. The model is extended to include various...

This paper develops and tests a heterogeneous agents model for the option market. Contrary to the common practice in the heterogeneous agents literature of modeling the level process, we introduce heterogeneity and switching in the variance process of the stock market. The market consists of two...

In this paper we develop and evaluate the information content of an implied volatility index for the Australian stock market. Using price data on Samp;P/ASX 200 index options and SFE SPI 200 index futures options, we develop implied volatility indices with a time to maturity of three months and...

In this paper we examine the foreign bias in international asset allocation. Following extant literature in behavioral finance, we argue that a society's culture and the cultural distance between two markets play an important role in explaining the foreign bias. In particular, we hypothesize...

The aim of this paper is to assess to what extent intraday data can explain and predict end-of-the-day volatility. Using a realized volatility measure as proposed by Andersen, T., T. Bollerslev, F. Diebold, and P. Labys. 2001. The distribution of realized exchange rate volatility. Journal of the...