JH McCulloch - The Journal of Finance, 1975 - JSTOR
IT HAS BEEN DEMONSTRATED, by Robichek and Niebuhr [8], that taxinduced bias can
substantially alter the shape of the yield curve if it is constructed from quotations on bonds
selling below par. The apparent before tax yield curve can be upward sloping at the same ...
JH McCulloch - The Journal of Business, 1971 - JSTOR
This paper develops a technique of fitting a smooth curve, called the" discount function," to
observations on prices of securities with varying maturities and coupon rates. The yield
curve, instantaneous forward interest rates, mean forward interest rates, and consistent ...
RJ Shiller… - 1987 - nber.org
This paper consolidates and interprets the literature on the term structure, as it stands today.
Definitions of rates of return, forward rates and holding returns for all time intervals are
treated here in a uniform manner and their interrelations, exact or approximate, delineated ...
[CITATION] US term structure data, 1947-1991
JH McCulloch, HC Kwon… - 1993 - Department of Economics, Ohio …
JH McCulloch - Handbook of statistics, 1996 - Elsevier
JH McCulloch - Journal of Business & Economic Statistics, 1997 - JSTOR
A generalized Pareto or simple Pareto tail-index estimate above 2 has frequently been cited
as evidence against infinite-variance stable distributions. It is demonstrated that this
inference is invalid; tail index estimates greater than 2 are to be expected for stable ...
JH McCulloch - The Journal of Political Economy, 1975 - JSTOR
The liquidity premium on US government securities is quantitatively estimated and
tabulated, using maturities from 1 month to 30 years. Unbiased forecasting by the market is
assumed in order to get at expectations. The premium is estimated, first allowing it to take ...
[CITATION] US term structure data, 1946-87
JH McCulloch - Handbook of monetary Economics, 1990
JH McCulloch - Journal of Banking & Finance, 1985 - Elsevier
Abstract The parameters of interest rate uncertainty are estimated by maximum likelihood for
the period 1952–1982, and used to evaluate bank or thrift deposit insurance as a function of
duration mismatching, capital/asset ratio, and the recent history of interest rate forecasting ...
JH McCulloch - Economic Inquiry, 1975 - Wiley Online Library
NBER business “cycle” reference dates and aggregate economic time series are examined
for evidence of regular cyclic behavior. A simple contingency table test is used on the
reference dates, and aggregate series are fit with a second-order autoregression. The ...
JH McCulloch - The Quarterly Journal of Economics, 1975 - JSTOR
In a recent article, Siegel has called attention to a paradox involving forward foreign
exchange rates.'This paradox has been partially resolved in two comments by Roper and
Boyer, who assume that national economies are highly interdependent. In the present ...
JH McCulloch - Journal of Business, 1978 - JSTOR
It is well known that the continuous time sample paths of variables with stable increments
contain infinitely many discontinuities. This paper derives the distribution of the largest
discontinuity in the intermediate stable case and of all the discontinuities in the" worst" ...
JH McCulloch - Journal of Finance, 1993 - JSTOR
An example of a continuous time economy is given whose general equilibrium term structure
of interest rates obeys the Expectations Hypothesis for continuously compounded interest
rates and returns, contradicting the 1981 claim by Cox, Ingersoll, and Ross that such an ...
JH McCulloch - Journal of Financial Economics, 1987 - Elsevier
Abstract Fama's evidence that the term premium on Treasury securities is not monotonically
increasing is found to depend entirely on the behavior of bid-asked mean returns on 9-and
10-month bills, and only during the subperiod 8/64–12/72. When transactions costs, as ...
JH McCulloch, LA Kochin… - 1998 - econ.ohio-state.edu
The introduction of 30-year price-level indexed US Treasury bonds in April of 1998, in
conjunction with 10-and 5-year indexed notes released in January and July of 1997,
provides an unprecedented opportunity to measure the US real term structure of interest ...
JH McCulloch - The American Economic Review, 1980 - JSTOR
In a recent article in this Review, Nissan Liviatan and David Levhari attempt to explain the
phenomenon that" In spite of recent marked inflationary trends the important capital markets
have not developed a significant free (private enterprise) market for [cost-of-living] linked ...
JH McCulloch - A practical guide to heavy tails, 1998 - books.google.com
Abstract A linear regression with symmetric stable disturbances may be estimated quickly by
maximum likelihood (ML), using the symmetric stable density approximation of [MC6]. The
resulting estimator is robust, in the sense that it effectively gives less weight to outlier ...
