In this paper, we compare the performance of a daily ARCH type model (which uses daily
returns) with the performance of a model based on the daily realized volatility (which uses …

For the S&P100 and NASDAQ100 indices, we show that there is a negative and statistically
significant relationship between the returns of the stock and implied volatility (VIX and VXN) …

In this paper, we focus on the trade and quote data for the IBM stock traded at the NYSE. We
present two di erent frameworks for analyzing this dataset. First, using regularly sampled …

In this paper we model Value‐at‐Risk (VaR) for daily asset returns using a collection of
parametric univariate and multivariate models of the ARCH class based on the skewed Student …

This paper introduces the logarithmic autoregressive conditional duration (Log-ACD) model
and compares it with the ACD model of Engle and Russell [1998]. The logarithmic version …

This paper takes a new look at the relation between volume and realized volatility. In
contrast to prior studies, we decompose realized volatility into two major components: a …

This paper examines the dynamics of exit options for US venture capital funds. Using a
sample of more than 20,000 investment rounds, we analyze the time to ‘IPO’, ‘trade sale’ and ‘…

We put forward Value-at-Risk models relevant for commodity traders who have long and
short trading positions in commodity markets. In a 5-year out-of-sample study on aluminium, …

We study the impact of nine categories of scheduled and unscheduled news
announcements on the euro/dollar return volatility. We highlight and analyze the pre-announcement, …

Using density forecast evaluation techniques, we compare the predictive performance of
econometric specifications that have been developed for modeling duration processes in intra-…