The analysis undertaken in this research is a first attempt to comprehensively model all four Samp;P500 markets simultaneously. Synchronously sampled half-hourly observations are generated from transaction data for these four financial assets. Special classes of Simultaneous Volatility (SVL)...

The process of pairs trading involves exhaustively matching and ranking pairwise stocks based on some prespecified measure of closeness; e.g., correlation, cointegration, sum-of-squared price difference. Pairs trading is popular for various reasons. It is simple to follow and execute. The...

We investigate cross-market trading dynamics in futures contracts written on seemingly unrelated commodities that are consumed by a common industry. On the Tokyo Commodity Exchange, we find such evidence in natural rubber (NR), palladium (PA) and gasoline (GA) futures markets. The automobile...

No abstract received.

type="main" xml:id="acfi12022-abs-0001" xml:lang="en" <title type="main">Abstract</title> <p>We examine whether systematic higher moments capture beta asymmetry in an asset pricing model whereby the conditional beta of a risky asset increases (decreases) during a bear (bull) market state. We first provide a simple conceptual...</p>