This paper examines whether links between inside and outside directors have an impact on CEO compensation. Using a comprehensive sample of 22,074 directors for 3,114 firms, we develop a measure of the quot;back doorquot; distance between each pair of directors on a company's board. Specifically,...

In this paper, we develop econometric models and apply both OLS and TSLS methods to test the hypothesis that students rate their professors primarily based upon their midterm grades. Our findings reveal that students' midterm grades are positively and significantly related to professors' overall...

In this paper is examined and presented an alternative method in time-series analysis and forecasting. In the specific project is being a concentration of certain ideas that I had as a student in the third and fourth year of my undergraduate studies in the Economic Science, as I had the unique...

This paper is about how to estimate the integrated covariance lt;X, Ygt;_T of two price processes over a fixed time horizon [0, T], when the observations about X and Y are contaminated and when such noisy observations are at discrete, but not synchronized, times. We show that the usual...

The poor performance of traditional asset classes in recent years has driven the search for greater investment into alternative asset classes. The desire to reap higher risk adjusted returns from diversification into assets which offer low and even negative correlation with equities and bonds...

The first result of this paper is a method to construct multivariate copulas based on bivariate copulas. This method is a generalization of the Darsow-Nguyen-Olsen product of copulas and allows a straightforward generation of copula families. Using this method, and this is the second result of...

The Chicago Board Options Exchange (CBOE) Volatility Index, VIX, is calculated based on prices of out-of-the-money put and call options on the Samp;P 500 index (SPX). Sometimes called the investor fear gauge, the VIX is a measure of the implied volatility of the SPX, and is observed to be...

We develop a quantitative model to select hedge funds in the long-short equity sector. The selection strategy is verified on a survivorship-bias-free hedge fund database, from January 1990 to September 2002. We focus on the hedge funds acting exclusively in the U.S. market. We identify...

Our research studies various properties of commodity trading advisors (CTAs) from a quantitative point of view. Our investigation is based on a commercial database of 549 funds and focuses on the period 1990 to present. Firstly, CTAs' return distributions are analyzed and strong evidence of...

The article investigates the use of adaptive learning algorithms in constructing dynamic portfolios replicating the return characteristics of a given hedge fund. The emphasis is on out of sample conditional predictive capabilites as necessary to serve as a valuable risk management tool, rather...