Working Papers

This paper provides a simple unified framework for assessing the empirical linkages between returns and realized and implied volatilities. First, we show that whereas the volatility feedback effect as measured by the sign of the correlation between contemporaneous return and realized volatility depends importantly on the underlying structural model parameters, ...

The latest revision of the Internal Ratings Based approach of the Basel Committee on Banking Supervision's New Capital Accord Proposal for retail portfolios contains a significant innovation relative to previous versions: the recognition that, for revolving credits, future margin income will be available to cover losses before a bank's capital ...

Discrete time queueing models have been shown previously to be of practical use for modelling the approximate time-dependent behaviour of queue length in systems of the form M(t)/G/c. In this paper we extend these models to include the time-dependent behaviour of virtual waiting time. Key components of this research are ...

Lot-sizing and capacity planning are important supply chain decisions, and competition and cooperation affect the performance of these decisions. In this paper, we look into the dynamic lot sizing and resource competition problem of an industry consisting of multiple firms. A capacity competition model combining the complexity of time-varying demand ...

Students' spending and levels of debt have already been researched both within the marketing arena (e.g. Prince [1]; Palmer, Pinto and Parente [2]) and other disciplines - in particular, economic psychology (see, for example, Scott, Lewis and Lea [3]; Webley et al. [4]). This current research extends previous studies to ...

Prior research using the residual income valuation model and linear information models has generally found that estimates of firm value are negatively biased. We argue that this could result from the way in which accounting conservatism effects are reflected in such models. We build on the conservative accounting model of ...

Using the so-called mean-reverting square-root process of Cox et al. (1985b) we generalize the work of Dias and Shackleton (2005) by introducing the mean reversion feature into the economic hysteresis analysis under stochastic interest rates and show that such issue highlights a tendency for a widening effect on the range ...

Most decision making research in real options focuses on revenue uncertainty assuming discount rates remain constant. For many decisions, however, revenue or cost streams are relatively static and investment is driven by interest rate uncertainty, for example the decision to invest in durable machinery and equipment. Using interest rate models ...

Snakes and ladders is an ancient Indian game of chance that offers amusement as well as a metaphor for life’s many ups and downs. Games offer useful and fun ways of conveying ideas as well as solution techniques and this game has considerable mathematical tractability. This note shows how snakes ...

Following Basu (1997), the difference between the sensitivity of accounting earnings to negative equity return (a proxy for bad news) and its sensitivity to positive equity return (a proxy for good news) has been interpreted as an indicator of conditional accounting conservatism. However, some have raised concerns that the earnings-sensitivity ...