2006 Series
Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
Damiano Brigo and Naoufel El-Bachir
2006-13
abstract
Optimal Hedging with Higher Moments
C. Brooks, A. Cerny, and J. Miffre
2006-12
abstract
Return Differences Between Family and Non-Family Firms: Absolute and Index Differences
Suranjita Mukherjee and Dr. Carol Padgett
2006-11
abstract
The Relative Merits of Investable Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios
Jacques Pezier and Anthony White
2006-10
abstract
Momentum Profits and Time-Varying Unsystematic Risk
Xiafei Li, Joëlle Miffre and Chris Brooks
2006-09
Forthcoming Journal of Banking and Finance
abstract
Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices
Carol Alexander and Andreas Kaeck
2006-08
Forthcoming in Journal of Banking and Finance
abstract
Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?
Chris Brooks and Apostolos Katsaris
2006-07
abstract
The Stock Performance of America’s 100 Best Corporate Citizens
Stephen Brammer, Chris Brooks and Stephen Pavelin
2006-06
abstract
Corporate Reputation and Stock Returns: Are Good Firms Good for Investors?
Stephen Brammer, Chris Brooks and Stephen Pavelin
2006-05
Professional Investor, October 2006, 21-25.
abstract
Minimum Variance Hedging and Stock Index Market Efficiency
Carol Alexander and Andreza Barbosa
2006-04
Journal of Portfolio Management, 2007, 33:2, 46 - 59
abstract
Hedging Options with Scale-Invariant Models
Carol Alexander and Leonardo M. Nogueira
2006-03
Journal of Banking and Finance 31:6, 1839-1861
abstract
Investing in Montenegro: Limits and Opportunities
Dr Dragan Radanovic
2006-02
abstract
A False Perception? The relative riskiness of AIM and listed stocks
John Board, Alfonso Dufour, Charles Sutcliffe and Stephen Wells
2006-01
abstract
