The last decade has witnessed a great deal of research in modelling volatility of financial asset returns, expressed by time-varying variances and covariances. The importance of modelling volatility lies in the dependence of any financial investment decision on the expected risk and return as formalized in classical asset pricing theory. Precise evaluation of volatilities is a compulsory step in order to perform correct options pricing according to recent theories of the term structure of interest rates and for the construction of dynamic hedge portfolios. Models of time varying volatility represent an important ground for the development of new estimation and forecasting techniques for situations not reconcilable with the Gaussian or, more generally, a linear time series framework. This is particularly true for the statistical analysis of time series with long range dependence in a nonlinear framework. The aim of this thesis is to introduce parametric nonlinear time series models with long memory, with particular emphasis on volatility models, and to provide a methodology which yields asymptotically exact inference on the parameters of the models. The importance of these results stems from: (i) rigorous asymptotics was lacking from the stochastic volatility literature; (ii) the statistical literature does not cover the analysis of the asymptotic behaviour of quadratic forms in nonlinear non-Gaussian variates that characterizes our problem.

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This thesis presents the potential opportunities of global asset allocation and the possible enhancement of these opportunities from using a Markov Switching Model. The thesis extends upon previous conditional asset pricing studies in global asset allocation, such as those done by Ilamnen (1995), Harvey, Solnik and Zhou (1992) and Bilson (1993), where expected future returns are forecast based on conditional variables. The finding of these studies, and many others, are combined with the works on Markov Switching models and market segmentation theories to create a uniform structure for analysing regime switching properties in currencies, international equities and international bond markets. This thesis is segregated into 4 major sections. The chapters 1-4 develop a unified framework that is used in the analysis of markets. The chapters 5-7 are focused on currencies, international equities and international bonds. For each market a model is constructed that is based upon the structure proposed by Frankel and Froot (1988). In this model the market is segmented into two groups ?? value based investors and momentum based investors. To replicate this structure, a two regime Markov Switching model is used, where one regime is constructed as a value regime and the second is constructed as a momentum regime. These models are then compared to linear versions of the models, to see whether there is any additional benefit to the application of regime switching methods. In conjunction with testing the potential benefits of the Markov Regime Switching process, this study also investigates the very nature, or characteristics of regime switching in the international markets. This is undertaken though some alternate models and enhancements to see whether there is any predictability, or characterisations can be made of the switching process. To ensure a comprehensive analysis, several analytical methods have been used, including extensive econometric modelling, statistical analysis of forecasts and portfolio back testing. A number of conclusions can be drawn from the results. Firstly it appears that there is substantial evidence of regime switching in international markets, such as that shown in a Frankel-Froot framework. This in turn has major implication for the understanding of the way in which international markets function, and further the empirical evidence supports many of the anecdotal observations of market based participants. Secondly, there appears to be a strong level of economic relevance to the modelling. The models are shown to generate a theoretical economic profit, which shows that the international markets are only semi efficient. Further, forecasts generated from the Markov Switching models outperform the linear counterparts in economic significance in portfolio tests. However, for both equities and bonds, the general accuracy of the forecast tends to be inferior to the linear counterparts. Finally, the nature of regime switching is investigated in detail, particularly in reference to 3 potential drivers ?? greed, fear and success. The evidence shows that these can help explain the characteristics of regime switching, as in some cases potentially adding economic value. However, it seems that success is more important than a broader economic environment.

The research question investigated is “Do managers of Australian firms use upward asset revaluations to reduce debt contracting costs?” Much work in the accounting choice literature is premised on a relation between debt contracts and accounting policies. In particular, prior research using sample periods from the 1970s and early 1980s, provides evidence that asset revaluations are used to reduce the costs of debt contracting (see Whittred and Chan, 1992; Brown, Izan and Loh, 1992; and Cotter and Zimmer, 1995). However, considerable changes to the institutional setting have occurred in the past decade. These institutional changes include increased regulation of asset revaluations and disclosures, changes in the macroeconomic environment, and changes in the Australian debt market. Particularly, there has been a shift in emphasis from public to private debt. The relationship between asset revaluations and debt contracting is examined in the current setting. Following Watts and Zimmerman’s (1990) suggestion that research into the relationship between firms’ contracts and their accounting policy choices will be improved by the use of more refined measures of contracting variables, the research commences with an investigation of the terms contained in recently issued debt contracts. Accordingly, this thesis contains two phases. Part A comprises an investigation of the covenants and accounting measurement rules typically contained in the recent debt contracts of listed Australian firms, with an emphasis on the role of asset revaluations. Part B then uses the outcomes of this investigation to determine the refined measures of debt contract terms used in testing hypotheses about the current relationship between asset revaluations and debt contracting. Part A establishes the current dominance of bank loan financing, along with a dramatic decline in the use of public debt. Details of the terms typically contained in bank loan agreements, particularly those relating to asset revaluations, are then investigated using a questionnaire survey of senior corporate bankers and analysis of a small sample of actual contracts. Outstanding public debt contracts are also analysed and compared with private debt contracts. The results of this phase of the research indicate that leverage covenants are the most widely used accounting based covenant in the bank loan agreements of listed Australian firms. In addition, interest coverage, current, tangible net worth, and prior charges ratios are all frequently used. Covenants tend to be less restrictive for larger firms than for smaller firms, and more restrictive for mineral producers than for industrial firms. Covenants contained in bank loan agreements tend to be more restrictive than those contained in convertible note trust deeds. In addition to providing important data for part B, the results of this phase of the research address an important gap in our knowledge about the terms contained in recently issued public and private debt contracts of listed Australian firms. Part B develops hypotheses based on the assumption that the costs of revaluing will be incurred when they are expected to be less than reductions in the costs of debt contracting derived from the revaluation. Due consideration is given to the likelihood that at least some of these costs have changed since prior research was conducted. In addition to the arguments presented in prior asset revaluations research, the expected costs of default on debt contracts, and the accounting discretion available to managers, are investigated as determinants of asset revaluation accounting choices. Predictions are made in relation to the likelihood of revaluation, the choice of valuer type, and whether to recognise or merely disclose new valuations of land and buildings. Interestingly, the results of prior research do not replicate in the current setting. Further analysis shows that differences in results are not due to differences in research methods between the current and prior research. In order to further examine the potential impact of changes to the institutional setting, a series of interviews with Chief Financial Officers is undertaken. The conclusion drawn from this additional analysis is that the relatively closer relationship between firms and their bankers has caused many firms to choose footnote disclosure of undervalued assets in preference to recognising an upward asset revaluation in the balance sheet. Overall, the results indicate that, when investigating the relationship between firms’ contracts and their accounting policy choices, a consideration of the way that contracts are negotiated and monitored is potentially more important than the use of refined measures of contract terms.

Zugl.: Hohenheim, Univ., Diplomarbeit, 2001

Universiẗat, Diplomarbeit, 2001--Hohenheim. / Literaturverz. S. 115-129.

Diss. Stockholm : Kungliga Tekniska högskolan, 2007.

Thesis (Ph.D.)--York University, 2007. Graduate Programme in Schulich School of Business. / Typescript. Includes bibliographical references. Also available on the Internet. MODE OF ACCESS via web browser by entering the following URL: http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&res_dat=xri:pqdiss&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft_dat=xri:pqdiss:NR29334

Thesis (Ph. D.)--Ohio State University, 2008. / Title from first page of PDF file. Includes bibliographical references (p. 122-129).

Thesis (Ph. D.)--University of Hong Kong, 2005. / Title proper from title frame. Also available in printed format.