Recent research documents the importance of uncertainty in determining macroeconomic outcomes, but little is known about the transmission of uncertainty across such outcomes. This paper examines the response of uncertainty about inflation and output growth to shocks documenting statistically...

The aim of this paper is to model the trading intensity of the US Treasury bond market which has a unique expandable limit order book which distinguishes its structure from other asset markets. An analysis of tick data from the eSpeed database suggests that the US bond market displays a greater...

This paper models the trading intensity of the US Treasury bond market, which has a unique expandable limit order book that distinguishes it from other asset markets. The results indicate that trade duration exhibits significant clustering and that the time taken to expand the tradable volume,...

Recent studies suggest that a negative shock to stock prices will generate more volatility than a positive shock of equal magnitude. This paper uses daily data from the Hong Kong Stock Exchange to illustrate the nature of stock market volatility. Regression-based tests for integration in...

Recent studies suggest that the term premia within the US Term Structure of Interest Rates may be adequately characterized as univariate GARCH(1, 1)-M processes, with highly persistent or even potentially explosive conditional variances. Tzavalis and Wickens (Economics Letters, 49, 1995) using...

Recent empirical studies suggest that long horizon stock returns are forecastable. While this phenomenon is usually attributed to time varying expected returns, or speculative fads, it may also be due to long memory in the returns series. Long range dependence is investigated using parametric...

This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples.

This paper considers the relationship between traded volume and volatility allowing for the impact of short sales. The evidence supports a nonlinear, bidirectional relationship between volume and volatility. Short selling is found to have a significant impact on this relationship, and our...