This paper examines the daily volatility of changes in the 10-year Treasury note utilizing the iterated cumulative sums of squares algorithm [C. Inclan, G. Tiao, Use of cumulative sums of squares for retrospective detection of changes of variance, J. Am. Stat. Assoc. 89 (1994) 913–923]. The...

This paper examines the daily volatility of changes in yield on the 10-year Treasury note utilizing the iterated cumulative sums of squares algorithm (Inclan and Tiao, 1994). The ICSS algorithm can detect regime shifts in the volatility of the interest rate changes. A general model allows for...

This research uses an event study methodology to examine the effect of Hurricane Floyd on the market value of insurance firms in 1999. The research is unique in that information describing the development of the storm over time and space is incorporated in order to determine how the financial...