2003 Series
2003 Series
Bivariate Normal Mixture Spread Option Valuation.
Carol Alexander and Andrew Scourse
2003-15
Quantitative Finance, 2004, 4:6 1-12
abstract
Intra-day Patterns in the Returns, Bid-ask Spreads, and Trading Volume of Stocks Traded on the New York Stock Exchange.
Chris Brooks, J. Hinich and Douglas M. Patterson
2003-14
abstract
On the Aggregation of Market and Credit Risks.
Carol Alexander and Jacques Pezier
2003-13
abstract
The Present, Future and Imperfect of Financial Risk Management.
Carol Alexander
2003-12
Journal of Financial Econometrics, 2005, 3:1, 3-25
abstract
Application-Based Financial Risk Aggregation Methods.
Jacques Pezier
2003-11
abstract
Long-term Information, Short-lived Securities.
Dan Bernhardt, Ryan Davies and John Spicer
2003-10
Later version to appear in Journal of Futures Markets (2006)
abstract
Symmetric Normal Mixture GARCH.
Carol Alexander and Emese Lazar
2003-09
Later version to appear in Journal of Applied Econometrics (2005)
abstract
Sources of Over-Performance in Equity Markets: Mean Reversion, Common Trends and Herding.
Carol Alexander and Anca Dimitriu
2003-08
Journal of Portfolio Management, 2004, 30:4, 170-185
abstract
Multivariate GARCH Models: Software Choice and Estimation Issues.
Chris Brooks, Simon Burke and Gita Persand
2003-07
Journal of Applied Econometrics 18, (2003) 725-734
abstract
Modelling Short and Long Term Smile Effects: Extending the Normal Mixture Diffusion Local Volatility Model.
Carol Alexander with George Brintalos and Leonardo Nogueira
2003-06
Journal of Banking and Finance, 2004, 28:12 2957-2980
abstract
What Drives Swap Spreads, Credit or Liquidity.
Ying Huang and Salih Neftci with Ira Jersey
2003-05
abstract
An Empirical Study of Credit Default Swaps.
Frank Skinner and Antonio Diaz
2003-04
abstract
Statistical Properties of Forward Libor Rates.
Carol Alexander and Dmitri Lvov
2003-03
abstract
Equity Indexing, Cointegration and Stock Price Dispersion: A Regime Switching Approach to Market Efficiency.
Carol Alexander and Anca Dimitriu
2003-02
International Journal of Finance and Economics, 2005, 10, 213-231
abstract
The At Issue Maturity Of Corporate Bonds: The Influence Of Credit Rating, Security Level, Duration And Macroeconomic Conditions.
Geetanjali Bali and Frank Skinner
2003-01
abstract
