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The Relative Contribution of Jumps to Total Price Variance
We examine tests for jumps based on recent asymptotic results; we interpret the tests as Hausman-type tests. Monte Carlo evidence suggests that the daily ratio z-statistic has appropriate size, goodExpand
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Which Moments to Match?
We describe an intuitive, simple, and systematic approach to generating moment conditions for generalized method of moments (GMM) estimation of the parameters of a structural model. The idea is toExpand
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Finite state markov-chain approximations to univariate and vector autoregressions
The paper develops a procedure for finding a discrete-valued Markov chain whose sample paths approximate well those of a vector autoregression. The procedure has applications in those areas ofExpand
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Expected Stock Returns and Variance Risk Premia
Motivated by the implications from a stylized self-contained general equilibrium model incorporating the effects of time-varying economic uncertainty, we show that the difference between implied andExpand
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Expected Stock Returns and Variance Risk Premia
Motivated by the implications from a stylized self-contained general equilibrium model incorporating the effects of time-varying economic uncertainty, we show that the difference between implied andExpand
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THE PRICE VARIABILITY-VOLUME RELATIONSHIP ON SPECULATIVE MARKETS
This paper concerns the relationship between the variability of the daily price change and the daily volume of trading on the speculative markets. Our work extends the theory of speculative marketsExpand
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Alternative models for stock price dynamics
This paper evaluates the role of various volatility specifications, such as multiple stochastic volatility (SV) factors and jump components, in appropriate modeling of equity return distributions. WeExpand
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Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
This paper develops a discrete state space solution method for a class of nonlinear rational expectations models. The method works by using numerical quadrature rules to approximate the integralExpand
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Leverage and Volatility Feedback Effects in High-Frequency Data
We examine the relationship between volatility and past and future returns using high-frequency aggregate equity index data. Consistent with a prolonged "leverage" effect, we find the correlationsExpand
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Risk, Jumps, and Diversification
We test for price discontinuities, or jumps, in a panel of high-frequency intraday stock returns and an equiweighted index constructed from the same stocks. Using a new test for common jumps thatExpand
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