The U.S. shale revolution, using new technologies to extract crude oil, has led to new dynamics in the supply side of the global oil market. We ask whether the shale revolution has dampened the role of geopolitical risk in oil price volatility. We extend a reduced form Structural Break Threshold...

Bayesian inference is developed and applied for an extended Nelson–Siegel term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson–Siegel (SVNS) model allows for stochastic volatility in the underlying yield factors. A Markov chain Monte Carlo (MCMC)...

In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the underlying yield factors. We propose a Markov...

We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR) model. This allows us to investigate the presence of a deterministic time trend in economic series, while allowing the degree of persistence to change over time. In particular...

Does speculative trade reduce mispricing - and help create efficient markets - or drive prices further from fundamentals? We analyse betting exchange trading, on 9,562 U.K. horse races in 2013 and 2014, to find out. Crucially, as each race is run, the fundamental value of bets is unambiguously...

Recent evidence suggests that the fastest algorithmic traders in financial markets profit at the expense of slower traders. One solution gaining traction is a `speed-bump', which introduces a delay between the time in which an order is submitted, and when it is processed. We conduct an impact...