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,...

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...

This paper explores the existence of downward real wage rigidity (DRWR) in 19 OECD countries, over the period 1973-1999, using data for hourly nominal earnings at industry level. Based on a nonparametric statistical method, which allows for country and year specific variation in both the median...

We propose a nonparametric procedure to test for changes in correlation matrices at an unknown point in time. The new test requires constant expectations and variances, but only mild assumptions on the serial dependence structure and has considerable power in finite samples. We derive the...

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...

This paper considers the cross-quantilogram, which measures the quantile dependence between time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the asymptotic distribution of the cross quantilogram and the...