In this paper the exchange rate forecasting performance of neural network models are evaluated against random walk and a range of time series models. There are no guidelines available that can be used to choose the parameters of neural network models and therefore the parameters are chosen...

The performance of a "capital certain" Divisia index constructed using the same components included in the Bank of England"s MSI plus national savings; a "risky" Divisia index constructed by adding bonds, shares and unit trusts to the list of assets included in the first index; and a capital...

Under infinite activity Lévy models, American option prices can be obtained by solving a partial integro‐differential equation (PIDE), which has a singular kernel. With increasing degree of singularity, standard time‐stepping techniques may encounter difficulties. This study examines...

This paper compares the UK/US exchange rate forecasting performance of linear and nonlinear models based on monetary fundamentals, to a random walk (RW) model. Structural breaks are identified and taken into account. The exchange rate forecasting framework is also used for assessing the relative...

Prompted by a real-life observation in the UK retail market, a two-player Prisoners’ Dilemma model of an alliance between two firms is adapted to include the response of a rival firm, resulting in a version of a three-player Prisoners’ Dilemma. We use this to analyse the impact on the...

This paper investigates whether investors are compensated for taking on commonality risk in equity portfolios. A large literature documents the existence and the causes of commonality in illiquidity, but the implications for investors are less understood. We find a return premium for commonality...

This paper investigates whether investors are compensated for taking on commonality risk in equity portfolios. A large literature documents the existence and the causes of commonality in illiquidity, but the implications for investors are less understood. We find a return premium for commonality...

This paper examines the inflation "pass-through" problem in American monetary policy, defined as the relationship between changes in the growth rates of individual goods and the subsequent economy-wide rate of growth of consumer prices. Granger causality tests robust to structural breaks are...