JH McCulloch - 1978 - nber.org
Traditionally, banks and financial intermediaries borrow short and lend long. This causes a
risk of negative net worth (and failure, under simplifying assumptions), because the present
discounted value of the assets is more volatile than that of the liabilities. This paper utilizes ...
JH McCulloch - 1975 - getcited.org
An academic directory and search engine.
JH McCulloch - 1977 - nber.org
The Austrian theory of the" marginal use" is restated and extended. It is found that the
Austrian concept of marginal utility (as derived from the marginal use) is not dependent on
cardinal utility, and indeed is consistent with" intrinsically ordinal" utility. In this system, ...
[CITATION] Beyond the Historical Gold Standard
JH McCulloch - Alternative Monetary Regimes, 1986
PV Bidarkota… - Journal of Applied …, 1998 - Wiley Online Library
Abstract Monthly inflation in the United States indicates non-normality in the form of either
occasional big shocks or marked changes in the level of the series. We develop a univariate
state space model with symmetric stable shocks for this series. The non-Gaussian model ...
[CITATION] Foreign exchange option pricing with log-stable uncertainty
JH McCulloch - Recent developments in international banking …, 1987 - Lexington Books
JH McCulloch - 2003 - deutsche-bundesbank.de
The fact that expected payoffs on assets and call options are infinite under most log-stable
distributions led both Paul Samuelson (as quoted by Smith 1976) and Robert Merton (1976)
to conjecture that assets and derivatives could not be reasonably priced under these ...
JH McCulloch - The Journal of Business, 1986 - JSTOR
The subject of government bank regulation is intimately intertwined with that of government
deposit insurance. If the government is to insure bank deposits, it should also have some
say in the risks that insured banks are allowed to take, otherwise it would leave itself wide ...
PV Bidarkota… - Journal of Economic Dynamics and Control, 2003 - Elsevier
We study the consumption based asset pricing model due to Lucas (Econometrica 46 (1978)
1429). The exogenous endowment sequence is modeled as a linear stochastic process
driven by stable shocks in an otherwise standard framework. The Gaussian process ...
JH McCulloch - Journal of Monetary Economics, 1981 - Elsevier
Abstract Individuals plan consumption and production for different point in the future, using
interest rates of various maturities as a guide. However, the financial intermediaries
individuals work through traditionally do not match the maturity structure of their assets ...
PV Bidarkota… - Quantitative Finance, 2004 - Taylor & Francis
We investigate persistence in CRSP monthly excess stock returns, using a state space
model with stable disturbances. The non-Gaussian state space model with volatility
persistence is estimated by maximum likelihood, using the optimal filtering algorithm given ...
JH McCulloch… - The GENEVA Papers on Risk and Insurance- …, 1998 - Springer
The apparent banking market failure modeled by Diamond and Dybvig [1983] rests on their
inconsistently applying their “sequential servicing constraint” to private banks but not to their
government deposit insurance agency. Without this inconsistency, banks can provide ...
[CITATION] The value of European options with log-stable uncertainty
JH McCulloch - 1985 - Ohio State University
JH McCulloch - Housing Finance Review, 1986 - econ.ohio-state.edu
Using vector autoregression techniques, it is found that real incomes and house prices are
more predictable than nominal incomes and house prices. It follows that price level adjusted
mortgages, if properly underwritten, can be safer than either traditional fixed payment ...
JH McCulloch - 1978 - nber.org
The well-known option pricing formula of Black and Scholes depends upon the assumption
that price fluctuations are log-normal. However, this formula greatly underestimates the
value of options with a low probability of being exercised if, as appears to be more nearly ...
[CITATION] The Bat Creek Inscription: Cherokee or Hebrew?
JH McCulloch… - 1988 - Tennessee Anthropological …
JH McCulloch… - … Conference on Computing …, 2000 - economics.sbs.ohio-state.edu
The theory proposes a theoretically derived adjustment process for monetary disequilibria. The
theory is similar in structure to the Quantity Theory of Money in that it presents prices as a function
of the disequilibrium between desired money holdings and the actual money stock. But, ...
JH McCulloch - 2005 - Citeseer
CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): Adaptive
Least Squares (ALS), a refinement of the Constant Gain Recursive.
PV Bidarkota, BV Dupoyet… - Macroeconomic …, 2007 - Cambridge Univ Press
We study the constant discount rate present value model for stock pricing in a stochastic
setting where the exogenous dividend stream is modeled as a random walk with innovations
drawn from the family of stable distributions. We derive an exact analytical solution for the ...
JH McCulloch - Journal of Money, Credit and Banking, 1991 - JSTOR
THE TOPIC OF THIS CONFERENCE is Price Stability, and this session specifically
addresses the issue," What Should the Fed Do?" In these comments I make a specific and
easily implementable proposal for what the Federal Open Market Committee should do if it ...
