Most discrete time literature uses the beta that results from a regression of an asset's simple returns on various factors to quantify risk. The departing point for this thesis is the consistent use of log-returns. When log-returns are considered, the relevant measure of systematic risk becomes...

With the emergence and expansion of credit derivatives, which are financial instruments that are based on corporate bonds and provide their holders a protection against default, the importance of estimating probabilities of default has reached an unprecedented level. We have developed a Bayesian...

We present a series of models capturing the non-stationarities and dependencies in the variance of yields on natural gas futures. Both univariate and multivariate models are explored, based on the ARIMA and Hidden-Markov methodologies. The models capture the effects uncovered through various...

The White information matrix (IM) test is applied to the linear regression model with autoregressive conditional heteroskedastic (ARCH) errors. ARCH models are used widely in analyzing economic and financial time series data. However, in practice, the models are not often thoroughly tested. We...

This thesis focuses on developing an appropriate target for the funding level of public pension plans. Initially, a two-period model is developed that incorporates the relevant factors in a simple model, examines the comparative statics, and compares the results with actual funding levels. The...

Government programs for agricultural commodities affect planting decisions and farm income for many producers. Many proposals to reduce federal expenditures are being considered for reform in the 1995 Farm Bill. In order to determine the effect of these proposals on both farmers and government,...

The purpose of this thesis is to examine recent behavior of the Japanese stock market from 1975 through 1995. The goal of this study is to provide insight into the particular behaviors observed and document possible explanations in light of the work presented. Specific contributions are listed...