Traditional methods for analyzing portfolio returns often rely on multifactor risk assessment, and tests of significance are typically based on variants of the t-test.  This approach has serious limitations when analyzing the returns from dynamically traded portfolios that include derivative...

This paper develops and estimates a dynamic arbitrage-free model for the current forward curve as the sum of (i) an unconditional component, (ii) a maturity-specifc component and (iii) a date-specifc component.

This book provides a set of case studies that can supplement any business statistics text. Developed at the Wharton School at the University of Pennsylvania, it is used for the beginning statistics course for MBA students. The casebook provides the latest in data analysis techniques, and...

Interconnections among financial institutions create potential channels for contagion and amplification of shocks to the financial system.  We propose precise definitions of these concepts and analyze their magnitude.  Contagion occurs when a shock to the assets of a single firm causes other...

The diffusion of an innovation can be represented by a process in which agents choose perturbed best responses to what their neighbors are currently doing.  Diffusion is said to be fast if the expected waiting time until the innovation spreads widely is bounded above independently of the size...