We consider the long-memory and leverage properties of a model for the conditional variance V of an observable stationary sequence X, where V is the square of an inhomogeneous linear combination of X, s lt; t, with square summable weights b. This model, which we call linear autoregressive...

Modern economic theory views a corporation as a complex collection of contracts between management, debtholders, and shareholders. To control risk shifting, in practice indenture provisions are frequently embedded in these contracts but are assumed away in many theoretical economic models. This...