Likelihood-based Estimation of Latent Generalised ARCH Structures
GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no exact likelihood analysis of these...
Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis
An order flow model, where the coded identity of the counterparties of every trade is known, hence providing institution level order flow, is applied...
Evaluation of Joint Density Forecasts of Stock and Bond Returns: Predictability and Parameter Uncertainty
One of the most important findings in empirical finance has been the fact that returns are not i.i.d. Predictability, or time variation in the...
Financial System Requirements for Successful Pension Reform
This paper examines the financial system prerequisites needed for the successful delivery of funded private pensions. In particular, it examines the...
FCIs and Economic Activity: Some International Evidence
A Monetary Conditions Index (MCI), a weighted average of the short-term real interest rate and the real exchange rate, is a commonly used indicator of...
The IS Curve and the Transmission of Monetary Policy: Is there a Puzzle?
In this paper we assess the performance of the New Keynesian IS Curve for the G7 countries. We find that there is an IS puzzle for both the purely...
Management behaviour and market response
We study the relationship between management behaviour and the subsequent market response in the German IPO market. When applying two forms for...
The Near Impossibility of Credit Rationing
Equilibrium credit rationing in the sense of Stiglitz and Weiss (1981) implies the marginal cost of funds to the borrower is infinite. So borrowers...
The near impossibility of credit rationing
Equilibrium credit rationing in the sense of Stiglitz and Weiss (1981) implies the marginal cost of funds to the borrower is infinite. So borrowers...
A local instrumental variable estimation method for generalized additive volatility models
We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature...
The United Kingdom pension system: Key Issues
This paper examines the key issues relating to the UK pension system. It reviews the current system of pension provision, describes and analyses the...
The Governance Structure for Financial Regulation and Supervision in Europe
This paper examines the unfinished agenda of the governance structure for financial regulation and supervision in Europe. In this unfinished agenda...
The cross-section of European IPO returns
We apply a sector-based approach to companies going public in the six largest Continental European markets and Sweden during a period characterized by...
IPOs: insights from seven European countries
We perform a comparative country-by-country study of companies going public in the six largest Continental European markets and Sweden during 1988 and...
Take (smoothed) Risks When You Are Young, Not When You Are Old: How To Get the Best From Your Stakeholder Pension Plan
Using stochastic modelling, we demonstrate that the best investment strategy for the accumulation phase of a defined contribution pension plan is one...
The role of money in the transmission mechanism of monetary policy: evidence from Thailand
Meltzer (2001b) argues that the current trend for downgrading the role of money in standard macro models is erroneous as it masks those monetary...
