This paper examines volatility and correlation dynamics in price returns of gold, silver, platinum and palladium, and explores the corresponding risk management implications for market risk and hedging. Value-at-Risk (VaR) is used to analyze the downside market risk associated with investments...

This paper examines the daily volatility of changes in yield on the 10-year Treasury note utilizing the iterated cumulative sums of squares algorithm (Inclan and Tiao, 1994). The ICSS algorithm can detect regime shifts in the volatility of the interest rate changes. A general model allows for...

This research uses an event study methodology to examine the effect of Hurricane Floyd on the market value of insurance firms in 1999. The research is unique in that information describing the development of the storm over time and space is incorporated in order to determine how the financial...

This study uses the Markov chain model to examine the behavior of 189 initial public offerings on the Istanbul Stock Exchange (ISE) over the 1990-1999 periods. The non-linear estimation results suggest that Turkish IPOs do not follow a random walk but may instead follow a first-order Markov...

This study examined the long run relationship between the personal savings rate and the index of consumer sentiment in the United States over the 1959-1997 period using cointegration analysis. We find that consumer sentiment and the personal savings rate share a long run equilibrium. The results...

We examine the relation among the prime lending rate, certificate of deposit rate, and the Samp;P Financial Stock Index using cointegration and error correction modeling techniques. We find that these three financial time series share a long-run cointegrating relation. Subsequent vector...