The Long-Term Capital Management (LTCM) debacle of 1998 created serious problems for a number of major financial institutions worldwide. The fund was run by some of the most illustrious scholars in economics and finance. Before 1998, stellar returns kept the investors happy and not questioning...

Mortgage refinancing activity reached unprecedented high levels during 1990-2001. Using GARCH to control for heteroskedasticity and separating the data into regimes to control for potential structural changes over time, we estimate a model explaining changes in mortgage refinancing activity over...

This study examined the level of interdependecies which existed among several major equity markets around the October 19, 1987, crash. Three different statistical techniques were utilized to analyze daily data for three months before and after the crash. All three techniques revealed that the...

This study examines the returns and the long-memory properties of the return volatilities of four metals – copper, gold, platinum, and silver. Daily returns for the January 4, 1999 to March 10, 2009 period are used. Three key issues are addressed: (1) whether the volatility processes exhibit...

This study examines the interrelationships between yields on the U.S. and several foreign market portfolios over the 1980-89 period. Tests of Granger causality are used to investigate the effects of uni-directional causality, bi-directional causality, and contemporaneous adjustment in the...

In this study, the impact of volatility regime shifts on volatility persistence and hedge ratio estimation is determined for four major currencies using an iterated cumulative sums of squares (ICSS)-GARCH model. Employing a standard GARCH (1,1) model as the benchmark, within-sample results...

This study examines the effects of the Argentinean debt rescheduling announcement on the equity return levels of several large U.S. commercial banks. The empirical evidence suggests that the equity prices of sample banks immediately reflected the relevant information associated with the...

This study examines the durations of US stock market cycle expansions and contractions for the presence of seasonality. Specifically, it is determined whether the distributional characteristics (i.e., location and dispersion) of the durations of market expansions and contractions are dependent...