There is ample empirical evidence that the distribution of short-term security returns is non-normal. In spite of such evidence financial data analysis generally does not explicitly incorporate the higher statistical moments of skewness and kurtosis within a likelihood-based framework. In this...

The relative cost efficiency of the mutual versus stock forms of ownership for thrifts has been a relevant issue in an era of deregulation and competition in the financial services industry. In this study Bayesian-based Markov chain Monte Carlo (MCMC) re-sampling methods are used to solve a...

Banking cost or X-efficiency is dependent upon the frontier analysis method used to measure the efficient frontier. Parametric methods require estimation of a composite error model where the bank's efficiency parameter is a portion of the bank's deviation from the cost frontier of the banking...

Though the profound importance of the market risk premium to finance is unquestioned, its actual measurement has been problematic for both academics and analysts alike. What exactly is the magnitude of the ex post market risk premium? What is its relationship with the expected or ex ante...