GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we outline the issues and suggest a Markov chain Monte Carlo algorithm which allows the calculation...

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has...

In contrast to the situation that preceded the 1997–1998 Asian financial crisis, Asia today is a region with excess savings where corporate savings dominate. In the mid-2000s, the extent of liquidity was further amplified by massive capital flows, particularly bank-led flows. The flows were...

This paper examines the impact of fifteen pronouncements related to fair value accounting according to IAS 39 on equity prices of financial institutions. The results document that announcements that signal an increased (decreased) probability of issuance of IAS 39 produce negative (positive)...