This discussion paper resulted in an article in 'Economic Development and Cultural Change', 2011, 60, 121-154. <P> In this paper we focus on the timing of marriages of women, whose marriages are associated with bride wealth payments, which are transfers from (the family of) the groom to the bride's...</p>

This paper uses longitudinal survey data to assess factors affecting the duration of unemployment in Russia. We examine four types of marginalised labour force participants, according to ILO guidelines and survey responses, and we estimate duration models for each type. It turns out that the...

Theoretical models on the selling process in the housing market are scarce. Taylor (1999) specifies a model where time-on-the-market gives a quality signal of the house to potential buyers if inspection outcomes of the house are not public. We specify a duration model with competing risks, where...

Exchange rate returns are fat-tailed distributed. We provide evidence that the apparent non-normality derives from the behavior of macroeconomic fundamentals. Economic and probabilistic arguments are offered for such a relationship. Empirical support is given by testing against normality and...

This paper uses Reuters exchange rate data to investigate thecontributions to the price discovery process by individual banks in theforeign exchange market. We propose multivariate time series models aswell as models in tick time to study the dynamic relations between thequotes of individual...

This discussion paper resulted in a publication in 'Applied Financial Economics', 2011, 21, 95-116.<P> This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates...</p>

The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...

In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...

This discussion paper resulted in a publication in the <A href="http://people.few.eur.nl/hkvandijk/PDF/Bos_Mahieu_and_Van_Dijk_2000_JoAE_daily_exchange_rate.pdf">'Journal of Applied Econometrics'</A>, 2000, 15(6), 671-696.<P> We construct models which enable a decision-maker to analyze the implications oftypical timeseries patterns of daily exchange rates for currency risk management. Ourapproach is...</p></a>

This paper focuses on ignored issues regarding the impact of trade reforms in transition economies. These economies are primarily characterized by a low quality of their products, large depreciations of their currencies, and a high degree of government intervention in economic activity. These...