We consider a new class of time series models (introduced by Engle & Russell 1998) used in statistical applications in finance. These models treat the time between events (durations) as a stochastic process and the corresponding durations are modelled using a theory similar to that of...

We analyze minute by minute equity price data from 1 August 2005 to 31 October 2008 to study the relationship between the three sources of systematic risk in Fama and French's (1993) model and the market's expectation of total risk as represented by the VIX (the “fear factor”). Our findings...

This paper features a new autoregressive conditional duration (ACD) model which sits within the theoretical framework provided by the recently developed observation-driven time series models by Creal et al. (2013): the generalized autoregressive score (GAS) models. The autoregressive conditional...

This paper investigates the asymmetric price impact of buyer and seller initiated trades and the informational role of the trade duration. Using trade data from the Australian Stock Exchange (ASX), our results indicate that buyer initiated trades increase the ask price more than the bid price,...

Using stocks from a wide range of industry sectors on the Australian Securities Exchange, this paper examines the conditional distribution of intra-day stock prices and predicts the direction of the next price change in an ordered-probit-GARCH framework that accounts for the discreteness of...

The classic ‘higgledyâ€piggledy growth’ studies by Little (1962), Rayner and Little (1966), Brealey (1967), and Lintner and Glauber (1967) essentially reported that earnings changes over time appear to be randomly distributed. More recently Fuller, Huberts and Levinson (1992)...

This paper gives an overview about the sixteen papers included in this special issue. The papers in this special issue cover a wide range of topics. Such topics include discussing a class of tests for correlation, estimation of realized volatility, modeling time series and continuous-time models...

Mean-variance optimisation has been roundly criticised by financial economists and practitioners alike, leading many to advocate a simple 1/N weighting heuristic. We investigate the performance of the Markowitz technique conditional on investor forecasting ability. Using a novel analytical...