• MSc in Finance Degrees
• BSc Finance and Investment Banking
• MSc International Securities, Investment and Banking
• MSc Capital Markets, Regulation and Compliance
• MSc Corporate Finance
• MSc Finance and Real Estate
• MSc Financial Engineering
• MSc Financial Risk Management
• MSc Investment Banking and Islamic Finance
• MSc Investment Management
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• Term Dates - 2010-2011
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Publications 

Professor Carol Alexander

Alexander, C. and E. Lazar (2009)  ‘Modelling regime-specific stock price volatility' Oxford Bulletin of Economics and Statistics, 71:6, 761-797   

Alexander, C., A. Kaeck and L. Nogueira (2009) ‘Model risk adjusted hedge ratios' Journal of Futures Markets, 29:11, 1021-49    

Alexander, C. and E. Sheedy (2008) ‘Developing a stress testing framework based on market risk models' Journal of Banking and Finance 32:10, 2220-2236    

Alexander, C. (2008) ‘Hedging the risk of energy futures portfolios' In Risk- Management in Commodity Markets: From Shipping to Agriculturals and Energy, H. Geman (ed.), Wiley

Alexander, C. and L. Nogueira (2007) ‘Model-free hedge ratios and scale-invariant models'  Journal of Banking and Finance, 31:6, 1839-1861

Alexander, C. and L. Nogueira (2007) ‘Price Hedge Ratios for Homogeneous Claims on Tradable Assets’ Forthcoming in Quantitative Finance

Alexander, C. and A. Barbosa (2007) ‘The Impact of Electronic Trading and Exchange Traded Funds on the Effectiveness of Minimum Variance Hedging’ Forthcoming in Journal of Portfolio Management Vol 33, No.2.

A. Yigitsbasioglu and C. Alexander (2006) ‘Pricing and hedging convertible bonds: delayed calls and uncertain volatility’ International Journal of Theoretical & Applied Finance, 9(3), 415-437

Alexander, C. and E. Lazar (2006) ‘Normal mixture GARCH(1,1): applications to foreign exchange markets’ Journal of Applied Econometrics, 21(3) 307-336

Alexander, C. and A. Dimitriu (2005) ‘Rank Alpha Funds of Hedge Funds’, Journal of Alternative Investments, 8(2), 48-61 [Also in Fund of Hedge Funds: Performance, Assessment, Diversification and Statistical Properties, Edited by Greg N. Gregoriou, Elsevier Press 2006]

Alexander, C. and A. Dimitriu (2005) ‘Detecting switching strategies in equity hedge funds returns’, Journal of Alternative Investments, 8(1), 7-13.

Alexander, C. (2005) ‘The present and future of risk management’ Journal of Financial Econometrics, 3:1, 3-25

Alexander, C. and A. Barbosa (2005) ‘The spider in the hedge’ Review of Futures Markets, 11(1), 89-113

Alexander, C. and A. Dimitriu (2005) ‘Indexing and statistical arbitrage: tracking error or cointegration?’ Journal of Portfolio Management, 31(2), 50-63.

Alexander, C. and A. Dimitriu (2005) ‘Indexing, cointegration and equity market regimes’ International Journal of Finance and Economics, 10, 213-231.

Alexander, C. and A. Dimitriu (2005) ‘Hedge fund index tracking’ in Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation Gregoriou, G., N. Papageorgiou, G. Hübner, and F. Rouah (eds.) Elsevier ,163-179

Alexander, C. and A. Scourse (2004) ‘Bivariate normal mixture spread option valuation’  Quantitative Finance, 4:6 1-12.

Alexander, C. (2004) ‘Normal mixture diffusion with uncertain volatility: modelling short and long term smile effects’ Journal of Banking and Finance, 28:12 2957-2980

Alexander, C. and A. Dimitriu (2004) ‘Sources of out-performance in equity markets: common trends, mean reversion and herding’ Journal of Portfolio Management, 30:4, 170-185

Alexander, C. and A. Dimitriu (2004) ‘Equity indexing: optimising passive investments’  Quantitative Finance, 4:3 C30 - C33

Alexander, C. and L. Nogueira (2004) ‘Stochastic local volatility’ Proceedings of the second international IASTED conference on financial engineering and applications, MIT, 136-141

Alexander, C. and E. Lazar (2004) ‘Time aggregation of normal mixture GARCH’ Proceedings of the second international IASTED conference on financial engineering and applications, MIT, 210-215

Alexander, C. (2004) ‘Common correlation and calibrating the lognormal forward rate model’ Wilmott (March Issue) 68-78

Alexander, C. (2004) ‘Principles of the skew’ in Alexander Lipton (ed.) Exotic Options. Risk Publications, 57-64.

Alexander, C. (2004) ‘Correlation in crude oil and natural gas markets’ in Managing Energy Price Risk (3rd Edition) V. Kaminsky (ed.). Risk Publications pp573-606

Alexander, C. and E. Sheedy (eds) (2004) The Professional Risk Manager’s Handbook: Volume 1, Finance Theory, Instruments and Markets (PRMIA Publications, Illinois)

Alexander, C. and E. Sheedy (eds) (2004) The Professional Risk Manager’s Handbook: Volume 2, Financial Mathematics (PRMIA Publications, Illinois)

Alexander, C. and E. Sheedy (eds) (2004) The Professional Risk Manager’s Handbook: Volume 3, Financial Risk Management (PRMIA Publications, Illinois)

Alexander, C. (2003) Operational Risk: Regulation, Analysis and Management sole editor (FT-Prentice Hall)

Alexander, C. (2003) ‘Statistical models for operational loss’ in Carol Alexander (ed.), Operational Risk: Regulation, Analysis and Management. Pearson, 129-170

Alexander, C. (2003) ‘Operational risk aggregation’ in Operational Risk, April

Alexander, C. (2003) ‘Managing operational risks with Bayesian networks’ in Carol Alexander (ed.), Operational Risk: Regulation, Analysis and Management. Pearson, 285-295

Alexander, C. (2002) ‘Principal component models for generating large covariance matrices’ Review of Banking, Finance and Monetary Economics, Economic Notes, 31:2, 337-359

Alexander, C., I. Giblin and W. Weddington (2002) ‘Cointegration and asset allocation: a new active hedge fund strategy’ Research in International Business and Finance, 16, 65-90.

Alexander, C. (2002) ‘Rules and models’ Risk 15: 1 S2-S5

Alexander, C. (2001) ‘Principles of the skew’ Risk 14: 1 S29- S32

Alexander, C. (2001) ‘Taking control of operational risk’ Futures and Options World 366 60-65.

Alexander, C. (2001) Market Models: A Guide to Financial Data Analysis sole author (Wiley)

Alexander, C. (2001) Mastering Risk Volume 2 sole editor (FT-Prentice Hall)

Alexander, C. (2001) ‘Orthogonal GARCH’ in Carol Alexander (ed.), Mastering Risk Volume 2.Pearson, 21-38

Alexander, C. and J. Pezier (2001) ‘Binomial gammas in Operational Risk, April

Alexander, C. (2001) ‘Bayesian methods for measuring operational risks’ in Carol Alexander (ed.), Mastering Risk Volume 2.Pearson, 219-238

Alexander, C. (2001) ‘Taming the skew’ Futures and Options World 367 60-65.

Alexander, C. (2000) Visions of Risk sole editor (FT-Prentice Hall)

Alexander, C. (2000) ‘Measuring operational risks with Bayesian belief networks’ Derivatives, Use Trading and Regulation 6:2 166-196

Alexander, C. (1999) ‘Optimal hedging using cointegration’ Philosophical Transactions of the Royal Society Series A 357 2039-2058

Alexander, C. (1999) ‘Correlation and cointegration in energy markets’ in Managing Energy Price Risk (2nd Edition) V. Kaminsky (ed.). Risk Publications, 291-304

Alexander, C. (1998) ‘Volatility and correlation: measurement, models and applications’ in Carol Alexander, (ed.) Risk Management and Analysis: Measuring and Modelling Financial Risk. Wiley, 125-172

Alexander, C. (1998) Risk Management and Analysis Volume 1: Measuring and Modelling Financial Risk

sole editor (Wiley)

Alexander, C. (1997) ‘Estimating and forecasting volatility and correlation: methods and applications’ in (S. Das, (ed.) Risk Management and Financial Derivatives: A Guide to the Mathematics. LBC, 337-354

Alexander, C. and C. Leigh (1997) ‘On the covariance matrices used in VaR models’ Journal of Derivatives, 4:3 50-62

Alexander, C. (1998) Risk Management and Analysis Volume 2: New Markets and Products sole editor (Wiley)

