An asymmetric information model of the bid-ask spread is developed for a foreign exchange market subject to occasional government interventions. Traditional tests of the unbiasedness of the forward rate as a predictor of the future spot rate are shown to be inconsistent when the rates are...

Statistical model selection criteria provide an informed choice of the model with best external (i.e., out-of-sample) validity. Therefore, they guard against overfitting (quot;data snoopingquot;). We implement several model selection criteria in order to verify recent evidence of predictability...

Thinking of photonic crystals, we investigate the theory of electromagnetic wave propagation in a perfectly conducting semi-cylinder endowed with a periodic permittivity along its axis while its circular base is illuminated by an harmonic Bessel beam, symmetric around the cylinder axis. We prove...

When continuous-time portfolio weights are applied to a discrete-time hedging problem, errors are likely to occur. This paper evaluates the overall importance of the discretization-induced tracking error. It does so by comparing the performance of Black-Scholes hedge ratios against those...