This paper tests the policitcal dimensions of the presidential cycle effect in U.S. financial markets. The presidential cycle effect states that average stock market returns are significantly higher in the last two years compared to the first two years of a presidential term. We confirm the...

This paper tests the policitcal dimensions of the presidential cycle effect in U.S. financial markets. The presidential cycle effect states that average stock market returns are significantly higher in the last two years compared to the first two years of a presidential term. We confirm the...

Asset liability management (ALM) is an important and challenging problem for institutional investors and financial intermediaries. The requirement to fulfill its liablilities constrains the institutional investor in its asset allocation possiblilites. We formulate an ALM model for pension funds...

In this paper we consider empirical econometric models for nine brands of fast-moving nondurable consumer product using weekly observed scanning data on market share and distribution conditional on advertising, price, and promotion activities. Since the data show nonstationary characteristics,...

Regime-switching models, like the smooth transition autoregressive (STAR) model are typically applied to time series of moderate length. Hence, the nonlinear features which these models intend to describe may be reflected in only a few observations. Conversely, neglected outliers in a linear...

In this paper we investigate the properties of the Lagrange Multiplier (LM) test for autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliers (AO's). We show analytically that both the asymptotic size and power are adversely affected...

In this paper we investigate the properties of the Lagrange Multiplier (LM) test for autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliners (AO's). We show analytically that both the asymptotic size and power are adversely...

In this paper we consider empirical econometric models for nine brands of a fast-moving nondurable consumer product using weekly observed scanning data on market share and distribution conditional on advertising, price, promotion activities. Since the data show nonstationary characteristics, we...

The problem studied is that of hedging a portfolio of options in discrete time where underlying security prices are driven by a combination of idiosyncratic and systematic risk factors. It is shown that despite the market incompleteness introduced by the discrete time assumption, large...