The objective of this paper is to better understand the evolution and institutional roots of Hong Kong's growing economic inequality and political cleavages. By combining multiple sources of data (household surveys, fiscal data, wealth rankings, national accounts) and methodological innovations,...

We propose a new nonparametric method for valuing American options. We extract the risk neutral moments using a set of option data and incorporate them into the entropy framework as constraints to recover the risk-neutral pricing measure. With the recovered risk-neutral measure, we generate...

This paper evaluates different hedging strategies for aluminum and copper futures contracts traded at the Shanghai Futures Exchange. In addition to usual candidates such as the traditional regression hedge ratio and the hedging strategy constructed from the bivariate fractionally integrated...

This paper combines national accounts, survey, wealth and fiscal data (including recently released tax data on high-income taxpayers) in order to provide consistent series on the accumulation and distribution of income and wealth in China over the 1978-2015 period. We find that the aggregate...

The informational value of USDA corn and soybean production forecasts is investigated for the period 1971-1992. Three tests of informational content are considered: i) a relative forecast accuracy test, ii) a price reaction test, and iii) a willingness-to-pay test. Overall, the results suggest...

In this paper we search for optimal hedging strategy in stock index futures markets. We concentrate on the strategy that minimizes the portfolio risk, i.e., minimum variance hedge ratio (MVHR) estimated from a range of time series models with different assumptions of market volatility. They are...