This paper presents a stock flow model of two economies (together comprising the whole world) which trade goods and financial assets with one another. The accounting framework, though comprehensive in its own terms, is ...

This paper develops concordance indices for studying the simultaneous occurrence of financial crises. The indices are designed to cope with these typically low incidence events. This leads us to confine attention to ...

The emerging markets for credit derivatives have improved the liquidity of bank assets by providing banks with various new possibilities for selling and hedging their risks. This paper examines the consequences for banking ...

We study the introduction of credit protection on sovereign debt. We find that such protection reduces debtor moral hazard by allowing a bonghokder to improve his position in negotiations with the sovereign. Moreover, ...

In this paper I study a nonlinear feedback trading model which can generate stable, unstable, turbulent or chaotic asset returns depending on market conditions. The dynamics are driven by the stochastic price impact of net ...

The second half of August 1998 was dominated by two events. From 14 to 28 August, the Hong Kong Monetary Authority (HKMA) intervened in the Hong Kong equity markets to prevent a speculative double play against their ...

This paper proposes a panel data model to analyze contagion in a multivariate framework. The model distinguishes between vulnerability and contagion, and provides a time series of contagion. The most important feature of ...

This paper introduces a nonlinear feedback trading model at high frequency. All price adjustment is endogenous, driven by asset return and volatility in the previous trading period. There is no stochastic uncertainty or ...

This paper provides an historical analysis of the four privatization stages of the Russian economy covering the period 1986-2005 with particular attention to the initial period of private capital formation. We use data ...

In this paper, the investment performance of a large database of venture funds is considered over a 28 year period. The results suggest that a portfolio of venture capital partnerships can provide an average return that ...

Identifying the effect of differential taxation on portfolio allocation requires exogenous variation in marginal tax rates. Marginal tax rates vary with income, but income surely affects portfolio choice directly. In systems ...

This paper argues that the two boom and bust episodes of the turn of the Century – the Internet mania and crash of 1990s and the easy liquidity boom and bust of 2000s– are two distinct components of a single structural ...

We present a novel structural estimation procedure for models of intertemporal allocation. This is based on modelling expectation errors directly; we refer to it as Synthetic Residual Estimation (SRE). The flexibility of ...

We examine whether contagion tests are affected by controls for volatility clustering and the collection of synchronized data sets. Without controlling for volatility clustering synchronization does not apparently matter. ...

It has been argued that rare economic disasters can explain most asset pricing puzzles. If this is the case, perceived risk associated with a disaster in stock markets should be revealed in household portfolios. That is, ...

This thesis describes experiments to investigate high-altitude relight of a lean direct injection (LDI) combustor. The features that make LDI technology less polluting in terms of NOx compared to conventional combustors ...

The aim of this paper is to model the trading intensity of the US Treasury bond market which has a unique expandable limit order book which distinguishes its structure from other asset markets. An analysis of tick data ...

Whey is a by-product of cheese manufacture, containing a mixture of proteins of commercial value, each having unique attributes for nutritional, biological and food ingredient applications. A tremendous amount of whey, ...

Using energy more efficiently is essential if carbon emissions are to be reduced. According to the International Energy Agency (IEA), energy efficiency improvements represent the largest and least costly savings in carbon ...