This thesis deals with the relationship between no-arbitrage and (strictly) consistent price processes for a financial market with proportional transaction costs in a discrete time model. The exact mathematical statement behind this relationship is formulated in the so-called Fundamental Theorem...

We solve the problem of optimal inventory management for a CARA market-maker who faces proportional transaction costs and marking to market. Our model accommodates inventory shocks following an arbitrary compound Poisson process, and allows us to link the optimal policy to the moment-generating...

The present study examines factor content of the CEE transition country agricultural trade. We examine the relative country abundance for labour, capital and land, and test the Heckscher-Ohlin-Vanek (HOV) hypothesis. Our empirical findings suggest that the factor content of agricultural exports...

The development over time of market integration between Chinese provinces is analyzed by estimating threshold vector error correction models for rolling windows during 1998-2003. Transaction costs clearly decrease during this period characterized by liberalization of external trade and domestic...

This paper empirically investigates the impact of transaction costs for monitoring, reporting, and verification (MRV) of emissions on companies regulated by the EU Emissions Trading System (EU ETS) in Germany. Based on a unique panel dataset, we investigate if MRV costs are dependent on the...