Central Bank Forex Intervention Assessed in Continuous Time
This paper looks at some of the principal characteristics of foreign exchange intervention by central banks. The approach is novel in that virtually...
Quadratic Arch Models: A Potential Re-Interpretation of Arch Models
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...
Increasing Social Returns, Learning and 'Catastrophe' Phenomena
We develop a new microeconomic formulation for increasing social returns to labour in an overlapping generations model with production. The economy...
Is There Chaos in Economic Time Series? A Study of the Stock and the Foreign Exchange Markets
Financial markets occasionally exhibit extreme price fluctuations that are difficult to explain, notably October 1987. A mathematical system in which...
News Effects in a High Frequency Model of the Sterling-Dollar Exchange Rate
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...
Is The Foreign Exchange Market Characterised by Nonlinearity?
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...
Asymmetric Information and the Trade-Off Between Cash Flow and Net Present Value
Download is not available
Dually-Traded Italian Equities: London vs. Milan
Italian blue chip stocks are now actively trade in two markets: the dealers' market of SEAQ International in London and the traditional auction market...
Asset Prices and Persistence in Fundamentals: A Vector Arma Estimation of Expectations Theories For Stocks and Bonds
The paper tests expectations theories for stock prices and interest rates by estimating a vector autoregressive moving average model. The existence of...
Actual and Warranted Relations Between Asset Prices
Efficient markets models assert that the price of each asset is equal to the optimal forecast of its ex-post (or fundamental) value, but the models do...
Convergence of Recursive Learning Mechanisms to Steady States and Cycles in Stochastic Nonlinear Models
We examine recursive algorithms for learning steady states and cycle in dynamic nonlinear models. Simple generically necessary and sufficient...
Venture Capital Finance With Temporary Asymmetric Learning
We analyse the nature of financial contracts in a passive learning environment where the arrival of information is private to the entrepreneur and...
The Clustering of Bid/Ask Prices and the Spread in the Foreign Exchange Market
Following Lawrence Harris' (1989b) study of price clustering in stock prices, we examine the smae phenomenon in the forex market. The pattern of...
Existence and uniqueness of an optimum in the infinite-horizon portfolio-cum-saving model with semimartingale investments
The model considered here is essentially that formulated in the author's previous paper Conditions for Optimality in the Infinite-Horizon Portfolio...
On The Preservation of Deterministic Cycles When Some Agents Perceive Them To Be Random Fluctuations
Some recent equilibrium models, based on perfect foresight, give rise to complex but deterministic fluctuations in prices and quantities. We modify...
Intertemporal Asset Pricing Without Consumption
This paper uses a loglinear approximation to the budget constraint to substitute out consumption from a standard intertemporal asset pricing model. In...
