Islamic strictures require investors to share risks with the entrepreneurs they finance. Sukuk (Islamic securities) come mostly in two varieties, musharakah (basically a joint venture agreement) and ijarah (more like an operational lease agreement). Yet defaults did happen, even in the case of...

During the Global Financial Crisis, regulators imposed short-selling bans to protect financial institutions. The rationale behind the bans was that “bear raids”, driven by short-sellers, would increase the individual and systemic risk of financial institutions, especially for institutions...

In this paper it is argued that occupational and organizational codes maximizethe correspondence between activities and easily observable characteristics atthe time of their development. Over time the codes become less relevant, leadingto the false impression that the segregation of individuals...

A new empirical reduced-form model for credit rating transitions is introduced. It is a parametric intensity-based duration model with multiple states and driven by exogenous covariates and latent dynamic factors. The model has a generalized semi-Markov structure designed to accommodate many of...

An exact maximum likelihood method is developed for the estimation of parameters in a non-Gaussian nonlinear log-density function that depends on a latent Gaussian dynamic process with long-memory properties. Our method relies on the method of importance sampling and on a linear Gaussian...

This paper concerns estimating parameters in a high-dimensional dynamic factormodel by the method of maximum likelihood. To accommodate missing data in theanalysis, we propose a new model representation for the dynamic factor model. Itallows the Kalman filter and related smoothing methods to...

We review the past 25 years of time series research that has been published in journals managed by the International Institute of Forecasters (Journal of Forecasting 1982-1985; International Journal of Forecasting 1985-2005). During this period, over one third of all papers_new published in these...

We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...

This paper introduces the Werden-Froeb Index (WFI) to assist in evaluating merger-specific efficiencies in horizontal mergers. The index measures the weighted average reduction in marginal costs required to restore pre-merger equilibrium prices and quantities after the (full or partial) merger...

We consider the dynamic factor model where the loading matrix, the dynamic factors and the disturbances are treated as latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the loadings and the factors. We show that our estimates...