Extreme Returns, Tail Estimation and Value-at-Risk
Accurate prediction of extreme events are of primary importance in many financial ap-plications. The properties of historical simulation and...
Term Structure Modelling of Defaultable Bonds
In this paper we present a model of the development of the term structure of defaultable interest rates that is based on a multiple-defaults model...
R&D Intensity and Finance: Are Innovative Firms Financially Constrained?
The assumption of perfect capital markets is least likely to be satisfied for the class of firms which devote resources towards the development of...
Optimal Managerial Remuneration and Firm-level Diversification
In a model that exhibits both moral hazard and hidden information on the part of the manager different remuneration schemes are discussed and the...
Pricing Options on Assets with Predictable White Noise Returns
We study the effect of predictability of an asset's return on the prices of options on that asset, for models in which returns are serially...
Prices, Price Processes, Volume and their Information - A Survey of the Market Microstructure Literature
This paper provides an up-to-date review and summary of the existing literature on the informational aspects of price processes. A common feature of...
Pareto-improving Asymmetric Information in a Dynamic Insurance Market
This paper explored the dynamics of insurance markets under incomplete information. Various information structures are examined, according to the...
Does Debt Discipline State-Owned Firms? Evidence From A panel of Italian Firms
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Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since The Crash?
This study assesses the state of the policy debate that surrounds the Federal regulation of margin requirements. A relatively comprehensive review of...
Speculative Securities
A speculative security is an asset whose payoff depends on a random shock uncorrelated with economic fundamentals (a sunspot) about which some traders...
Do Reuters Spreads Reflect Currencies' Differences in Global Trading Activity?DP
A new estimate of the long-run impact of trading activity on bid-ask spreads in the foreign exchange markets is realized with a short panel containing...
Sterilized Central Bank Intervention in the Foreign Exchange Market
In this paper we study the signalling role of sterilised central bank intervention. Through a market micro-structure framework, we show that in some...
An Investigation of Long Range Dependence in Intra-Day Foreign Exchange Rate Volatility
A comprehensive set of estimates of long memory in the volatility of three intra-day foreign exchange data series is presented. Robust semiparametric...
The Proof of the Pudding: The Effects of Increased Trade Transparency in the London Stock Exchange
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Default and Renegotiation: A Dynamic Model of Debt
We analyse the role of debt in persuading an entrepreneur to pay out cash flows, rather than to divert them. In the first part of the paper we study...
