This paper uses regime-switching models of the threshold type to analyze the adjustment process of rental prices for three UK commercial real estate sectors over the period 1974 to 2008. The non-linear models outperform their linear counterparts in in-sample fit. Their out-of-sample forecasting...

This paper introduces a new information density indicator to provide a more comprehensive understanding of price reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which measures the abnormal amount of noisy “ticker”...