There is considerable evidence that trading volume and volatility are positively related and that exchange seat prices are largely a function of trading volume. This article examines whether changes in seat prices at the Chicago Board of Trade (where stock index and interest rate futures account...

This article examines the relationship between corn and soybean futures volumes for contracts traded in the United States and Japan. Because the contract specifications for corn and soybeans futures traded on the Chicago Board of Trade (CBOT), the Tokyo Grain Exchange (TGE), and the Kanmon...

This note demonstrates that an asset's price in an environment with price limit rules can be replicated by the price of a portfolio consisting of a riskless asset and two synthetic options. A procedure is developed to unbundle the unobservable option values imbedded in the actual futures price...

Inspired by the linear predictability and nonlinearity found in the finance literature, this article examines the nonlinear predictability of the excess returns. The relationship between the excess returns and the predicting variables is recursively modeled by a neural-network model, which is...

We conduct a thorough analysis on the role played by the unobserved systematic risk factor in default prediction. We find that this latent factor outweighs the observed systematic risk factors and can substantially improve the in-sample predictive accuracy at the firm, rating group, and...

This study examines the distribution of extreme values in daily currency changes for nine Asian countries. Using an improved estimator, extreme changes in Asian currencies can generally be represented by Frechet distributions. Our results are robust to the choice of the numeraire currency, the...