In this paper we model Value-at-Risk (VaR) for daily asset returns using a collection of parametric univariate and multivariate models of the ARCH class based on the skewed Student distribution. We show that models that rely on a symmetric density distribution for the error term underperform...

This paper introduces the logarithmic autoregressive conditional duration (Log-ACD) model and compares it with the ACD model of Engle and Russell [1998]. The logarithmic version allows to introduce in the model additional variables without sign restrictions on their coefficients. We apply the...

This paper shows that, when the VIX or VXN indices of implied volatility increase, the S&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 mean-variance...

In this paper, we apply a collection of parametric (Normal, Normal GARCH, Student GARCH, RiskMetrics and high-frequency duration models) and non-parametric (empirical quantile, extreme distributions models) Value-at-Risk (VaR) techniques to intraday data for three stocks traded on the NewY ork...

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...

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

Since the 1990's run up in stock prices and subsequent crashes, the financial community has taken a dim view of the traditional valuation ratios and has instead turned its attention to a new valuation ratio: the Bond-Equity Yield Ratio (BEYR). In this paper we provide the first comprehensive,...

This paper introduces the logarithmic autoregressive conditional duration model (Log-ACD model). The logarithmic version allows for more flexibility than the ACD model of Engle and Russel (1995), when additional variables are included in the model. We apply the Log-ACD model to bid/ask prices...