Alexander, C. (1996) The Handbook of Risk Management and Analysis sole editor (Wiley)

Alexander, C. (1996) ‘Volatility and correlation forecasting’ in the Handbook of Risk Management and Analysis Carol Alexander (ed.). Wiley

Alexander, C. and R. Thillainathan (1996) ‘The Asian connections’ Emerging Markets Investor, 2:6 42-47

Alexander, C. (1996) ‘Estimating and forecasting volatility and correlation: methods and applications? Financial Derivatives and Risk Management 7 64-72

Alexander, C. and I. Giblin (1996) ‘Multivariate embedding methods: forecasting high-frequency data in the first INFFC’ Journal of Computational Intelligence in Finance 5:6 17-24

Alexander, C. and W. Ledermann (1996) ‘Are Nash bargaining wage agreements unique? An investigation into bargaining sets for firm/union negotiations’ Oxford Economic Papers 48:2 1-11

Alexander, C. and J. Wyeth (1996) ‘Causality testing in models of spatial market integration’ Journal of Development Studies, 32:1 144-146

Alexander, C. (1996) ‘Evaluating the use of RiskMetricsä as a risk measurement tool for your operation’ Derivatives: Use Trading and Regulation 2:3 277-285

Alexander, C. and H. Rendall (1995) ‘Data generation processes of spatial series: Analysis of ephemeral channel form’ Geographical Analysis 27:1 78-93

Alexander, C.) ‘Common volatility in the foreign exchange market’ Applied Financial Economics 5:1 1-10.

Alexander, C. and J. Wyeth (1994) ‘Cointegration and market integration: an application to the Indonesian rice market’ Journal of Development Studies 30:2 303-308

Alexander, C. and M. Barrow (1994) ‘Seasonality and cointegration of regional house prices in the UK’ Urban Studies 31:10 1667-1689

Alexander, C. and W. Ledermann (1994) ‘The constrained Nash bargaining solution’ Journal of the Operational Research Society 45:5 954-958

Alexander, C. and A. Johnson (1994) ‘Dynamic links’ Risk 7:2 56-61

Alexander, C. (1994) ‘History debunked’ Risk 7:12 59-63.

Alexander, C. (1994) ‘Chaos in the system’ Risk 7:6 71-76

Alexander, C. (1993) ‘The changing relationship between productivity, wages and unemployment in the U.K.’ Oxford Bulletin of Economics and Statistics 55:1 87-102

Alexander, C. and A. Johnson (1992) ‘Are foreign exchange markets really efficient?’ Economics Letters 40 449-453

Alexander, C., I. Giblin and D. Newton (1992) ‘The symmetry of fractals’ Mathematical Intelligencer 14:2 32-34

Alexander, C. and N. Riyait (1992) ‘The world according to GARCH’ Risk 5:8 120-125

Alexander, C. (1992) ‘The Kalai-Smorodinsky bargaining solution in wage negotiations’ Journal of the Operational Research Society 43:8 779-786

Alexander, C. (1990) ‘Non-cooperative finite games’ in Handbook of Applicable Mathematics Volume 7. Wiley, 293-362

Alexander, C. (1988) ‘On a converse to the Tschebotarev density theorem’ Journal of the Australian Mathematical Society Series A 44 287-293

Alexander, C. (1987) ‘Duality in non-normal quartic fields’ American Mathematical Monthly 94 279-284

Alexander, C. and W. Ledermann (1985) ‘Integral bases of dihedral number fields’ Journal of the Australian Mathematical Society Series A 38 351-371

Alexander, C. (1984) ‘Evaluation of index-linked gilts using inflation forecasts’ The Investment Analyst 72 7-12

Alexander, C. (1980) ‘Groups’ in Handbook of Applicable Mathematics Volume 1. Wiley, 237-286

Alexander, C. (1980-1990) The Handbook of Applicable Mathematics Assistant Editor Volumes I – V and Joint Editor Vol VI (Wiley)

Professor Simon Archer

On Capital Structure, Risk Sharing and Capital Adequacy in Islamic Banks, The International Journal of Theoretical & Applied Finance, December 2005 (with R A A Karim)

Corporate Governance, Market Discipline and Regulation of Islamic Banks, The Company Lawyer, Vol. 27 No. 5, May 2006, with R A A Karim

Islamic Finance: the Regulatory Challenge [Singapore: John Wiley, 2007] (with R A A Karim)

Financial and external reporting research: the broadening corporate governance challenge - A comment, Accounting and Business Research, Vol. 37 No.1, 2007 

International Accounting/Financial Reporting Standards Guide [CCH Wolters Kluwer 2009] Ninth Edition (with D J A Alexander).

Risks in Islamic banks: Evidence from empirical research, Journal of Banking Regulation, Vol. 10. 2  (with Noraini Mohd Ariffin and Rifaat Ahmed Abdel Karim) 

Takaful Islamic Insurance: Concepts and Regulatory Issues [Singapore: John Wiley, 2009] (with R A A Karim and V Nienhaus)

Issues of Transparency in Islamic Banks Review of Islamic Economics, (2009) Vol. 13 No. 1 (with Noraini Mohd Ariffin and Rifaat Ahmed Abdel Karim)    

Profit-sharing investment accounts in Islamic banks: Regulatory problems and possible solutions. Journal of Islamic Accounting and Business Research (2010) Inaugural Issue (in press) (with Rifaat Ahmed Abdel Karim)   

Dr Adrian Bell

Adrian R. Bell and Charles Sutcliffe, ‘Valuing medieval annuities: Were corrodies underpriced?',Explorations in Economic History　(In press) DOI:　http://dx.doi.org/10.1016/j.eeh.2009.07.002

Adrian R. Bell, Chris Brooks and Tony K. Moore,　Accounts of the English Crown with Italian Merchant Societies, 1272-1345,　?vol. 331, List and Index Society (2009)

Adrian R. Bell and Charles Sutcliffe, ‘Annuities: Lessons from the past and concerns for the future',Professional Investor?(Winter, 2009), pp. 20-23.　

Adrian R. Bell, Chris Brooks and Tony Moore, ‘Interest in medieval accounts: Examples from England, 1272-1340',　History, vol. 94, no. 316 (October 2009), pp. 411-433 DOI:　http://dx.doi.org/10.1111/j.1468-229X.2009.00464.x

Adrian R. Bell, Adam Chapman, Anne Curry, Andy King and David Simpkin　 (interviewed by Daniel Cossins), ‘Medieval Soldiers online',　BBC Who do you think you Are? Magazine?(April 2009).

Adrian R. Bell, Chris Brooks and Tony Moore (interviewed by Chris Bowlby), ‘What can history teach us about... the credit crunch?',　BBC History Magazine,　vol. 10, no. 1?(January 2009), pp. 18-19　　

Adrian R. Bell, Chris Brooks and Tony Moore, ‘Credit Crunch in the Middle Ages',　The Historian: The Magazine of the Historical Association?(Number 100, Winter 2008), pp. 6-13

Adrian R Bell, ‘The Fourteenth Century Soldier - more Chaucer's Knight or Medieval Career?' inMercenaries and Paid Men: The Mercenary Identity in the Middle Ages, edited by John France, Brill　2008, pp. 301-315.　http://www.brill.nl/default.aspx?partid=73&mcid=2&pid=28414

Adrian R. Bell,　Adam Chapman, Anne Curry,　Andy King and David Simpkin, 'What did　you do in the Hundred Years War,　Daddy? The　Soldier in　Later Medieval England',　The Historian: The Magazine of the Historical Association, (Number 96, Winter 2007), pp.6-13.　

Adrian R. Bell, Chris Brooks and Paul Dryburgh,　The English Wool Market c. 1230-1327, Cambridge University Press (August, 2007) ISBN-13: 9780521859417

Adrian R. Bell, Chris Brooks & Paul Dryburgh, ‘Interest Rates and Efficiency in Medieval Wool Forward Contracts',　Journal of Banking and Finance, vol. 31, 2 (2007), pp. 361-380 DOI:http://dx.doi.org/10.1016/j.jbankfin.2006.04.006

Adrian R. Bell, Chris Brooks and Paul Dryburgh,　Advance Contracts for the Sale of Wool c. 1265 - 1315, vol. 315, List and Index Society (2006)

Adrian R. Bell, Chris Brooks & Paul Dryburgh, 'Leger est aprendre mes fort est arendre': Wool, Debt and the Dispersal of Pipewell Abbey, 1280-1328,'　Journal of Medieval History, vol. 32, no. 3 (September, 2006), pp. 187-211 DOI:　http://dx.doi.org/10.1016/j.jmedhist.2006.07.001

Adrian R. Bell,　War and the Soldier in the Fourteenth Century, The Boydell Press (2004),
ISBN 1-84383-103-1

Adrian R. Bell, Chris Brooks and Paul Dryburgh, ‘Why forwards really came from the past',　Professional Investor?(April 2005), pp. 21-26.

