Choosing regulatory options when environmental costs are uncertain

Article Abstract:

The critical probability approach to the problem of formulating an optimal policy for regulating greenhouse gases (GHG) in the presence of uncertain environmental costs is introduced. Specifically, the problem is cast as an infinite horizon stochastic dynamic program with learning. This leads to a model of optimal stochastic decisions where immediate regulations are cost-justified based on the acceptable level of future GHG emissions and the need for such regulations.

Models, Evaluation, Economic aspects, Industry regulations, Environmental policy, Greenhouse gases, Government regulation of business, Trade regulation, Stochastic programming

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Common volatility in major stock index futures markets

Article Abstract:

The common feature analysis method proposed by R.F. Engle and R. Susmel (1993) was employed to determine whether the stock index futures markets in the US, UK and Japan share a similar volatility process. The empirical study, which used vector autoregression to remove price innovations on Jan. 1988-Dec. 91 data, demonstrated the rapid dissemination of information on daily returns between markets.

Asset-backed securities, Asset backed securities, Stock index futures

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On the impact of infrequent trading on the APT systematic risk components - evidence from a thin security market

Article Abstract:

The impact of infrequent trading on the arbitrage pricing theory (APT) systematic risk components is investigated. Specifically, Jan. 1979 to Dec. 1987 daily stock returns of 31 ordinary shares on the Helsinki Stock Exchange in Finland were analyzed. The results reveal that infrequent trading influences the first systematic risk component resulting from factor analysis of stock returns.

Factor analysis, Discriminant analysis, Arbitrage, Program trading (Securities)

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