viii Tables

2.8
3.1
4.1
4.2
4.3
4.4
4.5
4.6
4.7
4.8
4.9
4.10
4.11
4.12
4.13
4.14
5.1
5.2
5.3
5.4
5.5
6.1
6.2
6.3
6.4
6.5

7.1
7.2
7.3
7.4
7.5

Hazard rates of arrival and cancellation for limit orders at

one tick away from the best ask quotes
Foreign exchange turnover
Number of data used divided per day of the week
SP500 ACD models estimation results
SP500 ACD models residuals tests
NASDAQ100 ACD models estimation results
NASDAQ100 ACD models residuals tests
Z-statistic test estimated with ACD models residuals
SP500 UHFGARCH models estimation results
(Models A, B, C, D)
SP500 UHFGARCH models residuals tests
NASDAQ100 UHFGARCH models estimation results
(Models A, B, C, D)
10 NASDAQ100 UHFGARCH models residuals tests
SP500 ordered probit estimation results
NASDAQ100 ordered probit estimation results
Generalized residuals tests
jth order score statistic tests
Parameter and brief statistics
Risk premium results
OLS regression for collinearity
Granger causality test for risk aversion predicting
output shocks
Volatility of Australian market portfolio
Test of multivariate normality of asymmetric response
model residuals
Test of serial independence of asymmetric
response model residuals
Multivariate tests of zero-beta CAPM
Multivariate tests of lower partial moment CAPM
Multivariate tests of the null hypothesis of the black
CAPM against the alternative of the lower partial
moment model
Dow Jones industrial 30 stocks used in the study
FamaFrench risk coefcients from OLS
FamaFrench risk coefcients from quantile regression
(0.05)
FamaFrench risk coefcients from quantile regression
(0.95)
Two-sample t-test for the tted lower tail values

61
67
110
114
115
116
117
117
119
120
121
122
126
127
128
128
146
148
148
151
151
167
167
168
169

170
181
182
183
184
190

Greg N. Gregoriou and Razvan Pascalau

GREGORIOU-2: FM 2010/11/26 15:18 PAGE viii #8