Adrian R. Bell, Chris Brooks and Paul Dryburgh, ‘Modern Finance in the Middle Ages? Advance Contracts with Cistercian abbeys for the supply of Wool c. 1270-1330: A summary of findings',　Cîteaux : Commentarii cistercienses, vol. 55, fasc. 3-4 (2004), pp. 339-343.

Adrian R. Bell, ‘England and the Crusade of Nicopolis 1396',　Medieval Life: A New Magazine of the Middle Ages, Issue 4 (Spring 1996), pp. 18-22.

Professor John Board

Joined-Up Pensions Policy in the UK: An Asset-Liability Model for Simultaneously Determing the Asset Allocation and Contribution Rate

ISMA Centre Discussion Papers in Finance, DP2005-11 (2005)

(with Charles Sutcliffe)

Applying Operations Research Techniques to Financial Markets

Interfaces vol 33 No 2 (2003)12-24

(with C Sutcliffe and W Ziemba)

Best Execution in the UK: A Preliminary Comparison of the London Stock Exchange and Tradepoint

Journal of Asset Management Vol 1 No 4 (2001)344-365

(with S Wells)

The Effect of Futures Market Volume and Spot Market Volatility

Journal of Business Finance and Accounting Vol 28 nos 7&8 (2001)799-819

(with G Sandmann and C Sutcliffe)

The Proof of the Pudding: The Effects of Increased Trade Transparency in the London Stock Exchange

Journal of Business Finance and Accounting (2000) Vol 27 Nos 7&8 (2000)887-909

(with C Sutcliffe)

Value Added in the Pensions Industry

Geneva Papers in Risk and Insurance Vol 25 No 4 (2000)539-567

(with D Blake)

Market Maker Performance: The Search for Fair Weather Market Makers

Journal of Financial Services Research Vol 17 No 3 (2000)259-276

(with C Sutcliffe and A Vila)

A Portfolio Approach to Regional Tourism

Reprinted in The Economics of Tourism CA Tisdell (ed) Edward Elgar Press (1999)

(with C Sutcliffe and T Sinclair)

Options Trading when the Underlying Market is Not Transparent

Journal of Futures Markets Vol 18 No 2 (1998)225-242

(with C Sutcliffe)

The Performance of Covered Calls

European Journal of Finance Vol 6 No 1 (1998)1-17

(with E Patrinos and C Sutcliffe)

Inventory-Based Stock Market Transparency Rules

Journal of Financial Regulation and Compliance Vol 5 No 1 (1997)23-28

(with C Sutcliffe)

The Dual Listing of Stock Index Futures: Arbitrage, Spread Arbitrage and Currency Risk

Journal of Futures Markets Vol 16 No 1 (1996)29-54

(with C Sutcliffe)

Trade Transparency and the London Stock Exchange

European Financial Management Vol 2 No 3 (1996)335-365

(with C Sutcliffe)

Research on Corporate Financial Communication and the Stock Market

European Accounting Review Editorial Vol 5 No 4 (1996)583-587

(with P Moeller and M Walker)

The Relative Volatility of the Markets in Equities and Index Futures

Journal of Business Finance and Accounting Vol 22 No 2 (1995)210-223

(with C Sutcliffe)

Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence

Management Science Vol 40 No 4 (1994)516-534

(with C Sutcliffe)

A Cross-Sectional Variance Bounds

Test Economics Letters Vol 42 (1994)373-377

(with I Tonks and G Bulkley)

Measurement of the Information Content of Multiple Signals: Use of the Singular Value Decomposition

Journal of Business Finance and Accounting Vol 19 No 3 (1992)447-454

(with C Sutcliffe and W Rees)

The Ex-ante Benefits of Solving Vehicle Routing Problems

Journal of the Operational Research Society Vol 42 No 2 (1991)135-143

(with C Sutcliffe)

Risk and Income Tradeoffs in Regional Policy: A Portfolio Theoretic Approach

Journal of Regional Science Vol 31 No 2 (1991)191-210

(with C Sutcliffe)

Inflation and the Temporal Stability of the Association between Unexpected Earnings and Abnormal Returns

Journal of Accounting Research Vol 28 No 1 (1990)182-192

(with M Walker)

Information, Volatility, Volume, and Maturity: An Investigation of Stock Index Futures

Review of Futures Markets Vol 9 No 3 (1990)532-549

(with C Sutcliffe)

Cash Flow Accounting and Share Prices

Accounting and Business Research Vol 20 No 77 (1989)3-12

(with J Day)

Optimal Solution to a Vehicle Routing Problem

Journal of the Operational Research Society Vol 41 No 1 (1989)61-67

(with C Sutcliffe)

The Weekend Effect in UK Stock Market Returns

Journal of Business Finance and Accounting Vol 15 No 2 (1988)199-213

(with C Sutcliffe)

Forced Diversification

Quarterly Review of Economics and Business Vol 28 No 3 (1988)43-52

(with C Sutcliffe)

The Zoning Decision

Educational Management and Administration Vol 16 No 3 (1988)187-197

(with C Sutcliffe)

A Portfolio Approach to Regional Tourism

Built Environment Vol 13 No 2 (1987)124-137

(with C Sutcliffe and T Sinclair)

Designing Secondary School Catchment Areas using Goal Programming

Environment and Planning A Vol 18 (1986)667-675

(with C Sutcliffe)

Naive Weighting in Non-preemptive Goal Programming Models

Reply Journal of the Operational Research Society Vol 36 No 7 (1985)648-649

(with C Sutcliffe and P Cheshire)

Optimal Portfolio Diversification and the Effects of Differing Intra Sample Measures of Return

Journal of Business Finance and Accounting Vol 12 No 4 (1985)561-574

(with C Sutcliffe)

The Information Content of SSAP16 Earnings Changes

Accounting and Business Research Vol 16 No 61 (1985)69-72

(with M Walker)

Goal Programming and Allocating Children to Secondary Schools in Reading

Journal of the Operational Research Society Vol 35 No 8 (1984)719-730

(with C Sutcliffe and P Cheshire)

Professor Chris Brooks

Integration of International Office Markets and Signal Extraction" with S. Tsolacos Journal of Real Estate Portfolio Management forthcoming

"The Gross Truth about Hedge Fund Performance and Risk: The Impact of Incentive Fees" with A.D. Clare and N.E. Motson Journal of Financial Transformation forthcoming

"Low-Cost Momentum Strategies" with X. Li and J. Miffre Journal of Asset Management forthcoming

"Momentum Profits and Time-Varying Unsystematic Risk" with X.Li and J. Miffre (2008) Journal of Banking and Finance 32(4), 541-558.

"A Re-Examination of the Index Effect: Gambling on Additions to and Deletions from the S&P 500's ‘Gold Seal'" with N. Kappou and C.W.R. Ward (2008) Review of International Business and Finance 22, 325-250.

"Introductory Econometrics for Finance" - May 2008, 2^nd edition, Cambridge University Press (ISBN: 052169468X)

"RATS Handbook to Accompany Introductory Econometrics for Finance" - November 2008, Cambridge University Press (ISBN: 0521721687)

"The English Wool Market c. 1250-1350" (2007) with A.R. Bell and P.R Dryburgh, Cambridge University Press.

"Reducing Basis Risk for Stocks by Cross Hedging with Matched Futures" with R. Davies and S.S. Kim (2007) Assurances et Gestions des Risques74(4), 473-504. 

"Interest rates and efficiency in medieval wool forward contracts" with A.R. Bell and P.R. Dryburgh (2007) Journal of Banking and Finance 31(2), 361-380.

"Extreme returns from extreme value stocks: enhancing the value premium" with K. Anderson (2007) Journal of Investing 16(1): 69-81

"Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures" with S. Brammer and S. Pavelin (2006) Financial Management 35(3), 97-116.

Brooks, C. and K. Anderson (2006) ‘The Long-Term Price-Earnings Ratio’ Journal of Business Finance and Accounting 33 (7) & (8), 1063-1086.

Brooks, C., A.R. Bell and P.R. Dryburgh (2006) ‘‘Leger est aprendre mes fort est arendre?: Wool, Debt, and the Dispersion of Pipewell Abbey (1288-1328).’  Journal of Medieval History 32, 187-211.

