This paper presents a methodology for estimating a family of credit spread term structures in a market with few transactions. The authors propose partitioning the market into risk classes and modeling credit spread term structures for each risk class using a multifactor Vasicek model with some...

We present a simple methodology that integrates commodity and asset pricing models. Given current evidence on the financialization of commodity markets, valuable information about commodity risk premiums can be extracted from asset pricing models and used to substantially improve the estimates...

There are two issues that are of central importance in term structure analysis. One is the modeling and estimation of the current term structure of spot rates. The second is the modeling and estimation of the dynamics of the term structure. These two issues have been addressed independently in...

The paper presents a model that determines when (at which output price level) it is optimum for a firm to invest in environmental technologies and which are the main parameters that affect this decision. Our analysis shows that firms require high output price levels to be induced to invest in...

There are two issues that are of central importance in term-structure analysis. One is the modelling and estimation of the current term structure of spot rates. The second is the modelling and estimation of the dynamics of the term structure. These two issues have been addressed independently in...

Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the...

This article extends the option approach to valuing real assets by modeling the firm as a two-stage process with bounded output rates, in which the output of the first stage may be held as work-in-process. In this setting, the real asset becomes a compound option, which, if exercised, gives the...

This paper deals with the issue of calculating daily Value-at-Risk (VaR) measures within an environment of thin trading. Our approach focuses on fixed income portfolios with low frequency of transactions in which the missing data problem makes VaR measures difficult to calculate. We propose and...