This paper investigates the convergence between the prices of ADRs and the prices of the Mexican traded shares using a sample of 21 dually listed shares (listed in Mexico and in the U.S.). Since both markets have similar trading hours in Mexico, standard arbitrage considerations should make...

In this paper, we introduce regime-switching in a two-factor stochastic volatility model to explain the behavior of short-term interest rates. The regime-switching stochastic volatility (RSV) process for interest rates is able to capture all possible exogenous shocks that could be either...

In this paper, we introduce regime-switching in a two-factor stochastic volatility (SV) model to explain the behavior of short-term interest rates. We model the volatility of short-term interest rates as a stochastic volatility process whose mean is subject to shifts in regime. We estimate the...

This papers tests a theoretical implication of the theory of storage. We examine the U.S. natural gas market over a period of extensive change in market structure brought about by regulatory action. We motivate and test the hypothesis that the change in market structure increased spot price...

This paper analyzes the behavior of time-varying volatility when structural changes are allowed in international stock markets. A model developed by Hamilton and Susmel (1994), the switching autoregressive conditional heteroskedastic (SWARCH) model, which is a more general specification than the...

In this paper, we are interested in the impact a Major League Baseball (MLB) manager has on a team’s outcome. Using data on manager’s contracts, team performance, and team and manager characteristics, first, we determine the variables that determine a manager's salary. Then, we use a...