Discussion Papers

We present a feasible estimation method for maximum likelihood estimation of factor models in which the common factors are subject to ARCH-type...

In a financial contracting environment asymmetric information may determine whether two projects are incorporated jointly as a single firm or...

An important issue in applications of multifactor models of asset returns is the appropriate number of factors. Most extant tests for the number of...

Kreps (1981) shows that, in a Radner-type economy, any asset prices obeying non-arbitrage restrictions are also competitive equilibrium prices for...

We discuss the properties of factor representing portfolios in an intertemporal APT model, in which the conditional mean and covariance matrix of...

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Changes in variance, or volatility, over time can be modelled using the approach based on autoregressive conditional heteroscedasticity (ARCH)...

This paper reexamines the ability of the Solow-type growth models to explain the pattern of cross-country growth rates. Recent authors, most notably...

This paper examines the empirical relationship between half-hourly trading volume and price quotes announced by market makers for a sample of liquid...

In order to clarify the economic rationale for the argument that insider trading undermines the "confidence" in financial markets, this paper studies...

Consider an entrepreneur who needs to raise funds from an investor, but cannot commit not to withdraw his human capital from the project. The...

The paper analyzes identification issues raised by general dynamic specifications of the trend, as opposed to the conventional random walk, in both...

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Much macroeconometric discussion has recently emphasized the economic significance of the size of the permanent component in GNP. Consequently, a...

In the 1980s, the practice of listing stocks in several exchanges has become more frequent, and as a result investors have gained access to...