An Em-Based Algorithm For Conditionally Heteroskedastic Factor Models
We present a feasible estimation method for maximum likelihood estimation of factor models in which the common factors are subject to ARCH-type...
The Role of Asymmetric Information in Project Financing Decisions
In a financial contracting environment asymmetric information may determine whether two projects are incorporated jointly as a single firm or...
A Test for the Number of Factors in an Approximate Factor Model
An important issue in applications of multifactor models of asset returns is the appropriate number of factors. Most extant tests for the number of...
Non-arbitrage and Recursive Competitive Equilibrium Pricing
Kreps (1981) shows that, in a Radner-type economy, any asset prices obeying non-arbitrage restrictions are also competitive equilibrium prices for...
Factor Representing Portfolios in Large Asset Markets
We discuss the properties of factor representing portfolios in an intertemporal APT model, in which the conditional mean and covariance matrix of...
Multivariate Stochastic Variance Models
Changes in variance, or volatility, over time can be modelled using the approach based on autoregressive conditional heteroscedasticity (ARCH)...
Local Versus Global Convergence Across National Economies
This paper reexamines the ability of the Solow-type growth models to explain the pattern of cross-country growth rates. Recent authors, most notably...
Trading Volumes and Stock Market Prices
This paper examines the empirical relationship between half-hourly trading volume and price quotes announced by market makers for a sample of liquid...
Insider Trading and the Cost of Capital in a Multi-Period Economy
In order to clarify the economic rationale for the argument that insider trading undermines the "confidence" in financial markets, this paper studies...
A Theory of Debt Based on the Inalienability of Human Capital
Consider an entrepreneur who needs to raise funds from an investor, but cannot commit not to withdraw his human capital from the project. The...
Diffusion of Technical Change and the Identification of the Trend Component in Real GNP
The paper analyzes identification issues raised by general dynamic specifications of the trend, as opposed to the conventional random walk, in both...
The Relative Importance of Permanent and Transitory Components: Identification and some Theoretical Bounds
Much macroeconometric discussion has recently emphasized the economic significance of the size of the permanent component in GNP. Consequently, a...
Auction and Dealership Markets: What is the Difference?
In the 1980s, the practice of listing stocks in several exchanges has become more frequent, and as a result investors have gained access to...
