A general parametric framework is developed for pricing S&P500 options. Skewness and leptokurtosis in stock returns as well as time-varying volatility are priced. The parametric pricing model nests the Black-Scholes model and can explain volatility smiles and skews in stock options. The data...

Provides a framework for understanding the relationships between alternative cointegrating estimators with special attention given to single equation procedures. The approach consists of augmenting the long‐run model with general short‐run dynamic specifications and identifying the specific...

Volatility smiles arise in currency option markets when empirical exchange rate returns distributions exhibit leptokurtosis. This feature of empirical distributions is symptomatic of turbulent periods when exchange rate movements are in excess of movements based on the assumption of normality....

This paper applies recent tests of stochastic dominance of several orders proposed by Linton, Maasoumi and Whang (2003) to reexamine the equity premium puzzle. An advantage of this nonparametric framework is that it provides a means to assess whether the existence of a premium is due to an...

There has been an extraordinary increase in the use of financial derivatives in the capital markets. Consequently derivative instruments can have a significant impact on financial institutions, individual investors and even national economies. This relatively recent change in the status of...

Purpose – Investors and financial statement users may have differing beliefs about the responsibility of an independent accounting firm performing an audit of a client's financial statements. This study aims to investigate the existence of an audit expectation gap between auditors and...

A survey of external auditors aimed to discover the response of their organisations to the threat of computer fraud, and their opinions about risks and counter‐measures. Four main topic areas were covered: responsibility within the firm for the prevention and detection of computer fraud; what...