Redenomination of currency has become a common phenomenon in recent past among emerging and transitional economies. In 2007, Ghana became one of the economies to redenominate in recent past. This currency policy adaptation has the potential of triggering certain individual behavioral biases on...

The issue of whether or not asset prices are more volatile than the underlying fundamentals is an empirical question with implications for market efficiency. Recent research suggests that the volatility of closed end fund returns in the USA is significantly higher than the returns on assets held...

Redenomination of currency has become a common phenomenon in recent past among emerging and transitional economies. In 2007, Ghana became one of the economies to redenominate in recent past. This currency policy adaptation has the potential of triggering certain individual behavioral biases on...

Using a linear factor model, we study the behaviour of French, Germany, Italian and British sovereign yield curves in the run up to EMU. This allows us to determine which of these yield curves might best approximate a benchmark yield curve post EMU. We find that the best approximation for the...

The paper examines the estimation of alternative interest rate processes describing the dynamics of UK interest rates. The methodology concentrates on selecting non-parametrically the number of autocovariances to use in calculating a heteroscedasticity and autocorrelation consistent covariance...

This paper examines the relationship between credit spreads on industrial bonds and the underlying Treasury term-structure. Unlike previous studies, we use zero-coupon spot rates, which eliminate coupon bias, and so allow for a consistent study both within and across the different credit...