We propose a multivariate nonparametric technique for generating reliable scenarios and confidence intervals for the term structure of interest rates from historical data. The approach is based on a functional gradient descent (FGD) estimation of the conditional mean vector and the conditional...

We present a multivariate, non-parametric technique for constructing reliable daily VaR predictions for individual assets belonging to a common equity market segment, which takes also into account the possible dependence structure between the assets and is still computationally feasible in large...

We study product innovation and imitation in the market of corporate underwriting with a dynamic model where client switching costs and the bankers’ expertise in deal structuring characterize the life cycle of a security. While the clientele loyalty allows positive rent extraction, the superior...

This paper studies the impact of cash constraints on equilibrium research intensities in a patent race between a current owner of the “state of the art” technology (the incumbent) and entrants. We develop a simple model, where players need to raise funds from imperfectly informed creditors to...

We propose a simple class of semiparametric multivariate GARCH models, allowing for asymmetric volatilities and time-varying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of estimates for averaged correlations...

We are interested in the macroeconomic implications of the separation of ownership and control. An alternative decentralized interpretation of the stochastic growth model is proposed, one where shareholders hire a self-interested manager who is in charge of the firm’s hiring and investment...

When information is costly, a seller may wish to prevent prospective buyers from acquiring information, for the cost of information acquisition is ultimately borne by the seller. A seller can achieve the desired prevention of information acquisition through posted-price selling, by offering...

Recent empirical work shows that a better legal environment leads to lowerexpected rates of return in an international cross-section of countries. Thispaper investigates whether differences in firm-specific corporate governancealso help to explain expected returns in a cross-section of firms...

We examine the underpricing and long-term performance of a broad set ofSwiss IPOs from 1983 to 2000. The average market adjusted initial return is34.97%. Our results support the ex ante uncertainty hypothesis, the signal-ling hypothesis and, to some extent, the market cyclicality hypothesis...

Die aktuelle Corporate Governance Literatur stützt die verbreitete Hypothe-se, dass sicht „gute“ Corporate Governance durch eine höhere Unterneh-mensbewertung manifestiert. Die Mehrzahl der empirischen Studien unter-sucht jedoch nur ausgewählte Corporate Governance Mechanismen...