Our goal in this paper is two-fold. First, we develop a class of term structure models that allow for the role of bounded rationality by incorporating either information-processing constraint or fear for mis-specification into affine term structure models. We indentify a set of sufficient...

Credit risk has been a worrying type of risk for financial managers. Fortunately, a recent market development –credit derivatives- has made the credit risk more manageable. The loan portfolio management has become more practicable than it used to be in the past. However, credit derivatives are...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Correlation matrices have many applications, particularly in marketing and financial economics - such as in risk management, option pricing and to forecast demand for a group of products in order to realize savings by properly managing inventories, etc. Various methods have been proposed by...

Extreme Value Theory is increasingly used in the modelling of financial time series. The non-normality of stock returns leads to the search for alternative distributions that allows skewness and leptokurtic behavior. One of the most used distributions is the Pareto Distribution because it allows...

This paper investigates the empirical association between stock market volatility and investor mood-proxies related to the weather (cloudiness, temperature and precipitation) and the environment (nighttime length). Overall, our results suggest that cloudiness and length of nighttime are...

This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high frequency trading technology. Special order types are...

This study examines critically the long-run macroeconomic determinants of stock market performance in Nigeria between 1984 and 2007. The properties of the time series variables are examined using the Augmented Dickey-Fuller (ADF) unit root test and most of the incorporated variables in the study...

People by and large tend to postpone their present consumption for numerous reasons. This postponement of consumption leaves them with surplus money to invest for future consumption. Amongst the number of alternatives avenues present for such investments, gold too tends to be one of them. People...