The purpose of this paper is to examine the properties of bubbles in the light of steady state results for threshold auto-regressive (TAR) models recently derived by Knight and Satchell (2011). We assert that this will have implications for econometrics. We study the conditions under which we...

The purpose of this paper is to look for bubbles in the Art Market using a structure based on steady state results for TAR models and appropriate definitions of bubbles recently put forward by Knight, Satchell and Srivastava (2011). The usual method for investigating bubbles is to measure prices...

An omitted variable in the household's preferences specification may lead to overestimate the volatility of consumption, or alternatively to overvalue the risk aversion coefficient required to match the equity premium. This paper proposes to augment the utility function by adding a nontradable...

We examine a popular practitioner methodology used in the construction of linear factor models whereby particular factors are increased/decreased in relative importance within the model. This allows model builders to customise models and, as such, reflect those factors that the client/modeller...

We revisit the problem of calculating the exact distribution of optimal investments in a mean variance world under multivariate normality. The context we consider is where problems in optimisation are addressed through the use of Monte-Carlo simulation. Our findings give clear insight as to when...

The purpose of this paper is to use UK pension funds asset allocation information to model the risk attitude of the representative UK pension fund investor. Unlike the previous literature on loss aversion, we find that UK pension funds display risk aversion with respect to gains and to losses....