Discussion Papers

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...

GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no exact likelihood analysis of these...

An order flow model, where the coded identity of the counterparties of every trade is known, hence providing institution level order flow, is applied...

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...

This paper examines the financial system prerequisites needed for the successful delivery of funded private pensions. In particular, it examines the...

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...

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...

This paper examines the key issues relating to the UK pension system. It reviews the current system of pension provision, describes and analyses the...

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...

Using stochastic modelling, we demonstrate that the best investment strategy for the accumulation phase of a defined contribution pension plan is one...

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...