Brooks, C. (2006) ‘Multivariate Volatility Models’ in Palgrave Handbook of Econometrics Volume 1: Econometric Theory Terence C. Mills and Kerry Patterson (eds.) Palgrave Macmillan, London, 765-783.

Brooks, C., S. Brammer and S. Pavelin(2006) ‘Corporate Reputation and Stock Returns: Are Good Firms Good for Investors?’  Professional Investor October, 21-25.

Brooks, C., A. Katsaris and G. Persand (2006) ‘Timing is Everything: A Comparison and Evaluation of Market Timing Strategies’ Professional Investor June, 14-19.

Brooks, C. and K. Anderson (2006) ‘Decomposing the Price-Earnings Ratio’ Journal of Asset Management 6(6), 456-469.

Brooks, C. and K. Anderson (2006) ‘Constructing Value by Deconstructing the P/E Ratio’ Professional Investor February, 22-25.

Brooks, C. and M.J.Hinich (2006) ‘Detecting intraday periodicities with application to high frequency exchange rates’ Journal of the Royal Statistical Society, Series C 55(2), 241-259.

K. Shields, N. Olekalns, Ó.T. Henry, and Brooks, C. (2005) ‘Measuring the Response of Macroeconomic Uncertainty to Shocks’ Review of Economics and Statistics 87(2), 362-370.

Brooks, C., S.P. Burke and G. Persand (2005) ‘Autoregressive Conditional Kurtosis’ Journal of Financial Econometrics 3(3), 399-421.

Brooks, C. and K. Anderson (2005) ‘Are growing earnings desirable?’ Professional Investor May, 12-16.

Brooks, C., A.R. Bell and P.R. Dryburgh (2005) ‘Why forwards really came from the past’ Professional Investor April, 22-26.

Brooks, C. and A. Katsaris (2005) ‘Trading Rules from Forecasting the Collapse of Speculative Bubbles for the S&P 500 Composite Index’ Journal of Business 78(5), 2003-2036.

Brooks, C. and A. Katsaris (2005) ‘A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index’ Economic Journal 115(505), 767-797.

Brooks, C., A.D. Clare, J.W. Dalle Molle, and G. Persand (2005) ‘A Comparison of Extreme Value Approaches for Determining Value at Risk’ Journal of Empirical Finance 12, 339-352.

Brooks, C. and K. Anderson (2004) ‘The Long-term P/E Effect’ Professional Investor October 20-22.

Brooks, C. and G. Persand (2003) ‘The Effect of Asymmetries on Stock Index Return Value at Risk Estimates’ Journal of Risk Finance 4(2), 29-42.

Brooks, C. and A. Katsaris (2003) ‘Has the UK Equity Bubble Burst Completely?’ Professional Investor May, 28-29.

Brooks, C. and S.P. Burke (2003) ‘Information Criteria for GARCH Model Selection: An Application to High Frequency Financial Data’ European Journal of Finance 9(6), 557-580.

Brooks, C. and A. Katsaris (2003) ‘Rational Speculative Bubbles: An Investigation of the London Stock Exchange’  Bulletin of Economic Research 55(4), 319-346.

Brooks, C. and S. Tsolacos (2003) ‘International Evidence on the Predictability of Prices of Securitised Real Estate Assets: Econometric Models versus Neural Networks’ Journal of Property Research 20(2), 133-156.

Brooks, C. and G. Persand (2003) ‘Volatility Forecasting for Risk Management’ Journal of Forecasting 22, 1-22.

Brooks, C., S.P. Burke and G. Persand ‘Multivariate GARCH Models: Software Choice and Estimation Issues’, (2003) Journal of Applied Econometrics 18, 725-734.

Brooks, C., O.T. Henry (2002) ‘The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market’ Oxford Bulletin of Economics and Statistics 64(5), 487-508.

Brooks, C., O.T. Henry and G. Persand (2002) ‘The Effect of Asymmetries on Optimal Hedge Ratios’ Journal of Business, 75(2), 333-352.

Brooks, C., A.D. Clare and G. Persand (2002) ‘Estimating Market-Based Minimum Capital Risk Requirements: A Multivariate GARCH Approach’ Manchester School 70(5), 666-681.

Brooks, C. and M.C. Oozeer (2002) ‘Modelling the Implied Volatility of Options on Long Gilt Futures’ Journal of Business Finance and Accounting 29(1), 111-137

Brooks, C. and I. Garrett (2002) ‘Can We Explain the Dynamics of the UK FTSE 100 Stock and Stock Index Futures Markets?’ Applied Financial Economics 12, 25-31

Brooks, C. and G. Persand (2002) ‘Model choice and value at risk performance’ Financial Analysts Journal 58(5), 87-97.

Brooks, C. and H.M. Kat (2002) ‘The statistical properties of hedge fund index returns and their implications for investors’ Journal of Alternative Investments 5(2), 26-44

Brooks, C., A.D. Clare and G. Persand (2002) ‘An Extreme Value Approach to Calculating Minimum Capital Risk Requirements’  Journal of Risk Finance 3(2), 22 - 33

Brooks, C. and A. Katsaris (2002) ‘Speculative Bubbles in Asset Prices: Hot Topic or Hot Air?’  Banking 2000, 1, 52-54.

Brooks, C. and S.P. Burke (2002) ‘Selecting From Amongst Non-nested Conditional Variance Models: Information Criteria and Portfolio Determination’ Manchester School 70(6), 747-767.

Brooks, C. and A. Reveiz (2002) ‘A Model for Exchange Rates with Crawling Bands: An Application to the Colombian Peso’ Journal of Economics and Business 54(5), 483-503

Brooks, C. and A.G. Rew (2002) ‘Testing the Order of Integration of Sterling Euro-Currency Rates Allowing for Structural Breaks’ Economic Modelling 19, 65-90

Brooks, C. and A.G. Rew (2002) ‘Testing for a Unit Root in a Process Exhibiting a Structural Break in the Presence of GARCH Errors’ Computational Economics 20, 156-176.

Brooks, C. (2002) ‘Introductory Econometrics for Finance?, Cambridge University Press, pp701, ISBN: 052179367-X (paperback), 0521790182 (hardback).

Brooks, C., S.P. Burke and G. Persand (2001) ‘Benchmarks and the Accuracy of GARCH Model Estimation’ International Journal of Forecasting 17, 45-56

Brooks, C., O.T. Henry (2001) ‘Linear and Non-Linear Transmission of Equity Return Volatility: Evidence from the US, Japan, and Australia’ Economic Modelling 17(4), 497-513

Brooks, C. (2001) ‘A Double Threshold GARCH Model for the French Frank / German Mark Exchange Rate’ Journal of Forecasting 20, 135-143

Brooks, C. M.J. Hinich (2001) ‘Bicorrelations and Cross-Bicorrelations as Tests for Nonlinearity and as Forecasting Tools’ Journal of Forecasting 20, 181-196

Brooks, C., W. Chow and C.W.R. Ward (2001) ‘Can Profitable Trading Strategies be Derived from Investment Bestsellers?’ Journal of Asset Management 2(2), 162-179

Brooks, C., J. Chong (2001) ‘The Cross-Currency Hedging Performance of Implied versus Statistical Forecasting Models’ Journal of Futures Markets 21(11), 1043-1069

Brooks, C. and G. Persand (2001) ‘The Trading Profitability of Forecasts of the Gilt-Equity Yield Ratio’ International Journal of Forecasting 17, 11-29

Brooks, C., A.G. Rew and S. Ritson (2001) ‘A Trading Strategy Based on the Lead-Lag Relationship between the FTSE 100 Spot Index and the LIFFE Traded FTSE Futures Contract’ International Journal of Forecasting 17, 31-44

Brooks, C., G. Persand (2001) ‘Seasonality in Southeast Asian Stock Markets: Some New Evidence on Day-of-the-Week Effects’ Applied Economics Letters 8, 155-158

Brooks, C., A. Katsaris, T. McGough, and S. Tsolacos (2001) ‘Testing for Bubbles in Real Estate Price Cycles’  Journal of Property Research 18(4), 341-346.

Brooks, C. and S. Tsolacos (2001) ‘Forecasting Real Estate Returns using Financial Spreads’ Journal of Property Research 18(3), 235-248.

