Financial Markets Group

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Series handle: repec:fmg:fmgdps

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2002

• dp397 Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities
  by Allan Timmermann & Massimo Guidolin [Downloadable! (restricted)]
• dp395 Self-Confidence and Survival
  by Heski Bar-Isaac [Downloadable! (restricted)]
• dp394 Asset Price Dynamics with Value-at-Risk Constrained Traders
  by Jean-Pierre Zigrand & Jon Danielsson & Hyun Song Shin [Downloadable! (restricted)]
• dp393 What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model
  by Jean-Pierre Zigrand & Jon Danielsson [Downloadable! (restricted)]
• dp392 Rational Limits to Arbitrage
  by Jean-Pierre Zigrand [Downloadable! (restricted)]
• dp391 Saving Eliminates Credit Rationing
  by David C Webb & David De Meza [Downloadable! (restricted)]
• dp390 Crisis costs and debtor discipline: the efficacy of public policy in sovereign debt crises
  by Hyun Song Shin & Prasanna Gai & Simon Hayes [Downloadable! (restricted)]
• dp389 Financial Development, Agency and the Pace of Adoption of New Techniques
  by Kjell G. Nyborg & Ron Anderson [Downloadable! (restricted)]
• dp387 Signalling with Debt and Equity: A Unifying Approach and its Implications for the Pecking Order Hypothesis and Competitive Credit Rationing
  by Florian Heider [Downloadable! (restricted)]
• dp386 What Do Internal Capital Markets Do? Redistribution vs. Incentives
  by Axel Gautier & Florian Heider [Downloadable! (restricted)]
• dp385 Flexible Term Structure Estimation: Which Method is Preferred?
  by Oliver Linton & Andrew Jeffrey & Thong Nguyen [Downloadable! (restricted)]
• dp384 Constrained Indirect Inference Estimation
  by Gabriele Fiorentini & Enrique Sentana [Downloadable! (restricted)]
• dp383 Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors
  by Oliver Linton & Mototsugu Shintani [Downloadable! (restricted)]
• dp382 Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach
  by Oliver Linton & Douglas J.Hodgson & Keith Vorkink [Downloadable! (restricted)]
• dp381 Efficiency Properties of Rational Expectations Equilibria with Asymmetric Information
  by Rohit Rahi & Piero Gottardi [Downloadable! (restricted)]
• dp380 Mean-Variance Portfolio allocation with a Value at Risk Constraint
  by Enrique Sentana & Enrique Sentana [Downloadable! (restricted)]
• dp379 Tests of the Fama Model in India
  by Gregory Connor & Sanjay Sehgal [Downloadable! (restricted)]
• dp378 Agency Conflicts, Ownership Concentration, and Legal Shareholder Protection
  by Fausto Panunzi & Mike Burkart [Downloadable! (restricted)]
• dp377 The Skill Profile of Central Bankers and Supervisors
  by Dirk Schoenmaker & Paolo Dasgupta & Charles Goodhart [Downloadable! (restricted)]
• dp376 Financing and Corporate Growth under Repeated Moral Hazard
  by Ron Anderson & Kjell G. Nyborg [Downloadable! (restricted)]
• dp375 Housing Market Dynamics: on the Contribution of Income Shocks and Credit Constraints
  by Sven Rady [Downloadable! (restricted)]
• dp374 The Impact of Technology on Cash Usage
  by Malte Krueger & Charles Goodhart [Downloadable! (restricted)]
• dp373 Coordination Risk and the Price of Debt
  by Hyun Song Shin & Stephen Morris [Downloadable! (restricted)]
• dp372 Does One Soros Make a Difference? A Theory of Currency Crises with Large and Small Traders
  by Hyun Song Shin & Giancarlo Corsetti & Amil Dasgupta & Stephen Morris [Downloadable! (restricted)]
• dp371 Disclosures and Asset Returns
  by Hyun Song Shin [Downloadable! (restricted)]
• dp370 A Structured GARCH Model of Daily Equity Return Volatility
  by Gregory Connor [Downloadable! (restricted)]
• dp369 In Defence of Usury Laws
  by David De Meza & Giuseppe Coco [Downloadable! (restricted)]
• dp355 A Transaction Level Study of the Effects of Central Bank Intervention on Exchange Rates
  by Richard Payne [Downloadable! (restricted)]

