This article studies the estimation of state space models whose parameters are switching endogenously between two regimes, depending on whether an autoregressive latent factor crosses some threshold level. Endogeneity stems from the sustained impacts of transition innovations on the latent...

This paper investigates the link between information arrivals and intraday DEM/$ volatility. Information arrivals are measured by the numbers of news items that appeared in the Reuters News Service. We separate news stories into different categories and find that total headline news counts have...

This paper examines the valuation effects of corporate name changes involved oil related terms during recent oil price surges. Using data from the U.S. and Canadian stock markets, we show that there is a tendency for companies in both markets to add oil or petroleum to their corporate names when...