Brooks, C. and S. Tsolacos (2001) ‘Linkages between Property Asset Returns and Interest Rates: Evidence for the UK’ Applied Economics 33, 711-719

Brooks, C., S. Tsolacos and S. Lee (2000) ‘The Cyclical Relations between Traded Property Stock Prices and Aggregate Time Series’ Journal of Property Investment and Finance 18(6), 540-564

Brooks, C. and S. Tsolacos (2000) ‘Forecasting Models of Retail Rents’ Environment and Planning A 32(10), 1825-1839

Brooks, C. and S. Tsolacos (2000) ‘Does Orthogonalisation Really Purge Equity-Based Property Valuations of their General Stock Market Influences?’ Applied Economics Letters 7, 305-309

Brooks, C., A.D. Clare and G. Persand (2000) ‘A Word of Caution on Calculating Market-Based Minimum Capital Risk Requirements’ Journal of Banking and Finance 14(10), 1557-1574

Brooks, C. and F. Skinner (2000) ‘What will be the Risk-Free Rate and Benchmark Yield Curve following European Monetary Union?’ Applied Financial Economics 10, 59-69

Brooks, C. and C. Keating (2000) ‘Corporate Decisions and General Insurance: Beyond the Frontier: A Discussion’ British Actuarial Journal 6(2), 294-296

Brooks, C. and G. Persand (2000) ‘Value at Risk and Market Crashes’ Journal of Risk 2(4), 5-26

Brooks, C. and G. Persand (2000) ‘The Pitfalls of VaR Estimates’ Risk 13(5), 63-66

Brooks, C. and O.T. Henry (2000) ‘Can Portmanteau Model Nonlinearity Tests Serve as General Model Mis-specification Diagnostics? Evidence form Symmetric and Asymmetric GARCH Models’ Economics Letters 67, 245-251

Brooks, C., M.J. Hinich and R. Molyneux (2000) ‘Episodic Nonlinear Event Detection: Political Epochs in Exchange Rates’  in Political Complexity: Political Epochs in Exchange Rates edited by D. Richards, 83-98, Michigan University Press, ISBN: 0-472-10964-2

Brooks, C., M.J. Hinich and M.J. Smith (1999) ‘Nonlinear Evolution in High Frequency U.K. Stock Returns and Volume’  in Nonlinear Time Series Analysis of Economic and Financial Data edited by P. Rothman, Chapter 8, pp 165-178.

Brooks, C. (1999) ‘Portmanteau Model Diagnostics and Tests for Nonlinearity: A Comparative Monte Carlo Study of Two Alternative Methods’ Computational Economics 13(3), 249-263

Brooks, C. and S.P. Burke (1999) ‘Forecasting Exchange Rate Volatility using Conditional Variance Models Selected by Information Criteria’ Economics Letters 61, 273-278

Brooks, C. and S.M. Heravi (1999) ‘The Effect of Mis-Specified GARCH Filters on the Finite Sample Distribution of the BDS Test’ Computational Economics 13, 147-162

Brooks, C., O. ap Gwilym, A.D. Clare, S. Thomas (1999) ‘Non-linearity in high Frequency London Financial Futures Contracts’ Manchester School 67(2) 167-186

Brooks, C. and M.J. Hinich (1999) ‘Cross-Correlations and Cross-Bicorrelations in Sterling Exchange Rates’ Journal of Empirical Finance 6(4), 385-404

Brooks, C., I. Garrett and M.J. Hinich (1999) ‘An Alternative Approach to Investigating Lead-lag Relationships Between Stock Index and Stock Index Futures Markets’ Applied Financial Economics 9, 605-613

Brooks, C. and S. Tsolacos (1999) ‘The Impact of Economic and Financial Factors on UK Property Performance’, Journal of Property Research 16(2), 139-152

Brooks, C. and J.K. Maitland-Smith (1999) ‘Threshold Autoregressive and Markov Switching Models: An Application to Commercial Real Estate’ Journal of Property Research 16(1), 1-19.

Brooks, C. and M.J. Hinich (1998) ‘Evidence of Episodic Nonstationarity in Exchange Rates’ Applied Economics Letters 5, 719-722

Brooks, C. (1998) ‘Chaos in Foreign Exchange Markets: A Sceptical View’ Computational Economics 11(3), 265-281

Brooks, C. (1998) ‘Forecasting Stock Return Volatility: Does Volume Help?’ Journal of Forecasting 17, 59-80

Brooks, C. and M.J. Hinich (1998) ‘Forecasting High Frequency Exchange Rates Using Cross Bicorrelations’ Decision Technologies for Computational Finance: Proceedings of the Fifth Computational Finance Conference A-P. N. Refenes, A.N. Burgess, and J.E. Moody, Kluwer Academic Publishers, London, pp61-72.

Brooks, C., P.C. Cheshire, A.W. Evans, and M.J. Stabler (1997) ‘The Economic and Social Value of the Conservation of Historic Buildings and Areas,’ in Evaluation of the Built Environment for Sustainability, Barandon, Lombardi and Bentivenga (eds)., 276-294.

Brooks, C. (1997) ‘Linear and Nonlinear (Non-) Forecastability of Daily Sterling Exchange Rates’ Journal of Forecasting 16, 125-145

Brooks, C. (1997) ‘GARCH Modelling in Finance: A review of the Software Options’, Economic Journal 107(443) 1271-1276.

Brooks, C. (1996) ‘Testing for Nonlinearity in Daily Pound Exchange Rates’ Applied Financial Economics 6, 307-317

Brooks, C. (1995) ‘A Measure of Persistence in Daily Pound Exchange Rates’ Applied Economics Letters 2, 428-431.

Dr Alfonso Dufour

Chaos Theory and Prediction with Applications to Economics,
Wageningen conference on ''Predictability and nonlinear modeling in natural sciences and economics'' (ISNULL)
(with A. Medio and M. Lines)

Time and the Price Impact of a Trade
Journal of Finance (2000, December)55(6): 2467-2498
(with R. F. Engle)

The ACD Model: Predictability of the Time Between Consecutive Trades (2000)
(with R. F. Engle)

A Study on Daily Liquidity
unpublished manuscript (1999)
(with R. F. Engle)

Local Methods for Predicting and Understanding from Univariate Time Series
University of Udine, Italy (1993)
(with M. Lines)

Dr Carol Padgett

Short-run underpricing and its characteristics in Chinese initial public offering (IPO) markets
Research in International Business and Finance 19(1) (2005, March)71-93
(with Jing Chi)

Break-up Value
The New Palgrave Dictionary of Money and Finance Macmillan (1992)

Investment and Financial Decision Making in the UK Company Sector
Recherches Economiques de Louvain, 54, (2) (1988)191-220

The performance and long-run characteristics of the Chinese IPO market
Pacific Economic Review forthcoming vol. 10 issue Decemember (forthcoming)
(with Jing Chi)

The operating performance of the Chinese initial public offering (IPO) markets and its relationship with the market performance of IPOs
Chinese Economy (forthcoming)
(with Jing Chi)

Dr Michael Smith

Nonlinear Evolution in High Frequency U.K. Stock Returns and Volume
Nonlinear Time Series Analysis of Economic and Financial Data edited by P. Rothman (1999)165-178
(with C.Brooks and M. Hinich)

Nonlinear Evolution in U.K. Stock Returns and Volume
Nonlinear Time Series Analysis of Economic and Financial Data. Edited by P. Rothman (1999)165-178
(with C. Brooks and M. Hinich)

Modelling the Bid-Ask Spread: An Ordered Probit Model for the Touch on SEAQ Stocks(1999)
(with C. Brooks)

Professor Brian Scott-Quinn

New Frontiers in Clearing and Settlement
ISMA Report (1999)
(with J. Walmsley)

The Impact of Credit Derivatives on Securities Markets
ISMA Report (1999)
(with J. Walmsley)

Dr Simone Varotto

Ex Ante versus Ex Post regulation of Bank Capital(2005)
(with Daripa, Arup)

Controlling Risk in Agency(2005)
(with Daripa, Arup)

Predicting Agency Rating Migrations with Spread Implied Ratings(2005)
(with Kou, Jianming)

Accuracy of rating-based credit risk models(2005)
(with Nickell, Pamela, William Perraudin)

Credit Risk Diversification: Evidence from the Eurobond Market
Bank of England Working Paper Series, June (2003, June)

Ratings Versus Equity-Based Credit Risk Modelling: An Empirical Analysis
Bank of England Working Paper Series. (2001)
(with Nickell, Pamela, William Perraudin)

Value-at-Risk and Pre-commitment: Approaches to Market Risk Regulation
Economic Policy Review, Federal Reserve Bank of New York (1998, September)
(with Daripa, Arup)

The Pre-commitment Approach to Setting Capital Requirements
Bank of England and SIB, Financial Stability Review (1997, Autumn)42-50
(with Daripa, Arup, Patricia)

The Causes of Diversification in the Stock and Eurobond Markets.(2006)

Dr Emese Lazar

Mr John D. Evans

Germany - a stumbling economic giant
National Bank Financial Research (2004, January)

