This study intends to determine the farm-retail price transmission behaviors of pork in Malaysia to serve as a good implication for pork pricing system in Malaysia. Using data from January 1997 to December 2008, both the Houck and ECM approaches were found symmetric where a change in farm price...

This empirical study proposes a dependency analysis of monthly financial time series. We use the overlapping technique and non-parametric correlation in order to increase both accuracy and consistency. Copulas are used to test extreme co-movements between financial securities. Our results...

In this paper we develop an approach to valuation of a multiple names security portfolio. The goal of the paper to present pricing and calculation of the risk characteristics of the corporate debt based on randomization of the historical data of portfolio assets. Our approach close but it does...