In this study, we estimate the level of financial integration using a multivariate GARCH(1,1)-M return generating model allowing for partial market integration as well as for the pricing of systematic emerging market risk. We find that emerging markets still remain to a large extent segmented...

Seminal work in finance, economics, and psychology has documented that individuals tell the truth more often than standard economic models predict. But researchers have so far only indirectly inferred a preference for truth-telling from agents’ observed behavior. Using experiments, we explore...

In this paper we present a two-factor model, which values American crude oil futures options using the spot price and the net marginal convenience yield of crude as the relevant state variable. The model also accounts for a non-stationary market price of convenience yield risk, the value of...

We investigate the effects of margining, a widely-used mechanism for attaching collateral to derivatives contracts, on derivatives trading volume, default risk, and on the welfare in the banking sector. First, we develop a stylized banking sector equilibrium model to develop some basic intuition...

We conduct a laboratory experiment in which we expose participants to situational social norms of approval or disapproval of lying. While participants on average conform to the situational pressure, the results highlight important differences in individual reactions. Situational norms crowd out...

The last decades have seen the development of a profusion of theoretical models of the term structure of interest rates. The aim of this survey is to provide a comprehensive review of these continuous time modeling techniques of the term structure applicable to value and hedge default-free bonds...