We introduce external risks, in the form of shocks to the level and volatility of world interest rates, into a small open economy model subject to the risk of sudden stops—large recessions together with abrupt reversals in capital inflows| and characterize optimal macroprudential policy in...

__Abstract__ Address delivered in shortened form at the occasion of accepting the appointment as Extraordinary Professor of Financial markets on behalf of Vereniging Trustfonds EUR at the Rotterdam School of Management, on Friday March 7, 2014. "In this address, I consider “The Social Value of...

We argue that the present crisis and stalling economy that have been ongoing since 2007 are rooted in the delusionary belief in policies based on a “perpetual money machine” type of thinking. We document strong evidence that, since the early 1980s, consumption has been increasingly funded by...

Much empirical research has been conducted concerning the effect of short-selling on market quality and volatility. However, the evidence is inconclusive and still a matter of debate. Using intraday data in a pure order-driven market we show that allowing for short-selling decreases the adverse...

In this paper I test for and model volatility jumps for the General Index (GD) of the Athens Stock Exchange (ASE), expanding the previous literature on the ASE in various ways. Using intraday data I first construct various state-of-the-art realized volatility estimators which I then use in...

In this paper, we use stock price data between the years 2007 and 2010 to investigate the allocation of assets on the GSE. The Classical Markowitz optimization method shows that, the most profitable portfolio is obtained by investing 90% of wealth in non-financial assets and 10% in financial...

We test for and model volatility jumps for three major indices of the Athens Stock Exchange (ASE).Using intraday data we rst construct several, state-of-the-art realized volatility estimators. We use these estimators to construct the jump components of volatility and perform various tests on...

This paper studies a dynamic market microstructure model, in which a strategic market maker competes with an informed trader. We include the presence of noise traders and limit order traders in our setup. Our model is a N-period model. We give necessary and sufficient conditions for an...

We find an asset pricing model which consists of the market portfolio, the market skewness or co-skewness factors, and portfolio idiosyncratic volatility factor best explains portfolio risk-return trade-offs on the Nigerian Stock Exchange (NSE), indicating this model is appropriate for studies...

We find an asset pricing model which consists of the market portfolio, the market skewness or co-skewness factors, and portfolio idiosyncratic volatility factor best explains portfolio risk-return trade-offs on the Nigerian Stock Exchange (NSE), and is appropriate to studies of the efficiency of...