This thesis focuses on two topics in financial risk management: optimal hedge ratios and portfolio value-at-risk (VaR). The empirical analysis is based on the daily return series for the Taiwan stock market index and two associated futures contracts. The sample period for the daily data covers...

This paper introduces a new class of estimators based on minimization of the Cressie-Read (CR) power divergence measure for binary choice models, where neither a parameterized distribution nor a parameterization of the mean is specified explicitly in the statistical model. By incorporating...

The idea that individuals adapt their behaviors in response to changes in incentive systems is fundamental to most economic analysis. This paper incorporates the concept of price discovery costs into the incentive theory to offer a theoretical model and empirical evidence on thedifferential...

As an emerging innovation paradigm gaining momentum in recent years, the open innovation paradigm is calling for greater theoretical depth and more empirical research. This dissertation proposes that open innovation in the context of open source software sponsorship may be viewed as knowledge...

The current evidence on the empirical relationship between asset returns, trading volume, and open interest in futures markets is largely inconclusive, and the literature on the theoretical and empirical links between return volatility and volume and open interest are even more limited. The...