This study tests for the existence of financial contagion, using a method that allows an incubation period before contagion takes effect. We define contagion as an increase in cross-market linkages following shocks. With daily data on Asian stock markets during the 1997-98 crisis, we find...

Recently, there has been much interest in modeling time-varying higher-order conditional moments in the density estimation context. These studies employ a moment-based methodology to test their specification of higher-order conditional moments. We compare the size and power of these moment-based...

The noise-trading or coordination channel hypothesis implies that sterilized intervention in the foreign exchange market is effective if certain conditions are satisfied, but ineffective otherwise. The hypothesis is tested with a three-regime threshold model and daily data on actual intervention...

The friction model is consistent with the hypothesis that a central bank intervenes in a foreign exchange market only if the necessity grows beyond certain thresholds. For this feature, the model is adopted in some recent studies as an attractive central bank reaction function. However, with...

The purpose of this paper is to investigate how different types of strategic interaction affect firms' optimal levels of digital rights management (DRM). In our game-theoretical duopoly model, the firms do not directly compete with prices, but they become interdependent while coping with digital...

We estimate several GARCH- and Extreme Value Theory (EVT)-based models to forecast intraday Value-at-Risk (VaR) and Expected Shortfall (ES) for S&P 500 stock index futures returns for both long and short positions. Among the GARCH-based models we consider is the so-called Autoregressive...

This paper examines the additional lending decision of a creditor to a sovereign debtor in default. The analysis incorporates the prevalence of partial default and the amount of inherited debt in default. We show that an increase in additional lending, L, could increase the probability of...