Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize...

This paper provides a historical overview on financial crises and their origins. The objective is to discuss a few of the modern statistical methods that can be used to evaluate predictors of these rare events. The problem involves prediction of binary events and therefore fits modern...

Richardson's action-reaction model of an arms race has prompted a considerable body of research that has attempted to empirically estimate such models. In general these attempts have been unsuccessful. This paper provides an extensive reconsideration of the estimation issues and using some...

Alternate Models for Forecasting Hedge Fund ReturnsMichael HoldenFaculty Sponsor: Gordon Dash, Finance and Decision SciencesInvestors have always wanted to improve the efficiency of modeling realized volatility to maximize directional trading returns and substantially improve profitability. As...

The oil industry is the richest and most influential industry in the world. The industry has moved the fates of nations. Oil is required to fight wars and exert power, and the restriction of this energy source is paramount to the restriction of movement, control, and in the end, power....