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 Table III we present complete VaR results (ie P-values for the Kupiec LR test) for the
NASDAQ and NIKKEI stock indexes.16 In Table IV we give summary results for the six series. …

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 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 ‘…

… Because daily returns are known to exhibit some serial autocorrelation, 9 we fit an AR(p)
structure on the r t series for all specifications:(1) r t =ρ 0 +ρ 1 r t−1 +⋯+ρ p r t−p +e t . We now …

… β mv t − 1 + ∑ p = 1 4 ( δ c , p cos x t , p + δ s , p sin x t , p ) + ∑ j = 1 9 η j z t , j + α ε t − 1 +
ε t , t = 1 , … , 1415 . The variable x t , p in the FFF is defined by:(5) x t , p = 2 π p n k N k for n k …

… Second, every average p-value for the number of trades remains smaller than 5% while
only one single average p-value for the order imbalance is smaller than 10%. Third, only one …

… At first sight, testing whether this is true appears difficult because p i (x i ∣*… ) p(n i )= n n i p
n i (1−p) n−n i where n is the sample size, n i is the number of observations in the ith bin, and p…

In this paper, market risk at an intraday time horizon is quantified using normal GARCH,
Student GARCH, RiskMetrics and high-frequency duration (log-ACD) models set in the …