We analyze the economic forces underlying cross-border Mergers and Acquistions (M&As) using a large bilateral panel data set. The frequent occurrence of "zero" observations provides essential information on the structure of M&A flows, which we model empirically using a two-stage procedure. At...

Do shareholders of acquiring companies profit from acquisitions, or do acquiring CEOs overbidand destroy shareholder value? Answering this question is difficult since the hypotheticalcounterfactual is hard to determine. We exploit merger contests to address the identificationissue. In those...

A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by...

U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. marketand, potentially, in both markets simultaneously. We use a state space model to study 24-hour price discovery. As opposed to thestandard "variance ratio'' approach,...

We investigate the added value of combining density forecasts for asset return prediction in a specific region of support. We develop a new technique that takes into account model uncertainty by assigning weights to individual predictive densities using a scoring rule based on the censored...

See the publication in <I>Mathematics and Computers in Simulation (MATCOM)</I> (2013). Volume 94(C), pages 223-237.<P> In this paper we provide further evidence on the suitability of the median of the point VaR forecasts of a set of models as a GFC-robust strategy by using an additional set of new extreme...</p></i>

See the publication in <I>The North American Journal of Economics and Finance</I> (2013). Volume 26(C), pages 250-265.<P> The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the...</p></i>

Credit risk models should reflect the observation that the relevant value of collateral is generally not the average value of the asset over all possible states of nature. In most cases, the relevant value of collateral for the lender is its secondary market value in bad states of nature, where...

This discussion paper led to a publication in the <A HREF="http://onlinelibrary.wiley.com/doi/10.1002/jae.2358/abstract"><I>Journal of Applied Econometrics</I></A>, 2014, 29, pages 693-712.<P> Many economic studies on inflation forecasting have found favorable results when inflation is modeled as a stationary process around a slowly time-varying trend. In contrast, the existing...</p></i></a>

This discussion paper resulted in a publication in the <A HREF="http://www.sciencedirect.com/science/article/pii/S092753981400098X">'Journal of Empirical Finance'</A> (2014). Volume 29, pages 435-447. <P> We model the impact of financial conditions on asset market volatility and correlation. We propose extensions of (factor-)GARCH models for volatility and DCC models for...</p></a>