This paper sets out to estimate the dynamic relationship that exists between the prices of ADRs and their underlying stocks, in both the short run and the long run, using a number of recent developments of the threshold cointegration framework. The empirical results support the notion of...

This study proposes a Dynamic Option Simulation (DOS) approach to evaluate natural resource investment projects that contain several embedded options and limited reserves. To construct a practical pricing model, DOS combines simulation and dynamic programming techniques that can value natural...

A second-moment, regime-switching model with not only a switching intercept and a switching slope, but also a switching error variance, is applied to examine the impacts of exchange rate volatility (ERV) on corporate values (CV) for the 10 industries investigated in Taiwan. Two different regimes...