Finance Commons^™

Markov Chains In Predictive Models Of Currency Crises - With Applications To Southeast Asia, Roberto S. Mariano, Abdul G. Abiad, Gultekin Bulent, Tayyeb Shabbir, Augustine H. H. Tan

Research Collection School Of Economics

The decade of the 1990s was marked by an unusual number of financial and economic crises such as the attack on the European Monetary System in 1992-93, the Mexican peso crisis in 1994-95, the Asian crisis in 1997, the Russian default in 1998 and its spillover to Latin America. The Turkish currency and banking crisis in 2001 and the recent difficulties in Argentina indicate that financial crises are still part of the current economic events. In the wake of such developments, there has been a resurgence of interest in early warning systems that can anticipate the likely occurrence of such …

The Importance Of Bequests And Life-Cycle Saving In Capital Accumulation: A New Answer, Karen E. Dynan, Jonathan Skinner, Stephen P. Zeldes

Dartmouth Scholarship

As the workhorse of consumption and saving research for the past four decades, the life-cycle model has proved flexible and useful for exam- ining a variety of questions. In a classic paper, Albert Ando and Franco Modigliani (1963 p. 56) stated a key assumption of the basic model: “[t]he individual neither expects to receive nor desires to leave any inheritance.” Although the authors contended that the absence of a bequest motive was not critical to the heart of their results, the assumption set off a long-standing battle over the relative importance of different motives for saving. In an influential study, …

Efficiency And Performance Of Real Estate Investment Trusts (Reits): An Empirical Examination, Can Topuz

Doctoral Dissertations

This study has a threefold purpose. Its first objective is to investigate input and output efficiencies in the Real Estate Investment Trust (REIT) industry. Its second objective is to understand the impact of size, property share, loan production, debt ratio, property and geographic diversification, control and governance variables, overall risk, capital risk, growth rate, and management type on a number of efficiency measures, including profit, cost, allocative, technical, pure technical and scale efficiency. The third objective is to assess the impact of structural and regulatory changes in the industry on REITs' productivity, technology, and efficiency changes.

I have estimated the …

Financial Performance Of Insurance Companies Following Initial Public Offerings, Kulkanya Napompech

Doctoral Dissertations

The quality of insurance companies is a very significant societal issue. Policyholders pay premiums assuming indemnity of their potential losses. It is essential that an insurer be able to meet its contractual obligations when a loss occurs. An initial public offering provides an infusion of capital and an expansion of resources available to a firm. Thus, the objective of this study is to examine the financial and operating impacts of initial public offerings during 1980–2000 on insurance companies.

Chapter 2 examines changes in operating performance of property/casualty insurance companies following initial public offerings. I find that following initial public offerings, …

Asp -Pricing: A Black -Scholes Option Pricing Formulation, Chaitanya Singh

Doctoral Dissertations

The Applications Service Provider (ASP) arrangement has engendered a revolution in the area of corporate information technology (IT) by transforming software from a packaged off-the-shelf product to an on-line virtual service.

The focus of this study is to establish a sound mathematical foundation for evaluating software rental agreements (embedding exit flexibility) by incorporating a real options framework (based upon the Black-Scholes approach) into the traditional capital budgeting technique. The static discounted cash flow or net present value analysis may not adequately serve as a ‘barometer’ of outsourcing value due to its inherent weaknesses. On the other hand, the options approach …

Better Revenue Forecasting: Is Fiscal Stress A Stimulant? A Look At Nevada Local Governments, Richard A. Derrick

UNLV Theses, Dissertations, Professional Papers, and Capstones

Revenue forecasting is one of the most critical and often difficult tasks in governmental budgeting. It is critical because it determines the parameters upon which the budget is based. It is difficult because many outside influences can impact revenue results and cause variances with the forecast. If revenue is under projected, valuable services may not be provided during the fiscal year and an unexpected surplus may be created at year-end. By the time it becomes apparent that surpluses are developing, the damage to on-going programs and services, which may require consistency and budget stability for efficient delivery, may be done. …

A New Coincident Index Of Business Cycles Based On Monthly And Quarterly Series, Roberto S. Mariano, Yasutomo Murasawa

Research Collection School Of Economics

Popular monthly coincident indices of business cycles, e.g. the composite index and the Stock-Watson coincident index, have two shortcomings. First, they ignore information contained in quarterly indicator such as real GPD. Second, they lack economic interpretation; hence the heights of peaks and the depths of troughs depend on the choice of an index. This paper extends the Stock-Watson coincident index by applying maximum likelihood factor analysis to a mixed-frequency series of quarterly real GDP and monthly coincident business cycle indicators. The resulting index is related to latent monthly real GDP.

