Discussion Papers

We propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of Stochastic Dominance of arbitrary order in the...

This paper solves an empirically parameterized model of households’ optimal de- mand for nominal and inflation indexed annuities. The model...

The implications of Value-at-Risk regulations are analyzed in a CARA-normal general equilibrium model. Financial institutions are heterogeneous in...

Under rational expectations and efficient markets, the news contained in public information announcements is directly impounded into prices with there...

There are three key types of political risk facing state and personal pension schemes: those induced by demographic, economic and pure political...

A definition for a common factor for bivariate time series is suggested by considering the decomposition of the conditional density into the product...

Recent events in several countries have underscored the importance of good governance in private occupational pension plans. The present paper uses...

We study the relationship between management behaviour and the subsequent market response in the German IPO market. When applying two forms for...

Equilibrium credit rationing in the sense of Stiglitz and Weiss (1981) implies the marginal cost of funds to the borrower is infinite. So borrowers...

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature...

We apply a sector-based approach to companies going public in the six largest Continental European markets and Sweden during a period characterized by...

We perform a comparative country-by-country study of companies going public in the six largest Continental European markets and Sweden during 1988 and...

Meltzer (2001b) argues that the current trend for downgrading the role of money in standard macro models is erroneous as it masks those monetary...

The reinsurance market is the secondary market for insurance risks. It has a very specific organization. Direct insurers do not trade risks with each...

The structure of securitization deals, referred to as "tranching", is standard. In those transactions, claims on cash flows generated by the...

The Myners Report will have a number of significant consequences for pension fund management and performance measurement in the UK.

It changes the...