Over the course of the past few years, too much credit has been made available worldwide, due to financial innovation, overly optimistic expectations and loophole-ridden regulation. Regulatory supervisors have failed because they were unable to prevent this situation. Things took a bad turn...

Dutch Abstract: Marktwaarde gewogen indexen mogen zich al jaren in grote belangstelling verheugen. Doordat actief beheerde aandelenmandaten regelmatig teleurstelden, gaven steeds meer professionele en particuliere beleggers de voorkeur aan goedkope beleggingsproducten die de traditionele,...

The 1994 Northridge earthquake sent ripples to insurance conpanies everywhere. This was one in a series of natural disasters such as Hurricane Andrew which together with the problems in Lloyd's of London have insurance companies running for cover. This paper presents a calibration of the U.S....

In this paper, we investigate the adequacy of scaling, a method frequently used in estimation of standard deviation of stock returns. Scaling is based on the assumption that standard deviation is proportional to the square root of the length of the time interval of the sample (for example daily,...

In this paper the relationship between stock prices and house prices is analysed for six countries over the years 1976-2001. We find that both asset prices show a positive long-term relationship, which can partly be explained by common macro-economic factors such as credit, consumption and...

Functional Signal plus Noise (FSN) time series models are introduced for the econometric analysis of the dynamics of a large cross-section of prices in which contemporaneous observations are functionally related. A semiparametric FSN model is developed in which a smooth, cubic spline signal...

This paper examines features of the Czech stock market’s development from 1997 to 2003 and attempts to unveil the macroeconomic consequences of stock-price development. The analysis of the stock market’s behavior supports a cautionary stance on the hypothesis of the efficient-market theory,...