We propose a procedure for estimating the critical values of the Klecan, McFadden, and McFadden (1990) test for first and second order stochastic dominance in the general k-prospect case. Our method is based on subsampling bootstrap. We show that the resulting test is consistent. We allow for...

We study the dynamics of the spread between US corporate and Treasury bonds. We focus on Aaa and Baa corporate yield indices and estimate nonparametrically the dynamics of the spreads assuming that they follow a univariate diffusion process. Using technique developed for interest rate processes...

Traditional empirical strategies for studying convergence - more generally, the dynamics and determinants of economic growth, can be misleading if important, underlying permanent or growth components are stochastically time-varying. This paper documents the degree to which this instability...

This paper surveys asset allocation methods that extend the traditional approach. An important feature of the the traditional approach is that measures the risk and return tradeoff in terms of mean and variance of final wealth. However, there are also other important features that are not always...

Recent imperfect capital market theories predict the presence of asymmetries in the variation of small and large firms risk over the economic cycle. Small firms with little collateral should be more strongly affected by tighter credit market conditions in a recession state than large, better...

In this paper we present a model of the development of the term structure of defaultable interest rates that is based on a multiple-defaults model. Instead of modelling a cash payoff in default we assume that defaulted debt is restructured and continues to be traded. The model allows for loss...

This paper solves for a firm's optimal cash holding policy within a continuous time, contingent claims framework that has been extended to incorporate most of the significant contracting frictions that have been identified in the corporate finance literature. Under the optimal policy the firm...

In a model of career concerns for experts, when is a principal hurt from observing more information about her agent? This paper introduces a distinction between information on the consequence of the agent's action and information directly on the agent's action. When the latter kind of...

This paper examines the pattern of volatility over time of a series of commodity futures prices, and focuses in particular on the futures price variability as the maturity date of the futures contract approaches. Ina rational expectations model of asymmetric information, the paper provides...

(The associated paper is significantly revised and new authors have contributed to it) We investigate on three exchange rate series the profitability of signals generated by the breaking of support and resistance identified and supplied by Chartists. Such profitability is assessed, and then...