This paper was presented at the Annual Meeting of Taiwan Econometrics Society in October, 2022 in National Taiwan University, the 2022 International Conference and Annual Meeting of the Financial Engineering Association of Taiwan and the Financial Econometrics Conference to mark Stephen Taylor's Retirement in Lancaster University Management School (March 2023).
I first had this idea of state-dependent IVP when I read the following on IVP estimation:
"... The above summations are over all days t in some set S. The set S might be all days or might be some subset, for example, all Fridays or all Fridays that have a macroeconomic news release."
from Chapter 12 of Taylor (2005), Asset Price Dynamics, Volatility, and Prediction. I then presented a preliminary version of the work in the 2018 ECOSTA Conference in City University of Hong Kong. The results were basic, but the session chair (Professor Feng Chen from UNSW, Sidney) commented that it is very interesting to consider such a non-deterministic way of estimating IVP. This gave me confidence and I managed to develop the idea into a full paper with more empirical results.
The paper was then rejected by two journals in mid 2022 and early 2023, but I got the opportunity to revise the manuscript based on reviewers' comments. Indeed, I enriched and made more robust the estimation results and by the time the paper was presented in Lancaster in March 2023, it was quite complete and ready for next submission, which is to IRFA. We are happy to receive a positive outcome this time, after a minor revision is made.
This paper was first submitted to the 2022 Conference of Taiwan Wind Energy Association (TWEA) in Tainan, on Dec 9th of 2022. The first author Nguyen also made a presentation at the conference. In January 2024 the paper was recommended for publication in the Journal of Taiwan Society of Naval Architects and Marine Engineers.
This paper was first presented in the New Futures Conference held by Taiwan Futures Exchange in November, 2022. See media coverage (in Chinese) on the paper at: https://www.chinatimes.com/newspapers/20221219000280-260206?chdtv
Supervisor: James Huang
Supervisor: Stephen J. Taylor and Mark B. Shackleton