The error correction coefficients, known as the loading factors, are a key component for price discovery measurement. To date, only constant loading factors have been considered for the price discovery measurement. This paper attempts to consider the autoregressive loading factors and their...

This paper examines the relationship between the volatility implied in option prices and the subsequently realized volatility by using the S&P/ASX 200 index options (XJO) traded on the Australian Stock Exchange (ASX) during a period of 5 years. Unlike stock index options such as the S&P 100...

This article investigates the performance of affine option pricing models in the context of the Australian Standard & Poor's (S&P)/Australian Stock Exchange (ASX) 200 index option market. This investigation is done through the implicit estimation of the risk neutral parameters of affine option...

Because weather has the potential to confound or modify the pollution–mortality relationship, researchers have developed several approaches for controlling it in estimating the independent effect of air pollution on mortality. This report considers the consequences of using alternative...

The concept of knowledge and knowledge management is not new. Researchers identified the practice of knowledge management as early as 4000 years ago. However, knowledge management systems (KMS), which involve the application of IT systems and other organizational resources to manage knowledge...