2004

Rational trader risk
Kondor, Peter (2004)
FMG Discussion Paper 533 

The More we know, the less we agree: public announcements and higher-order expectations
Kondor, Peter (2004)
FMG Discussion Paper 532 

Credible pensions
Besley, Timothy and Prat, Andrea (2004)
FMG Discussion Paper 525: UBS Pensions Series 030 

Basel and procyclicality: a comparison of the standardised and IRB approaches to an improved credit risk method
Goodhart, Charles and Segoviano, Miguel A. (2004)
FMG Discussion Paper 524 

Barriers to pension scheme participation in small and medium sized enterprises
Byrne, Alistair and Harrison, Debbie and Blake, David (2004)
FMG Discussion Paper 523: UBS Pensions Series 029

Are "market neutral" hedge funds really market neutral?
Patton, Andrew J. (2004)
FMG Discussion Paper 522: IAM Series No 005

Conglomerate entrenchment under optimal financial contracting
Faure-Grimaud, Antoine and Inderst, Roman (2004)
FMG Discussion Paper 521 

Strategic financial innovation in segmented markets
Rahi, Rohit and Zigrand, Jean-Pierre (2004)
FMG Discussion Paper 520

Portfolio choice and wealth accumulation with taxable and tax-deferred accounts
Gomes, Francisco and Michaelides, Alexander and Polkovnichenko, Valery (2004)
FMG Discussion Paper 519: UBS Pensions Series 028

Highwaymen or heroes: should hedge funds be regulated?
Danielsson, Jon and Taylor, Ashley and Zigrand, Jean-Pierre (2004)
FMG Discussion Paper 518: IAM Series No 004

A time series analysis of financial fragility in the UK banking system
Goodhart, Charles and Sunirand, Pojanart and Tsomocos, Dimitrios P. (2004)
FMG Discussion Paper 517 

A GARCH model of the implied volatility of the Swiss Market Index from options prices
Linton, Oliver and Sabbatini, Michael (2004)
FMG Discussion Paper 516

Yield curve estimation by kernel smoothing
Linton, Oliver and Mammen, Enno and Nielsen, J. and Taanggard, C. (2004)
FMG Discussion Paper 515

Estimation of linear regression models by a spread-tolerant estimator
Linton, Oliver (2004)
FMG Discussion Paper 512 

Estimating semiparametric ARCH models by kernel smoothing methods
Linton, Oliver and Mammen, Enno (2004)
FMG Discussion Paper 511

Feedback trading
Danielsson, Jon and Love, Ryan (2004)
FMG Discussion Paper 510 

A local instrumental variable estimation method for generalized additive volatility models
Kim, Woocheol and Linton, Oliver (2004)
FMG Discussion Paper 509

Consistent testing for stochastic dominance: a subsampling approach
Linton, Oliver and Maasoumi, Esfandiar and Whang, Yoon-Jae (2004)
FMG Discussion Paper 508

Liability valuation and optimal asset allocation
Inkmann, Joachim and Blake, David (2004)
FMG Discussion Paper 507: UBS Pensions Series 027

Opening and closing the market: evidence from the London Stock Exchange
Ellul, Andrew and Shin, Hyun Song and Tonks, Ian (2004)
FMG Discussion Paper 506

Defined benefit or defined contribution?: an empirical study of pension choices
Cocco, Joao F. and Lopes, Paula (2004)
FMG Discussion Paper 505: UBS Pensions Series 026 

A risk assessment model for banks
Goodhart, Charles and Sunirand, Pojanart and Tsomocos, Dimitrios P. (2004)
FMG Discussion Paper 504

Eurobond underwriter spreads
Esho, Neil and Kollo, Michael G. and Sharpe, Ian G. (2004)
FMG Discussion Paper 503

Estimation and testing of dynamic models with generalised hyperbolic innovations
Mencia, Javier F. and Sentana, Enrique (2004)
FMG Discussion Paper 502