• dp367 Financing Constraints and Inventories
  by Ward Brown [Downloadable! (restricted)]
• dp365 Trade Credit: Suppliers as Debt Collectors and Insurance Providers
  by Vincente Cuñat [Downloadable! (restricted)]
• dp364 An Autoregressive Conditional Binomial Option Pricing Model
  by Olivier Renault & Jean-Luc Prigent & Olivier Scaillet [Downloadable! (restricted)]
• dp363 An Empirical Investigation in Credit Spread Indices
  by Olivier Scaillet & Olivier Renault & Jean-Luc Prigent [Downloadable! (restricted)]
• dp362 Liquidity and Credit Risk
  by Olivier Renault & Jan Ericsson [Downloadable! (restricted)]
• dp361 Public Information, Private Information and the Multiplicity of Equilibrium in Co-ordination of Games
  by Christian Hellwig [Downloadable! (restricted)]
• dp360 Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities
  by Allan Timmermann & Gabriel Perez-Quiros [Downloadable! (restricted)]
• dp359 Club Enlargement: Early Versus Late Admittance
  by Klaus Wallner & Mike Burkart [Downloadable! (restricted)]
• dp358 Is Cash Becoming Technologically Outmoded Or Does it Remain Necessary to Facilitate
  by Matthias Drehmann & Charles Goodhart [Downloadable! (restricted)]
• dp357 External Financing Costs and Banks Loan Supply: Does the Structure of the Bank Sector Matter?
  by Charlotte Ostergaard [Downloadable! (restricted)]
• dp356 Strategic Trading and Learning About Liquidity
  by Harrison Hong & Sven Rady [Downloadable! (restricted)]
• dp354 Bank Capital Regulation With Random Audits
  by Sudipto Bhattacharya & Manfred Plank & Josef Zechner & Gunter Strobl [Downloadable! (restricted)]
• dp351 Pricing Convexity Adjustment with Wiener Chaos
  by Eric Benhamou [Downloadable! (restricted)]
• dp350 A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks
  by Eric Benhamou [Downloadable! (restricted)]
• dp349 Money, Intermediaries and Cash-in-Advance Constraints
  by Christian Hellwig [Downloadable! (restricted)]
• dp348 Excessive Continuation and Dynamic Agency Costs of Debt
  by Jean-Paul Décamps [Downloadable! (restricted)]
• dp347 Public Trading and Private Incentives
  by Denis Gromb [Downloadable! (restricted)]
• dp346 Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns
  by Oliver Linton & Gregory Connor [Downloadable! (restricted)]
• dp345 On the Competition Between ECNs, Stock Markets and Market Makers
  by Eric Benhamou & Thomas Serval [Downloadable! (restricted)]
• dp344 Debt, Incentives and Performance: Evidence from UK Panel Data
  by Roberta Dessí & Donald Robertson [Downloadable! (restricted)]
• dp343 Banks as Catalysts for Industrialisation
  by Marco Da Rin & Thomas Hellmann [Downloadable! (restricted)]
• dp342 Valuation and Martingale Properties of Shadow Prices
  by Lucien Foldes [Downloadable! (restricted)]
• dp340 The Profitability of Block Trades Auction and Dealer Markets
  by Ian Tonks & Andy Snell [Downloadable! (restricted)]
• dp339 Collateral, Renegotiation and the Value of Diffusely Held Debt
  by Pierre Mella-Barral & Ulrich Hege [Downloadable! (restricted)]
• dp338 Financial Constraints, Precautionary Saving and Firm Dynamics
  by Andrea Caggese [Downloadable! (restricted)]

