안동현 교수

This article theoretically explores the characteristics underpinning quadratic term structure models (QTSMs), which designate the yield on a bond as a quadratic function of underlying state variables. We develop a comprehensive QTSM, which is maximally flexible and thus encompasses the features of several diverse models including the double square-root model of Longstaff (1989), the univariate quadratic model of Beaglehole and Tenney (1992), and the squared-autoregressive-independent-variable no

Recent nonparametric estimation studies pioneered by Aït-Sahalia document that the diffusion of the short rate is similar to the parametric function, |$r^{1.5},$| estimated by Chan et al., whereas the drift is substantially nonlinear in the short rate. These empirical properties call into question the efficacy of the existing affine term structure models and beg for alternative models which admit the observed behavior. This article presents such a model. Our model delivers closed-form solutions

We assess the profitability of momentum strategies using a stochastic discount factor approach. In unconditional tests, approximately half of the strategies' profitability is explained. In conditional tests we see a further slight decline in profits. We argue that the risk of these strategies should be increasing in the market risk premium. Empirically, while their risk measures estimated relative to the stochastic discount factor behave as predicted, market betas do not; thus capital asset pric

We investigate the relation between returns on stock indices and their corresponding futures contracts to evaluate potential explanations for the pervasive yet anomalous evidence of positive, short-horizon portfolio autocorrelations. Using a simple theoretical framework, we generate empirical implications for both microstructure and partial adjustment models. The major findings are (i) return autocorrelations of indices are generally positive even though futures contracts have autocorrelations c

This paper proposes a new method of forming basis assets. We use return correlations to sort securities into portfolios and compare the inferences drawn from this set of basis assets with those drawn from other benchmark portfolios. The proposed set of portfolios appears capable of generating measures of risk–return trade-off that are estimated with a lower error. In tests of asset pricing models, we find that the returns of these portfolios are significantly and positively related to both CAPM

Abstract This paper studies a multi-factor, two-country term structure and exchange rate model when a diversification effect for an international bond portfolio is expected. It shows that the diversification gain calls upon certain restrictions on the process of the stochastic discount factor in a factor-structured economy. Existence of local factors is shown to be a necessary condition for the gains from investing in foreign bonds. Further, the exchange rate risk premia are shown to be a functi

본 연구는 아동학대상담센터 및 아동학대예방협회에 학대사례로 신고된 3-18세 104사례를 중심으로 피해아동의 특성 및 후유증을 알아보기 위해 사례담당자에게 학대빈도와 지속성에 따른 피해아동의 후유증 인식을 분석하였다. 또한 학대가 일어나고 있는 가정의 부모에게 학대행위자의 특성을 조사하여 학대빈도와 학대지속성에 따른 피해아동의 학대후유증을 어떻게 바라보고 있는지를 분석하였다. 이를 위해 학대에 가담하지 않은 부모에게 Straus(1998)의 부모-아동 갈등해결 척도와 아동행동조사(CBCL)를 체크하도록 하였으며, 사례담당자들에게는 아동의 분노성향 척도, 우울척도 그리고 자아존중감 척도와 현장조사서를 기술하도록 하였다. 그 결과 가장 많이 학대로 신고된 연령대는 초등학생(7세-12세) 아동(52.4%) 었으며, 현장조사 후 학대로 판정된 사례는 63사례(60.6%)이었다. 학대로 판정된 사례를 학대유형별로 살펴보면 신체학대(24.%)와 방임(23.1%), 정서학대(8.7%) 순으로 학

The binomial option pricing model and the trinomial model, its more versatile relative, are invaluable tools for pricing complex derivatives, especially those with American exercise. But while these models converge to the correct option values as the time and price step sizes go to zero, for certain kinds of problems getting close enough may require a very large amount of calculation. The cause is often non-linearity or discontinuity in the option payoff that occurs only in a small region. One e