This paper examines the intra-day behavior of asset prices shortly before and after large price changes. Whereas similar studies so far have been based on daily closing prices, I use three years of high frequency data of 120 stocks listed on the French stock exchange. Various systematic...

This paper reviews some recent developments in the area of optimal international portfolio diversification and investigates important issues for future research. In the latest models proposed in the financial literature that generate optimal holdings over time, both the quantities of risks...

The importance of a time-varying specification for both the return and the risk of financial assets is well known. The purpose of this study is to investigate if some of the most recently developed econometric models, combined with technical indicators often used by practitioners, can...