Despite widespread media interest in bull and bear markets, academic research that seeks to formally define bull markets is almost non-existent. This paper defines bull and bear markets in relation to a simple model of mean return regimes, and implements the definition using two formal turning...

There are two issues that are of central importance in term structure analysis. One is the modeling and estimation of the current term structure of spot rates. The second is the modeling and estimation of the dynamics of the term structure. These two issues have been addressed independently in...

In this paper we provide a new multi-factor stochastic model of commodity futures prices and propose a Kalman filter estimation procedure that may be applied to a panel data with missing observations. This model may be used to implement financial engineering applications which require the...

This paper studies the ability of an N-factor Gaussian model to explain the stochastic behavior of oil futures prices when estimated using all available price information, as opposed to traditional approaches of aggregating data for a set of maturities. A Kalman filter estimation procedure that...

There are many proxies for the short-term interest rate that are used in asset pricing. Yet, they behave differently, especially in periods of economic stress. Derivatives markets offer a unique laboratory to extract a short-term borrowing and lending rate available to all investors that is...