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...
In this paper we study the signalling role of sterilised central bank intervention. Through a market micro-structure framework, we show that in some...
A comprehensive set of estimates of long memory in the volatility of three intra-day foreign exchange data series is presented. Robust semiparametric...
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...
This paper shows that asymmetric information between lenders and borrowers plays a crucial role in the existence of interactions between financial...
Stock option plans are derived as the optimal managerial compensation scheme based on the interactions between motivating the CEO to extract...
We study the processes for the conditional mean and variance given a specification of the process for the observed time series. We derive general...
This papers studies the high frequency reaction of the DEM/USD exchange rate to publicly announced macroeconomic information emanating from Germany...
This paper provides an economist's guide to the regulation of public tender offers. It argues that the common interpretation of takeovers as solely...
We propose a new bankruptcy procedure, that makes use of multiple auctions. The procedure is designed to work even when capital markets do not...
Experimental evidence suggests that agents who consume at their usual income level are very risk averse, whereas at lower income levels they often...
We introduce a nonlinear model of stochastic volatility within the class of "product type" models. It allows different degrees of dependence for the...
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This article investigates the ability of regulatory agencies to keep firms to fixed budgets. The budget implemented at an interim date is always...
The paper develops a simple model of optimal corporate ownership structure in which costs and benefits of ownership concentration are analysed. The...
This paper provides an analytical solution for the impact of default risk on the valuation of realistically intricate claims on time dependent...
In this paper we construct a rational expectations model based on a Phillips curve that embodies persistence in inflation. As we assume that the...