A structured GARCH model of daily equity return volatility
This paper estimates a structural times series model of return volatility. We argue that the structural time series approach to GARCH modelling first...
Agency conflicts, ownership concentration, and legal shareholder protection
This paper analyzes the interaction between legal shareholder protection, managerial incentives, monitoring, and ownership concentration. Legal...
Disclosures and asset returns
Public information in financial markets often arrives through the disclosures of interested parties who have a material interest in the reactions of...
Does one Soros make a difference?: a theory of currency crises with large and small traders
Do large investors increase the vulnerability of a country to speculative attacks in the foreign exchange markets? To address this issue, we build a...
Flexible term structure estimation: which method is preferred?
We show that the recently developed nonparametric procedure for fitting the term structure of interest rates developed by Linton, Mammen, Nielsen, and...
On Physics and Finance
This paper gives a short introduction of the academic field of financial asset pricing and relates some recent as well as historical developments in...
Financing Constraints and Inventories
This paper puts forward the existence of financing constraints as a possible explanation for two main empirical regularities about inventories; that...
Trade Credit: Suppliers as Debt Collectors and Insurance Providers
There are two fundamental puzzles about trade credit: why does it appear to be so expensive, and why do input suppliers engage in the business of...
An Auto-regressive Conditional Binomial Option Pricing Model
This paper offers an option pricing framework grounded in econometric microstructure modelling. We consider a model where stock price dynamics follow...
Liquidity and Credit Risk
We develop a simple binomial model of liquidity and credit risk in which a bondholder has the option to time the sale of his security, given a...
Public Information, Private Information and the Multiplicity of Equilibria in Co-ordination Games
I study an example of a coordination game, and examine the robustness of equilibrium predictions with respect to changes in the information structure...
Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities
Markov switching models with time-varying means, variances and mixing weights are applied to characterize business cycle variation in the probability...
The Organisational Structure of Banking Supervision
In this paper I try to address the question of whether, and why, it matters whether banking supervision is undertaken in-house in the Central Bank or...
The Emperor has no Clothes: Limits to Risk Modelling
This paper considers the properties of risk measures, primarily Value–at–Risk (VaR), from both internal and external (regulatory) points of view. It...
The shape of the risk premium: evidence from a semiparametric GARCH model
We examine the relationship between the risk premium on the S&P500 index total return and its conditional variance. We propose a new semiparametric...