Levy processes form a wide and rich class of random process, and have many applications ranging from physics to finance Stochastic calculus is the mathematics of systems interacting with random noise Here, the author ties these two subjects together, beginning with an introduction to the general theory of Levy processes, then leading on to develop the stochastic calculus for Levy processes in a direct and accessible way This fully revised edition now features a number of new topics These include: regular variation and subexponential distributions; necessary and sufficient conditions for Levy processes to have finite moments; characterisation of Levy processes with finite variation; Kunita's estimates for moments of Levy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general Levy processes; multiple Wiener-Levy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for Levy-driven SDEs

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Lévy Processes and Stochastic Calculus

In this article we propose a variance estimator for the OLS estimator as well as for nonlinear estimators such as logit, probit, and GMM. This variance estimator enables cluster-robust inference when there is two-way or multiway clustering that is nonnested. The variance estimator extends the standard cluster-robust variance estimator or sandwich estimator for one-way clustering (e.g., Liang and Zeger 1986; Arellano 1987) and relies on similar relatively weak distributional assumptions. Our method is easily implemented in statistical packages, such as Stata and SAS, that already offer cluster-robust standard errors when there is one-way clustering. The method is demonstrated by a Monte Carlo analysis for a two-way random effects model; a Monte Carlo analysis of a placebo law that extends the state–year effects example of Bertrand, Duflo, and Mullainathan (2004) to two dimensions; and by application to studies in the empirical literature where two-way clustering is present.

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Robust Inference with Multi-way Clustering

Earnings Management and Investor Protection: An International Comparison

http://www.long-memory.com/volatility/Baillie1996.pdf

Long memory processes and fractional integration in econometrics

https://www.coris.uniroma1.it/sites/default/files/12.08.39_Event%20Toursm%20_GETZ.pdf

Event tourism: Definition, evolution, and research

Asymmetric volatility transmission in international stock markets

The relation between theorized components of the bid-ask spread and trade size for a sample of NYSE firms is examined. We find that the adverse selection component increases uniformly with trade size. Conversely, order processing costs decrease with increases in trade size for all but the largest trades. We find that order persistence decreases with trade size. The adverse selection component is highest at the beginning of the day and lowest at the end of the day for all but the largest trades. Trades of NYSE firms executed on regional exchanges or NASDAQ contain a large order processing cost component but no significant adverse information effect. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.

Trade Size and Components of the Bid-Ask Spread

Price discovery and common factor models

New evidence is provided on price and volatility spillovers among the Danish, Norwegian, Swedish, and Finnish stock markets. The impact of good news (market advances) and bad news (market retreats) is described by a multivariate Exponential Generalized Autoregressive Conditionally Heteroskedastic (EGARCH) model. Volatility transmission is asymmetric, spillovers being more pronounced for bad than good news. Significant price and volatility spillovers exist but they are few in number.

Price and volatility spillovers in Scandinavian stock markets

This article examines the intraday price discovery process among stock index, index futures, and index options in Germany using DAX index securities and intraday transactions data. The three index securities contribute to a common factor, but the spot index and index futures have substantially larger information shares than index options. Moreover, the returns of the three index securities exhibit feedback effects, with futures being dominant. Because the trading costs of the futures appear to be the lowest of the three and those of the options to be the highest, the results are consistent with the transaction cost hypothesis. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 619–643, 1999

G. Geoffrey Booth

Papers

Asymmetric volatility transmission in international stock markets

Trade Size and Components of the Bid-Ask Spread

Price discovery and common factor models

Price and volatility spillovers in Scandinavian stock markets

Price discovery in the German equity index derivatives markets