Copulae provide investors with tools to model the dependency structure among financial products. The choice of copulae plays an important role in successful copula applications. However, selecting copulae usually relies on general goodness-of-fit (GoF) tests which are independent of the...

This paper looks closely at a key hypothesis of Stephen Hymer, namely that a small number of giant corporations would soon dominate each sector of the global economy. The article shows that, although the nature of the large corporation has changed profoundly, Hymer's basic insight has proven...

This study investigates the relationship between consumer debt and aggregate economic activity based on time series methods and directed acyclic graphs (DAG). Quarterly US data, measured over the period 1980 to 2003, on consumer debt, gross domestic product (GDP), interest rates, housing starts,...

This paper provides an industry standard on how to quantify the shape of the implied volatility smirk in the equity index options market. Our local expansion method uses a second-order polynomial to describe the implied volatility-moneyness function and relates the coefficients of the polynomial...

As China joins the World Trade Organization, the author questions whether China’s large firms will be able to compete on the global level playing field. Over the past two decades, Chinese large enterprises have undertaken extensive evolutionary change but, at the same time, the world’s...