2004 Series
Cross hedging with single stock futures.
Chris Brooks, Ryan Davies and Sang Soo Kim
2004-16v2
Assurances et gestion des risques 74(4), (2007), 473-504.
abstract
Pricing Convertible Bonds by Simulation
Dmitri Lvov, Ali Bora Yigitbasioglu and Naoufel El Bachir
2004-15
abstract
The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH.
Carol Alexander and Emese Lazar
2004-14
abstract
Ex Ante Versus Ex Post Regulation of Bank Capital.
Arup Daripa and Simone Varotto
2004-13
abstract
The Effectiveness of Britain's Financial Service Authority: An Economic Analysis.
Colin Beardsley and John O'Brien
2004-12
abstract
Hedging with Stochastic and Local Volatility.
Carol Alexander and Leonardo M. Nogueira
2004-11
abstract
The Continuous Limit of GARCH Processes.
Carol Alexander and Emese Lazar
2004-10
abstract
FRS17 and the Sterling Double A Corporate Yield Curve.
Frank S. Skinner and Michalis Ioannides
2004-09
abstract
An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds
Ali Bora Yigitbasioglu and Carol Alexander
2004-08
International Journal of Theoretical & Applied Finance, 2006, 9:2, 415-437
abstract
MTS Time Series: Market and Data Description for the European Bond and Repo Database.
Alfonso Dufour and Frank Skinner
2004-07
abstract
Normal Mixture GARCH(1,1): Application to Exchange Rate Modelling.
Carol Alexander and Emese Lazar
2004-06
Journal of Applied Econometrics, 2006, 21:2 307-336
abstract
Gambling on the S & P 500's "Gold Seal": New evidence on the Index Effect
Chris Brooks, Konstantina Kappou and Charles Ward
2004-05
abstract
A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds
Carol Alexander and Anca Dimitriu
2004-04
Journal of Portfolio Management, 2005, 31:2, 50-63
abstract
Measuring the Impact of Regulation on Market Stability: Evidence from the US Markets
Colin Beardsley and John O'Brien
2004-03
abstract
The Art of investing in Hedge Funds: Fund Selection and Optimal Allocations.
Carol Alexander and Anca Dimitriu
2004-02
Journal of Alternative Investments, 2005, 8:2, 48-61
abstract
