A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.
- Topic classification is ongoing.
- Please kindly let me know [mingze.gao@mq.edu.au] in case of any errors.
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Results 332 resources
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This paper focuses on contractual distinctions as an explanation for the price divergence between futures and forward contracts. Specifically, it investigates the effect of marking-to-market on the observed price differences using the pricing model described in Cox, Ingersoll, and Ross (1981). Using previously unavailable data, this paper employs Eurodollars, an interest rate-sensitive financial asset, to test the Cox, Ingersoll, and Ross model. Unlike prior empirical studies, test results support both the weak prediction concerning the sign of the average price difference and the stronger prediction that specific covariances explain the variation in the price differences.
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The representative-agent framework has endowed macroeconomists with powerful microeconomic tools. Unfortunately, it has also blurred the distinction between statements that are valid at the individual level and those that apply to the aggregate. In this paper, the author argues that probability theory puts strong restrictions on the joint behavior of a large number of units that are less than fully synchronized. Many fallacies arise from disregarding these restrictions. For example, asymmetric factor adjustment costs at the firm level need not imply asymmetric responses of aggregate employment flows to positive and negative shocks. Copyright 1992 by American Economic Association.
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The intraday lead-lag relation between returns of the Major Market cash index and returns of the Major Market Index futures and S&P 500 futures is investigated. Empirical results show strong evidence that the futures leads the cash index and weak evidence that the cash index leads the futures. The asymmetric lead-lag relation holds between the futures and all component stocks, including those that trade in almost every five-minute interval. Evidence indicates that when more stocks move together (market-wide information) the futures leads the cash index to a greater degree. This suggests that the futures market is the main source of market-wide information.
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A vast literature uses cross-country regressions to search for empirical linkages between long-run growth rates and a variety of economic policy, political, and institutional indicators. This paper examines whether the conclusions from existing studies are robust or fragile to small changes in the conditioning information set. The authors find that almost all results are fragile. They do, however, identify a positive, robust correlation between growth and the share of investment in GDP and between the investment share and the ratio of international trade to GDP. The authors clarify the conditions under which there is evidence of per capita output convergence. Copyright 1992 by American Economic Association.
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R. Geske and H. E. Johnson (1984) develop an equation for the American put price and obtain accurate prices using a method requiring quadrivariate normal integrals evaluated over an interval containing four equally spaced exercise points. The authors show that a modification of their method, which uses optimal placement of exercise points, yields, in most cases, accurate values using nothing more than bivariate normals. In the more difficult (deep-in-the-money) cases, trivariate normals suffice.
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A model of the nominal term structure of interest rates is developed that has a positive and stationary process for the interest rate and delivers closed-form expressions for the prices of discount bonds and European options on bonds. Unlike the one-state-variable version of the Cox, Ingersoll, and Ross (1985) model, this model–even in its one-state-variable version–allows the term premium to change sign as a function of the state and the term to maturity, and also allows for shapes of the yield curve that are observed in the U.S. data but that are disallowed in the Cox, Ingersoll, and Ross model.
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- Bond (10)
- Mergers and Acquisitions (5)
- Capital Structure (3)
- Director (1)
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- Journal Article (332)