This article investigates the performance of Spanish pension funds using a range of linear and nonlinear performance models. As the sample presents characteristics of higher-order moments, traditional performance measures are distorted. We generate alternative performance models which include...

This paper outlines a simple macro model with overlapping wage contracts to investigate how the temporary and permanent components of stock price movements may be related to aggregate macroeconomic supply and demand disturbances. In the content of the model, we show that aggregate demand shocks...

In this paper we assess whether the UK public finances were sustainable for the period 1919-2001. A robust test of sustainability is presented using a nonlinear representation of the debt-GDP ratio. Empirical evidence supports debt sustainability. Moreover, the exponential smooth transition...

This paper specifies a simulated convertible bond arbitrage portfolio to characterise the risks in convertible bond arbitrage. For comparison the risk profile of convertible bond arbitrage hedge fund indices at both monthly and daily frequencies is also examined. Results indicate that...

This authoritative two-volume collection brings together a comprehensive selection of over 40 previously published articles which include seminal and recent contributions in the area of speculation and financial markets. The volumes present the key theoretical and applied research in the pricing...