-
Estimation and comparison of treasury auction formats when bidders are asymme...
The structural parameters of a share-auction model accounting for asymmetries across bidders, as well as supply uncertainty, are estimated with a sample of French Treasury... -
Generalized long memory processes, failure of cointegration tests and exchang...
This paper presents evidence that the equilibrium relationship in a system of nominal exchange rates is best described as a stationary GARMA process. The implementation of the... -
Estimating and predicting multivariate volatility thresholds in global stock ...
We propose a general double tree structured AR-GARCH model for the analysis of global equity index returns. The model extends previous approaches by incorporating (i) several...