A semiparametric single-factor model of the term structure
Kristensen, Dennis (2004)
FMG Discussion Paper 501 

Estimation in two classes of semiparametric diffusion models
Kristensen, Dennis (2004)
FMG Discussion Paper 500

Estimation of partial differential equations with applications in finance
Kristensen, Dennis (2004)
FMG Discussion Paper 499

The wrong kind of transparency
Prat, Andrea (2004)
FMG Discussion Paper 498: UBS Pensions Series 025

Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach
Peñaranda, Francisco and Sentana, Enrique (2004)
FMG Discussion Paper 497

The interaction between the Bank of England's forecasts and policy, and the outturn
Goodhart, Charles (2004)
FMG Discussion Paper 496

The Monetary Policy Committee's reaction function: an exercise in estimation
Goodhart, Charles (2004)
FMG Discussion Paper 495 

Career concerns in financial markets
Dasgupta, Amil and Prat, Andrea (2004)
FMG Discussion Paper 494

Real effects of regional house prices: dynamic panel estimation with heterogeneity
Muñoz, Sònia (2004)
FMG Discussion Paper 493

A model to analyse financial fragility
Goodhart, Charles and Sunirand, Pojanart and Tsomocos, Dimitrios P. (2004)
FMG Discussion Paper 492

A human capital explanation for an asset allocation puzzle?
Gomes, Francisco and Michaelides, Alexander (2004)
FMG Discussion Paper 491: UBS Pensions Series 024 

Multiple-bank lending: diversification and free-riding in monitoring
Carletti, Elena and Cerasi, Vittoria and Daltung, Sonja (2004)
FMG Discussion Paper 490 

General properties of rational stock-market fluctuations
Mele, Antonio (2004)
FMG Discussion Paper 489 

A theory of sovereign debt roll-over crisis
Hattori, Masazumi (2004)
FMG Discussion Paper 488 

Sponsoring company finance and investment and defined benefit pension scheme deficits
Webb, David C. (2004)
FMG Discussion Paper 487: UBS Pensions Series 023 

Performance of personal pension schemes in the UK
Gregory, Alan and Tonks, Ian (2004)
FMG Discussion Paper 486: UBS Pensions Series 022 

Stopping short?: evidence on contributions to long-term savings from aggregate and micro data
Smith, Sarah (2004)
FMG Discussion Paper 485: UBS Pensions Series 021 

Financial institutions and the wealth of nations: tales of development
Tong, Jian and Xu, Cheng-Gang (2004)
FMG Discussion Paper 484 

Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates
Chen, Xiaohong and Fan, Yanqin and Patton, Andrew J. (2004)
FMG Discussion Paper 483: IAM Series No 003 

A model to Analyse financial fragility: applications
Goodhart, Charles and Sunirand, Pojanart and Tsomocos, Dimitrios P. (2004)
FMG Discussion Paper 482 

IPO underpricing during the boom: a block-booking explanation
James, Kevin R. (2004)
FMG Discussion Paper 481

Block-booking and IPO share allocation: the importance of being ignorant
Gondat-Larralde, Celine and James, Kevin R. (2004)
FMG Discussion Paper 480 

Continous time optimal stochastic growth: local martingales, transversality and existence
Foldes, Lucien (2004)
FMG Discussion Paper 479 

Principal agent problems under loss aversion: an application to executive stock options
de Meza, David and Webb, David C. (2004)
FMG Discussion Paper 478

An Introduction to hedge funds 
Connor, Gregory and Woo, Mason (2004)
FMG Discussion Paper 477

Simulated nonparametric estimation of continuous time models of asset prices and returns
Altissimo, Filippo and Mele, Antonio (2004)
FMG Discussion Paper 476

Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
Cairns, Andrew J. G. and Blake, David and Dowd, Kevin (2004)
FMG  Discussion Paper 443: UBS Pensions Series 007

Co-ordination failure and the role of banks in the resolution of financial distress
Pagratis, Spyros (2004)
FMG Discussion Paper 420 

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