Few proposed types of derivative securities have attracted as much attention and interest as option contracts on volatility. Grunbichler and Longstaff (1996) is the only study that proposes a model to value options written on a volatility index. Their model, which is based on modeling volatility...

In this paper we derive a joint continuous/censored demand system suitable for the analysis of commodity demand relationships using panel data. Unobserved heterogeneity is controlled for using a correlated random effects specification and a Generalized Method of Moments framework used to...

This study attempts to reconcile divergent results between two previous studies of CRJprice affects for supermarkets. A more complete data set from Kaufman and Handy is used in an earlier model by Marion et al. to determine if the differences are attributable to (1) model specifications, (2)...