This study tests the presence of the day of the week effect on stock market volatility by using the S&P 500 market index during the period of January 1973 and October 1997. The findings show that the day of the week effect is present in both volatility and return equations. While the highest and lowest returns are observed on Wednesday and Monday, the highest and the lowest volatility are obser...

We formulate a consumption-based asset pricing model in which aggregate risk aversion is time-varying in response to both news about consumption growth (as in a habit formation model) and news about inflation. We estimate our model and explore its pricing implications for the term structure of interest rates and the cross-section of stock returns. Our empirical results support the hypothesis th...

This paper introduces a new asynchronous parallel evolutionary algorithm (APEA) based on the island model for solving function optimization problems. Our fully distributed APEA overlaps the communication and computation efficiently and is inherently fault-tolerant in a large-scale distributed computing environment. For the scalable BUMP problem, our APEA algorithm achieves the best solution for...

Alizadeh, Brandt, and Diebold [2002. Journal of Finance 57, 1047–1091] propose estimating stochastic volatility models by quasi-maximum likelihood using data on the daily range of the log asset price process. We suggest a related Bayesian procedure that delivers exact likelihood based inferences. Our approach also incorporates data on the daily return and accommodates a nonzero drift. We illust...

A two-loop (cylinder) amplitude of the 2d pure gravity theory is obtained in the proper-time gauge (g00 = 1, g01 = g10 = 0) in the continuum formulation. The constraint T01 = 0 is solved and used to reduce the problem of field theory to that of quantum mechanics. This reduction can also be proved by using a conformal Ward identity. The amplitude depends on the lengths l1, l2 of the boundaries, ...

This paper investigates whether the degree of predictability can be explained by existing asset pricing models, and provides two theoretical upper bounds on the R-square of the regression of stock returns on predictors for given classes of models of interest. Empirically, we find that the predictive R-square is significantly larger than the upper bounds permitted by well known asset pricing mod...

...............................................................................................................III DISSERTATION....................................................................................................... VII DIVISION OF WORK BETWEEN AUTHORS .......................................................... IX INTRODUCTION..........................................................

The principal driving force in the development of the financial system of pre-industrial Europe was not lending per se, but payments. Trade among strangers required the development of methods of payment that did not require mutual acquaintance and trust. The two principal financial innovations of pre-industrial Europe—the deposit bank and the bill of exchange—evolved to address this need. Lendi...

In this paper we review the factors that may lead to structural changes in stock market volatility and present an analysis that assesses whether emerging stock market volatility has changed significantly over the period 1976:01-2002:03. This period corresponds to the years of more profound development of both the financial and the productive sides in emerging countries. We use alternative metho...

Currency carry trades exploiting violations of uncovered interest rate parity in G10 currencies deliver significant excess returns with annualized Sharpe equal to or greater than those of equity market factors (19902012). Using data on out-of-the-money foreign exchange options, I compute returns to crash-hedged portfolios and demonstrate that the high returns to carry trades are not due to peso...