This paper introduces an iterative method to estimate the cointegrating vectors in the error correction models. The method provides the asymptotically efficient estimators for the cointegrating vectors if iterated once or more. If it is iterated until convergence, we may obtain the maximum...

This study tests the hypotheses of information and contagion using the return series from SP500, NIKKEI225, KOSPI200, NASDAQ, JASDAQ, and KOSDAQ index. We conjecture that the information related to the present value of growth opportunities (PVGO) incur different degree of co-movement of stock...

This paper establishes an econometric model for analyzing four inter-related decisions at the time of home purchase, including tenure choice, demand for housing services, choice of mortgage instrument, and decision on the amount of borrowed funds. The modeling approach employed by the study is a...

In this paper we examine the structure of American option valuation problems and derive analytic valuation formulas under general underlying security price processes by an alternative but intuitive method. For alternative diffusion processes, we derive quot;closed formquot; analytic valuation...

This article examines the valuation of European as well as American call options when the underlying asset pays dividends during the life of the options. An alternative way to adjust option valuation formulas for dividends is proposed. For European options, this proposed alternative is compared...