Simulated nonparametric estimation of dynamic models with applications to finance
This paper introduces a new class of parameter estimators for dynamic models, called Simulated Nonparametric Estimators (SNE). The SNE minimizes...
Dynamic portfolio and mortgage choice for homeowners
We investigate the impact of owner-occupied housing on financial portfolio and mortgage choice under stochastic inflation and real interest rates. To...
IMF concern for reputation and conditional lending failure: theory and empirics
One possible explanation for the unsatisfactory implementation of IMF conditionality has been attributed to the lack of credibility of the IMF threat...
Estimating structural bond pricing models via simulated maximum likelihood
This paper describes how structural bond pricing models can be estimated using a Simulated Maximum Likelihood procedure developed by Durbin and...
Reputation effects in trading on the New York Stock Exchange
Theory suggests that reputations, developed in repeated face-to-face interactions, allow non- anonymous, floor-based trading venues to attenuate...
ART versus reinsurance: the disciplining effect of information insensitivity
We provide a novel benefit of "Alternative Risk Transfer" (ART) products with parametric or index triggers. When a reinsurer has private information...
Spot market power and future market trading
When a spot market monopolist participates in the futures market, he has an incentive to adjust spot prices to make his futures market position more...
Asset pricing with limited risk sharing and heterogeneous agents
We solve a model with incomplete markets and heterogeneous agents that generates a large equity premium, while simultaneously matching stock market...
A Model of corporate liquidity
We study a continuous time model of a levered firm with fixed assets generating a cash flow which fluctuates with business conditions. Since external...
Financial tunnelling and the revenge of the insider system: how to circumvent the new European corporate governance legislation
In this paper, we document how European companies can use financial tunnelling to the disadvantage of minority shareholders, despite improved...
Corporate governance in the UK: is the comply-or-explain approach working?
The Combined Code of Corporate Governance, that was introduced in the UK in 1998, is widely regarded as an international benchmark for good corporate...
Highwaymen or heroes: should hedge funds be regulated?
Our objective was to study the need for regulating hedge funds, using existing regulatory approaches and our own models as a frame of reference. Our...
Estimating semiparametric ARCH models by kernel smoothing methods
We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle...
Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
This paper considers the asset-allocation strategies open to members of defined- contribution pension plans. We investigate a model that incorporates...
Liability valuation and optimal asset allocation
Current approaches to asset-liability management employ a sequence of distinct procedures to value liabilities and determine the asset allocation...
Feedback trading
Order flow has been found to carry information to the market. When assessing how informative order flow is, the VAR methodology is typically employed...
