We combine recent developments on extracting jumps from high frequency stock index data with the literature on option pricing with time varying volatility to model S&P 500 index returns from 2005. We compare the fit of several GARCH models, with and without jumps, from the historical return...

We present a common analytical framework for evolutionary and institutional economics, conceived as the study of systems that do not tend toward, nor necessarily fluctuate around, a steady state. Using an evolutionary equation, we derive an analytical theory of the relation between resource...

Low interest rate environment encourages borrowing. During inevitable downturns in business cycles, heavy borrowing makes it more vulnerable to financial crisis. Low interest rate environments also favor high fixed cost investments, which have low variable costs and hence, have more significant...

Our study examines whether CEOs working in their birthplaces curb stock price crash risk when compared to firms with nonlocal CEOs using a sample of Chinese listed firms during the period 2007-2019. Our results show that local CEOs significantly lower firms’ stock price crash risk, and the...

Mark-to-market accounting, as required by FAS No. 157, has been implicated as a contributor to the financial meltdown caused by the housing crisis and the consequent write-down of securities backed by mortgages (MBS) and collateralized debt obligations (CDO). In this paper, we investigate the...