A Class Of Nonlinear Stochastic Volatility Models, Jun Yu, Zhenlin Yang

Research Collection School Of Economics

This paper proposes a class of nonlinear stochastic volatility models based on the Box-Cox transformation which offers an alternative to the one introduced in Andersen (1994). The proposed class encompasses many parametric stochastic volatility models that have appeared in the literature, including the well known lognormal stochastic volatility model, and has an advantage in the ease with which different specifications on stochastic volatility can be tested. In addition, the functional form of transformation which induces marginal normality of volatility is obtained as a byproduct of this general way of modeling stochastic volatility. The efficient method of moments approach is used …

Do You Have Tips On Discussing Property Distribution?, Liz Gorham

All Archived Publications

No abstract provided.

Costos De Cierre, Leona K. Hawks, Lucy Delgadillo

All Archived Publications

No abstract provided.

Un Agente De Bienes Raíces, Un Corredor De Bienes Raíces...¿Quíenes Son Ellos?, Leona K. Hawks, Lucy Delgadillo

All Archived Publications

No abstract provided.

Manufactured Homes, Leona K. Hawks, Tawnee Mccay

All Archived Publications

No abstract provided.

Setting New Priorities For Spending, Barbara R. Rowe

All Archived Publications

No abstract provided.

How Can I Make The Most Of My Tax Refund?, Barbara Rowe

All Archived Publications

No abstract provided.

Tipos De Préstamos, Leona K. Hawks, Tawnee Mccay, Lucy Delgadillo

All Archived Publications

No abstract provided.

Home Buyer Checklist, Leona K. Hawks, Tawnee Mccay

All Archived Publications

No abstract provided.

Ways To Reduce Debt And Save Money, Tawnee Mccay

All Archived Publications

No abstract provided.

Indiana State University Financial Report 2002, Indiana State University

Financial Reports

No abstract provided.

Ways To Save On Your Home Purchase, Leona K. Hawks, Lucy Delgadillo

All Archived Publications

No abstract provided.

Priming The Pump: Research As A Catalyst For Economic Growth, Jeffery T. Collins, Craig T. Schulman

Publications and Presentations

This analysis is designed to answer several important questions regarding the impact of research dollars invested in the state of Arkansas. We begin by discussing the state of the state in terms of income measures and measures of educational attainment levels. Throughout this analysis, the state of Arkansas is compared to the U.S., to a group of peer states , and, initially, to the state of Mississippi.

Next, we examine the linkage between income and education. We also examine higher education in the state in terms of spending, access and research dollars. From this general description we examine the present …

Method To Their Madness: Dispelling The Myth Of Economic Rationality As A Behavioral Ideal, John Dobson

Finance

Although not immediately apparent, the discipline of behavioral finance is rapidly adopting an implicit prescriptive agenda. Behavioral finance does not merely describe financial market reality, it shapes it. Economic rationality is taken as the ideal toward to which individuals 'should' strive. In this paper I show that, as a behavioral ideal, economic rationality is unjustified both from a strictly economic perspective, and from a moral perspective. In short, there is nothing inherently 'wrong' with economically irrational participants in the business environment. Indeed such participants will actually enhance the efficiency, and the ethicality, of business. "rationality itself, whether theoretical or practical, …

Numerical Techniques For Maximum Likelihood Estimation Of Continuous-Time Diffusion Processes, Garland B. Durham, A. Ronald Gallant

Finance

Stochastic differential equations often provide a convenient way to describe the dynamics of economic and financial data, and a great deal of effort has been expended searching for efficient ways to estimate models based on them. Maximum likelihood is typically the estimator of choice; however, since the transition density is generally unknown, one is forced to approximate it. The simulation-based approach suggested by Pedersen (1995) has great theoretical appeal, but previously available implementations have been computationally costly. We examine a variety of numerical techniques designed to improve the performance of this approach. Synthetic data generated by a Cox-Ingersoll-Ross model with …

How Can I Be A Smarter Online Shopper?, Karen Biers

All Archived Publications

No abstract provided.

Types Of Lending Products, Leona K. Hawks, Tawnee Mccay

All Archived Publications

No abstract provided.

Making An Offer And Negotiating The Price, Leona K. Hawks

All Archived Publications

No abstract provided.

How Much House Can You Afford?, Leona K. Hawks, Tawnee Mccay

All Archived Publications

No abstract provided.

Refinancing Your Home, Leona K. Hawks

All Archived Publications

No abstract provided.

Rental Housing, Leona K. Hawks, Tawnee Mccay

All Archived Publications

No abstract provided.

Su Historia De Crédito, Leona K. Hawks, Tawnee Mccay, Lucy Delgadillo

All Archived Publications

No abstract provided.

Don't Panic-Take Control, Barbara R. Rowe

All Archived Publications

No abstract provided.