This paper examines the daily volatility of changes in the 10-year Treasury note utilizing the iterated cumulative sums of squares algorithm [C. Inclan, G. Tiao, Use of cumulative sums of squares for retrospective detection of changes of variance, J. Am. Stat. Assoc. 89 (1994) 913–923]. The...

Parametric dummy variable-based tests for event studies using multivariate regression are not robust to nonnormality of the residual, even for arbitrarily large sample sizes. Bootstrap alternatives are described, investigated, and compared for cases where there are nonnormalities, and...

In the second quarter of 2009, the FDIC imposed a special assessment on insured banks to replenish the deposit insurance fund. While the traditional assessment base for regular deposit insurance premiums was all insured deposits, the special assessment was applied to a bank's total assets minus...