FMG Discussion Papers

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2001: Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities

Allan Timmermann and Massimo Guidolin

2001: A Transaction Level Study of the Effects of Central Bank Intervention on Exchange Rates

Richard Payne (Paolo Vitale)

2001: Self-Confidence and Survival

Heski Bar-Isaac

2001: Asset Price Dynamics with Value-at-Risk Constrained Traders

Jean-Pierre Zigrand, Jon Danielsson and Hyun Song Shin

2001: What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model

Jean-Pierre Zigrand and Jon Danielsson

2001: Rational Limits to Arbitrage

Jean-Pierre Zigrand

2001: Saving Eliminates Credit Rationing

David Webb and David de Meza

2001: Crisis costs and debtor discipline: the efficacy of public policy in sovereign debt crises

Hyun Song Shin, Prasanna Gai and Simon Hayes

2001: Financial Development, Agency and the Pace of Adoption of New Techniques

Kjell G. Nyborg and Ron Anderson

2001: Signalling with Debt and Equity: A Unifying Approach and its Implications for the Pecking Order Hypothesis and Competitive Credit Rationing

Florian Heider

2001: What Do Internal Capital Markets Do? Redistribution vs. Incentives

Axel Gautier and Florian Heider

2001: Flexible Term Structure Estimation: Which Method is Preferred?

Oliver Bruce Linton, Andrew Jeffrey and Thong Nguyen

2001: Constrained Indirect Inference Estimation

Gabriele Fiorentini and Enrique Sentana

2001: Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors

Oliver Bruce Linton and Mototsugu Shintani

2001: Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach

Oliver Bruce Linton, Douglas James Hodgson and Keith Vorkink

2001: Efficiency Properties of Rational Expectations Equilibria with Asymmetric Information

Rohit Rahi and Piero Gottardi

2001: Mean-Variance Portfolio allocation with a Value at Risk Constraint

Enrique Sentana and Enrique Sentana (Enrique Sentana)

2001: Tests of the Fama Model in India

Gregory Connor and Sanjay Sehgal

2001: Agency Conflicts, Ownership Concentration, and Legal Shareholder Protection

Fausto Panunzi and Mike Burkart

2001: The Skill Profile of Central Bankers and Supervisors

Dirk Schoenmaker, Paolo Dasgupta and Charles Goodhart

2001: Financing and Corporate Growth under Repeated Moral Hazard

Ron Anderson and Kjell G. Nyborg

2001: The Impact of Technology on Cash Usage

Malte Krueger and Charles Goodhart

2001: Housing Market Dynamics: on the Contribution of Income Shocks and Credit Constraints

Sven Rady (Francois Ortalo-Magne)

2001: Coordination Risk and the Price of Debt

Hyun Song Shin and Stephen Morris

2001: Does One Soros Make a Difference? A Theory of Currency Crises with Large and Small Traders

Hyun Song Shin, Giancarlo Corsetti, Amil Dasgupta and Stephen Morris

2001: Disclosures and Asset Returns

Hyun Song Shin

2001: A Structured GARCH Model of Daily Equity Return Volatility

Gregory Connor

2001: In Defence of Usury Laws

David de Meza and Giuseppe Coco

2000: Financing Constraints and Inventories

Ward Brown

2000: Trade Credit: Suppliers as Debt Collectors and Insurance Providers

Vicente Cuñat

2000: An Autoregressive Conditional Binomial Option Pricing Model

Olivier Renault, Jean-Luc Prigent and Olivier Scaillet

2000: An Empirical Investigation in Credit Spread Indices

Olivier Scaillet, Olivier Renault and Jean-Luc Prigent

2000: Liquidity and Credit Risk

Olivier Renault and Jan Ericsson

2000: Public Information, Private Information and the Multiplicity of Equilibrium in Co-ordination of Games

Christian Hellwig

2000: Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities

Allan Timmermann and Gabriel Perez-Quiros (Gabriel Perez Quiros)

2000: Club Enlargement: Early Versus Late Admittance

Klaus Wallner and Mike Burkart

2000: Is Cash Becoming Technologically Outmoded Or Does it Remain Necessary to Facilitate

Mathias Drehmann and Charles Goodhart

2000: External Financing Costs and Banks Loan Supply: Does the Structure of the Bank Sector Matter?

Charlotte Ostergaard

2000: Strategic Trading and Learning About Liquidity

Harrison Hong and Sven Rady

2000: Bank Capital Regulation With Random Audits

Sudipto Bhattacharya, Manfred Plank, Josef Zechner and Gunter Strobl

2000: Pricing Convexity Adjustment with Wiener Chaos

Eric Benhamou

2000: A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks

Eric Benhamou

2000: Money, Intermediaries and Cash-in-Advance Constraints

Christian Hellwig

2000: Excessive Continuation and Dynamic Agency Costs of Debt

Jean-Paul Décamps

2000: Public Trading and Private Incentives

Denis Gromb

2000: Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns

Oliver Bruce Linton and Gregory Connor

2000: On the Competition Between ECNs, Stock Markets and Market Makers

Eric Benhamou and Thomas Serval

2000: Debt, Incentives and Performance: Evidence from UK Panel Data

Roberta Dessí and Donald Robertson

2000: Banks as Catalysts for Industrialisation

Marco Da Rin and Thomas Hellmann

2000: Valuation and Martingale Properties of Shadow Prices

Lucien Foldes

2000: The Profitability of Block Trades Auction and Dealer Markets

Ian Tonks and Andy Snell

2000: Collateral, Renegotiation and the Value of Diffusely Held Debt

Pierre Mella-Barral and Ulrich Hege

2000: Financial Constraints, Precautionary Saving and Firm Dynamics

Andrea Caggese