We propose a simulated maximum likelihood estimator for dynamic models based on non-parametric kernel methods. Our method is designed for models without latent dynamics from which one can simulate observations but cannot obtain a closed-form representation of the likelihood function. Using the...

Sequential trade models in the spirit of Easley, Kiefer, O'Hara and Paperman (Journal of Finance, 1996) have recently become a standard application for the empirical analysis of information based trading on asset markets. Assuming that some traders have private information about an asset's true...

Loan purchase and securitization by Freddie Mac, Fannie Mae and private-label commercial mortgage-backed securities (CMBS) grew rapidly during the 1990s and accounted for more than one-half of the net growth in multifamily debt over the decade. By facilitating the integration of the multifamily...

Several approaches have been used to estimate and adjust for price movements in residential real estate; however, weaknesses remain in current systems. This study incorporates a different way of measuring temporal price patterns. The method involves a time series model, an approach not previously...

The Federal Reserve devotes significant resources to forecasting key economic variables such as real gross domestic product growth, employment, and inflation. The outlook for these variables also matters a great deal to businesses and financial market participants. The authors present a...

The efficacy of foreign aid inflow with regards to dictating the development of the recipient nations is often questioned in the light of the Dutch disease problem whereby a surge in such inflows tend to appreciate the respective real exchange rates of the recipient nations, bottlenecking their...

This paper extends the output growth model tested by Levine and Zervos (1998) by including a measure for capital allocation efficiency proxied by stock price informativeness. Using a sample of 62 countries, this study finds that stock price informativeness as measured by firm-specific return...

In this research, we examine the types of bankruptcy risk dependence structures of Japanese firms.For this purpose, we classify bankruptcy events observed in Japan into multiple event types based on industry type and firm size and then use a multidimensional Hawkes process that has been drawing...

This paper extends the output growth model tested by Levine and Zervos (1998) by including a measure for capital allocation efficiency proxied by stock price informativeness. Using a sample of 62 countries, this study finds that stock price informativeness as measured by firm-specific return...

Minimum market transparency requirements impose hedge fund (HF) managers to use the statement declared strategy in practice. However each declared strategy may actually origin a multiplicity of implemented management decisions. Is then the quot;actual quot;strategy the same as the...