The estimation of systematic risk is central to the implementation of the Capital Asset Pricing Model and the market model for both researchers and practitioners. It is well known that a variety of beta estimates can result for the one stock depending on various factors. In this paper, we are...

This paper attempts to uncover the determinants of the dealer bid-ask spread in the foreign exchange market. Prior research has examined the Huang-Masulis model wherein the spread is modelled as a function of dealer competition and volatility. We first extend this model to a much larger set of...

Conventional methods to determine the forgetting factors in autoregressive (AR) models are mostly based on arbitrary or personal choices. In this paper, we present two procedures which can be used to select the forgetting factor in subset AR modelling. The first procedure uses the bootstrap to...