1999
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Paper Details |
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| 99-100 | Gianluca Fusai and A. Tagliani Pricing of Occupation Time Derivatives: Continuous and Discrete Monitoring In: Journal of Computational Finance, Vol. 5, No. 1, Fall 001, Page 1-37. |
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| 99-99 | Gianluca Fusai Corridor Options and Arc-Sine Law |
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| 99-98 | Joao Pedro Vidal Nunes Interest Rate Derivatives in a Durrle and Kan Model with Stochastic Volatility: an Arrow-Debreu Pricing Approach |
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| 99-97 | Simon H. Babbs Conditional Gaussian Models of the Term Structure of Interest Rates |
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| 99-96 | Robert Hillman and Mark Salmon From Market Micro-structure to Macro Fundamentals: is there Predictability in the Dollar-Deutsche Mark Exchange Rate? |
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| 99-95 | Soosung Hwang and Steve Satchell Improved Testing for the Efficiency of Asset Pricing Theories in Linear Factor Models |
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| 99-94 | A. Hall, Soosung Hwang and Stephen E. Satchell Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models |
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| 99-93 | Frank Critchley, Paul Marriott and Mark Salmon An Elementary Account of Amari's Expected Geometry |
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| 99-92 | Renzo G. Avesani, Giampiero M. Gallo and Mark Salmon On the Evolution of Credibility and Flexible Exchange Rate Target Zones |
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| 99-91 | Paul Marriott and Mark Salmon Technical Analysis and Central Bank Intervention |
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| 99-90 | Christopher Neely and Paul Weller On the Evolution of Credibility and Flexible Exchange Rate Target Zones |
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| 99-89 | Christopher Neely and Paul Weller Intraday Technical Trading in the Foreign Exchange Market |
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| 99-88 | Soosung Hwang and Stephen E. Satchell Modelling Emerging Market Risk Premia Using Higher Moments |
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| 99-87 | Soosung Hwang and Stephen E. Satchell Market Risk and the Concept of Fundamental Volatility: Measuring Volatility Across Asset and Derivative Markets and Testing for the Impact of Derivatives Markets on Financial Markets |
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| 99-86 | Yin-Wong Cheung, Menzie D. Chinn and Ian W. Marsh How do UK-Based Foreign Exchange Dealers Think Their Market Operates? |
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| 99-85 | Ronald MacDonald and Ian W. Marsh Currency Spillovers and Tri-Polarity: a Simultaneous Model of the US Dollar, German Mark and Japanese Yen |
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| 99-84 | Ian W. Marsh An Analysis of the Performance of European Foreign Exchange Forecasters |
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| 99-83 | Ian W. Marsh and David Power A Panel-Based Investigation into the Relationship Between Stock Prices and Dividends |
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| 99-82 | Soosung Hwang, John Knight and Stephen E. Satchell Forecasting Volatility using LINEX Loss Functions |
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| 99-81 | Soosung Hwang and Stephen E. Satchell The Disappearance of Style in the US Equity Market |
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| 99-80 | Soosung Hwang The Effects of Systematic Sampling and Temporal Aggregation on Discrete Time Long Memory Processes and their Finite Sample Properties |
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| 99-79 | Christopher Neely and Paul Weller Predictability in International Asset Returns: A Re-examination |
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| 99-78 | Demos Tambakis and Anne-Sophie Van Royen Bootstrap Predictability of Daily Exchange Rates in ARMA Models |
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| 99-77 | Robert J. T. Hillman Forecasting Inflation with a Non-linear Output Gap Model |
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| 99-76 | Mark J. Dixon, Anthony W. Ledford and Paul K. Marriott Finite Sample Inference for Extreme Value Distributions |
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