The Euro & the ECB: A reference document
National Bank Financial Research (2003, September)

The European Union: A reference document
National Bank Financial Research (2003, October)

EU Expansion: A reference document
National Bank Financial Research (2003, November )

The economics of EU enlargement
Professional Investor magazine (2003, June)

The United Kingdom: both in and out of Europe
National Bank Financial Research (2003, December)

The Canadian dollar - at the crossroads
Professional Investor magazine (2002, October)

Big Bang - an historical perspective
Professional Investor magazine (2002, December)

Increasing market transparency
Professional Investor magazine (2001, March)

Dr Leonardo Nogueira

Optimal Hedging and Scale Invariance: A Taxonomy of Option Pricing Models

ISMA Centre Discussion Papers in Finance, DP2005-10 (2005, Summer)

(with C.Alexander)

Stochastic Local Volatility

Proceedings of the 2nd IASTED International Conference on Financial Engineering and Applications - FEA 2004 MIT, Cambridge, USA (2004, November)

(with C.Alexander)

Hedging with Stochastic and Local Volatility

ISMA Centre Discussion Papers in Finance, DP2004-11 (2004)

(with C.Alexander)

Modelling Short and Long Term Smile Effects: Extending the Normal Mixture Diffusion Local Volatility Model

ISMA Centre Discussion Papers in Finance, DP2003-06 (2003)

(with C.Alexander and G.Brintalos)

Professor Charles Sutcliffe

Valuing Medieval Annuities: Were Corrodies Underpriced?, Explorations in Economic History, forthcoming, (with Adrian Bell).

Merging Schemes: An Economic Analysis of Defined Benefit Pension Scheme Merger Criteria, Annals of Actuarial Science, vol. 1, no. 2, 2006, pp. 203-220. ISSN 1748-4995.

Pension Scheme Asset Allocation with Taxation Arbitrage, Risk Sharing and Default Insurance, British Actuarial Journal, vol. 10, no. 5, March 2005, pp. 1111-1131, ISSN: 1357-3217. Reprinted in ICFAI Journal of Risk and Insurance, vol. 3, no. 1, January 2006, pp. 32-49. ISSN 0972-933x, and in Pension Fund Risk Management edited by Greg Gregoriou, Giovanni Masala and Marco Micocci, Chapman and Hall, forthcoming.

The Cult of the Equity for Pension Funds: Should it Get the Boot?, Journal of Pension Economics and Finance, vol. 4, no. 1, March 2005, pp. 57-85, ISSN: 1474-7472,

Black-Scholes Versus Artificial Neural Networks in Pricing FTSE 100 Options, Intelligent Systems in Accounting, Finance and Management, vol 12, no. 4, October-December 2004, pp. 243-260, ISSN: 1055-615X (with Julia Bennell),

Scheduled Announcements and Volatility Patterns: The Effects of Monetary Policy Committee Announcements on LIBOR and Short Sterling Futures and Options, Journal of Futures Markets, vol. 23, no. 8, August 2003, pp. 773-797. (with Peng Sun), ISSN: 0270-7314.

Applying Operations Research Techniques to Financial Markets, Interfaces: An International Journal of the Institute for Operations Research and the Management Sciences, vol. 33, no. 2, March-April 2003, pp. 12-24, (with John Board and William Ziemba), ISSN 0092-2102.

Is the Forward Rate for the Greek Drachma Unbiased? A VECM Analysis With Both Overlapping and Non-overlapping Data, Journal of Financial Management and Analysis, vol. 15, no. 1, January-June 2002, pp. 27-37. (with Nikolaos Zacharatos), ISSN 0970-4205.

The Effect of Futures Market Volume on Spot Market Volatility, Journal of Business Finance and Accounting, vol. 28, nos. 7 & 8, September-October 2001, pp. 799-819, (with John Board and Gleb Sandmann) ISSN: 0306-686-X.

Problems Encountered When Using High Frequency Financial Market Data: Suggested Solutions, Journal of Financial Management and Analysis, vol. 14, no. 1, January-June 2001, pp. 38-51, (with Owain ap Gwilym), ISSN 0970-4205.

Market Maker Performance: The Search for Fair Weather Market Makers, Journal of Financial Services Research, vol. 17, no. 3, September 2000, pp. 259-276, (with John Board and Anne Vila), ISSN: 0920-8550.

The Proof of the Pudding: The Effects of Increased Trade Transparency in the London Stock Exchange, Journal of Business Finance and Accounting, vol. 27, nos. 7 & 8, September-October 2000, pp. 887-909. (with John Board), ISSN: 0306-686-X.

The Performance of Covered Calls, European Journal of Finance, vol. 6. No. 1, March 2000, pp. 1-17 (with John Board and Evangelos Patrinos), ISSN: 1351-847-X.

Options Trading When the Underlying Market is Not Transparent, Journal of Futures Markets, vol. 18, no. 2, April 1998, pp. 225-242, (with John Board), ISSN: 0270-7314.

Inventory-Based Stock Market Transparency Rules, Journal of Financial Regulation and Compliance, vol. 5, no. 1, March 1997, pp. 23-28, (with John Board), ISSN: 1363-254-X.

Trade Transparency and the London Stock Exchange, European Financial Management. vol, 2, no. 3, November 1996, pp. 355-365, (with John Board), ISSN: 1354-7798

 The Dual Listing of Stock Index Futures: Arbitrage, Spread Arbitrage and Currency Risk, Journal of Futures Markets, Vol. 16, No. 1, February 1996, pp. 29-54, (with John Board), ISSN: 0270-7314.

The Relative Volatility of the Markets in Equities and Index Futures, Journal of Business Finance and Accounting, Vol. 22, No. 2, March 1995, pp. 201-223, (with John Board), ISSN: 0306-686-X.

Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence, Management Science, Vol. 40, No. 4, April 1994, pp. 516-534, (with John Board), ISSN: 0025-1909.

Quantitative Non-Financial Information and Income Measures: The Case of Long Term Contracts, Journal of Business Finance and Accounting, Vol. 21, No. 3, April, 1994, pp. 331-347, (with William Rees), ISSN: 0306-686-X.

Mathematical Modelling and Stochastic Simulation of Accounting Alternatives, Journal of Business Finance and Accounting, Vol 20, No 3, April, 1993, pp 351-358, (with William Rees), ISSN: 0306-686-X.

Measuring the Incremental Information Content of Accounting Signals: Use of the Singular Value Decomposition, Journal of Business Finance and Accounting, Vol 19, No 3, April 1992, pp 447-454, (with John Board and William Rees), ISSN: 0306-686-X.

Aggregation and Reciprocal Service Cost Allocation, Journal of Business Finance and Accounting, Vol 18, No 5, September 1991, pp 721-733, ISSN: 0306-686-X.

Risk and Income Tradeoffs in Regional Policy: A Portfolio Theoretic Approach, Journal of Regional Science, Vol 31, No 2, April 1991, pp 191-210. (with John Board), ISSN: 0022-4146.

The Ex Ante Benefits of Solving Vehicle Routing Problems, Journal of the Operational Research Society, Vol 42, No 2, February 1991, pp 135-143, (with John Board), ISSN: 0160-5682.

Information, Volatility, Volume and Maturity: An Investigation of Stock Index Futures, Review of Futures Markets, Vol 9, No 3, 1990, pp 532-549, (with John Board), ISSN: 0898-011-X.

Optimal Solution of a Vehicle Routing Problem: Transporting Mentally Handicapped Adults to an Adult Training Centre, Journal of the Operational Research Society, Vol 41, No 1, January 1990, pp 61-67, (with John Board), ISSN: 0160-5682.

Truncated Income Multipliers and Local Income Generation Over Time, Applied Economics, Vol 21, No 12, December 1989, pp 1621-1630, (with Thea Sinclair), ISSN: 0003-6846.

Ex Ante Testing of Accounting Standards Using Stochastic Models, Accounting and Business Research, Vol 19, No 74, Spring 1989, pp 151-160, (with William Rees), ISSN: 0001-4788.

Negative Multipliers: A Case for Disaggregated Estimation, Journal of Economic and Social Geography (Tijdschrift voor Economische en Sociale Geografie), Vol. 79, No 2, 1988, pp 104-107, (with Thea Sinclair), ISSN: 0040-747-X.

The Estimation of Keynesian Income Multipliers at the Sub-National Level, Applied Economics, Vol 20, No 11, November 1988, pp 1435-1444, (with Thea Sinclair), ISSN: 0003-6846. Reprinted in The Economics of Tourism edited by Clement A. Tisdell, The International Library of Critical Writings in Economics, Edward Elgar Publishing Ltd, Cheltenham, 1999, ISBN: 1858-98403-3.

