Discussion Papers

Changes in variance, or volatility, over time can be modelled using the approach based on autoregressive conditional heteroscedasticity (ARCH)...

This paper reexamines the ability of the Solow-type growth models to explain the pattern of cross-country growth rates. Recent authors, most notably...

This paper examines the empirical relationship between half-hourly trading volume and price quotes announced by market makers for a sample of liquid...

In order to clarify the economic rationale for the argument that insider trading undermines the "confidence" in financial markets, this paper studies...

Consider an entrepreneur who needs to raise funds from an investor, but cannot commit not to withdraw his human capital from the project. The...

The paper analyzes identification issues raised by general dynamic specifications of the trend, as opposed to the conventional random walk, in both...

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Much macroeconometric discussion has recently emphasized the economic significance of the size of the permanent component in GNP. Consequently, a...

In the 1980s, the practice of listing stocks in several exchanges has become more frequent, and as a result investors have gained access to...

This paper looks at some of the principal characteristics of foreign exchange intervention by central banks. The approach is novel in that virtually...

A new Quadratic ARCH model for the conditional variance of a time series is introduced. This model can be interpreted as a second-order Taylor...

We develop a new microeconomic formulation for increasing social returns to labour in an overlapping generations model with production. The economy...

Financial markets occasionally exhibit extreme price fluctuations that are difficult to explain, notably October 1987. A mathematical system in which...

This paper uses an extremely high frequency data set on the Dollar-Sterling exchange rate to investigate the impact of news events on the very short...

This is a further study of non linear dynamics, chaos, in a huge, continuous time data set for a foreign exchange spot rate, in this case the Dollar...

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