For gold, moving from clandestine to official trading does not significantly change informational efficiency. Both markets are inefficient suggesting that efficiency is linked more to the type of asset than to the legal status of the market.

During World War II, the spread between the 3 percent rentes and the Vichy government bonds reflected French investors' perception of the shifting fortunes of war and the willingness of future post-war government to repay the debt issued by the collaborationist regime. Structural breaks in this...

Purpose -The purpose of this paper is to examine residual value risk modelling issues with a focus on automotive lease portfolios. Residual value risk is approached through a re-sampling technique that provides the probability density function of losses and VaR measures for credit portfolios....

This paper is dedicated to recovery and residual value risks' modelling issues of automotive lease portfolios. First, loss-given-default distributions are estimated and compared for different samples based on risk drivers. Second, the residual value risk is approached through a resampling...

We use recent results on the Generalized Dynamic Factor Model (GDFM) with block structure to provide a data-driven definition of unobservable market liquidity and to assess the complementarity of two observed liquidity measures: daily close relative spreads and daily traded volumes for a sample...