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2013

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Full-Text Articles in Finance and Financial Management

Thomsonone.Com Investment Banking Database Review, Marc Vinyard Sep 2013

Thomsonone.Com Investment Banking Database Review, Marc Vinyard

Marc Vinyard

The ThomsonONE.com Investment Banking database provides comprehensive financial data. The foundation product contains basic financial information, but add-on modules provide more in-depth resources. The company research module is especially useful since it provides access to investment reports with incredibly detailed information written by major investment banks such as Wells Fargo and Morgan Stanley. The analyst reports provide information such as detailed forecasts that will not be available in articles or annual reports. The deals and private equity modules also provide content that is difficult to obtain. Currently, academic libraries have few options for access to investment reports and ThomsonONE.com is …

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Alternative Estimators Of Cointegrating Parameters In Models With Non-Stationary Data: An Application To Us Export Demand, James Forest, Paul Turner Dec 2012

Alternative Estimators Of Cointegrating Parameters In Models With Non-Stationary Data: An Application To Us Export Demand, James Forest, Paul Turner

James J Forest

This paper presents Monte Carlo simulations which compare the empirical performance of two alternative single equation estimators of the equilibrium parameters in a dynamic relationship. The estimators considered are Stock and Watson’s dynamic ordinary least squares (DOLS) estimator and Bewley’s transformation of the general autoregressive distributed lag model. The results indicate that the Bewley transformation produces a lower mean-square error as well as superior serial correlation properties even with lower truncation lags for the lagged variables included in the estimation equation. An application is then provided which examines the nature of the equilibrium relationship between aggregate US exports, world trade …

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Jump Processes In The Market For Crude Oil, Neil Wilmot, Charles Mason Dec 2012

Jump Processes In The Market For Crude Oil, Neil Wilmot, Charles Mason

Charles F Mason

In many commodity markets, the arrival of new information leads to unexpectedly rapid changes—or jumps—in commodity prices. Such arrivals suggest the assumption that log-return relatives are normally distributed may hold. Combined with time-varying volatility, the possibility of jumps offers a potential explanation for fat tails in oil price returns. This article investigates the potential presence of jumps and time-varying volatility in the spot price of crude oil and in futures prices. The investigation is carried out over three data frequencies (Monthly, Weekly, Daily), which allows for an investigation of temporal properties. Employing likelihood ratio tests to compare among four stochastic …

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