Historical data of system prices and traded quantities of electricity over the 48 half-hour intra-daily intervals in the Japan Electric Power Exchange are analyzed. Viewed as a panel dataset of the 48 dierent commodities in 7 dierent markets (days of a week) or 336 dierent contracts over 288...

The logical gap in the proof of non-stationary mixingale invariance principle by McLeish (1977) is identied and fixed by a skipped sub-sampling of a partial sum process in the continuous time. The corrected proof also delivers some extensions of the previous invariance principle and several...

An option-theoretic model of suicide in the continuous time framework is proposed. Given completeness of the financial market and the associated contingent claim argument, the value of human capital consistent with the no-arbitrage principle is determined as the expected, discounted, present...

Historical data of system prices over 48 half-hour intra-daily intervals in the Japan Electric Power Exchange (JEPX) are analyzed. Given theoretical and graphical preliminary analysis, we extract measures of the spread between the efficient price and actual transaction price for each month from...

We find a negative cross-sectional relation between heterogeneous beliefs and future stock returns in China, where short sale is prohibited in our sample period. Compared to other empirical works, which often be done in a market without short sale prohibition, we obtain this strong negative...