The paper examines empirical returns from holding thirty- and ninety-day call and put positions,and the forecasting performance of implied volatility in the live and feeder cattle optionsmarkets. In both markets, implied volatility is an upwardly biased and inefficient predictor ofrealized...

Economists and others need estimates of future cash price volatility to use in risk management evaluation and education programs. This paper evaluates the performance of alternative volatility forecasts for fed cattle, feeder cattle, and corn cash price returns. Forecasts include time series...

The research analyzes aspects of the spot forex intraday trading and the existing models based on macro fundamentals or describing market microstructure. Most of analysis is done on high frequency data, over an extensive period and on 70 currency pairs. A hybrid model based on microstructure...

In areas from medicine to climate change to economics, we are faced with huge challenges and a need for accurate forecasts, yet our ability to predict the future has been found wanting. The basic problem is that complex systems such as the atmosphere or the economy cannot be reduced to simple...

Extract: As the Heckscher-Ohlin-Mundell paradigm predicts, in a world where capital markets are perfect and production exhibits constant-returns to scale, while aggregate wealth endowments can be an important source of comparative advantage, their internal distribution does not matter for the...

This interview concerns doing business in China given the rapid changes and industrial development of that country. This report is based on an interview with Robert T. Martin, Managing Director & Regional Executive of BMO Bank of Montreal in June, 2005. Recent federal government financial reform...

This paper examines Robert E. Lucas's views on the relationship of macroeconomics to real world economic phenomena, and on Keynes's place in its history, suggesting that these stem from a particular and debatable understanding of how the subdiscipline has evolved. It considers some implications...

This research investigated the critical success factors for the establishment of a pan-African securities exchange. Interviews with participants from the financial markets from around Africa enabled 16 critical success factors to be identified. These were then categorised into three...

Financial market and its various components are currently in turmoil. Many largecorporations are devising new ways to overcome the current market instability.Consequently, any study fostering the understanding of financial markets and thedependencies of various market components would greatly...

This research aims to detect and measure earnings management using a newly modified version of the standard Jones model (Jones, 1991). The standard model is extended to include a measure of discretionary accruals as an additional regressor instead of using the residuals. The variable used to...