• dp336 A Simple Model of an International Lender of Last Resort
  by Haizhou Huang & Charles Goodhart [Downloadable! (restricted)]
• dp335 Firm Size and Cyclical Variations in Stock Returns
  by Allan Timmermann & Gabriel Perez-Quiros [Downloadable! (restricted)]
• dp334 Insider Trading, Investment and Liquidity: A Welfare Analysis
  by Giovanna Nicodano & Sudipto Bhattacharya [Downloadable! (restricted)]
• dp333 Equity Finance, Adverse Selection and Product Market Competition
  by Erlend Nier [Downloadable! (restricted)]
• dp332 Stock Price Around the Trades of Corporate Insider on the London Stock Exchange
  by John Matatko & Alan Gregory & Ian Tonks & Sylvain Friederich [Downloadable! (restricted)]
• dp331 Time Series Volatility Commodity Futures Prices
  by Ian Tonks & Jane Black [Downloadable! (restricted)]
• dp330 Barbarians in Chains - Takeover Regulation and Minority Shareholder Wealth
  by Ulrike Hoffmann-Burchardi [Downloadable! (restricted)]
• dp329 Contrasting Different Forms of Price Stickiness: An Analysis of Exchange Rate Overshooting and the Beggar Thy Neighbour Policy
  by Markus K Brunnermeier [Downloadable! (restricted)]
• dp328 Financing Entrepreneurs: Optimal Contracts and the Role of Intermediaries
  by Roberta Dessí [Downloadable! (restricted)]
• dp327 Optimal Bail Out Policy, Conditionality and Creative Ambiguity
  by Xavier Freixas [Downloadable! (restricted)]
• dp326 Bank Moral Hazard and Market Discipline
  by Elena Carletti [Downloadable! (restricted)]
• dp325 Corporate Walkout Decisions and the Value of Default
  by Pierre Mella-Barral & Tom Dahlström [Downloadable! (restricted)]
• dp323 Moments of Markov Switching Models
  by Allan Timmermann [Downloadable! (restricted)]
• dp322 A Recursive Modelling Approach to Predicting UK Stock Returns
  by Allan Timmermann & M. Hashem Pesaran [Downloadable! (restricted)]
• dp320 Real Trading Patterns and Prices in Spot Foreign Exchange Markets
  by Jon Danielsson & Richard Payne [Downloadable! (restricted)]
• dp319 Arbitrage and Endogenous Market Integration
  by Jean-Pierre Zigrand [Downloadable! (restricted)]
• dp318 Moral Hazard, Insurance and Some Collusion
  by Ching-to Albert Ma & Ingela Alger [Downloadable! (restricted)]
• dp316 Clustering of Initial Public Offerings, Information Revelation and Underpricing
  by Ulrike Hoffmann-Burchardi [Downloadable! (restricted)]
• dp315 Corporate Governance Rules and the Value of Control - A Study of German Dual-Class Share
  by Ulrike Hoffmann-Burchardi [Downloadable! (restricted)]
• dp313 A Model of the Lender of Last Resort
  by Haizhou Huang & Charles Goodhart [Downloadable! (restricted)]
• dp312 Least Squares Predictions and Mean-Variance Analysis
  by Enrique Sentana & Enrique Sentana [Downloadable! (restricted)]

