This paper examines the impact of oil and gas facilities on rural residential property values using data from Central Alberta, Canada. The influences are evaluated using two groups of variables characterizing hazard effects and amenity effects. A spatial error model was employed to capture the...

We examine the economic benefits of using realized volatility to forecast future implied volatility for pricing, trading, and hedging in the Samp;P 500 index options market. We propose an encompassing regression approach to forecast future implied volatility and hence future option prices by...

We develops a new conditional jump model to study jump dynamics in stock market returns. We propose a simple filter to infer ex post the distribution of jumps. This permits construction of the shock affecting the time t conditional jump intensity, and is the main input into an autoregressive...

We examine the economic benefits of using realized volatility to forecast future implied volatility for pricing, trading, and hedging in the Samp;P 500 index options market. We propose an encompassing regression approach to forecast future implied volatility and hence future option prices by...

Price risk is an important factor for both copper purchasers who use the commodity as a major input in their production process and copper refiners who must deal with cash-flow volatility. We use information from NYMEX cash and futures prices to examine optimal hedging behaviour for agents in...

This study solves the optimal managerial compensation problem when shareholders are either naiuml;vely optimistic or rational. The results suggest that boards of directors should decrease option grants to CEOs when equity is likely to be irrationally overvalued at the date when the CEO's options...

The Term Securities Lending Facility (TSLF) lent $2.3 trillion worth of general collateral to 18 investment houses in exchange for riskier securities. Treasury collateral was in high demand in 2008 and 2009 as repo markets shunned lower quality collateral. This paper finds a negative and...

Preferential Attachment (PA) models the scientific citation process. In the PA model, a new paper attaches itself to the citation network based only on the popularity of the currently existing papers. This invariably leads to a network whose degree distribution satisfies the Power Law. Yet,...