We study the impact of time-varying macroeconomic conditions on optimal dynamic capital structure and the aggregate dynamics of firms in a cross-section. Our structural-equilibrium framework embeds a contingent-claim corporate financing model within a standard consumption-based asset- pricing...

The research presented in this thesis addresses different aspects of dynamic portfolio construction and portfolio risk measurement. It brings the research on dynamic portfolio optimization, replicating portfolio construction, dynamic portfolio risk measurement and volatility forecast together....

A regime-switching model for analysis of market integration has been developed that incorporates rate of trade information. An application of the methods to United States–China soybean trade demonstrates that the extended trade information allows better interpretation of market conditions....

Replaced with revised version of paper 07/29/09.

This paper produces evidence in support of the existence of common risk factors in the US andUK interest rate swap markets. Using a multivariate smooth transition autoregression (STVAR)framework, we show that the dynamics of the US and UK swap spreads are best described by aregime-switching...

This work develops asymptotically optimal dividend policies to maximize the expected present value of dividends until ruin. Compound Poisson processes with regime switching are used to model the surplus and the switching (a continuous-time controlled Markov chain) represents random environment...

Nowadays, the regime switching model has become a popular model in mathematical finance and actuarial science. The market is not complete when the model has regime switching. Thus, pricing the regime switching risk is an important issue. In Naik (1993), a jump diffusion model with two regimes is...

In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co-variances. Traditional multi-variate techniques treat the correlations between covariates as constant over time; however, this view is not supported by the data. Secondly, since...

The Great Moderation, the significant decline in the variability of economic activity, provides a most remarkable feature of the macroeconomic landscape in the last twenty years. A number of papers document the beginning of the Great Moderation in the US and the UK. In this paper, we use the...

Using panel data methodology, the determinants of capital structure in 34 Australia listed property trusts (A-REITs) are investigated for the period 2003-2008. Empirical results reveal that profitability, growth opportunity, and operational risk are negatively related to leverage while size is...