Monetary Policy in England 1893-1914: A Structural VAR Analysis
This paper investigates the link between external monetary disturbances and the domestic economy in England during the great period of the Gold...
This paper investigates the link between external monetary disturbances and the domestic economy in England during the great period of the Gold...
This paper presents a strategic model of temporary leverage. When repayment of senior debt relies upon future investment, shareholders may credibly...
We investigate on three exchange rate series the profitability of signals generated by the breaking of levels of support and resistance identified and...
Chaos theory is an exciting new development. The modelling of non-linear deterministic mathematical system can help to explain events in several...
We present a feasible estimation method for maximum likelihood estimation of factor models in which the common factors are subject to ARCH-type...
In a financial contracting environment asymmetric information may determine whether two projects are incorporated jointly as a single firm or...
An important issue in applications of multifactor models of asset returns is the appropriate number of factors. Most extant tests for the number of...
Kreps (1981) shows that, in a Radner-type economy, any asset prices obeying non-arbitrage restrictions are also competitive equilibrium prices for...
We discuss the properties of factor representing portfolios in an intertemporal APT model, in which the conditional mean and covariance matrix of...
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...