This discussion paper resulted in a publication in the <A HREF="http://www.sciencedirect.com/science/article/pii/S092753981400098X">'Journal of Empirical Finance'</A> (2014). Volume 29, pages 435-447. <P> We model the impact of financial conditions on asset market volatility and correlation. We propose extensions of (factor-)GARCH models for volatility and DCC models for...</p></a>

The equity premium is a key parameter in asset allocation policies. There is a vigorous debate in the literature regarding the actual measurement of the equity premium, its size and the determinants of its variation. This study aims to take stock of this literature by means of a meta-analysis....

We investigate actual capital chosen by banks in presence of capital minimum requirements and ex-post penalties for violating them. The model yields excess capital that is always positive and increases during times of distress in the economy, which is in line with empirical evidence. Next, we...

This paper resulted in a publication in the <A href="https://apps.webofknowledge.com/full_record.do?product=UA&search_mode=GeneralSearch&qid=4&SID=T2lPmvB33HytcbnHQmV&page=1&doc=1">'Journal of Economic Dynamics and Control'</A>, 2014, 43, 218-240.<P> We analyse the poisonous interaction between bank rescues, financial fragility and sovereign debt discounts. In our model balance sheet constrained financial intermediaries finance both...</p></a>

This discussion paper resulted in a publication in the 'Journal of Banking and Finance', 2014, 38, 89-105.<P> This paper documents that speed is crucially important for high frequency trading strategies based on U.S. macroeconomic news releases. Using order level data of the highly liquid S&P500...</p>

This discussion paper led to an article in <I>Growth and Change</I> (2014). Volume 45, issue 2, pages 240-262.<P> This paper employs Vector Autoregression (VAR) models to measure the impact of monetary policy shocks on regional output in Indonesia. Having incorporated a possible structural break following...</p></i>

When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on realised or bipower variation are applied. This article instead starts from a continuous time diffusion model and derives a parametric analog at high frequency for it, allowing...

Economists may need to change their tools of analysis from analysing income and expenditure contributors (GDP) to asset value contributors -the net worth levels of individual households-. Assessment of the latter requires a balance sheet analysis. Why; because the level of individual...

In the present case study, our main objective is to bring to the forefront the main factors that led to the double-dip recession of the Cypriot economy. We analyze determinants such as “tax haven” status, interlinks with the Greek economy, spillovers originating in the Euro Area as a whole...

The author examines China’s monetary policy in the light of the sterilization process of the excess liquidity caused by the permanent foreign exchange rate intervention. The tools of the neutralization of the monetary oversupply, its effectiveness and its costs are also investigated. With the...