The Arbitrage Pricing Theory and Mutlifactor Models of Asset Returns
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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...
Capital Structure as a Bargaining Tool: The Role of High Leverage in Contract Renegotiation
This paper presents a strategic model of temporary leverage. When repayment of senior debt relies upon future investment, shareholders may credibly...
When Support/Resistance Levels are Broken, Can Profits Be Made? Evidence From the Foreign Exchange Market
We investigate on three exchange rate series the profitability of signals generated by the breaking of levels of support and resistance identified and...
No Evidence of Chaos But Some Evidence of Multifractals in the Foreign Exchange and the Stock Markets
Chaos theory is an exciting new development. The modelling of non-linear deterministic mathematical system can help to explain events in several...
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...
