This paper investigates a two-factor affine model for the credit spreads on corporate bonds. The first factor can be interpreted as the level of the spread, and the second factor is the volatility of the spread. The riskless interest rate is modeled using a standard two-factor affine model, thus...

This paper examines the predictive power of weather for electricity prices in day-ahead markets in real time. We find that next-day weather forecasts improve the forecast accuracy of Scandinavian day-ahead electricity prices substantially in terms of point forecasts, suggesting that weather...

We identify the benefits and costs of financial openness in terms of currency crises based on a novel quantification of the systemic impact of currency (financial) crises. We find that systemic currency crises mainly exist regionally, and that financial openness helps diminish the probability of...

This paper applies the stochastic Translog input distance function and stochastic frontier analysis (SFA) method to evaluate the operational efficiency of farm lenders in the commercial banking industry and the Farm Credit System (FCS). This paper uses the late 2000s recession as a backdrop for...

Purpose – The late 2000s Great Recession led to a surge of bank failures in the USA with nearly 300 banks failing from 2009 to 2010. Recalling the farm crises of the 1980s where the farm sector was pinpointed as one of the major precursors of such crises, this study is an attempt to validate...

Purpose – The purpose of this paper is to derive semi-closed-form solutions to a wide variety of interest rate derivatives prices under stochastic volatility in affine-term structure models. Design/methodology/approach –The paper first derives the Frobenius series solution to the...

Stochastic frontier analysis is used to evaluate the technical and allocative efficiencies for banks classified based on industry specialization (agricultural and non-agricultural banks) and solvency condition (non-critical and critical banks). The analytical framework allows for comparisons of...

This study is designed to analyze bank failures from the technical efficiency standpoint under a stochastic cost frontier framework and evaluate the reliability of the technical efficiency measure as a determinant of the financial health of banks and probability to succeed or fail at the height...