Year:2009, 2008, 2007, 2006, 2005, 2004, 2003, 2002, 2001, 2000, 1999, 1998
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| Series Number |
Author(s) |
Title |
| WP08-07 |
Roman Kozhan and Rozalia Pal |
Firms' Investment under Financial Constraints: A Euro Area Investigation
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| WP08-06 |
Roman Kozhan and Mark Salmon |
On Uncertainty, Market Timing and the Predictability of Tick by Tick Exchange Rates
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| WP08-05 |
Roman Kozhan and Mark Salmon |
Uncertainty Aversion in a Heterogeneous AgentModel of Foreign Exchange Rate Formation
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| WP08-04 |
Roman Kozhan |
Non-Additive Anonymous Games
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| WP08-03 |
Thomas Lux |
Stochastic Behavioral Asset Pricing Models and the Stylized Facts
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| WP08-02 |
Reiner Franke |
A Short Note on the Problematic Concept of Excess Demand in Asset Pricing Models with Mean-Variance Optimization
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| WP08-01 |
Alexandra Dias |
Semi-parametric estimation of joint large movements of risky assets
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| Series Number |
Author(s) |
Title
|
| WP07-13 |
Timur Yusupov and Thomas Lux |
The Efficient Market Hypothesis through the Eyes of an Artificial Technical Analyst: An Application of a New Chartist Methodology to High-Frequency Stock Market Data
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| WP07-12 |
Liu Ruipeng, Di Matteo and Thomas Lux |
True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence
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| WP07-11 |
Thomas Lux |
Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey
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| WP07-10 |
Thomas Lux |
Collective Opinion Formation in a Business Climate Survey
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| WP07-09 |
Thomas Lux |
Application of Statistical Physics in Finance and Economics
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| WP07-08 |
Reiner Franke |
A Prototype Model of Speculative Dynamics With Position-Based Trading
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| WP07-07 |
Reiner Franke |
Estimation of a Microfounded Herding Model On German Survey Expectations
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| WP07-06 |
Cees Diks and Pietro Dindo |
Informational differences and learning in an asset market with boundedly rational agents
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| WP07-05 |
Markus Demary |
Who Do Currency Transaction Taxes Harm More: Short-Term Speculators or Long-Term Investors?
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| WP07-04 |
Markus Demary |
A Heterogenous Agents Model Usable for the Analysis of Currency Transaction Taxes
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| WP07-03 |
Mikhail Anufriev and Pietro Dindo |
Equilibrium Return and Agents' Survival in a Multiperiod Asset Market: Analytic Support of a Simulation Model
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| WP07-02 |
Simone Alfarano and Michael Milakovic |
Should Network Structure Matter in Agent-Based Finance?
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| WP07-01 |
Simone Alfarano and Reiner Franke |
A Simple Asymmetric Herding Model to Distinguish Between Stock and Foreign Exchange Markets
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| Series Number |
Author(s) |
Title
|
| WP06-24 |
Roman Kozhan |
Multiple Priors and No-Transaction Region
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| WP06-23 |
Martin Ellison, Lucio Sarno and Jouko Vilmunen |
Caution and Activism? Monetary Policy Strategies in an Open Economy
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| WP06-22 |
Matteo Marsili and Giacomo Raffaelli |
Risk bubbles and market instability
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| WP06-21 |
Mark Salmon and Christoph Schleicher |
Pricing Multivariate Currency Options with Copulas
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| WP06-20 |
Thomas Lux and Taisei Kaizoji |
Forecasting Volatility and Volume in the Tokyo Stock Market: Long Memory, Fractality and Regime Switching
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| WP06-19 |
Thomas Lux |
The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility
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| WP06-18 |
Peter Heemeijer, Cars Hommes, Joep Sonnemans and Jan Tuinstra |
Price Stability and Volatility in Markets with Positive and Negative Expectations Feedback: An Experimental Investigation
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| WP06-17 |
Giacomo Raffaelli and Matteo Marsili |
Dynamic instability in a phenomenological model of correlated assets
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| WP06-16 |
Ginestra Bianconi and Matteo Marsili |
Effects of degree correlations on the loop structure of scale free networks
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| WP06-15 |
Pietro Dindo and Jan Tuinstra |
A Behavioral Model for Participation Games with Negative Feedback
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| WP06-14 |
C. Diks and Florian Wagener |
A weak bifucation theory for discrete time stochastic dynamical systems
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| WP06-13 |
Markus Demary |
Transaction Taxes, Traders’ Behavior and Exchange Rate Risks
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| WP06-12 |
Andrea De Martino and Matteo Marsili |
Statistical mechanics of socio-economic systems with heterogeneous agents
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| WP06-11 |
William Brock, Cars Hommes and Florian Wagener |
More hedging instruments may destabilize markets
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| WP06-10 |
Ginwestra Bianconi and Roberto Mulet |
On the flexibility of complex systems
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| WP06-09 |
Ginwestra Bianconi and Matteo Marsili |
Effect of degree correlations on the loop structure of scale-free networks.
