2. Copulas .........................................................................................................................................................3 3. Parametric and Semi-Parametric Copulas ..............................................................................................4 3.1. Archimedean Copulas ........................................................................................................................5

idiosyncratic volatility is a better proxy for expected idiosyncratic risk in the country-level data than in the firm-level data. Second, unlike the firm-specific idiosyncratic skewness, the country-specific idiosyncratic skewness is not significant enough to play a role in determining index returns. Finally

We document new patterns in the dynamics between stock returns and trad-ing volume. Speci¢cally, we ¢nd substantial momentum (reversals) in conse-cutive weekly returns when the latter week has unexpectedly high (low) turnover. This pattern is evident in equity indices, index futures, and indivi

In this paper we propose a continuous time model capable of describing the dynamics of futures equity index returns at different time frequencies. Unlike several related works in the literature, we avoid specifying a model a priori and we attempt, instead, to infer it from the analysis of a data

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Restrictions that a class of general equilibrium models place upon the average returns of equity and Treasury bills are found to be strongly violated by the U.S. data in the 1889-1978 period. This result is robust to model specification and measurement problems. We conclude that, most likely

This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time-varying intensity. We find that any reasonably descriptive continuous-time model for equity-index returns must allow for discrete jumps as well as stochastic volatility with a

This paper identities five common risk factors in the returns on stocks and bonds. There are three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity. There are two bond-market factors. related to maturity and default risks. Stock returns have

A new method for automatic indexing and retrieval is described. The approach is to take advantage of implicit higher-order structure in the association of terms with documents (“semantic structure”) in order to improve the detection of relevant documents on the basis of terms found in queries

We analyze the empirical power and specification of test statistics in event studies designed to detect long-run (one- to five-year) abnormal stock returns. We document that test statistics based on abnormal returns calculated using a reference portfolio, such as a market index, are misspecified