The recent paper by Ling and Tong (2005) considered a quasi-likelihood ratio test for the threshold in moving average models with errors. This article generalizes their results to the case with GARCH errors, and a new quasi-likelihood ratio test is derived. The generalization is not direct since...

This paper investigates the potential and the feasibility of offshore wind energy for Hong Kong. The 1998 wind data taken from an island were analysed. The wind resource yields an annual mean wind speed of 6.6 m/s and mean wind power density of 310 W/m2. With commercially available 1.65 MW wind...

We use data on signed option volume to study which components of option volume predict stock returns and resolve the seemingly inconsistent results in the literature. We find no evidence that trades related to synthetic short positions in the underlying stocks contain more information than...

This study examines the informational content of options trading on acquirer announcement returns. We show that implied volatility spread predicts positively on the cumulative abnormal return (CAR), and implied volatility skew predicts negatively on the CAR. The predictability is much stronger...