This study proposes a new approach to the specification of the volatility process for the USD-DEM spot exchange rate. This new specification incorporates long-term asymmetric effects. Although asymmetry in the volatility process is well-documented, existing models have typically modelled the...

The maturity effect is re-examined using the S&P 500 futures contract. A model is estimated in which daily volatility, measured on the basis on intraday data, is determined by its previous value and the number of days remaining to maturity. The estimation results do not support the maturity...

The relation between market risk and asset returns can be modelled with the Security Market Line (SML), a positive linear relation between expected excess asset returns and the asset's β. Pettengill et al. (1995) make the case that tests of β must be conditioned upon excess market returns to...