The Zoning Decision, Educational Management and Administration, Vol 16, No 3, Autumn 1988, pp 187-197, (with John Board), ISSN: 0263-211-X.

Forced Diversification, Quarterly Review of Economics and Business, (subsequently the Quarterly Review of Economics and Finance) Vol 28, No 3, Autumn 1988, pp 43-52, (with John Board), ISSN: 0033-5797.

The Weekend Effect in UK Stock Market Returns, Journal of Business Finance and Accounting, Vol 15, No 2, Summer 1988, pp 199-213, (with John Board), ISSN: 0306-686-X.

A Portfolio Approach to Regional Tourism, Built Environment, Vol 13, No 2, 1987, pp 124-137, (with John Board and Thea Sinclair), ISSN: 0263-7960. Reprinted in The Economics of Tourism edited by Clement A. Tisdell, The International Library of Critical Writings in Economics, Edward Elgar Publishing Ltd, Cheltenham, 1999, ISBN: 1858-98403-3.

Designing Secondary School Catchment Areas Using Goal Programming, Environment and Planning A, Vol 18, 1986, pp 661-675, (with John Board), ISSN: 0013-9173.

Optimal Portfolio Diversification and the Effects of Differing Intra Sample Measures of Return, Journal of Business Finance and Accounting, Vol 12, No 4, Winter 1985, pp 561-574, (with John Board), ISSN: 0306-686-X.

Naïve Weighting in Non-Preemptive Goal Programming: Reply, Journal of the Operational Research Society, Vol 36, No 7, July 1985, pp 648-649, (with John Board and Paul Cheshire), ISSN: 0160-5682.

A Model for the Financial Appraisal of Electronic Book Security Systems with an Application to Berkshire County Libraries, Library and Archival Security, Vol 6, No 4, Winter 1984, pp 27-42, ISSN: 0196-0075.

Goal Programming and Allocating Children to Secondary Schools in Reading, Journal of the Operational Research Society, Vol 35, No 8, August 1984, pp 719-730, (with John Board and Paul Cheshire), ISSN: 0160-5682.

Injection Leakages, Trade Repercussions and the Regional Income Multiplier: An Extension, Scottish Journal of Political Economy, Vol 30, No 3, November 1983, pp 275-286, (with Thea Sinclair), ISSN: 0036-9292.

Keynesian Income Multipliers with First and Second Round Effects: An Application to Tourist Expenditure, Oxford Bulletin of Economics and Statistics, Vol 44, No 4, November 1982, pp 321-338, (with Thea Sinclair), ISSN: 0305-9049.

Inflation and Prisoner's Dilemmas, Journal of Post Keynesian Economics, Vol 4, No 4, Summer 1982, pp 574-585, ISSN: 0160-3477.

The Measurement of Seasonality Within the Tourist Industry: An Application to Tourist Arrivals in Spain, Applied Economics, Vol 12, No 4, December 1980, pp 429-441, (with Thea Sinclair), ISSN: 0003-6846.

The First Round of the Keynesian Regional Income Multiplier, Scottish Journal of Political Economy, Vol 25, No 2, June 1978, pp 177-186, (with Thea Sinclair), ISSN: 0036

Non-refereed Academic Journals

Stock Market Volatility and Stock Index Futures, Stock Exchange Quarterly with Quality of Markets Review, Summer edition, April-June 1992, pp 11-14, (with John Board), ISSN: 0267-1530/0966-4343. Reprinted in Readings in Investments, edited by Stephen Lofthouse, John Wiley and Sons, Chichester, 1994, pp. 403-409. (ISBN 0-471-95208-7).

The Secondary Offer of Genco Shares and the Prevention of Market Manipulation, Stock Exchange Quarterly, Summer edition, April-June 1995, pp. 16-22, (with John Board), ISSN: 0267-1530/0966-4343.

Annuities: Lessons from the Past and Concerns for the Future, The Professional Investor, vol. 19, no. 4, Winter 2009-2010, pp. 26-30 (with Adrian Bell).

Books - Authored

The Dangers of Low Level Radiation, Avebury, Gower Publishing Company, Aldershot, August 1987, 277 pages. (ISBN 0-566-05482-5).

Stock Index Futures: Theories and International Evidence, Chapman and Hall Series in Accounting and Finance, Chapman and Hall, London, March 1993, 436 pages. (ISBN 0-412-40940-2).

Banks and Bad Debts: Accounting for Loan Losses in International Banking, John Wiley and Sons, Chichester, February 1995, 201 pages, (with Vivien Beattie, Peter Casson, Richard Dale, George McKenzie and Michael Turner). (ISBN 0-471-953172).

Stock Index Futures: Theories and International Evidence, Second edition, International Thomson Business Press, London, March 1997, 492 pages, (ISBN 1-86152-092-1).

Developing Decision Support Systems: A Study of Health Care Management, Chartered Institute of Management Accountants, London, 1997, 80 pages, (with Con Connell, Peter Lees and Philip Powell, with Doris Lees, Mark Haines, Hannah Searle and Paul Stafford). (ISBN 1-874784-67-1)

High-Frequency Financial Market Data: Sources, Applications and Market Microstructure, Risk Books, London, 1999, 168 pages (with Owain ap Gwilym), ISBN 1-899332-49-9.

Transparency and Fragmentation: Financial Market Regulation in a Dynamic Environment, Palgrave, London, July 2002, 319 pages (with John Board and Stephen Wells), ISBN 0-333-98634-2

Distortion or Distraction: US Restrictions on EU Exchange Trading Screens, City Research Series, No. 3, 2004, 109 pages Corporation of London, (with John Board and Stephen Wells).

Stock Index Futures, Third edition, Ashgate, Hampshire, April 2006, 532 pages, ISBN 0-7546-4192-9. Chinese edition forthcoming.

AIM - A False Perception? The Relative Riskiness of AIM and Listed Stocks, 2010, 70 pages, Lambert Academic Publishing, (with John Board, Alfonso Dufour and Stephen Wells)

Books - Edited

Management Accounting in Healthcare (editor), Chartered Institute of Management Accountants, London, 1996, 108 pages, (with Michael Bourn). (ISBN 1-874784-44-2).

Global Tracker Funds (editor), Financial Times Business Ltd, London, 1998, 139 pages, (with Richard Dale and Steven Thomas). (ISBN 1-85534-919-4)

Books - Short Works

Inter-Market Volatility Linkages: The London Stock Exchange and London International Financial Futures Exchange, The Securities and Investments Board (subsequently the Financial Services Authority), London, June 1992, 121 pages, (with John Board and Charles Goodhart).

The Effects of Trade Transparency in the London Stock Exchange: A Summary, Financial Markets Group Special Paper No. 67, London School of Economics and Political Science, 30 pages, January 1995 (with John Board). (ISSN 1359-9151).

The Proof of the Pudding: The Effects of Increased Trade Transparency in the London Stock Exchange, Financial Markets Group Special Paper No. 95, London School of Economics and Political Science, 33 pages, March 1997 (with John Board). (ISSN 1359-9151).

Market Regulation in a Dynamic Environment, Financial Markets Group Special Paper No. 144, London School of Economics and Political Science, 20 pages, July 2002 (with John Board and Stephen Wells). (ISSN 1359-9151).

Conference Contributions - Refereed

Measuring the Economic Effects of Tourism on an Underdeveloped Region. In The Impact of Tourist Development on Disadvantaged Regions edited by Gregory J. Ashworth and Brian Goodall, GIRUG (Geografisch Instituut Rijksuniversiteit Groningen), Groningen, 1985, pp 55-66. (ISBN 90-367-0010-8).

The Economic Effects on Destination Areas of Foreign Involvement in the Tourism Industry: A Spanish Application. In Marketing in the Tourism Industry: The Promotion of Destination Regions, edited by Brian Goodall and Gregory J. Ashworth, Croom Helm, Beckenham, Kent, 1988, pp 111-132, (with Thea Sinclair). (ISBN 0-7099-5811-0).

Vertical Integration in the British-Spanish Tourism Industry. In Tourism and Leisure (Part 1): Models and Theories, edited by Michael Stabler, Leisure Studies Association, 1989, pp 80-96, (with Venancio Bote Gomez, Manuel Valenzuela Rubio and Thea Sinclair). (ISBN 0-906337-46-1).

The Management of Working Capital in Multi-Plant Firms: Discussion. In Perspectives on Financial Control, edited by Mahmoud Ezzamel and David Heathfield, Chapman and Hall, London, 1992, pp 81-85. (ISBN 0-412-40980-1).

