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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