On Bounded Rationality and Risk Aversion
Experimental evidence suggests that agents who consume at their usual income level are very risk averse, whereas at lower income levels they often...
Forecast Biases in Value-at-risk Estimations: Evidence From Foreign Exchange and Global Equity Portfolios
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Nonlinear Time Series with Long Memory: A Model for Stochastic Volatility
We introduce a nonlinear model of stochastic volatility within the class of "product type" models. It allows different degrees of dependence for the...
Non-Linear Time Series with Long Memory: A Model for Stochastic Volatility
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The Equivalence of Screen Based Continuous-Auction and Dealer Markets
The conventional response given to explain the difference between an auction and dealer markets is that auction markets are order driven and dealer...
Soft Budget Constraint and Stock Price Information
This article investigates the ability of regulatory agencies to keep firms to fixed budgets. The budget implemented at an interim date is always...
Blocks, Liquidity and Corporate Control
The paper develops a simple model of optimal corporate ownership structure in which costs and benefits of ownership concentration are analysed. The...
Default Risk in Asset Pricing
This paper provides an analytical solution for the impact of default risk on the valuation of realistically intricate claims on time dependent...
Optimal Monetary Policy Rules in a Rational Expectations Model of the Phillips Curve
In this paper we construct a rational expectations model based on a Phillips curve that embodies persistence in inflation. As we assume that the...
Underpricing and Crises - IPO Performance in Germany
This analysis extends the international evidence on initial public offerings (IPOs) to new issues in Germany between 1988 and 1995. Germany has been...
Rules v Discretion: The Case of Banking Supervision in the Light of the Debate on Monetary Policy
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Detecting Information from Directors' Trades: Signal Definition and Variable Size Effects
There have been three empirical studies examining the share price reaction following trades by directors of UK companies (King and Röell, 1988; Pope...