In order to assess the effect of jumps on realised variance calculations, we study some of the econometric properties of time-changed Levy processes. We show that in general we can derive the second order properties of realised variances and use these to estimate the parameters of such models....

Information asymmetries constitute a significant obstacle to capital flows across international borders, and in particular to flows of foreign investment (FDI) to emerging markets.  Many governments aim to reduce information barriers by emerging in investment promotion activities.  Despite...

To my knowledge this study undertakes the first comprehensive and systematic empirical test of the hypothesis that while returns to invested capital in Sub-Saharan Africa are high compared to select Asian and South American markets, investment rates are low.  I investigate three sources:...

This paper extends and modifies the Keynesian critique of inflation targeting with reference to stabilisation policy in emerging market economies. The IMF `basic monetary programming framework` for developing countries uses government borrowing and the exchange rate as policy instruments in...

This paper investigates the incentives of investors to set up an actively managed fund in an emerging market or asset class. The analysis highlights the role of agency problems between fund managers and investors in determining this entry decision. It is shown that investors may wish to set up a...

This paper addresses the problem of estimating the aggregate international demand schedule for emerging market (EM) securities as an asset class. The standard ‘push-pull’ model of capital flows is modified by reference to recent work on portfolio choice in the context...