Discussion Papers

Accurate prediction of extreme events are of primary importance in many financial ap-plications. The properties of historical simulation and...

In this paper we present a model of the development of the term structure of defaultable interest rates that is based on a multiple-defaults model...

The assumption of perfect capital markets is least likely to be satisfied for the class of firms which devote resources towards the development of...

In a model that exhibits both moral hazard and hidden information on the part of the manager different remuneration schemes are discussed and the...

We study the effect of predictability of an asset's return on the prices of options on that asset, for models in which returns are serially...

This paper provides an up-to-date review and summary of the existing literature on the informational aspects of price processes. A common feature of...

This paper explored the dynamics of insurance markets under incomplete information. Various information structures are examined, according to the...

A speculative security is an asset whose payoff depends on a random shock uncorrelated with economic fundamentals (a sunspot) about which some traders...

A new estimate of the long-run impact of trading activity on bid-ask spreads in the foreign exchange markets is realized with a short panel containing...

In this paper we study the signalling role of sterilised central bank intervention. Through a market micro-structure framework, we show that in some...

A comprehensive set of estimates of long memory in the volatility of three intra-day foreign exchange data series is presented. Robust semiparametric...

We analyse the role of debt in persuading an entrepreneur to pay out cash flows, rather than to divert them. In the first part of the paper we study...

This paper shows that asymmetric information between lenders and borrowers plays a crucial role in the existence of interactions between financial...

Stock option plans are derived as the optimal managerial compensation scheme based on the interactions between motivating the CEO to extract...

We study the processes for the conditional mean and variance given a specification of the process for the observed time series. We derive general...

This papers studies the high frequency reaction of the DEM/USD exchange rate to publicly announced macroeconomic information emanating from Germany...