This paper explores the determinants of returns on listed European banks stocks through the use of a linear multifactor model of stock returns, in which fundamental macroeconomic factors are used, in addition to the market return, as explanatory variables. After specifying and fitting the model,...

This paper explores general equilibrium consumption choices and interest rate determination in a two-period model in which the production side explicitly describes the thermodynamic process unavoidably connected with production, as argued by Georgescu Roegen. A simple energy based production...

This paper explores general equilibrium asset pricing implications in a two-period model in which the production side explicitely describes the thermodynamic process unavoidably connected with production. We show that steady state of the production process, i.e. thermodynamic equilibrium, has a...

In this paper we discuss the estimation of the diffusion coefficient in one-factor models for the short rate via non-parametric methods. We test the estimators proposed by Ait-Sahalia (1996), Stanton (1997) and Bandi and Phillips (2003) on Monte Carlo simulations of the Vasicek and CIR model. We...

This article investigates the behavior of the term structure of interest rates over the business cycle. In contrast to prior studies that measure the business cycle by the simple growth in aggregate economic activity, the authors consider the deviation of aggregate economic activity from its...

This paper investigates the behavior of the term structure of interest rates over the business cycle. In contrast to the simple change in aggregate economic activity used in previous research, we use a more appropiate measure of the business cycle: the deviation of aggregate economic activity...

This paper explores the relationship between listed European banks' fundamental characteristics and the riskiness of their stock returns. Banks' structural characteristics are measured through a number different balance sheet indicators which are then associated to the stock riskiness, as...