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| WP06-08 |
Ginwestra Bianconi, Tobias Galla and Matteo Marsili |
Effects of Tobin Taxes in Minority Game Markets
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| WP06-07 |
Ginwestra Bianconi, Andrea De Martino, Felipe Ferreira and Matteo Marsili |
Multi-asset minority games
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| WP06-06 |
Ba Chu, John Knight and Stephen Satchell |
Optimal Investment and Asymmetric Risk for a Large Portfolio: A Large Deviations Approach
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| WP06-05 |
Ba Chu and Soosung Hwang |
The Asymptotic Properties of AR(1) Process with the Occasionally Changing AR Coefficient
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| WP06-04 |
Ba Chu and Soosung Hwang |
An Asymptotics of Stationary and Nonstationary AR(1) Processes with Multiple Structural Breaks in Mean
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| WP06-03 |
Ba Chu |
Optimal Long Term Investment in a Jump Diffusion Setting: A Large Deviation Approach
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| WP06-02 |
Mikhail Anufriev and Gulio Bottazzi |
Price and Wealth Dynamics in a Speculative Market with Generic Procedurally Rational Traders
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| WP06-01 |
Simone Alfarano, Thomas Lux and Friedrich Wagner |
Empirical Validation of Stochastic Models of Interacting Agents: A “Maximally Skewed” Noise Trader Model ?
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| Series Number |
Author(s) |
Title
|
| WP05-17 |
Shaun Bond and Soosung Hwang |
Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggreagation in Real Estate Price Indices
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| WP05-16 |
Mark Salmon, Gordon Gemmill and Soosung Hwang |
Performance Measurement with Loss Aversion
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| WP05-15 |
Philippe Curty and Matteo Marsili |
Phase coexistence in a forecasting game
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| WP05-14 |
Matthew Hurd, Mark Salmon and Christoph Schleicher |
Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index (Revised)
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| WP05-13 |
Lucio Sarno, Daniel Thornton and Giorgio Valente |
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields
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| WP05-12 |
Lucio Sarno, Ashoka Mody and Mark Taylor |
A Cross-Country Financial Accelorator: Evidence from North America and Europe
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| WP05-11 |
Lucio Sarno |
Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand?
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| WP05-10 |
James Hodder and Jens Carsten Jackwerth |
Incentive Contracts and Hedge Fund Management
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| WP05-09 |
James Hodder and Jens Carsten Jackwerth |
Employee Stock Options: Much More Valuable Than You Thought
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| WP05-08 |
Gordon Gemmill, Soosung Hwang and Mark Salmon |
Performance Measurement with Loss Aversion
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| WP05-07 |
George Constantinides, Jens Carsten Jackwerth and Stylianos Perrakis |
Mispricing of S&P 500 Index Options
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| WP05-06 |
Elisa Luciano and Wim Schoutens |
A Multivariate Jump-Driven Financial Asset Model
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| WP05-05 |
Cees Diks and Florian Wagener |
Equivalence and bifurcations of finite order stochastic processes
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| WP05-04 |
Devraj Basu and Alexander Stremme |
CAY Revisited: Can Optimal Scaling Resurrect the (C)CAPM?
