Using a Markov switching model applied to the VIX and VDAX implied volatility indexes, we find that the volatility of the U.S. Samp;P100 index and German DAX index switched from a low-value state to a high-value state around the events of the Asian financial crisis. Moreover, the U.S. and German...

We provide existence conditions and analytical expressions of the moments of logarithmic autoregressive conditional duration (Log-ACD) models. We focus on the dispersion index and the autocorrelation function and compare them with those of ACD (Engle and Russell 1998) and SCD models. Using...

This paper shows that, when the VIX or VXN indices of implied volatility increase, the Samp;P100 and NASDAQ100 stock indices exhibit on average negative returns, hence the 'fear factor' associated with high levels of implied volatility in financial markets. However, attractive (from a...

In this paper, we assess the efficiency, information content and unbiasedness of volatility forecasts based on the VIX/VXN implied volatility indexes, RiskMetrics and GARCH-type models at the 5-, 10- and 22-day time horizon. Our empirical application focuses on the Samp;P100 and NASDAQ100...

In this paper we show how to compute a daily VaR measure for two stock indexes (CAC40 and SP500) using the one-day-ahead forecast of the daily realized volatility. The daily realized volatility is equal to the sum of the squared intraday returns over a given day and thus uses intraday...

We introduce a new empirical methodology that takes account of liquidity risk in a Value-at-Risk framework, and quantify liquidity risk premiums for portfolios and individual stocks traded on the automated auction market Xetra which operates at various European exchanges. When constructing...

In this paper, we propose measures for characterizing the expected and unexpected cost of trading that can be applied to analyze automated electronic auction markets. Using a unique database which contains the full state of the order book for three stocks (Daimler-Chrysler, Deutsche Telekom and...

We put forward the Bond-Equity Yield Ratio (BEYR) as a criterium to dynamically allocate capital between equities and bonds on a short-term basis. Relying upon 30 years of monthly data for a large collection of countries, we use the cointegration, regime-switching and ARMA-GARCH type...

More and more trading venues throughout the world operate as open order book markets. In those exchanges, liquidity is supplied voluntarily by market participants who provide an inflow of limit buy and sell orders. Non-executed orders constitute the limit order book which consists of distinct,...

We analyze whether the liquidity provision in a pure order book market during normal market conditions (low volatility regime) differs from what is observed when the market is under stress (high volatility regime). We show that the static relationship between liquidity and volatility is...