Discussion Papers

This paper discusses the Monte Carlo maximum likelihood method of estimating stochastic volatility (SV) models. The basic SV model can be expressed as...

In this paper we apply a regression test of the volatility of asset prices to a cross-section data set of US stock prices each year between 1932-71...

From the viewpoint of a company's controlling shareholder, the optimal ownership structure generally involves some measure of dispersion, to avoid...

A signalling model is developed which demonstrates how the offer price and the proportion of shares sold through an issue of ordinary shares when a...

This paper studies optimal financial contracts in a framework with asymmetric information. The key idea is that financial distress of a firm is not...

We consider the transitions, among intragenerational (autarkic) and intergenerational financing and liquidity risk-sharing mechanisms, in an...

This article investigates the issue of predation by a regulated firm. Since it has private information, a regulated firm obtains higher rents in case...

The purpose of this paper is to test for the existence of inventory control and asymmetric information in stock market price quotes, and then quantify...

This paper examines two aspects of spot FX volatility. Using intra-daily quotation data on the Deutsche Mark/Dollar we simultaneously estimate the...

This paper examines the extent to which swings in stock prices can be related to variations in the discounted value of expected future dividends when...

This paper provides a theory of diversification and financial structure of banks. It shows that by diversifying the bank portfolio and financing it...

A Generalized Method of Moments estimation of the determinants of dollar/yen bid–ask spreads is undertaken. In particular, a long time-series of daily...

This article documents the fact that when debtors decide to default on their obligations too early, it is in the creditors’ collective interest, as...

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