Estimates are made of multi-factor versions of the Cox-Ingersoll-Ross model of the term structure of interest rates using the Kalman filter. Estimates are obtained using weekly UK Gilt-edged market data over the period 1982-1997. Empirical results support the need for a multi-factor model and...

This article re–examines the extent, if any, of the negative impacts of price limits. I provide fresh evidence supporting, only partially, the criticisms against the efficacy of such price limits. A negative impact of price limits when valid for one group of stocks or direction of price...

This Paper examines the price differences between very liquid on-the-run US Treasury securities and less liquid off-the-run securities over the entire on/off cycle. Unlike previous studies, by comparing pairs of securities as their relative liquidity varies over time, we can disregard any...

Using high frequency trade data, this paper tests, for the first time, the hypothesis that price limits behave like quot;magnetsquot;, and so, are self-fulfilling. It finds that price limits do not behave like quot;black holesquot; sucking in all stock prices. Also, there is an acceleration of...

This paper examines the nature of trading between dealers in a competitive dealership bond market where the primary risk factors are driven by public macro-economic information, and for hedging there exist liquid futures contracts as well as numerous close spot market substitutes. We find that,...

This paper examines the implementation of a simple pairs trading strategy with automatic extreme risk control using the entire universe of securities in the highly liquid secondary market for U.S. government debt. It documents, from a practical viewpoint, the contrasts in the generic features of...

This paper examines the price differences between very liquid on-the-run U.S. Treasury securities and less liquid off-the-run securities over the entire on/off cycle. By comparing pairs of securities as their relative liquidity varies over time we can disregard any cross-sectional differences...