Are share markets too volatile? While it is difficult to ignore share market volatility it is important to determine whether volatility is excessive. This paper replicates the Shiller (1981) test as well as applying standard time series analysis to annual Australian stock market data for the period 1883 to 1999. While Shiller’s test suggests the possibility of excess volatility, time series ana...

We measure asset price jumps by the hedging error they induce on a delta-hedged position of European options. Based on high frequency data, we propose a nonparametric estimator for this measure and a test for its positivity. We further construct a Kolmogorov-type test for the presence of jump hedging errors for a possibly infinite-dimensional family of options based on the worst-case contract i...

Inflation targeting is gaining popularity as a framework for conducting monetary policy. At the same time many countries employ some sort of foreign exchange intervention policy assuming that these two policies can coexist. This paper attempts to show that both policies are not sustainable. Israel is a classic test case. We test our hypothesis using information from the financial markets. The r...

Evidence suggests that while women are more likely to go to college than men, they are less likely to go to graduate school. Moreover, in fields like science and engineering, women who do pursue advanced degrees are less likely than men to complete them. This paper compares MBA completion rates for women and men who registered to take the Graduate Management Admission Test (GMAT). We find that ...

This article investigates the forward market efficiency by testing the unbiased forward exchange rate hypothesis using nine currencies vis-à-vis the U.S. dollar. The empirical tests are conducted using monthly data during the period between January 1985 and December 1996 and two different methods of cointegration tests, a fractional (GPH) test and the HarrisInder test. The two cointegration tes...

A radio frequency (RF) ion source was designed and developed for neutral beam injector. A RF driver test bed was used with a RF generator with maximum power of 25 kW with 1 MHz frequency and a matching box. In order to study the characteristic of RF plasma generation, the capacitance in the matching box was adjusted with different cases. The results show that lower capacitance will better the s...

JEL classification:

JEL classification: C11 G13