Stein-rule estimators, also known as shrinkage estimators, combine sample and non-sample information in a way that improves the precision of the estimation process or the quality of subsequent predictions. A Stein-rule estimator is a weighted average of a restricted and an unrestricted...

This dissertation consists of three essays that focus on a Bayesian estimation of stochasticcost frontiers for electric generation plants. This research gives insight into the changingdevelopment of the electric generation market and could serve to inform both private investmentand public policy...

Bayesian estimation has gained ground after Markov Chain Monte Carlo process made it possible to sample from exact posterior distributions. This research aims at contributing to the ongoing debate about the relative virtues of the Frequentist and Bayesian theories by concentrating on the...

In this work, we begin with an investigation into the temporal correlation in default risk. We first establish a link between the dynamics of house price changes and the dynamics of default rates in the Gaussian copula framework by specifying a time series model for a common risk factor. We show...

This dissertation examines corporate use of derivative instruments and multi-period hedging methods. It studies the use of linear (e.g. futures) and nonlinear (e.g. options) derivatives in a sample of 382 U.S. non-financial firms (920 firm-year observations) between 1992 and 1996. It also...

In this work, I develop a new volatility measure; the volatility implied by price changes in option contracts and their underlyings. I refer to this as implied price change volatility. First, I examine the time series behavior of implied price change volatility and investigate possible moneyness...

This dissertation analyzes a series of issues that surround both the theoretical modeling and theempirical estimation of the forward-futures differential, commonly known as the convexityadjustment. Opposite to theoretical implication, I find that the magnitude of the forward-futuresrate...

This dissertation investigates the role of fiscal policy on economic activity by analyzing the response of major macroeconomic variables to innovations to the average marginal income tax rate (AMTR) measures in the U.K. by employing vector autoregressive (VAR) models. We identify these...

The increasing trends of integrated and concentrated broiler production results in a serious threat to environment through excessive litter production and lack of its proper disposal. Production concentration in limited area is a major source of surface as well as ground water pollution....

This dissertation focuses on the mortgage default behavior and the valuation of distressed properties. Three essays are included.The first essay uses New Orleans foreclosure data, where each property has three appraisals, to investigate the factors affecting appraisal bias and accuracy, and to...