This paper empirically examines the relationship between trading volume and conditional volatility of returns in the Tunisian stock market within the framework of the mixture of distribution hypothesis (MDH) and the sequential information arrival hypothesis (SIAH). Through this study, we...

We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...

Financial bubbles and recent behaviour of the Latin American stock markets

A new methodology for testing and dating economic bubbles based on a sign test with recursive median adjustment is presented. The methodology, originally proposed by Soo and Shin (2001) to detect random walks, is well-suited, theoretically, to deal with the many features of high-frequency...

The main contribution of this paper is to propose a bootstrap method for inference on integrated volatility based on the pre-averaging approach of Jacod et al. (2009), where the pre-averaging is done over all possible overlapping blocks of consecutive observations. The overlapping nature of the...