This article explores the dynamics of the dependence between 'A' and 'B' share indices on the Shanghai and Shenzhen securities exchanges. While the marginal behaviour of each stock index is modelled by an asymmetric Student-t distribution, the nature of the dependence is captured through a...

This study considers the ability of the Component-GARCH model to capture the stylized features of volatility in 14 stocks traded on the Stock Exchange of Hong Kong. The relative merits of several GARCH models nested in the Component-GARCH are investigated using the standard likelihood ratio...

A comparison of the realized variance and the realized bipower variation provides a nonparametric estimation of the sum of all the intraday squared jump sizes. To recover individual jumps from this overall contribution to the quadratic variation, one needs to estimate both the number of jumps...

Understanding the relationships among multivariate assets would help one greatly about how best to position one's investments and enhance one's financial risk protection. We present a new method to model parametrically the dependence structure of stock index returns through a continuous...

Sovereign bonds are usually priced under the assumption that only the sovereign issuer may be responsible of their repayment. In some cases however, bondholders may legitimately expect to be repaid by more than one agent. For example, when a country breaks-up, successor states may agree to...

Assuming that the variance of daily price changes and trading volume are both driven by the same latent variable measuring the number of price-relevant information arriving on the market, the mixture of distribution hypothesis represents an intuitive and appealing explanation for the empirically...

Outliers can lead to model misspecifications, poor forecasts and invalid inferences. Their identification and correction is therefore an important objective of financial modeling. This paper introduces a simple method to detect outliers in a financial series. It uses an AR(1)-GARCH(1,1) model to...