• dp311 Structural Breaks, Incomplete Information and Stock Prices
  by Allan Timmermann [Downloadable! (restricted)]
• dp310 Boom In, Bust Out: Young Households and the Housing Price Cycle
  by Sven Rady [Downloadable! (restricted)]
• dp309 Buy on Rumours - Sell on News: A Manipulative Trading Strategy
  by Markus K Brunnermeier [Downloadable! (restricted)]
• dp308 Utility Functions For Central Bankers: The Not So Drastic Quadratic
  by Jagjit Chadha & Philip Schellekens [Downloadable! (restricted)]
• dp306 Optimal Monetary Policy in a Model of Asymmetric Central Bank Preferences
  by A. Robert Nobay & David A. Peel [Downloadable! (restricted)]
• dp305 A Dilution Cost Approach to Financial Intermediation and Securities Markets
  by Xavier Freixas & Patrick Bolton [Downloadable! (restricted)]
• dp304 The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns
  by Allan Timmermann & Halbert White & Ryan Sullivan [Downloadable! (restricted)]
• dp303 Data-Snooping, Technical Trading, Rule Performance and the Bootstrap
  by Allan Timmermann & Halbert White & Ryan Sullivan [Downloadable! (restricted)]
• dp302 The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis
  by Allan Timmermann & Asger Lunde [Downloadable! (restricted)]
• dp301 Liquidity in Second Tier Equity Markets: Evidence From Londons Alternative Investment Market (AIM)
  by Anne Fremault Vila & John Board [Downloadable! (restricted)]
• dp300 Revenue Efficiency and Change of Control: The Case of Bankruptcy
  by Leonardo Felli & Francesca Cornelli [Downloadable! (restricted)]
• dp299 The Impact of Liquidity Constraints on Bank Lending Policy
  by David C Webb [Downloadable! (restricted)]
• dp298 Beyond the Sample: Extreme Quantile and Probability Estimation
  by Jon Danielsson & Casper G. de Vries [Downloadable! (restricted)]
• dp296 Housing Market Fluctuations in a Life-Cycle Economy with Credit Constraints
  by Sven Rady [Downloadable! (restricted)]
• dp293 Close-Relationships Between Banks and Firms: Is It Good or Bad?
  by Sonja Daltung & Vittoria Cerasi [Downloadable! (restricted)]
• dp292 Informed Trading, Investment, and Welfare
  by Rohit Rahi & James Dow [Downloadable! (restricted)]
• dp291 Should Speculators be Taxed?
  by Rohit Rahi & James Dow [Downloadable! (restricted)]
• dp289 Managers, Debt and Industry Equilibrium
  by Erlend Nier [Downloadable! (restricted)]
• dp288 Dynamic Adverse Selection and Debt
  by Gilles Chemla [Downloadable! (restricted)]
• dp287 Permanent Income, Consumption and Aggregate Constraints: Evidence from US States
  by Bent E. Sorensen & Charlotte Ostergaard & Oved Yosha [Downloadable! (restricted)]
• dp282 Disclosure Requirements and Stock Exchange Listing Choice in an International Context
  by John S. Hughes & Steven Huddart & Markus K Brunnermeier [Downloadable! (restricted)]
• dp281 Locally Minimizing the Credit Risk
  by Christopher Lotz [Downloadable! (restricted)]

• dp279 Implicit Contracts, Managerial Incentives and Financial Structure
  by Roberta Dessí [Downloadable! (restricted)]
• dp275 Short-Term and Long-Term Government Debt and Nonresident Interest Withholding Taxes
  by Harry P. Huizinga & Jan J.G. Lemmen & Sylvester C.W. Eijffinger [Downloadable! (restricted)]
• dp273 Extreme Returns, Tail Estimation, and Value-at-Risk
  by Jon Danielsson [Downloadable! (restricted)]
• dp272 Team Structure Modelling of Defaultable Bonds
  by Philipp J. Schonbucher [Downloadable! (restricted)]
• dp271 R&D Intensity and Finance: Are Innovative Firms Financially Constrained?
  by Ward Brown [Downloadable! (restricted)]
• dp270 Prices, Price Processes, Volume and Their Information: A Literature Survey
  by Markus K Brunnermeier [Downloadable! (restricted)]
• dp269 Optimal Managerial Remuneration and Firm-level Diversification
  by Erlend Nier [Downloadable! (restricted)]
• dp268 Speculative Securities
  by Rohit Rahi & José Marín [Downloadable! (restricted)]
• dp267 Pricing Options on Assets with Predictable White Noise Returns
  by Angel León & Enrique Sentana [Downloadable! (restricted)]
• dp266 Pareto-improving Asymmetric Information in a Dynamic Insurance Market
  by Thomas de Garidel [Downloadable! (restricted)]
• dp265 Does Reuters Spreads Reflect Currencies Differences in Global Trading Activity?
  by Philipp Hartmann [Downloadable! (restricted)]
• dp264 An Investigation of Long Range Dependence in Intra-Day Foreign Exchange Rate Volatility
  by Richard Payne & Marc Henry [Downloadable! (restricted)]
• dp258 The Effects of Macroeconomic News on High Frequency Exchange Rate Behaviour
  by Alvaro Almeida & Richard Payne & Charles Goodhart [Downloadable! (restricted)]
• dp255 On Bounded Rationality and Risk Aversion
  by Markus K Brunnermeier [Downloadable! (restricted)]
• dp253 Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility
  by Paolo Zaffaroni & Peter M. Robinson [Downloadable! (restricted)]

