Based on the results obtained in the nonparametric analysis, this paper proposes an HJM volatility model and estimates it in the GARCH-family models. The proposed volatility model is compared with four alternative HJM ...

The various versions of intervention policy can be interpreted either to fix the price or the quantity of the market but not both. It is the objective of this paper to determine the optimal degree of official intervention ...

Variable life insurance (VL) has gained great popularity for its fluctuating but minimum guaranteed death benefit under the high level of inflation in the late 1970's. It also offers policyowner a choice of vehicles in ...

The selling price of large-ticket capital assets has been hypothesized to increase as time on the market increases in previous theoretical literature. However, the results of empirical studies using single-family houses ...

The capital asset pricing model of Sharpe (1964), Lintner (1965), and Mossin (1966) is a single-period equilibrium analysis in which the behavior of security demand, conditional upon a postulated probability distribution ...

This thesis reexamines the validity of the informational signaling hypothesis with the security offering announcements of companies. Market, company and offering data are used to test this hypothesis directly by examining ...

Growth in utility construction programs has focused attention on the methods used by utilities to obtain the earnings needed to pay investors for the use of funds for construction expenditures.