This manual describes the usage of the accompanying freely available software package for estimation and testing in the fractionally cointegrated vector autoregressive (VAR) model. -- cofractional process ; cointegration rank ; fractional autoregressive model ; fractional cointegration ;...

This paper identifies two theoretical mechanisms that relate the regulatory arbitrage behavior of internationally active banks (IABs) to global financial conditions. According to the first mechanism, regulation becomes more binding during adverse financial conditions. Under these conditions,...

We consider an extension of the Kyle (1985) model where Arrow-Debreu securities are traded and the informed trader has private information regarding arbitrary higher moments of the asset payoff distribution. In this setting, we analyze price discovery and informed demand of Arrow-Debreu...

We obtain an invariance principle for the two-dimensional Brownian sheet where the underlying random field need not be independent or stationary. We also provide a basic demonstration of its application towards spatial unit root testing

We formulate a measure of information efficiency in a general, no-arbitrage semimartingale model of the price process. The market quality measure is applied to a high-frequency dataset from the interdealer FX market to identify changes in market efficiency after a decimalization of tick size.