The goal of this paper is to examine the importance of permanent and transitory shocks in explaining variations in stock prices for Singapore, Taiwan, and South Korea using a trend-cycle decomposition technique. This study is novel in that in measuring the impact of shocks we not only impose...

We propose an approach to the estimation of the parameters of stochastic discount factor (SDF) models which is based on the idea that the next period joint distribution of the variables in a SDF and asset returns can be well approximated by their joint historical distribution. The estimates of...

Turbo warrants have experienced huge growth since they first appeared in late 2001. In some European countries, buying and selling turbo warrants constitutes 50% of all derivative trading nowadays. In Asia, the Hong Kong Exchange and Clearing Limited (HKEx) introduced the callable bull/bear...

Conventional time series analysis, focusing exclusively on a time series at a given scale, lacks the ability to explain the nature of the data-generating process. A process equation that successfully explains daily price changes, for example, is unable to characterize the nature of hourly price...

A new approach is proposed for analysing portfolio allocation over various time scales. This new approach is based on wavelet analysis, which decomposes a given time series on a scale-by-scale basis. Empirical results indicate that, as the investment horizon lengthens, a greater weighting should...

Brockman and Turtle [J. Finan. Econ., 2003, 67, 511-529] develop a barrier option framework to show that default barriers are significantly positive. Most implied barriers are typically larger than the book value of corporate liabilities. We show theoretically and empirically that this result is...

While incorporating the Markov-switching (MS) mechanism, this work establishes a hybrid model with endogenous and time-varying loading in each economic model and time-series approach. The empirical data include the monthly exchange rates between the U.S. dollar and the currency of four mature...

In this paper we propose a stochastic formulation of the materials balance condition which imposes physical constraints on production technologies. The estimation of the model involves a composed error term structure that is commonly applied in the literature on stochastic frontier analysis of...

I examine the contribution of institutional breakdowns to long-run development, drawing on Argentina's unique departure from a rich country on the eve of World War I to an underdeveloped one today. The empirical strategy is based on building a counterfactual scenario to examine the path of...