We give an example where the put-call parity does not hold, and we give the domain of validity of this formulae.

This paper extends the tactical asset allocation strategy of Flavin and Wickens(1998) to incorporate the effects of macroeconomic variables in the analysis. Using a VAR in mean with a M-GARCH error structure, we can jointly model financial asset returns and macroeconomic variables, thereby...

The pensions industry is a multi – billion euro industry world wide. As at December 2002, Irish pension fund assets under management (not including the Government Pension reserve Fund) were of the order of 50,618.5m. Euro. Recent stock market performances coupled with a number of high –...

Evaluating investments with long-term consequences using discount rates that decline with the time horizon, (Declining Discount Rates or DDRs) means that future welfare changes are of greater consequence in present value terms. Recent work in this area has turned towards operationalising the...

This paper analyzes the evolution of conventions in a society with local interaction and mobile players. Three innovative aspects are introduced: Imperfect observability of play outside a player's home location, friction in the strategy adjustment process, and restriced mobility. It is shown...

The present work studies the behavior of a monopolistic informed trader in a two-period competitive dealer market. We show that the informed trader may engage in stock price manipulation as a result of the exploitation of his informational advantage (sufficient conditions are provided). The...

We examine differences in job satisfaction between low- and higher-paid workers within the European Union (EU). To do so The European Community Household Panel Data covering the period 1994-2001 is used. Then we test for differences in reported job satisfaction between low- and higher-paid...

The plan of our paper is as follows. Section 2 presents a methodology which decomposes the growth rate for OECD countries for the period 1967 to 1985 into movements along and movements towards the frontier. Section 3 takes the inter-temporal change in our index of X- inefficiency developed in...