This paper extends a recent martingale representation result of [N-S] for a Levy process to filtrations generated by a rather large class of semimartingales. As in [N-S], we assume the underlying processes have moments of all orders, but here we allow angle brackets to be stochastic. Following...

This study employed the Hinich portmanteau bicorrelation test (Hinich and Patterson, 1995; Hinich, 1996) as a diagnostic tool to determine the adequacy of the GARCH model in describing the returns generating process of Malaysia’s stock market, specifically the Kuala Lumpur Stock Exchange Composite...

This paper documents some stylized facts about Canadian banking. I explore these empirical facts in the context of the Canadian financial legislation. I find that, over the 1990s, Canadian businesses became more heavily dependent on financial markets as their primary source of external funding....

Over the past 20 years, finance has become commodified. Firms increasingly obtain finance from securities markets, instead of borrowing from commercial banks with which they have long-term relationships, while Fannie Mae and Freddie Mac package a growing number of mortgages into bonds. When...

Since the second half of the ‘70s, those institutions aimed at granting the banking and financial system stability (Central Banks, Supervisory Authorities, Deposit Insurance Systems, etc.) have been employing monitoring techniques in order to evaluate the situation of banks, some of which...

This paper studies the effect of clustering of liquidity trades on intraday patterns of volatility and market depth when private information is long-lived. The assumption of long-lived information allows us to distinguish between the patterns of information arrival and information use. Our...

Edhe pse burimet e financimit ekstern, procesi i emetimit të letrave me vlerë, dhe disa pjesë të ambientit rregullativ kanë mbetur thuaj të njëjta, tregjet e kapitalit kanë ndryshuar në mënyrë dramatike kudo në botë në dy dekadat e fundit, dhe do të vazhdojnë të ndryshojnë edhe...

We consider a portfolio built according to the Capital Market Line of the Capital-Asset-Pricing Model. The universe of asset classes include marketable shares and bonds only. We investigate losses that emerge when the rate of return of the portfolio is lower than that required to fulfil a...

We propose a new hypothesis testing method for multi-predictor regressions with finite samples, where the dependent variable is regressed on lagged variables that are autoregressive. It is based on the augmented regressiom method (ARM; Amihud and Hurvich (2004)), which produces reduced-bias...

Transaction costs involved while trading several assets may be described using bid-ask spread of the asset prices. We assume that the prices of several assets may be linked, so that transactions involving several assets have prices that are not necessarily equal to the sums of (bid or ask)...