Discussion Papers

We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle...

This paper considers the asset-allocation strategies open to members of defined- contribution pension plans. We investigate a model that incorporates...

Current approaches to asset-liability management employ a sequence of distinct procedures to value liabilities and determine the asset allocation...

Order flow has been found to carry information to the market. When assessing how informative order flow is, the VAR methodology is typically employed...

Various markets, particularly NASDAQ, have been under pressure from regulators and market participants to introduce call auctions for their opening...

The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate endogenous interaction between banks...

In this paper we propose an estimation method for two classes of semiparametric scalar diffusion models driven by a Brownian motion: In the first...

Allowing for a richer information structure than usual, we show that rational traders’ calculation with short-term price fluctuations may heavily...

This paper is about the problem of trust in public and private pensions. Trust is largely a problem of credibility and whether we can reasonably...

This paper analyzes banks’ choice between lending to firms individually and sharing lending with other banks, when firms and banks are subject to...

Which pricing kernel restrictions are needed to make low dimensional Markov models consistent with given sets of predictions on aggregate stock-market...

We show that a life-cycle asset allocation model with liquidity constraints and realistically calibrated uninsurable labor income risk rationalizes...

This paper examines the performance of personal pensions (exempt unit trusts) in the UK 1980-2000. Unitised personal pension schemes are a type of...

This paper uses data from the British Household Panel Survey to shed further light on the fall in spending at retirement (the "retirement-consumption...

With a move away from up-front charges following the introduction of stakeholder pensions, consumers are no longer penalised for lapsing on many long...

The present work deals with optimal planning in continuous time, infinite horizon, stochastic neo-classical one-sector models of economic growth (or...