JH McCulloch - Proceedings, 1987 - ideas.repec.org
No abstract is available for this item. ... To our knowledge, this item is not available for
download. To find whether it is available, there are three options: 1. Check below under "Related
research" whether another version of this item is available online. 2. Check on the ...
JH McCulloch - Federal Reserve Bank of St. Louis Review, 1993 - research.stlouisfed.org
. RADITIONAL BANKS and thrift institutions are beset by two special problems that most
other firms do not confront. The first special problem is the extreme mismatching of maturities
by thrift institutions. Until recently, these institutions were expected and even encouraged ...
PV Bidarkota, BV Dupoyet… - Journal of Economic Dynamics …, 2009 - Elsevier
We study a consumption-based asset pricing model with incomplete information and α-
stable shocks. Incomplete information leads to a non-Gaussian filtering problem. Bayesian
updating generates fluctuating confidence in the agents' estimate of the persistent ...
[CITATION] Deflating the SEI for grade inflation
JH McCulloch - 1998 - Working Paper, Department of …
JH McCulloch… - 2000 - Citeseer
(614) 292-0382 (Voice) (614) 292-3906 (FAX mcculloch.2@osu.edu http://economics.sbs.ohio
-state.edu/jhm/jhm.html ... In a recent paper, Dybvig, Ingersoll and Ross claim to have proven
that in the absence of ... This comment shows that there is a crucial error in the proof of ...
[CITATION] The 'Bellwether'30-year Treasury Bond is an exceptionally bad investment
JH McCulloch - Ohio State University.(Available at economics. sbs. …, 2000
PV Bidarkota, JH McCulloch… - 1996 - en.scientificcommons.org
Abstract We investigate persistence in CRSP monthly real stock returns, using a statespace
model with symmetric stable disturbances. The non-Gaussian state-space model is
estimated by maximum likelihood, using the optimal filtering algorithm given by Sorenson ...
[CITATION] Did Judean Refugees Escape to Tennessee?
JH McCulloch - Biblical Archaeological Review, 1993
JH McCulloch - 2003 - econ.ohio-state.edu
The Risk-Neutral Measure (RNM) is a risk-adjusted quasi-probability density under which
asset and derivative prices may be computed as expectations in an arbitrage-free market. In
general, however, the RNM differs from the Frequency Measure (FM), the true probability ...
[CITATION] The Skew-Student Distribution with Application to US Stock Market Returns and the Equity Premium
YI Kim… - Journal of Financial Econometrics, 2007
[CITATION] The Bat Creek Inscription: Did Judean Refugees Escape to Tennessee?
JH McCulloch, SD Ricks, PK McCarter… - 1993 - Foundation for Ancient Research & …
[CITATION] The US Real Term Structure of Interest Rates with Implicit Inflation Premium
JH McCulloch - 2006
JH McCulloch - 14TH ANNUAL CONFERENCE ON …, 2008 - ecolan.sbs.ohio-state.edu
ABSTRACT It is shown that the Newey-West (1987) Heteroskedasticity and Autocorrelation
Consistent (HAC) covariance matrix estimator can greatly understate the standard errors of
OLS regression coefficient estimates in finite samples, and therefore comparably overstate ...
JH McCulloch - The Canadian Journal of Economics/Revue …, 1974 - JSTOR
FIGURE 1 Edgeworth-Bowley Production Contract Box equilibrium, for it implies that
labourers are paid more in the uncovered industry than in the covered industry. What really
happens? Mathematical analysis does not help, for it gives the same unreasonable ...
[CITATION] PLAMs: Affordable Mortgages from Inflation-Proof Deposits
JH McCulloch - Quarterly Review, 1982
[CITATION] «Macroeconomic Implications of the Minimum Wage»
JH McCulloch - The Economics of Legal Minimum Wage, Washington, 1981
[CITATION] The Valuation of European Options with Log-Stable Uncertainty."
JH McCulloch - 1985 - Ohio State University Working Paper
JH McCulloch - The American Economic Review, 1982 - JSTOR
William Kelly's comment identifies a number of alternatives firms have to price level
indexation of debt which fill many of the functions of indexed debt and therefore may to some
extent be regarded as proxies for such debt. These proxies would help explain the ...
