Hop, Skip and Jump – What Are Modern “Jump” Tests Finding in Stock Returns?
by Michael Schwert Abstract This paper applies several jump detection tests to intraday stock price data sampled at various frequencies. It finds that the choice of sampling frequency has an effect on both the amount of jumps detected by these tests, as well as the timing of those jumps. Furthermore, although these tests are designed […]
Contagion in Risk Markets
by Matthew Moore and James Schulhof Abstract During periods of market dislocation, which can be characterized by high asset volatility, correlations between assets generally tend to increase. However, there has been little research on the behavior of correlations between risk measures across securities markets. The aim of our research is to examine correlation dynamics between […]
Leveraging the American Dream: Explaining the Shift Towards Mortgage Debt since the 1970’s
by James Robert Melnick and James Colin Montupet Abstract We show that the determinants of mortgage borrowing and other forms of consumer credit differ: borrowers tend to consider asset holdings when taking out a mortgage, but focus on short-term economic expectations when borrowing other consumer credit. We hypothesize that this “mortgage wealth effect” occurs in […]
The Impact of Sector and Market Variance on Individual Equity Variance
by Haoming Wang Abstract This paper investigates how changes in measures of sector and market variance affect equity variance by examining forecasts of equity variance over 1, 5, and 22 day time horizons. These forecasts were generated using heterogeneous autoregressive regressions that included measures of sector and market variance. The results demonstrate that sector and […]
Does the NBA Encourage Early Entry?
by Griffen Tormey Abstract Over the last decade, the number of underclassmen selected in the first round of the NBA Draft has dramatically increased. Even when controlling for performance in college, underclassmen are paid significantly more than college seniors. What is going on here? Isn’t experience a good thing? Groothuis, Hill, and Perri (2007) were […]
Analyzing and Applying Existing and New Jump Detection Methods for Intraday Stock Data
By William Warren Davis Abstract This paper attempts to explore two recent statistics used to identify jumps in stock prices, as well as to propose a modification to one of the statistics to increase its accuracy by adding a second stage with a different estimator of local volatility. After identifying potential jump days, a study […]
Socioeconomic Factors and the Outcomes of Thailand’s Prevention of Mother-To-Child Transmission program (PMTCT)
by Wichsinee Wibulpolprasert Abstract Since its implementation in 2001, the national program for Prevention of Mother-To-Child Transmission (PMTCT) in Thailand has been successful in substantially reducing mother-to-child HIV transmission. In order to assess and improve the efficacy of the PMTCT program, it is important to identify relevant socio-demographic and biomedical factors associated with antiretroviral compliance […]
Engaging with Malthus: Joseph J. Spengler and Economic Demography
by Thomas Aten Abstract This research paper analyzes the development of Joseph J. Spengler’s interpretation of Thomas Robert Malthus’s work through its three stages, first the stage of quantitative analysis, second, the analysis of early American and French thinkers using Malthus as a critical lens, and third, Spengler’s “Restatement and Reappraisal” of Malthusian theory. Professor […]
