Discussion Papers

We investigate the impact of owner-occupied housing on financial portfolio and mortgage choice under stochastic inflation and real interest rates. To...

One possible explanation for the unsatisfactory implementation of IMF conditionality has been attributed to the lack of credibility of the IMF threat...

This paper describes how structural bond pricing models can be estimated using a Simulated Maximum Likelihood procedure developed by Durbin and...

Theory suggests that reputations, developed in repeated face-to-face interactions, allow non- anonymous, floor-based trading venues to attenuate...

We provide a novel benefit of "Alternative Risk Transfer" (ART) products with parametric or index triggers. When a reinsurer has private information...

We solve a model with incomplete markets and heterogeneous agents that generates a large equity premium, while simultaneously matching stock market...

We study a continuous time model of a levered firm with fixed assets generating a cash flow which fluctuates with business conditions. Since external...

In this paper, we document how European companies can use financial tunnelling to the disadvantage of minority shareholders, despite improved...

When a spot market monopolist participates in the futures market, he has an incentive to adjust spot prices to make his futures market position more...

The Combined Code of Corporate Governance, that was introduced in the UK in 1998, is widely regarded as an international benchmark for good corporate...

Our objective was to study the need for regulating hedge funds, using existing regulatory approaches and our own models as a frame of reference. Our...

We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle...

This paper considers the asset-allocation strategies open to members of defined- contribution pension plans. We investigate a model that incorporates...

Current approaches to asset-liability management employ a sequence of distinct procedures to value liabilities and determine the asset allocation...

Order flow has been found to carry information to the market. When assessing how informative order flow is, the VAR methodology is typically employed...

Various markets, particularly NASDAQ, have been under pressure from regulators and market participants to introduce call auctions for their opening...