[CITATION] " The distribution of Student's t statistic under symmetric stable laws: a Monte Carlo sketch., Unpublished working paper
JH McCulloch - 1980
[CITATION] Expectations Hypothesis Revisited
JH McCulloch… - 1990 - Department of Economics, Ohio …
[CITATION] The Newark, Ohio Inscribed Head: A New Translation
JH McCulloch - Epigraphic Society Occasional Papers, 1990
JH McCulloch - 1977 - nber.org
The term structure of interest rates is carefully analyzed over the period 1947-77 in order to
construct a monthly series on cumulative unanticipated changes in long-term interest rates.
This series is a sort of synthetic interest rate, changes in which over several months or ...
JH McCulloch - 2005 - ecolan.sbs.ohio-state.edu
Abstract The remarkable similarity between the Smithsonian's Bat Creek inscription and a
Paleo-Hebrew phrase published in an 1870 Masonic reference work reported in American
Antiquity by Mainfort and Kwas (2004) demonstrates that its Hebrew affinity should have ...
JH McCulloch - Midwest Epigraphic Journal, 1989 - econ.ohio-state.edu
The history of the five Hebrew inscriptions found in and near Newark, Ohio between 1860
and 1867 by David Wyrick and others has been recounted with extraordinary thoroughness
by Prof. Robert W. Alrutz of Denison University (1980). Joseph Schenck (1982) has ...
[CITATION] Biblical Archaeology Review
JH McCulloch - 1993 - July-August
JH McCulloch - Economic Inquiry, 1977 - Wiley Online Library
Skip to Main Content. ...
JH McCulloch… - Computing in Economics and …, 2003 - econpapers.repec.org
By J. Huston McCulloch and Prasad V. Bidarkota; Signal
Extraction can Generate Volatility Clusters.
JH McCulloch - Computing in Economics and Finance 2004, 2004 - ideas.repec.org
The fact that expected payoffs on assets and call options are infinite under most log-stable
distributions led both Paul Samuelson (as quoted by Smith 1976) and Robert Merton (1976)
to conjecture that assets and derivatives could not be reasonably priced under these ...
JH McCulloch - The Review of Economics and Statistics, 1978 - JSTOR
318 THE REVIEW OF ECONOMICS AND STATISTICS policy. The model developed here
provides insight for evaluating empirical work in benefit-cost analysis, and a framework for
rigorous theoretical analyses of more complex problems. Implications for further research ...
JH McCulloch - Computing in Economics and Finance 2001, 2001 - ideas.repec.org
Monthly term structures are fit to US Treasury inflation-indexed securities using a QN
(Quadratic-Natural) spline, developed in this paper, and also to conventional nominal
securities of comparable maturities. The ratio of the real to nominal discount functions is ...
JH McCulloch… - Working Papers, 2002 - econpapers.repec.org
By J. Huston McCulloch and Prasad V. Bidarkota; Signal Extraction
Can Generate Volatility Clusters From IID Shocks.
RR Hamada, AS Blinder, M Blume… - … capital structures in …, 1985 - books.google.com
Author Index Auerbach, Alan J., 306, 310, 311 Baxter, N., 325 Black, F., 239, 241, 304, 326
Blanchard, Olivier J., 201 Blinder, Alan S., 119, 136 Blume, M, 181 Bradley, Michael, 298
Brainard, William C, 83, 92, 200, 201 Brennan, M., 253 Carlson, John A., 140, 156 ...
JH McCulloch - Retrieved December, 2007 - econ.ohio-state.edu
The image on the the right is an actual frontal view of David, as he coolly yet menacingly
awaits Goliath, his sling at the ready over his shoulder and his face full of disdain. With this
lighting, he actually appears to be sneering at the giant. The message of the sculpture is ...
JH McCulloch - 1977 - nber.org
Minimum wage legislation is frequently advocated in the belief that itcreates a more nearly
equal distribution of income. A one-sector model of general equilibrium is used to analyze a
universally applicable minimum wage, and a two-sector model is used to analyze a ...
RJ Shiller… - Cowles Foundation Discussion Papers, 1987 - ideas.repec.org
This paper consolidates and interprets the literature on the term structure, as it stands today.
Definitions of rates of return, forward rates and holding returns for all time intervals are
treated here in a uniform manner and their interrelations, exact or approximate, delineated ...
PV Bidarkota… - Working Papers, 2003 - economics.fiu.edu
Abstract: We develop a framework in which information about firm value is noisily observed.
Investors are then faced with a signal extraction problem. Solving this would enable them to
probabilistically infer the fundamental value of the firm and, hence, price its stocks. If the ...
JH Mcculloch… - International Advances in Economic Research, 1997 - Springer
Similar to many other studies, this paper documents that the distribution of foreign exchange
rate changes are non-normal stable Paretian. Using a log-stable model developed by McCulloch
["The Value of European Options with Log-Stable Uncertainty," working paper, 1985; ...