Costing and Contracting in the NHS - A Decision Support Approach. In Management Accounting in Healthcare, edited by Charles Sutcliffe and Michael Bourn, Chartered Institute of Management Accountants, London, 1996, pp. 29-40. (with Con Connell, Doris Lees, Peter Lees, Philip Powell and Paul Stafford). (ISBN 1-874784-674-2).

Picking Your Brains: A DSS for Neurosurgery. In Perspectives on DSS, edited by John Darzentas, Jenny S. Darzentas and Thomas Spyrou, University of the Aegean Press, 1996, pp. 77-102. (with Con Connell, Peter Lees, and Philip Powell). (ISBN 960-7475-070-0).

Edited Works - Contributions

Investment Appraisal. In Issues in Finance edited by Michael Firth and Simon Keane, Philip Allan Publishers, Deddington, Oxford, 1986, pp 44-58, (with Michael Bromwich). (ISBN 0-86003-541-7).

The Small Firm Effect. In The New Palgrave Dictionary of Money and Finance, edited by Peter Newman, Murray Milgate and Lord John Eatwell, Macmillan, Basingstoke, 1992, Vol 3, pp 464-465. (ISBN 0-333-527224).

Creative Accounting. In The New Palgrave Dictionary of Money and Finance, edited by Peter Newman, Murray Milgate and Lord John Eatwell, Macmillan, Basingstoke, 1992, Vol 1, pp 514-515, (with William Rees). (ISBN 0-333-527224).

Program Trading. In The Blackwell Encyclopaedic Dictionary of Finance, edited by Dean Paxon and Douglas Wood, Volume 8 of The Blackwell Encyclopedia of Management, edited by Cary L. Cooper and Chris Argyris; Blackwell Publishers, Oxford, (with John Board), 1997, pp. 146-147. (ISBN 1-55786-912-X)

Futures and Forwards. In The Blackwell Encyclopaedic Dictionary of Finance, edited by Dean Paxon and Douglas Wood, Volume 8 of The Blackwell Encyclopedia of Management, edited by Cary L. Cooper and Chris Argyris; Blackwell Publishers, Oxford, (with John Board), 1997, pp. 86-87. (ISBN 1-55786-912-X)

Turnover and Traded Spreads for FT-SE 100 and Non-FT-SE 100 Stocks, Appendix 13, page 75. In House of Commons Treasury Committee Fifth Report, The Prospects for The London Stock Exchange, The Stationary Office, HC 311, (ISBN 0-10-219697-4) (with John Board), March 1997.

Active Versus Passive: Review of the Evidence. In Global Tracker Funds, edited by Richard Dale, Charles Sutcliffe and Steven Thomas, Financial Times Business Ltd, London, 1998, pp. 109-127. (ISBN 1-85534-919-4), (with Owain ap Gwilym, Richard Dale and Steven Thomas).

Overview. In Global Tracker Funds, edited by Richard Dale, Charles Sutcliffe and Steven Thomas, Financial Times Business Ltd, London, 1998, pp. 1-4. (ISBN 1-85534-919-4), (with Richard Dale and Steven Thomas).

Portfolio Theory: Mean-Variance. In the Encyclopedia of Operations Research and Management Science, edited by Saul I. Gass and Carl M. Harris, Kluwer Academic Publishers, Dordrecht, Second edition, 2001, pp. 620-625, ISBN 0-7923-7827-X. (with John Board and William Ziemba)

Financial Markets. In the Encyclopedia of Operations Research and Management Science, edited by Saul I. Gass and Carl M. Harris, Kluwer Academic Publishers, Dordrecht, Second edition, 2001, pp. 292-299, ISBN 0-7923-7827-X. (with John Board and William Ziemba)

Portfolio Theory: Mean-Variance. In the Encyclopedia of Optimization, edited by Christodoulos A. Floudas and Panos M. Pardalos, Kluwer Academic Publishers, Dordrecht, June 2001, volume 4 M-Q, ISBN 0-7923-6932-7, and in the Encyclopedia of Optimization, edited by Christodoulos A. Floudas and Panos M. Pardalos, Second edition, Springer-Verlag, 2009, Part 16, Item 17, pp. 2990-2996, ISBN 978-0-387-74758-3. (with John Board and William Ziemba)

Operations Research and Finance. In the Encyclopedia of Optimization, edited by Christodoulos A. Floudas and Panos M. Pardalos, Kluwer Academic Publishers, Dordrecht, June 2001, volume 4 M-Q, ISBN 0-7923-6932-7, and in the Encyclopedia of Optimization, edited by Christodoulos A. Floudas and Panos M. Pardalos, Second edition, Springer-Verlag, 2009, Part 15, Item 3, pp. 2696-2704, ISBN 978-0-387-74758-3. (with John Board and William Ziemba)

Program Trading. In The Blackwell Encyclopedia of Management, second edition, volume 4, edited by Ian Garrett, Blackwell Publishers, Oxford, (with John Board), 2005, pp. 159-160, ISBN 1-4051-1826-1,

Futures and Forwards. In The Blackwell Encyclopedia of Management, second edition, volume 4, edited by Ian Garrett, Blackwell Publishers, Oxford, (with John Board), 2005, pp. 86-87, ISBN 1-4051-1826-1,

Joined-Up Pensions Policy in the UK: An Asset-Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate. In Handbook of Asset and Liability Management, edited by Stavros A. Zenios and William T. Ziemba, North Holland Handbooks in Finance, Elsevier Science B.V., Volume 2, 2007, pp. 1029-1067, (with John Board), ISBN-10: 0-444-52802-4,

Should Defined Benefit Pension Schemes be Career Average or Final Salary? In Optimizing the Ageing, Retirement and Pensions Dilemma, edited by Marida Bertocchi, Sandra Schwartz and William Ziemba, Wiley, forthcoming in February 2010.

Official Reports - Whole Report

The Role of Transnational Corporations in the Tourism Industry of Spain, 1979, 235 pages, (prepared for the United Nations), (with Thea Sinclair).

The Structure of the Irish International Tourist Industry, 1979, 130 pages, (prepared for the United Nations).

Equity and Derivatives Markets: Linkages and Regulatory Implications, The Securities and Investments Board (subsequently the Financial Services Authority), London, April 1991, 45 pages, (with John Board and Charles Goodhart).

Loan Loss Provisioning by Banks: A Literature Survey, June 1993, 55 pages, (prepared for HM Treasury, Banking Group) (with Vivien Beattie, Peter Casson, Richard Dale, Stella Fearnley, George McKenzie, and Michael Turner).

Loan Loss Provisioning by Banks: A Research Report, August 1993, 143 pages, (prepared for HM Treasury, Banking Group) (with Vivien Beattie, Peter Casson, Richard Dale, George McKenzie, and Michael Turner).

The Effects of Trade Transparency in the London Stock Exchange, January 1995, 166 pages, (prepared for the London Stock Exchange and the London International Financial Futures and Options Exchange) (with John Board).

The Performance of Covered Calls and Protective Puts, February 1995, (prepared for the London International Financial Futures and Options Exchange) (with John Board).

Market Manipulation of the Secondary Offering of Genco Shares, June 1995, 56 pages (prepared for the London Stock Exchange) (with John Board).

Market Maker Performance: In Search of Fair Weather Market Makers, February 1996, 60 pages, (prepared for the London Stock Exchange) (with John Board).

Developing Decision Support Systems for Health Care Management, May 1996, 60 pages, (prepared for the Chartered Institute of Management Accountants) (with Con Connell, Peter Lees and Philip Powell, with Doris Lees, Hannah Searle and Paul Stafford).

The Proof of the Pudding: The Effects of Increased Trade Transparency in the London Stock Exchange, September 1996, 35 pages, (prepared for the London Stock Exchange) (with John Board).

National Change of Address Scheme, February 2000, 28 pages, (prepared for the Central Information Technology Unit, The Cabinet Office), (with John Board, Bernard Dyer and Peter Hirst).

Orderly Markets: Fragmentation and Consolidation, September 2000, 162 pages, (prepared for the Financial Services Authority), (with John Board and Stephen Wells).

A False Perception? The Relative Riskiness of AIM and Listed Stocks, October 2005, 42 pages, (prepared for the Alternative Investment Market), (with John Board, Alfonso Dufour and Stephen Wells).

The LSE's AIM Market: Effect on Returns and Trading of Canadian Stocks, June 2006, 74 pages (prepared for The Task Force to Modernize Securities Legislation in Canada), (with John Board, Alfonso Dufour and Stephen Wells).

The Impact of the Credit Crunch on the Sterling Corporate Bond Market, May 2009, 66 pages, (prepared for the Investment Management Association), (with John Board and Stephen Wells).