We examine the long-run pricing relationship among crude oil prices at the North Sea (Brent) and Cushing (WTI) delivery points. The Brent-WTI location basis differential is stable until December 2009, but it widens to record levels in the next two years. We report on recent changes in the crude...

In this paper, the impact of the accounting rule (SFAS No.8) on stock market is analyzed with a new model, which is based on the 3-factor model of Fama-French (1993), the EGARCH-type volatility of Nelson (1991) and non-Normal distribution of SSAEPD of Zhu and Zinde-Walsh (2009). Fama-French 25...

Time series evidence on exchange rates has been unable to reject the random walk hypothesis. A simple structural model that accounts for target zone nonlinearities provides conclusive evidence of mean reversion in EMS exchange rates.

Option prices seem to behave in ways inconsistent with the Black-Scholes model. Implied volatility varies with the strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify implied probability distributions that might explain this...