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| WP05-03 |
Ginwestra Bianconi and Matteo Marsili |
Emergence of large cliques in random scale-free networks.
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| WP05-02 |
Simone Alfarano, Thomas Lux and Friedrich Wagner |
Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach
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| WP05-01 |
Abhay Abhayankar, Devraj Basu and Alexander Stremme |
Portfolio Efficiency and Discount Factor Bounds with Conditioning Information: A Unified Approach
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| Series Number |
Author(s) |
Title
|
| WP04-19 |
Xiaohong Chen, Yanqin Fan and Andrew Patton |
Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates
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| WP04-18 |
Valentina Corradi and Walter Distaso |
Testing for One-Factor Models versus Stochastic Volatility Models
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| WP04-17 |
Valentina Corradi and Walter Distaso |
Estimating and Testing Sochastic Volatility Models using Realized Measures
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| WP04-16 |
Valentina Corradi and Norman Swanson |
Predictive Density Accuracy Tests
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| WP04-15 |
Roel Oomen |
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes
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| WP04-14 |
Roel Oomen |
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling
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| WP04-13 |
Richard Clarida, Lucio Sarno, Mark Taylor and Giorgio Valente |
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates
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| WP04-12 |
Lucio Sarno, Daniel Thornton and Giorgio Valente |
Federal Funds Rate Prediction
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| WP04-11 |
Lucio Sarno and Giorgio Valente |
Modeling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers
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| WP04-10 |
Lucio Sarno and Giorgio Valente |
Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts
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| WP04-09 |
Ilias Tsiakas |
Periodic Stochastic Volatility and Fat Tails
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| WP04-08 |
Ilias Tsiakas |
Is Seasonal Heteroscedasticity Real? An International Perspective
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| WP04-07 |
Damin Challet, Andrea De Martino, Matteo Marsili and Isaac Castillo |
Minority games with finite score memory
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| WP04-06 |
Basel Awartani, Valentina Corradi and Walter Distaso |
Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average
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| WP04-05 |
Andrew Patton and Allan Timmermann |
Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity
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| WP04-04 |
Andrew Patton |
Modelling Asymmetric Exchange Rate Dependence
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| WP04-03 |
Alessio Sancetta |
Decoupling and Convergence to Independence with Applications to Functional Limit Theorems
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| WP04-02 |
Alessio Sancetta |
Copula Based Monte Carlo Integration in Financial Problems*
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| WP04-01 |
Abhay Abhayankar, Lucio Sarno and Giorgio Valente |
Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability
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| Series Number |
Author(s) |
Title |
| WP02-12 |
Paolo Zaffaroni |
Gaussian inference on Certain Long-Range Dependent Volatility Models
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| WP02-11 |
Paolo Zaffaroni |
Aggregation and Memory of Models of Changing Volatility
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| WP02-10 |
Jerry Coakley, Ana-Maria Fuertes and Andrew Wood |
Reinterpreting the Real Exchange Rate - Yield Diffential Nexus
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| WP02-09 |
Gordon Gemmill and Dylan Thomas |
Noise Training, Costly Arbitrage and Asset Prices: evidence from closed-end funds
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| WP02-08 |
Gordon Gemmill |
Testing Merton's Model for Credit Spreads on Zero-Coupon Bonds
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| WP02-07 |
George Christodoulakis and Steve Satchell |
On th Evolution of Global Style Factors in the MSCI Universe of Assets
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| WP02-06 |
George Christodoulakis |
Sharp Style Analysis in the MSCI Sector Portfolios: A Monte Caro Integration Approach
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| WP02-05 |
George Christodoulakis |
Generating Composite Volatility Forecasts with Random Factor Betas
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| WP02-04 |
Claudia Riveiro and Nick Webber |
Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge
