We present a series of models capturing the non-stationarities and dependencies in the variance of yields on natural gas futures. Both univariate and multivariate models are explored, based on the ARIMA and Hidden-Markov methodologies. The models capture the effects uncovered through various data mining techniques including seasonality, age and transaction-time effects. Such effect have been previously described in the literature, but never comprehensively captured for the purpose of modeling. In addition, we have investigated the impact of temporal aggregation, by modeling both the daily and the monthly data. The issue of aggregation has not been explored in the current literature that focused on the daily data with uniformly underwhelming results. We have shown that modifications to current models to allow aggregation leads to improvements in performance. This is demonstrated by comparing the proposed models to the models currently used in the financial markets.

During 1994 domestic and foreign investors in Mexico increased the share of TESOBONOS in their portfolios when they perceived the possibility of a future devaluation of the Mexican peso or, in other words, the abandonment of the controlled floating exchange rate regime. This work finds that both domestic and foreign investors responded to monetary policies followed by Banco de Mexico after March 1994, when adverse political events occurred, keeping their investment in Mexico in TESOBONOS rather than leaving the country. Domestic and foreign investors did not have a high expected probability of devaluation, however, they were certain that if a devaluation was going to happen the size of it would be approximately a hundred percent.

We consider a volatility model, named ARCH-NNH model, that is specifically an ARCH process with a nonlinear function of a persistent, integrated or nearly integrated, explanatory variable. We first establish the asymptotic theories showing that the time series properties of our model successfully describe stylized facts about volatility in financial time series. Due to persistent covariates, the model generates time series showing the long memory property in volatility and leptokurtosis which are commonly observed in speculative return series. Next, we derive the asymptotic distribution theory of the maximum likelihood estimator in our model. In particular, we establish the consistency and asymptotic mixed normality of the maximum likelihood estimator in the model, which ensure the standard inference procedure is valid in our model. Additionally, we conduct misspecification analysis and provide an explanation of the commonly observed IGARCH behavior of financial time series. Our theory shows that the IGARCH behavior could be spurious and could be the result of ignoring persistent covariates in ARCH type models. Finally, we present two empirical applications and a forecast evaluation of our model. Both empirical applications show that our model fits the data very well, and the estimation results confirm the findings of other literature. It is shown that the default premium (the yield spread between Baa and Aaa corporate bonds) predicts stock return volatility, and the interest rate differential between two countries accounts for exchange rate return volatility. The forecast evaluation shows that our model generally performs better than other standard volatility models at relatively lower frequencies.

For airlines, one of the most significant challenges in the 1990's will be to finance the enormous fleet replacement and expansion activities they have undertaken. Because airline earnings tend to by cyclical and industry returns on capital investment have traditionally been poor, lenders have come to rely increasingly on asset based methods to finance aircraft acquisitions. / On account of the prevalence of asset based financing, the underlying legal structures must be able to reassure the lender, to a reasonable extent, that its interests in the aircraft will be protected and recognized. / In Canada, the legal structures for taking security on aircraft are complex, as such interests are governed by the diverse provincial laws regarding security on moveable property generally. Moreover, rights in aircraft are not registered in one central location, but must be filed in accordance with the legislation of each province where the aircraft is likely to be used. / The establishment of a central registry for security interests in aircraft would assuredly contribute to the future development of Canadian civil aviation. It would do away with multiple provincial registration of rights in aircraft and thereby add a considerable measure of certainty in the field of asset based aircraft financing.

The field of international air transport is one of complex regulation. When it comes to foreign direct investment (FDI) in this area regulators have long sought to protect the industry from outside control and ownership. Recently, however, a more liberal attitude is emerging towards FDI as one which embraces this source of capital. The questions that this dissertation will try to answer are why FDI in air transport is still so strictly controlled in air transport and how it could be regulated in the future. / FDI in basic telecommunications has experienced the same development as international air transport. As in aviation, basic telecommunications providers have been prevented from acquiring excessive foreign controlling capital. This year, however, basic telecommunications was brought under the General Agreement on Trade and Services (GATS). This has resulted in a decrease in the regulatory restraints against FDI. / It is the contention of this dissertation that as in international basic telecommunications, FDI in international air transport should be regulated through the GATS. The paper examines the history of FDI regulation in both fields as well as recent trends to liberalize FDI flow. It concludes with a proposed GATS annex for air transport based on the lessons learned from basic telecommunications.

