This paper delevops a tools to analyse the ordering of concordance of random vectors.

This papfer deals with distributional free inference to test for positive quadrant dependence, i.e. for the probability that two variables are simultaneously small (or large) being at least as great as it would be were they dependent.

This paper developes a model of optimal consumption and portfolio choice for infinitely-lived investors facing stochastic interest rates, solve it using an approximate analytical method, and evaluate the conventional wisdom.

This paper argues that book-to-market and size attributes represent sensitivities of firm returns to several risk factors, and in so doing they subsume the information in other attributes.

This paper tests a conditional version of Adler and Dumas' (1983) International CAPM with regime switching GARCH parameters.

This paper reviews some recent developments in the area of optimal international portfolio diversification and investigates important issues for future research.

This paper shows that preferences alone cannot explain the patterns reported in the literature.

This paper invesitigates the influence of various fundamental variables on a cross-section of credit default swap transaction data.

This paper proposes validation using simulation based indirect estimation. It uses typical characteristic moments of financial market data to assess the similarity of simulation outcomes.