Generalized autoregressive conditional heteroskedasticity (GARCH) option pricing models (OPM) with historical volatility have proven superior to the log-normality assumption of the Black option pricing model with historical volatility. This paper estimates implied volatilities from GARCH OPM....

This study uses a Cox-type non-nested test. The test is obtained using Monte Carlo hypothesis tests with the log likelihood ratio as the test statistic. Monte Carlo methods are used to obtain the probability of a larger value of the test statistic under the null hypothesis. The approach used...

A neural network trading model is developed for hard red winter wheat and Deutsche Mark futures markets. The inputs to the neural network are lagged prices. The results are generally unfavourable. The neural network does not produce statistically significant profits.

Which of two distributions, the diffusion-jump process or the generalized beta-2 distribution, is superior in approximating the actual distribution of futures prices? The parameters of the distributions were estimated using the futures prices of four highly diverse commodities: British pound,...

An educational production function is estimated using achievement test scores to proxy school output, with socio-economic characteristics and expenditures in various categories as inputs. The data are school district level expenditures. Unlike most past research, a correction is made for the...