In this paper, we model the simultaneous buy and sell trade arrival process in a limit order book market. The buy and sell process is modelled based on a bivariate intensity model. In this context we extend the autoregressive ...

Investigates the efficacy of using the limited information maximum likelihood (LIML) estimation in solving the analogous situation in an ordinary simultaneous equation problem for a model with moving average disturbance. ...

Determining which types of mutual (or managed) investment funds are good financial investments is complicated by potential survivorship biases. This project adds to a small recent international literature on the patterns ...

This paper investigates the presence of global style factors in global equity investment. To this end, we apply Bayesian variable selection methods from the statistics literature to give guidance in the decision to ...