It is common practice to describe the future evolution of a financial profit by a continuous-time stochastic model. A risk measure can then be viewed as a functional on a space of continuous-time stochastic processes. We extend the notions of coherent and convex risk measures to the space of...

This paper systematically analyses the market for syndicated loans over the period from 1982 till 2000. A sub-sample of high-information loans is studied over the period from 1982 until 2000. Aspects such as market credit quality, average spreads, average tenors and other market characteristics...

This paper presents a general equilibrium currency crisis model of the ’thirdgeneration’, in which the possibility of currency crises is driven by the in-terplay between private firms’ credit-constraints and nominal price rigidities.Despite our emphasis on microfoundations, the model remains...

This paper is about contagion and interdependence among Central European economies. It investigates the extent to which country-specific shocks spread across these countries beyond the normal channels of interdependence, taking into account common external shocks. To model such shocks, we make...

This model adds to the standard neoclassical model of business fluctuations by introducing a more realistic capital structure problem, where firms have to balance the tax benefits of debt with the costs of potential financial distress. Therefore, firms solve a dynamic problem with both an...

This paper extends the literature on the information content of financial variables with respect to future economic growth. It shows that variables originating from both the equity market and the bond market in Switzerland are useful indicators for forecasting the Swiss business cycle. In...

Conventional time series analysis, focusing exclusively on a time series at a given scale, lacks the ability to explain the nature of the data generating process. A process equation that successfully explains daily price changes, for example, is unable to characterize the nature of hourly price...

In this study new realized volatility measures based on Multi-Scale regression and Discrete Sine Transform (DST) approaches are presented. We show that Multi-Scales estimators similar to that recently proposed by Zhang (2004) can be constructed within a simple regression based approach by...

In this study new realized volatility measures based on Multi-Scale regression and Discrete Sine Transform (DST) approaches are presented. We show that Multi-Scales estimators similar to that recently proposed by Zhang (2004) can be constructed within a simple regression based approach by...

In this paper we propose a new approach to estimating the systematic risk (the beta of an asset). The proposed method is based on a wavelet multiscaling approach that decomposes a given time series on a scale-by-scale basis. The empirical results from different economies show that the...