Most discrete time literature uses the beta that results from a regression of an asset's simple returns on various factors to quantify risk. The departing point for this thesis is the consistent use of log-returns. When log-returns are considered, the relevant measure of systematic risk becomes...

Technical analysis is a category of securities trading that utilizes mathematical formulas in order to signal buying and selling points. This paper will evaluate the profitability of various technical methods over a five-year period starting January 1, 2003, with securities in the Dow Jones...

The purpose of this thesis is to examine recent behavior of the Japanese stock market from 1975 through 1995. The goal of this study is to provide insight into the particular behaviors observed and document possible explanations in light of the work presented. Specific contributions are listed...

A traditional model for financial asset prices is that of a solution of a stochastic differential equation, driven by Brownian motion and Lebesgue measure; that is, a standard diffusion. The classic Black-Scholes model is a special case of this rubric. In some situations, however, such a model is...

The importance of skewness and kurtosis in the return generating process is assessed by examining the out-of-sample forecasting power of three different Exponential GARCH models that assume the conditional errors are generated by a normal distribution, a generalized error distribution, and a...