Proposed by M. Stutzer (1996), canonical valuation is a new method for valuing derivative securities under the risk-neutral framework. It is non-parametric, simple to apply, and, unlike many alternative approaches, does not require any option data. Although canonical valuation has great...

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for...

Lettau and Ludvigson [Lettau, M., Ludvigson, S, 2001. Consumption, aggregate wealth and expected stock returns. Journal of Finance 56, 815849] argue that fluctuations from the equilibrium ratio of consumption to wealth (cy) reflect changing expectations of asset returns and document significant...

This paper examines evidence of predictability in Australian equities using both statistical and economic metrics of significance. A probit-based predictive model is used to forecast the probability that the 1 month ahead excess market return will be positive. Funds under management are then...

An extensive literature examines the dynamics of interest rates, with particular attention given to the positive relationship between interest-rate volatility and the level of interest rates-the so-called level effect. This paper examines the interaction between the estimated level effect and...

An extensive literature examines the dynamics of interest rates, with particular attention given to the positive relationship between interest-rate volatility and the level of interest rates?the so-called level effect. This paper examines the interaction between the estimated level effect and...

The goals of multilateral trade negotiations under the auspices of the General Agreement on Tariffs and Trade (the GATT) have been developed in the context of the orthodox theory of commercial policy. An analysis is offered that shows why the GATT ideal may not be a flexible medium-term goal...

A hegemon-by-committee, or a group of nations playing the role of a dominant financial power, is necessary for the international financial system to withstand crises arising from drastic shifts of funds among national currencies, accompanied by large movements of exchange rates. These wide...