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We estimate and compare a variety of continuous-time models of the short-term riskless rate using the generalised method of moments. We find that the most successful models in capturing the dynamics of the short-term interest rate are those that allow the volatility of interest rate changes to be highly sensitive to the level of the riskless rate. A number… (More)
well as the participants at the 2001 Cambridge/Maastrict Conference for their helpful comments and suggestions. We also thank Intex for use of the CMBS database and RERI for financial support.
The academic literature, the popular press, and policymakers have all debated securitization's contribution to the poor performance of mortgages originated in the run-up to the recent crisis. Theoretical arguments have been advanced on both sides, but the lack of suitable data has made it difficult to assess them empirically. We examine this issue by using… (More)
We present data on the vulnerability of a variety of candidate spacecraft electronics to proton and heavy-ion induced single-event effects and proton-induced damage. We also present data on the susceptibility of parts to functional degradation resulting from total ionizing dose at low dose rates (0.003–4.52 rads(Si)/s).
The global market for collateralized debt obligations (CDOs) witnessed explosive growth over the 1997-2006 period, as the stock of global issuance expanded from $300 billion to almost $2 trillion. CDO issuance importantly supported the market for subprime mortgage-backed debt, via the re-packaging of those assets into derivative CDO securities. The surge in… (More)
The Real Estate Investment Trust (REIT) industry has undergone three waves of Initial Public Offering (IPO) since 1980. In this paper we examine these waves within the context of the general IPO wave literature. We note that the unique nature of REITs may render them more transparent than other stocks, and that this may affect their IPO performance.… (More)
* The authors would like to thank seminar participants at University of Southern California for their helpful comments. In addition, we would like to thank Harley Rouda, Jr. for the data used in this paper. Abstract Many goods are marketed after first stating a list price, with the expectation that the eventual sales price will differ. In this paper we… (More)
We present the results of single event effects (SEE) testing and investigating the effects of space radiation on electronics. This paper is a summary of test results.
We examine the risk and return characteristics of publicly-traded real estate companies from 14 countries over the period 1990 to 2001. Our data are monthly country-level commercial real estate indexes constructed by the European Public Real Estate Association (EPRA). We find substantial variation in mean real estate returns and standard deviations across… (More)