In the literature on the empirical distribution of foreign exchange rates there is now consensus
that exchange rate yields are fat-tailed. Three problems, however, persist: (1) Which class …

Financial returns are known to be nonnormal and tend to have fat-tailed distributions. This
article presents a simple methodology that accurately estimates the degree of tail fatness, …

We examine the effects of price disclosure on market performance in a continuous
experimental multiple-dealer market in which seven professional market makers trade a single …

Greater personal responsibility toward financial decision-making is being advocated on a
global basis. Individuals and households are encouraged to take a more active approach to …

To ensure a competent regulatory framework with respect to value-at-risk (VaR) for
establishing a bank's capital adequacy requirements, as promoted by the Basle Committee on …

… We first show that the portfolio choice problem facing the G–L–S investor is the same as the
… We also present, separately, an analysis of the two stocks considered by G–L–S, Thomson-…

Increasing correlation during turbulent market conditions implies a reduction in portfolio
diversification benefits. We investigate the robustness of recent empirical results that indicate a …

This paper analyzes purchasing power parity (PPP) for the euro area. We study the impact of
the introduction of the euro in 1999 on the behavior of real exchange rates. We test the PPP …

This paper analyzes to what extent international and domestic asset pricing models lead to
a different estimate of the cost of capital for an individual firm under the maintained …

For three out of five major stockmarkets it is found that those levels which are a multiple of a
hundred are approached and transgressed relatively infrequently. We explicitly test for the …