This study investigates the volume-return relationship using data from the Chinese stock market. Based on the model set up by Llorente et al. (2002), we test empirically whether investors in China are hedging oriented or motivated by speculation. A two-state Markov switching model was used to...

A good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk. Interest rate modelling in an unstable macroeconomic context motivates one factor models with time varying parameters. In this paper, the local parameter approach is introduced...

Let (X1, Y1), ..., (Xn, Yn) be i.i.d. rvs and let v(x) be the unknown T-expectile regression curve of Y conditional on X. An expectile-smoother vn(x) is a localized, nonlinear estimator of v(x). The strong uniform consistency rate is established under general conditions. In many applications it...