• dp252 Underpricing and Crises - IPO Performance in Germany
  by Josef Schuster [Downloadable! (restricted)]
• dp250 Default Risk in Asset Pricing
  by Pierre Mella-Barral & Pierre Tychon [Downloadable! (restricted)]
• dp248 Maximum Likelihood Estimation of Stochastic Volatility Models
  by G Sandmann & Siem Jan Koopman [Downloadable! (restricted)]
• dp247 Optimal Monetary Policy Rules in a Rational Expectations Model of the Phillips Curve
  by Haizhou Huang & Peter B Clark & Charles Goodhart [Downloadable! (restricted)]
• dp246 Excessive Dispersion of US Stock Prices: A Regression Test of Cross-Sectional Volatility
  by Ian Tonks & Andy Snell & George Bulkley [Downloadable! (restricted)]
• dp242 Utilising Time Series Methods to Assess Information and Inventory Effects in a Dealer Market in Illiquid Stocks
  by Andy Snell & Ian Tonks [Downloadable! (restricted)]
• dp238 Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market
  by Richard Payne [Downloadable! (restricted)]
• dp232 Trading Volumes and Transaction Costs in the Foreign Market - Evidence from Daily Dollar-Yen Spot Data
  by Philipp Hartmann [Downloadable! (restricted)]
• dp230 The Dynamics of Corporate Debt forgiveness and Contract Renegotiation
  by Pierre Mella-Barral [Downloadable! (restricted)]

• dp226 Option Pricing With a Quadratic Diffusion Term
  by Sven Rady [Downloadable! (restricted)]
• dp222 What is the Central Banks Game?
  by Charles Goodhart & Haizhou Huang [Downloadable! (restricted)]
• dp216 Central Bank Reputation and Conservativeness
  by Haizhou Huang & Michele Fratianni [Downloadable! (restricted)]
• dp212 Risk and Return in the Spanish Stock Market
  by Enrique Sentana [Downloadable! (restricted)]

• dp181 State Prices Implicit in Valuation Formulae for Derivative Securities: A Martingale Approach
  by Sven Rady [Downloadable! (restricted)]

• dp175 Debt Deflation: Theory and Evidence
  by Mervyn Allister King [Downloadable! (restricted)]
• dp171 Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data
  by Danny Quah [Downloadable! (restricted)]
• dp160 UK Directors Trading: The Impact of Dealings in Smaller Firms
  by John Matatko & Alan Gregory & Ian Tonks & Richard Purkis [Downloadable! (restricted)]

• dp154 Empirical Cross-Section Dynamics in Economic Growth
  by Danny Quah [Downloadable! (restricted)]
• dp142 When Support/Resistance Levels are Broken, Can Profits be Made? Evidence from the Foreign Exchange Market
  by Riccardo Curcio & Charles Goodhart [Downloadable! (restricted)]

• dp126 The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds
  by Danny Quah [Downloadable! (restricted)]
• dp125 Auction and Dealership Markets: What is the Difference?
  by Ailsa Röell & Marco Pagano [Downloadable! (restricted)]
• dp110 The Clustering of Bid/Ask Prices and the Spread in the Foreign Exchange Market
  by Riccardo Curcio & Charles Goodhart [Downloadable! (restricted)]
• dp109 Existence and Uniqueness of an Optimum in the Infinate-Horizon Portfolio-cum-Saving Model with Semimartingale Investments
  by Lucien Foldes [Downloadable! (restricted)]

• dp106 Optimal Sure Portfolio Plans
  by Lucien Foldes [Downloadable! (restricted)]
• dp95 Certainty Equivalence in the continuous-time portfolio-cum-saving model
  by Lucien Foldes [Downloadable! (restricted)]
• dp71 News and the Foreign Exchange Market
  by Charles Goodhart [Downloadable! (restricted)]

• dp53 Conditions for Optimality in the Infinite-Horizon Portfolio-cum-Saving Problem with Semimartingale Investments
  by Lucien Foldes [Downloadable! (restricted)]

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This page was last updated on 2009-11-6.