Over the past 20 years, finance has become commodified. Firms increasingly obtain finance from securities markets, instead of borrowing from commercial banks with which they have long-term relationships, while Fannie Mae and Freddie Mac package a growing number of mortgages into bonds. When...

Prices of currency options commonly differ from the Black-Scholes formula along two dimensions: implied volatilities vary by strike price (volatility smiles) and maturity (implied volatility of at­the­money options increases, on average, with maturity). We account for both using Gram­Charlier...

Since the second half of the ‘70s, those institutions aimed at granting the banking and financial system stability (Central Banks, Supervisory Authorities, Deposit Insurance Systems, etc.) have been employing monitoring techniques in order to evaluate the situation of banks, some of which...

This paper studies the effect of clustering of liquidity trades on intraday patterns of volatility and market depth when private information is long-lived. The assumption of long-lived information allows us to distinguish between the patterns of information arrival and information use. Our...

Edhe pse burimet e financimit ekstern, procesi i emetimit të letrave me vlerë, dhe disa pjesë të ambientit rregullativ kanë mbetur thuaj të njëjta, tregjet e kapitalit kanë ndryshuar në mënyrë dramatike kudo në botë në dy dekadat e fundit, dhe do të vazhdojnë të ndryshojnë edhe...

This paper presents an analysis of two forms of overreaction (generalized overreaction and overreaction to prior earnings changes) in analysts’ earnings forecasts for the UK stock market, using a sample of individual forecasts of earning per share from a British investment bank over the period...

We consider a portfolio built according to the Capital Market Line of the Capital-Asset-Pricing Model. The universe of asset classes include marketable shares and bonds only. We investigate losses that emerge when the rate of return of the portfolio is lower than that required to fulfil a...

We propose a new hypothesis testing method for multi-predictor regressions with finite samples, where the dependent variable is regressed on lagged variables that are autoregressive. It is based on the augmented regressiom method (ARM; Amihud and Hurvich (2004)), which produces reduced-bias...

An extension of the idea of state tameness is presented in a dynamic framework. The proposed model for financial markets is rich enough to provide analytical tools that are mostly obtained in models that arise as the solution of SDEs with deterministic coefficients. In the presented model the...

This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare different possible sources of forecasting improvement, using various statistical distributions and models. We have chosen to confine our analysis on four indices which are the...