This article questions the empirical usefulness of leverage effects to describe the dynamics of equity returns. Relying on both in and out of sample tests we consistently find a weak contribution of leverage effects over the past 25 years of S&P 500 returns. The skewness in the conditional...

In this paper, we provide a new dynamic asset pricing model for plain vanilla options on equity option indexes. Given the historical measure, the dynamics of assets are modeled by Garch-type models with generalized hyperbolic innovations and the pricing kernel is an exponential affine function...

Recent contributions highlight the importance of intraday jumps in forecasting realized volatility at horizons up to one month. We extend the methodology developed in Maheu and McCurdy (2011) to exploit the information content of intraday data in forecasting the density of returns. Considering...

The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices....

We investigate the shape of the term structure reaction of the US swap rates to announcements using several linear and non-linear time series models. We document the non-linearity of the market reaction to macroeconomic news. First, we find that the introduction of non linear models leads to the...

We investigate the shape of the term structure reaction of the US swap rates to announcements using several linear and non-linear time series models. The main contribution of this article to put emphasize on the non-linearity of the market reaction to macroeconomic news. The empirical results...

This article intends to show that the variations of the target rate level and the duration between two variations of the target rate do not necessarily react to the same factors. For this purpose, we use a model derived from Engle and Russell (2005): we propose to model differently the duration...

As commodity markets have continued their expansion an extensive and complex financial industry has developed to service them. This industry includes hundreds of participating firms, including asset managers, brokers, consultants, verification agencies and a myriad of other institutions....