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| WP02-03 |
Christian Pedersen and Soosung Hwang |
On Empirical Risk Measurement with Asymmetric Returns Data
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| WP02-02 |
Roy Batchelor and Ismail Orgakcioglu |
Event-related GARCH: the impact of stock dividends in Turkey
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| WP02-01 |
George Albanis and Roy Batchelor |
Combining Heterogeneous Classifiers for Stock Selection
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| Series Number |
Author(s) |
Title |
| WP01-16 |
Soosung Hwang and Steve Satchell |
GARCH Model with Cross-sectional Volatility; GARCHX Models
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| WP01-15 |
Soosung Hwang and Steve Satchell |
Tracking Error: Ex-Ante versus Ex-Post Measures
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| WP01-14 |
Soosung Hwang and Steve Satchell |
The Asset Allocation Decision in a Loss Aversion World
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| WP01-13 |
Soosung Hwang and Mark Salmon |
An Analysis of Performance Measures Using Copulae
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| WP01-12 |
Soosung Hwang and Mark Salmon |
A New Measure of Herding and Empirical Evidence
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| WP01-11 |
Richard Lewin and Steve Satchell |
The Derivation of New Model of Equity Duration
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| WP01-10 |
Massimiliano Marcellino and Mark Salmon |
Robust Decision Theory and the Lucas Critique
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| WP01-09 |
Jerry Coakley, Ana-Maria Fuertes and Maria-Teresa Perez |
Numerical Issues in Threshold Autoregressive Modelling of Time Series
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| WP01-08 |
Jerry Coakley, Ana-Maria Fuertes and Ron Smith |
Small Sample Properties of Panel Time-series Estimators with I(1) Errors
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| WP01-07 |
Jerry Coakley and Ana-Maria Fuertes |
The Felsdtein-Horioka Puzzle is Not as Bad as You Think
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| WP01-06 |
Jerry Coakley and Ana-Maria Fuertes |
Rethinking the Forward Premium Puzzle in a Non-linear Framework
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| WP01-05 |
George Christodoulakis |
Co-Volatility and Correlation Clustering: A Multivariate Correlated ARCH Framework
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| WP01-04 |
Frank Critchley, Paul Marriott and Mark Salmon |
On Preferred Point Geometry in Statistics
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| WP01-03 |
Eric Bouyé and Nicolas Gaussel and Mark Salmon |
Investigating Dynamic Dependence Using Copulae
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| WP01-02 |
Eric Bouyé |
Multivariate Extremes at Work for Portfolio Risk Measurement
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| WP01-01 |
Erick Bouyé, Vado Durrleman, Ashkan Nikeghbali, Gael Riboulet and Thierry Roncalli |
Copulas: an Open Field for Risk Management
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| Series Number |
Author(s) |
Title |
| WP00-06 |
Soosung Hwang and Steve Satchell |
Valuing Information Using Utility Functions
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| WP00-05 |
Soosung Hwang |
Properties of Cross-sectional Volatility
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| WP00-04 |
Soosung Hwang and Steve Satchell |
Calculating the Miss-specification in Beta from Using a Proxy for the Market Portfolio
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| WP00-03 |
Laun Middleton and Stephen Satchell |
Deriving the APT when the Number of Factors is Unknown
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| WP00-02 |
George A. Christodoulakis and Steve Satchell |
Evolving Systems of Financial Returns: Auto-Regressive Conditional Beta
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| WP00-01 |
Christian S. Pedersen and Stephen Satchell |
Evaluating the Performance of Nearest Neighbour Algorithms when Forecasting US Industry Returns
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| Series Number |
Author |
Title |
| WP98-05 |
Soosung Hwang and Stephen E. Satchell |
Implied Volatility Forecasting: A Compaison of Different Procedures Including Fractionally Integrated Models with Applications to UK Equity Options
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| WP98-04 |
Roy Batchelor and David Peel |
Rationality Testing under Asymmetric Loss
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| WP98-03 |
Roy Batchelor |
Forecasting T-Bill Yields: Accuracy versus Profitability
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| WP98-02 |
Adam Kurpiel and Thierry Roncalli |
Option Hedging with Stochastic Volatility
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| WP98-01 |
Adam Kurpiel and Thierry Roncalli |
Hopscotch Methods for Two State Financial Models
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