Distributions for returns are used to compute the capital charge for portfolios in investment banks. The mainstream definition of returns is based on closing prices and neglects the important effects of intraday trading activity on the losses . In this paper we introduce ''minimal returns'', a...

The paper examines the relationship between UK wholesale gas prices and the Brent oil price over the period 1996-2003. Tests for Unit Roots and Cointegration are carried out and it is discovered that a long run equilibrium relationship between UK gas and oil prices predates the opening of the...

In many real phenomena the behaviour of a certain variable, subjected to different regimes, depends on the state of other variables or the same variable observed in other subjects, so the knowledge of the state of the latter could be important to forecast the state of the former. In this paper a...

This paper argues that the linear price-dividend relationship as predicted in the Gordon model breaks down in regimes of high inflation and deflation. Using data for the US and the UK over the period from 1871 to 2002, nonlinear estimates support the prediction of the model.

This paper examines the two-way relationship between birth interval and child survival and compares the behaviour of households in the Indian and Pakistani provinces of Punjab. Birth interval and child survival are modelled here as correlated hazard processes, allowing for mother- specific...

This paper analyzes the effects of public subsidies on R&D expenditure in the German manufacturing sector. The focus is on the question whether public R&D funding stimulates or crowds out private investment. Cross sectional data at the firm level is used. By applying parametric and...

In view of higher fertility and mortality rates in Pakistan compared to India, this paper examines the two-way relationship between birth interval and child mortality and compares the behaviour of households in the Indian and Pakistani provinces of Punjab. Birth interval and child survival are...

We propose an Instrumental Variable method for Generalised Accelerated Failure Time (GAFT) models that adjust for possible endogeneity of the intervention of interest, without suffering the problems of the intention-to-treat method. We develop an estimatiom procedure that collapses to the linear...