This paper investigates intraday patterns in foreign exchange returns based on a sample of 16 currencies versus the U.S. dollar using high-frequency data for the period 2010-2015. We find that home currencies tend to depreciate during domestic trading sessions and appreciate during U.S. trading...

This paper analyzes the impact of macroeconomic variables on house price volatility under different regimes of policy uncertainty, incorporating the Economic Policy Uncertainty Index and several Chinese macroeconomic data sets for the period from 1999 to 2014. We adopt a logistic smooth...

We study the interaction of noisy demand and skewed asset payoffs. In our model, price as a function of quantities is convex in a neighborhood around zero if and only if skewness is positive. The combination of convexity and noise produces the idiosyncratic skewness effect--a documented negative...

Residual coherence is a graphical tool for selecting potential second-order interaction terms as functions of a single time series and its lags. This paper extends the notion of residual coherence to account for interaction terms of multiple time series. Moreover, an alternative criterion,...