Moments of Markov Switching Models
This paper derives the moments for a range of Markov switching models. We characterize in detail the patterns of volatility, skewness and kurtosis...
This paper derives the moments for a range of Markov switching models. We characterize in detail the patterns of volatility, skewness and kurtosis...
This paper applies an extended and generalized version of the recursive modelling strategy developed in Pesaran and Timmermann (1995) to the UK stock...
Using a standard monetary policy model, we study how foreign exchange intervention may be used to condition the perception among economic agents of...
Most of the existing empirical literature on FX market microstructure uses indicative quote data derived from Reuters EFX screens. This paper examines...
We analyze a general equlibrium model of strategic arbitraging and intermediation. Arbitrageurs take advantage of mispricings, market frictions and...
A risk-averse consumer purchases an insurance policy; if she suffers a loss, she may receive services from a provider to recover some of the loss...
By providing an analysis of sequential going-public decisions the paper outlines conditions under which "hot issue markets" arise, i.e. under which...
The paper uses a dataset of German dual-class shares during 1988-1997 to study the relationship between corporate governance rules and the price...
This paper re-examines the role of conservatism in the delegation of monetary policy to an independent central bank. We develop a tractable framework...
A paper by Charles Goodhart of LSE FMG and Haizhou Huang of the International Monetary Fund.
This paper presents empirical evidence on the existence of structural breaks in the fundamentals process underlying US stock prices. We develop an...
The UK experienced a major residential real estate boom-bust cycle from the mid-Eighties to the mid-Nineties, accompanies by unprecedented shifts in...
Following Blinder’s (1997) suggestion, we examine the implications for the optimal interest rate rule which follow from relaxing the assumption that...
A trader who receives a signal about a future public announcement can exploit this private information twice. First, when he receives his signal, and...
This paper uses a large sample containing the complete return histories of 2300 UK open-ended mutual funds over a 23-year period to measure fund...