This thesis examines the legislative framework governing foreign investment in Vietnam. More specifically, it focuses on the regulatory control exerted over foreign entities in the country. At the fulcrum of Vietnam's transition from a centrally-planned to a market-oriented economy, its foreign investment legislation is designed to attract the outside capital necessary to rebuild its infrastructure. Simultaneously, it must also allow the authorities to effectively screen the entry of foreign investment and supervise the operations of foreign enterprises. The various control mechanisms in the Vietnamese legislative framework are far too extensive and, as such, not only create an impediment to a greater flow of foreign direct investment in the country, but also account for a more difficult business environment. Amidst efforts to reconcile the tenets of market economy with communist ideology, the handling of foreign interests in Vietnam remains highly conditioned by various ideological, political, historical and cultural factors. This thesis concludes with a review of the underlying issues affecting the investment climate: the Vietnamese notion of private rights, the political risk at play for foreign investors and the country's legal development with regards to the principle of the rule of law.

This thesis describes a system that retrieves exchange-traded option quotes on stocks, which are specified by the user, from the website www.moneynet.com. The data obtained from the Web is analyzed to determine the "breakeven" stock prices. A breakeven stock price is the expiration-date stock price for call or put options, in order for the call or put holders as a group to break even. This information is very useful as it helps us to understand the stock markets and the opinions of stock traders. It is useful for expectation analysis as well. The system is written in Excel 2000 and the data obtained from the Web is displayed on Excel spreadsheets and is transformed into a format that can be analyzed by the program. The program consists of approximately 900 lines of VBA code and uses many advanced Excel built-in functions.

In this comparative study a broad view of insider trading in the United States and Switzerland will be presented. The goal is to compare the developments in two different nations with different legal traditions. / While in the United States a long tradition of literature and cases already exists and a development of cases can be shown, the situation in Switzerland is completely different because the law was enacted only a year ago. / It is the task of this thesis not only to outline the different developments but also to demonstrate the influence the United States had on to the process of legislation in Switzerland. / It may be the price of the internationalization of the capital market that a nation such as Switzerland with some importance in this field is no longer completely free to legislate.

Following a long period of recession which affected the world's economy and a fortiori the aerospace industry the demand for new aircraft is now very high. Purchasing an aircraft is a very complex operation as several parties are involved, not only the final user of the airplane and the manufacturer. Banks or other institutional lenders, trustees, lessors, private investors, etc... may be involved in the elaboration of a purchase contract. This leads to the creation of very complex financial deals. Moreover, the various parties to such a contract often come from different countries and, therefore, are subject to different legal systems. / This thesis begins with a review of the various methods of financing available to lenders i.e. the title based financing and the security based financing with an emphasis on the French and American legislations. Next an analysis of the international legislation and the rights in aircraft will be presented, including the UNIDROIT's as yet unenforced proposals. Then there will be an examination of conflicts of laws and conflicts of jurisdictions--conflicts that are particularly complicated in the field of aircraft financing. Lastly, the question of bankruptcy, with an emphasis on the American case, will conclude this paper.

Prospects of securing affordable and efficient development finance for Central and Eastern European countries largely depends upon development of international securitizaton in the region, which is characterized by an undercapitalized banking sector and weak domestic investors' base. / Securitization in the United States is examined as an example of how a developed jurisdiction can deploy this institution. The study of the cross-border structured finance experience gained by Latin American countries serves to show that this financing technique can be used in Ukraine. Ukraine is viewed as a target developing jurisdiction, and relevant proposals for Ukrainian law reform with emphasis on secured financing and bankruptcy regimes are elaborated.