A growth model, in which economic growth is driven by R&D activities, is constructed to analyse issues related to the riskiness of R&D. It is shown that when R&D are risky strongly-risk-averse behaviour may suffocate the potential growth of a closed economy if risk-sharing arrangements are...

This paper provides new evidence on the risk return relationship by jointly analysing index return and realised variance (RV) series. It is argued that the contemporaneous correlation (CC) between the return and RV, which has been largely overlooked in the literature, is a crucial component in...

A factor structure for VAR model error terms is adopted to examine the dynamic relationships of major macroeconomic time series. The structure, which is testable, is used to trace the consequences of a contemporaneously “ceteris paribus” (or idiosyncratic) change in each variable in the VAR...

Identification through heteroskedasticity in heteroskedastic simultaneous equations models (HSEMs) is considered. The possibility that heteroskedasticity identifies the structural parameters only partially is explicitly allowed for. The asymptoticproperties of the identified parameters are...

In the framework of structural VAR models with ARCH effect, we show that a sufficient condition for the local identification of a structural model is that at most one structural shock is homoskedastic. Our approach is based on a result of Rothenberg (1971)

From a frequentist perspective, we examine the large sample properties of Bayes procedures in a general framework, where data may be dependent and models may be misspecified and non-smooth. The posterior distribution of parameters is shown to be asymptotically normal, centered at the quasi...

The mixture structure of the generalized hyperbolic distribution of Barndorff-Nielsen (1997) is explored to quantify the contemporaneous correlation between return and volatility and to identify the effects of volatility feedback and risk premium within GARCH models. The statistical analysis of...

This study introduces a model that estimates the common and market-specific information flows when an asset is traded simultaneously in multiple markets. Cross-market return correlations are determined by a latent common information factor. The common and market-specific information flows are...