Following Bollerslev et. al (2000), we do a similar study in terms of Japanese Government Bond (JGB) market. In this paper we characterize the high-frequency volatility of the Japanese Government Bond (JGB) futures on the Tokyo Stock Exchange (TSE) using five-minute returns from April 1998 to...

The martingale theory of price bubbles defines an asset bubble to exist when the asset's price process is a strict local martingale, that is, a local martingale that is not a martingale. Using this definition of a price bubble, for continuous semimartingales, we characterize the conditions under...

This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at an increasing rate as the option's maturity date approaches. To explain this stylized fact, this paper provides a market microstructure model for the bid-ask spread in options...