JH McCulloch - Computing in Economics and Finance 2006, 2006 - ideas.repec.org
The Local Scale Model of Shephard (1994) is a state-space model of volatility clustering
similar in effect to IGARCH, but with an unobserved volatility that realistically evolves
independently of the observed errors, instead of being mechanically determined by them. ...
DJ Theroux, A Tabarrok, BL Benson… - … : bright ideas from …, 2002 - books.google.com
The Independent Institute is a non-profit, non-partisan, scholarly research and educational
organization that sponsors comprehensive studies of the political economy of critical social
and economic issues. The politicization of decision-making in society has too often ...
[CITATION] The $3.50 Minimum Wage:" Let Them Earn Cake!"[with responds]
JH McCULLOCH… - Challenge, 1973 - undetermined
JH McCulloch… - 2008 - econ.ohio-state.edu
Abstract We construct a simple representative agent model to provide a theoretical
framework for the logstable option pricing model. We also implement a new parametric
method for estimating the risk neutral measure (RNM) using a generalized two-factor log- ...
JH McCulloch - econ.ohio-state.edu
Each scale value st (and therefore the initial value s 1) has a common unconditional
distribution with some precise pdf g (s) and corresponding cdf G (s). This is not a standard
distribution, but it can be approximated numerically, given the parameters and f (z), by ...
[CITATION] CENTER FOR ECONOMIC ANALYSIS OF HUMAN BEHAVIOR AND SOCIAL INSTITUTIONS
JH McCulloch
JH McCulloch… - Computing in Economics and …, 2002 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to
view it first. Information about this may be contained in the File-Format links below. In case of
further problems read the IDEAS help page. Note that these files are not on the IDEAS site ...
JH McCulloch - 1977 - nber.org
Individuals plan consumption and production for different points in the future, using interest
rates of various maturities as a guide. How-ever, individuals do not always pre-contract all
planned future borrowing and lending, and the intermediaries they work through often do ...
JH McCulloch - econ.ohio-state.edu
Abstract The remarkable similarity between the Smithsonian's Bat Creek inscription and a
Paleo-Hebrew phrase published in an 1870 Masonic reference work reported here by
Mainfort and Kwas (2004) demonstrates that its Hebrew affinity should have been ...
[CITATION] OF MONEY, CREDIT AND BANKING
SA McCafferty, JH McCulloch, RA Driskill… - JSTOR
[CITATION] Interest-risk Sensitive Deposit Insurance Premia: Adaptive Conditional Heteroskedastic Estimates
JH McCulloch… - 1983 - Ohio State University, Department of …
JH McCulloch - 2005 - ideas.repec.org
Adaptive Least Squares (ALS), ie recursive regression with asymptotically constant gain, as
proposed by Ljung (1992), Sargent (1993, 1999), and Evans and Honkapohja (2001), is an
increasingly widely-used method of estimating time-varying relationships and of proxying ...
JH MCCULLOCH - 219.225.6.7
Furthermore, simple before tax term structure estimation does not satisfactorily explain the
market prices of low coupon bonds selling at a discount, because of the long-term capital
gains tax advantage on these securities. Treating these bonds as outliers is unsatisfactory, ...
PV Bidarkota… - 2002 - economics.sbs.ohio-state.edu
Abstract: We develop a framework in which information about firm value is noisily observed.
Investors are then faced with a signal extraction problem. Solving this would enable them to
probabilistically infer the fundamental value of the firm and, hence, price its stocks. If the ...
JH McCulloch - 2010 - Citeseer
ABSTRACT A Moment Ratio Estimator is proposed for the parameters of an Autoregressive
(AR) model of the error in an Ordinary Least Squares (OLS) linear regression. Although it is
computed from the conventional residual autocorrelation coefficients, it greatly reduces ...
JH McCulloch… - 1975 - econ.ohio-state.edu
ABSTRACT This paper demonstrates that it is not necessary to Ä-ъ^ ргт-; assume the quasi-
concavity of commodity preferences, as Hicks asserted in Value and Capi tal. Rather, at
least in the simplest case of two independent goods, this property can be deduced from ...
[CITATION] OF MONEYs CREDIT AND BANKING
MJBIJ qf MaryOrld, P Cagan, C Universzty… - JSTOR
[CITATION] Symposium on Bank Regulation
MW Reder, J Kareken, P Cagan, DW Diamond… - 1986 - The University of Chicago Press
JH McCulloch - INTERNATIONAL LIBRARY OF …, 2001 - en.scientificcommons.org
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