Purpose – The purpose of this paper is to present an innovative model to evaluate the fair price of a subset of structured products for a hypothetical US structured bond. Design/methodology/approach – The authors assume that interest rates dynamics are described by the Cox–Ingersoll–Ross...

Purpose – The purpose of this paper is to present an innovative model to evaluate the fair price of a subset of structured products for a hypothetical US structured bond. Design/methodology/approach –The authors assume that interest rates dynamics are described by the Cox–Ingersoll–Ross...

We review spread's predictive ability by implementing a number of linear and probit models. We conduct a comparative analysis of the forecasting performance of various specifications by focusing on the last three major US economic slowdowns: 1990, 2001 and 2007. The results indicate that...

In this paper, we examine the international transmission of US monetary policy shocks across euro area and Asian countries by using a FAVAR model. We first examine all possible channels through which a policy shock is transmitted to each country. In general the transmission of the shock hides...

This study examines whether a firm's business strategy is an underlying determinant of downside risk in accounting earnings and its components. Based on organizational theory we predict that firms following an innovative “prospector” strategy exhibit lower profitability tendencies than firms...