In this presentation, we introduce the command frcount for estimating the fractional response model with an endogenous count variable. The endogeneity of the right-hand-side count variable is controlled for under the presence of unobserved heterogeneity. We briefly discuss the model, estimation...

Using a rich dataset of high frequency historical information we study the determinants of European sovereign bond returns over calm and crisis periods. We find that the importance of the equity risk factor varies greatly over time and crucially depends on country risk. In low risk countries,...

This paper examines the determinants of cross-platform arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an arbitrage opportunity into three distinct factors: the fixed cost to trade the opportunity, the level at which one of the platforms delays a...

This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during normal and crisis periods. We find that liquidity risk is more important than firm-specific credit risk regardless of market conditions. Moreover, in the period prior to the recent...

This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during normal and crisis periods. We find that liquidity risk is more important than credit risk regardless of market conditions. Moreover, in the period prior to the recent ‘Great...

In financial research, the sign of a trade (or identity of trade aggressor) is not always available in the transaction dataset and it can be estimated using a simple set of rules called the tick test. In this paper we investigate the accuracy of the tick test from an analytical perspective by...

Forecasting ability of several parameterizations of ACD models are compared to benchmark linear autoregressions for inter-trade durations. The estimation of parametric ACD models requires both the choice of a conditional density for durations and the specification of a functional form for the...

This research examines the perception that the AIM market is riskier than the Official List market in comparable stocks. The empirical analysis uses high frequency data for January 2000 to December 2004 on 533 AIM stocks and 264 comparable Official List stocks. Risk is measured in a variety of...

MTS Time Series: Market and Data Description for the European Bond and Repo Database Alfonso Dufour and Frank Skinner MTS Time Series is a new source of high frequency and daily data for European fixed income markets. For the first time academic researchers and market practitioners have...