PROCEEDINGS OF THE 2002 NORTH AMERICAN SUMMER MEETINGS OF THE ECONOMETRIC SOCIETY:

Finance

Edited by David K. Levine and William Zame. Organized by Peter Bossaerts, Eduardo Schwartz, and Walter Torous.

Dirk Baur "The Persistence and Asymmetry of Time-Varying Correlations"

Oleg Bondarenko "Statistical Arbitrage and Securities Prices"

Peter Ove Christensen, Christian Riis Flor, David Lando, Kristian Risgaard Miltersen, "Dynamic Capital Structure with Callable Debt and Debt Renegotiations"

Yongheng Deng, John M. Quigley, "Woodhead Behavior and Pricing of Residential Mortgages"

Ramazan Gencay, Faruk Selcuk, "High Volatility, Thick Tails and Extreme Value Theory in Value-at-Risk Estimation"

Joao Gomes , Dmitry Livdan "A Dynamic Model of Optimal Firm Diversification"

Allan W. Gregory, Jonathan Reeves, "Estimation and Inference in ARCH Models in the Presence of Outliers"

Maik Heinemann "Existence of Strongly Rational Expectations Equilibria on Asset Markets with Asymmetric Information"

Neelam Jain, "Debt, Managerial Incentives and Learning"

Marcelo Pinheiro "Informational Asymmetries and a Multiplier Effect on Price Correlation and Trading"