We evaluate the statistical and economic differences between affine term-structure models. Despite the voluminous literature on this subject, we have a limited understanding of those structural features of the models that are important in practice. Given that the key distinguishing...

Bringing transactions to an end constitutes a crucial stage of market activity: the detachment between the counterparties engaged in a trade must be guaranteed. In financial markets, this operation relies on organisational technologies, such as clearinghouses, that can reach a high degree of...

We introduce a new point process, the dynamic contagion process, by gener- alising the Hawkes process and the Cox process with shot noise intensity. Our process includes both self-excited and externally excited jumps, which could be used to model the dynamic contagion impact from endogenous and...

In recent years, agent-based computational models have been used to study financial markets. One of the most interesting elements involved in these studies is the process of learning, in which market participants try to obtain information from the market in order to improve their strategies and...

This paper develops a temporal perspective to examine information and communication technologies (ICT) adoption and processes of globalization. The foundations of our theoretical approach explicitly draw upon three intersecting planes of temporality implicit in structuration; namely...

We show, in a monetary exchange economy, that asset prices in a complete markets general equilibrium are a function of the supply of liquidity by the Central Bank, through its effect on default and interest rates. Two agents trade goods and nominal assets to smooth consumption across periods and...

An optimal investment problem is solved for an insider who has access to noisy information related to a future stock price, but who does not know the stock price drift. The drift is filtered from a combination of price observations and the privileged information, fusing a partial information...

Unifying theory and research to contribute to poverty reduction This paper argues that with the development and increasing use of randomized experiments in development research, we now have a unique opportunity to bridge the gap between these two strands of research, the need to use existing...

The provision of outsourcing services creates relationships between knowledge vested with the supplier and the viability of outsourcing arrangements. Knowledge accumulation by the outsourcee can reach a level where it poses a market entry or takeover risk to the outsourcer. Knowledge translates...

We examine whether UK firms engage in earnings management or forecast guidance to ensure that their reported earnings meet analyst earnings expectations. We explore two earnings management mechanisms: (a) positive abnormal working capital accruals; and (b) classification shifting of core...