In this paper, the influence of information costs on the integration of Northern European financial markets between ca. 1350 and 1560 is explored. The approach is based on splitting information costs into their constitutive components and on measuring one of these, i.e. the costs of transmitting...

We consider the problem of optimal consumption for an investor who is risk and uncertainty avers. We model these preferences of the investor with the help of a convex risk-measure...

We give an explicit PDE characterization for the solution of the problemof maximizing the utility of both terminal wealth and intertemporal consumption under model uncertainty. The underlying market model consists of a risky asset, whose volatility and long-term trend are driven by an external...

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The recent availability of high-frequency data allows for refined methods in this field. In particular, more precise measures for the daily or lower frequency volatility can be...

A large body of literature explains the inferior position of unskilled workersby imposing a structural shift in the labor force skill composition. This papertakes a different approach by emphasizing the connection between cyclicalvariations in skilled and unskilled labor markets. Using a...

Standard models of equilibrium unemployment assume exogenous labour market institutions and flexible wage determination. This paper models wage rigidity and collective bargaining endogenously, when workers differ by observable skill and may adopt either individualised or collective wage...

The subject of this paper tackles questions of macroeconomic integration of the South-East Asian countries South Korea, Singapore and Taiwan. Economically, the analysis is based on notions of stochastic long-run convergence and business cycle synchrony in the GDPs. According tests for...

Recently, Frittelli and Scandolo ([9]) extend the notion of risk measures, originally introduced by Artzner, Delbaen, Eber and Heath ([1]), to the risk assessment of abstract financial positions, including pay offs spread over different dates, where liquid derivatives are admitted to serve as...

This paper examines the questions of whether and how feudal rulers were able tocredibly commit to preserving monetary stability, and of which consequences theirdecisions had for the efficiency of financial markets. The study reveals that princes were usually only able to commit to issuing a...

Eastern Germanys recovery from the unification shock has beencharacterized by deep structural change with apparent repercussions for the West as well and an integration process involving both capital deepening (extensive and intensive investment) and labor thinning (net out-migration). I propose...