Dynamic minimum variance hedge ratios (MVHRs) have been commonly estimated using Bivariate GARCH model that overlooks basis effect on the time-varying variance-covariance of spot and futures returns. This paper proposes an alternative specification of the BGARCH model in which the basis effect...

People often make important decisions based on information elicited from experts with uncertain preferences. We provide a theoretical rationale for the use of information markets in decision making tasks. Specifically, we show that markets for claims on decision-relevant variables can be...

This paper examines the effect of three types of capital control policies on FDI: (i) the existence of multiple exchange rates; (ii) restrictions on capital account, and (iii) restrictions on the repatriation of export proceeds. We find that the impact of capital controls on FDI varies by region...

This paper examines the impact of Confucius Institutes on inbound travel to China. We estimate a panel gravity model of inbound tourism flows to China between 2004 and 2010. We use a Poisson Pseudo-maximum likelihood estimator to control for heteroskedasticity endemic in gravity models (Santos...

Dynamic correlation models demonstrate that the relationship between interest rates and housing prices is non-constant. Estimates reveal statistically significant time fluctuations in correlations between housing price indexes and Treasury bonds, the S&P 500 Index, and stock prices of...

Survey-based research concerning sexual behaviour almost inevitably confronts the simultaneous problems of misreporting and non-response. These problems lead to disparities among estimates of the number and characteristics of those who engage in same-sex sexual behaviour. This paper proposes a...

This paper employs gravity models to analyze the influence of Confucius Institutes (CI) on outward trade and FDI flows from China. We find significant increases in both Chinese exports and outward FDI flows to developing countries through establishment and operation of CIs, but little impact on...

Empirical evidence suggests that unconditional variance of exchange rate return series is subject to occasional structural breaks that may induce spurious phenomenon of high persistence and long memory of volatility processes. In this paper, we investigate the effects of such breaks on estimated...

This paper applies stochastic dominance (SD) tests to examine the dominance relationship between the futures and spot markets in Malaysia, the preferences for the risk-averse and risk-seekers in these markets, the existence of arbitrage opportunities, and whether the markets are efficient and...

There is compelling evidence that typical decision-makers, including individual investors and even professional money managers, care about the difference between their portfolio returns and a reference point, or benchmark return. In the context of financial markets, likely benchmarks against...