Some scholars have posited that mutual banks have fewer incentives to engage in excessive risk-taking than joint-stock banks because of the unique structure of property rights in the mutual firm. This paper uses their theory as a framework to explain the divergent risk-taking behavior of...

Unpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions. We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated...

Estimating the covariance and correlation between assets using high frequency data is challenging due to market microstructure effects and Epps effects. In this paper we extend Xiu’s univariate QML approach to the multivariate case, carrying out inference as if the observations arise from an...

This is a draft Chapter from a book by the authors on “L´evy Driven Volatility Models”.

Likelihood based estimation of the parameters of state space models can be carried out via a particle filter. In this paper we show how to make valid inference on such parameters when the model is incorrect. In particular we develop a simulation strategy for computing sandwich covariance...

High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps. One of the key techniques developed in the literature in recent years has been bipower variation and its multipower extension, which estimates time-varying volatility robustly to jumps. We...

This paper uses data from the 1833 Factory Inquiry to assess male and female occupations and earnings in factory textile production. This is contrasted with evidence drawn from various sources on male and female employment in domestic industry. 1780-1850 was a period of dramatic change in the...

This paper employs multiple regression analysis to evaluate the effectiveness of yield-raising techniques available to medieval farm managers (reeves) using a panel dataset of 49 manors held by the Bishop of Winchester from 1349-70. There are three main interesting findings. First, annual...

The newly dominant interpretation of the British industrial revolution contends that Britain was a high wage economy (HWE) and that the high wages themselves caused industrialization by making profitable labour-saving inventions that were economically inefficient in the context of other relative...

Existing theories of pre-emptive war typically predict that the leading country may choose to launch a war on a follower who is catching up, since the follower cannot credibly commit to not use their increased power in the future. But it was Japan who launched a war against the West in 1941, not...