This research note shows that the implied Black-Scholes volatility calculated using the bisection algorithm can have significant biases, which are more severe for in-themoney (ITM) options than for out-of-the-money (OTM) options. The biases are shown to have important implications as they could...

We study linear-quadratic term structure models with random jumps in the short rate process where the jump arrival rate follows a stochastic process. Empirical results based on the US data show that incorporating stochastic jump intensity significantly improves model fit to the dynamics of both...

We examine large price changes, known as jumps, in the U.S. Treasury market. Using recently developed statistical tools, we identify price jumps in the 2-, 3-, 5-, 10-year notes and 30-year bond during the period of 2005-2006. Our results show that jumps mostly occur during prescheduled...

In this paper, we propose a nonparametric identification and estimation procedure for an ltd diffusion process based on discrete sampling observations. The nonparametric kernel estimator for the diffusion function developed in this paper deals with general ltd diffusion processes and avoids any...

This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i-Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and...

The Chinese stock market has witnessed a dramatic increase of analyst coverage over the past years. While analyst revisions clearly exhibit optimistic biases, we find significant market reactions to both upgrades and downgrades. However, in contrast to findings in existing literature for other...

This article investigates the correlation structure of the global crude oil market using the daily returns of 71 oil price time series across the world from 1992 to 2012. We identify from the correlation matrix six clusters of time series exhibiting evident geographical traits, which supports...