Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...

Reversals in capital inflows can have severe economic consequences. This paper develops a dynamic general equilibrium model to analyse the effect on interest rates, asset prices, investment, consumption, output, the exchange rate and the current account of a shift in portfolio preferences of...

Demonstrating the generation of electricity with Accelerator-Driven Subcritical Reactor (ADSR) technology will incur substantial financial risk both from traditional reactor construction uncertainties and new technology uncertainties such as the reliability of the accelerator system. The...

In this paper we explore solutions to a particular type of heterogeneity in survey data which is manifest in the presence of individual-specific response scales. We consider this problem in the context of existing evidence on cross-country differences in subjective life satisfaction, and in...

In light of recent regulatory initiatives focusing on fair treatment of customers in financial markets, this paper examines the agency problem created by an asset manager with market impact, segregated accounts and preference-based contracts. It illustrates how aggregate client welfare and...

This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...