https://www.erfin.org/journal/index.php/erfin <p>The journal publishes empirical studies in finance and economics. See our <a href="/journal/index.php/erfin/about/editorialPolicies#focusAndScope" target="_self">Focus and Scope</a>.</p> en-US editor@erfin.org (Dobromił Serwa) office@erfin.org (Editorial Office) Tue, 28 May 2024 10:09:32 +0200 OJS 3.1.1.4 http://blogs.law.harvard.edu/tech/rss 60 https://www.erfin.org/journal/index.php/erfin/article/view/192 <p>It is common for a corporate bond to include a call provision that gives the issuing company an option to call, or redeem, the bond at some prespecified set of call prices before the stated maturity date. Since the option is embedded in the bond, it is not traded publicly and thus its value is unknown to bondholders. This study is aimed to price these embedded options and their related bonds, both callable and noncallable, using the binomial method such that the method is set up to approximate the evolution of the short rate. Using reasonable values for the relevant factors and parameters, our results show that the prices of the options and the two types of bonds are noticeably affected by such factors and parameters as the maturity of the bonds, the coupon, the call price, the volatility of the short rate, and the initial short rate.</p> Qi Liu ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 https://www.erfin.org/journal/index.php/erfin/article/view/192 Sun, 31 Dec 2023 00:00:00 +0100 https://www.erfin.org/journal/index.php/erfin/article/view/198 <p>This paper advances high-frequency foreign exchange (FX) market microstructure analysis by adapting Autoregressive Conditional Duration (ACD) models to study intervals between price updates. By treating these updates as random variables within a point process, the models adeptly capture the dynamic structure of conditional durations and retain key information in high-frequency series. These series display properties critical for understanding market behavior and liquidity dynamics. The findings challenge the belief that increased data frequency reduces microstructural relevance, showing it actually improves understanding of market dynamics. This study broadens econometric model applications and offers updated insights into FX market behavior, providing practical information for academics, practitioners, and policymakers. It contributes significantly to the literature and lays a foundation for future research.</p> Jorge Esteban Hernández ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 https://www.erfin.org/journal/index.php/erfin/article/view/198 Sun, 31 Dec 2023 00:00:00 +0100