A framework for pricing Asian power options is developed when the underlying asset follows a jumpfraction process. The partial differential equation (PDE) in the fractional environment with jump is constructed for such option using general Itô's lemma and self-financing dynamic strategy. With...

Using a sample of domestic U.S. equity mutual funds, we find strong evidence that investors respond to managerial replacements. We find that the top performing funds that have a change in management subsequently have lower flows compared to funds of which the manager is retained. On top of that,...

This paper considers Bayesian variable selection in regressions with a large number of possibly highly correlated macroeconomic predictors. I show that acknowledging the correlation structure in the predictors can improve forecasts over existing popular Bayesian variable selection algorithms

India's progress in reducing poverty at the national level masks substantial disparity in the incidence of poverty at the state level. This paper provides a description of the trends in interstate differences in rural poverty for the period 1978-97. Key findings are that poverty generally...

This paper applies a partial identification approach to poverty measurement when data errors are non-classical in the sense that it is not assumed that the error is statistically independent of the outcome of interest, and the error distribution has a mass point at zero. This paper shows that it...

It is customary in the empirical trade literature to analyze specialization patterns of countries using Revealed Comparative Advantage (RCA) measures. This paper explores the informational content of the most commonly used RCA index: the Balassa (1965) Index of RCA.After describing the...

This paper examines the in- and out-of-sample performance of various value-at-risk (VaR) approaches for commodity futures investments: conventional VaR, the Cornish-Fisher (CF) VaR, GARCH-type VaR models, and semi-parametric conditional autoregressive value-at-risk (CAViaR) models, which do not...

Using four rounds (1999, 2002, 2005, 2008) of the Korean Labor and Income Panel Study (KLIPS), this article examines determinants of household income and consumption levels and inequalities. Unconditional as well as conditional stochastic dominance (SD) tests are performed by year, by household...

Two separate narratives have emerged in the wake of the Global Financial Crisis. One interpretation speaks of private financial excess and the key role of the banking system in leveraging and deleveraging the economy. The other emphasizes the public sector balance sheet over the private and...

The paper studies the statistical properties of the evolution of the USD/HKD exchange rate during the period after the separation of strong and weak side convertibility undertakings, when the rate is confined to a specified corridor. We suggest a discrete time Markov model for the exchange rate...