Content
Undated material is presented at the end, although it may be more recent than other items
2020
- icma-dp2020-02 Individual Forecaster Perceptions of the Persistence of Shocks to GDP
by Michael P. Clements - icma-dp2020-01 Do Survey Joiners and Leavers Differ from Regular Participants? The US SPF GDP Growth and Inflation Forecasts
by Michael P. Clements
2018
- icma-dp2018-01 Assessing Macro-Forecaster Herding: Modelling versus Testing
by Michael P. Clements
2017
- icma-dp2017-10 Model Risk of Expected Shortfall
by Emese Lazar & Ning Zhang - icma-dp2017-09 Harmful Diversification: Evidence from Alternative Investments
by Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe - icma-dp2017-08 Pension Schemes, Taxation and Stakeholder Wealth: The USS Rule Changes
by Emmanouil Platanakis & Charles Sutcliffe - icma-dp2017-07 Should Portfolio Model Inputs Be Estimated Using One or Two Economic Regimes?
by Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe - icma-dp2017-06 Investment Horizon and Corporate Social Performance: The Virtuous Circle of Long-Term Institutional Ownership and Responsible Firm Conduct
by Ioannis Oikonomou & Chao Yin & Lei Zhao - icma-dp2017-05 Economic Crises and Globalisation as Drivers of Pension Privatisation: an Empirical Analysis
by Markus Leibrecht & Joelle H. Fiong - icma-dp2017-04 Financial Crises and the Composition of Public Finances: Evidence from OECD Countries
by Markus Leibrecht & Johann Scharler - icma-dp2017-03 Do forecasters target first or later releases of national accounts data?
by Michael Clements - icma-dp2017-02 Tweeting About Sustainability: Can Emotional Nowcasting Discourage Greenwashing?
by Andreas G. F. Hoepner & Savio Dimatteo & Joe Schauld & Pei-Shan Yi & Mirco Musolesi - icma-dp2017-01 Data Revisions and Real-time Probabilistic Forecasting of Macroeconomic Variables
by Michael P Clements & Ana Beatriz Galvao
2016
- icma-dp2016-09 Sir Clive W.J. Granger's Contributions to Forecasting
by Michael Clements - icma-dp2016-08 Are Macro-Forecasters Essentially The Same? An Analysis of Disagreement, Accuracy and Efficiency
by Michael Clements - icma-dp2016-07 Pension Funds and the Principles for Responsible Investment: Multiplying Stakeholder Salience?
by Andreas Hoepner & Arleta Majoch - icma-dp2016-06 Multivariate Elliptical Truncated Moments
by Juan Arismendi & Simon Broda - icma-dp2016-05 Tail Systemic Risk And Banking Network Contagion: Evidence From the Brazilian Banking System
by Miguel Rivera-Castro & Andrea Ugolini & Juan Arismendi Z - icma-dp2016-04 Which Sentiment Indicators Matter? An Analysis of the European Commercial Real Estate Market
by Steffen Heinig & Anupam Nanda & Sotiris Tsolacos - icma-dp2016-03 Corporate Carbon Emission and Financial Performance: Does Carbon Disclosure Mediate the Relationship in the UK?
by Yang Stephanie Liu & Xiaoyan Zhou & Jessica Yang & Andreas Hoepner - icma-dp2016-02 Are Macroeconomic Density Forecasts Informative?
by Michael Clements
2015
- icma-dp2015-09 Forecasters' Disagreement about How the Economy Operates, and the Role of Long-run Relationships
by Michael Clements - icma-dp2015-07 The Negative Credit Risk Premium Puzzle: A Limits to Arbitrage Story
by Chris Godfrey & Chris Brooks - icma-dp2015-06 Red versus Blue: Do Political Dimensions Influence the Investment Preferences of State Pension Funds?
by Andreas Hoepner & Lisa Schopohl - icma-dp2015-05 Pension Scheme Redesign and Wealth Redistribution Between the Members and Sponsor: The USS Rule Change in October 2011
by Emmanouil Platanakis & Charles Sutcliffe - icma-dp2015-04 Does Corporate Financial Risk Management Add Value? Evidence from Cross-Border Mergers and Acquisitions
by Zhong Chen & Bo Han & Yeqin Zeng - icma-dp2015-03 'Buying and Selling of Money for Time': Foreign Exchange and Interest Rates in Medieval Europe
by Adrian R. Bell & Chris Brooks & Tony K. Moore - icma-dp2015-02 Assessing Macro Uncertainty In Real-Time When Data Are Subject To Revision
by Michael P. Clements - icma-dp2015-01 The ‘Buying and Selling of Money for Time’: Foreign Exchange and Interest Rates in Medieval Europe
by Adrian R. Bell & Chris Brooks & Tony K. Moore
2014
- icma-dp2014-19 Risk-adjusted Valuation of the Real Option to Invest
by Carol Alexander & Xi Chen - icma-dp2014-18 Corporate Governance, Bank Mergers and Executive Compensation
by Yan Liu & Carol Padgett & Simone Varotto - icma-dp2014-17 Systemic Risk and Bank Size
by Simone Varotto & Lei Zhao - icma-dp2014-16 The Equity-like Behaviour of Sovereign Bonds
by Alfonso Dufour & Andrei Stancu & Simone Varotto - icma-dp2014-15 Liquidity Risk Premia in the International Shipping Derivatives Market
by Amir Alizadeh & Konstantina Kappou & Dimitris Tsouknidis & Ilias Visvikis - icma-dp2014-14 The Effects of Corporate and Country Sustainability Characteristics on the Cost of Debt: An International Investigation
by Andreas Hoepner & Ioannis Oikonomou & Bert Scholtens & Michael Schroder - icma-dp2014-13 Sources of Stakeholder Salience in the Responsible Investment Movement: Why Do Investors Sign the Principles for Responsible Investment?
by Arleta A Majoch & Andreas G F Hoepner & Tessa Hebb - icma-dp2014-12 Assessing the Evidence of Macro- Forecaster Herding: Forecasts of Inflation and Output Growth
by Michael P Clements - icma-dp2014-11 Variety is the Spice of Life - and Boardrooms
by Carol Padgett - icma-dp2014-10 Do US Macroeconomic Forecasters Exaggerate Their Differences?
by Michael P. Clements - icma-dp2014-09 Commodity Risk Factors and the Cross-Section of Equity Returns
by Chris Brooks & Adrian Fernandez-Perez & Joëlle Miffre & Ogonna Nneji - icma-dp2014-08 Monte Carlo Approximate Tensor Moment Simulations
by Juan C. Arismendi & Herbert Kimura - icma-dp2014-07 An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options
by Juan C. Arismendi & Marcel Prokopczuk - icma-dp2014-06 Anticipating Early Data Revisions to US GDP and the Effects of Releases on Equity Markets
by Michael P. Clements - icma-dp2014-05 Real-Time Factor Model Forecasting and the Effects of Instability
by Michael P. Clements - icma-dp2014-04 Measuring Macroeconomic Uncertainty: US Inflation and Output Growth
by Michael P. Clements & Ana Beatriz Galvão - icma-dp2014-03 A Multi-Asset Option Approximation for General Stochastic Processes
by Juan Arismendi - icma-dp2014-02 Long-Run Restrictions and Survey Forecasts of Output, Consumption and Investment
by Michael P. Clements - icma-dp2014-01 Did Purchasing Power Parity Hold in Medieval Europe?
by Adrian R. Bell & Chris Brooks & Tony K. Moore
2013
- icma-dp2013-09 Operating Inflexibility, Profitability and Capital Structure
by Nicholas Zhiyao Chen & Jarrad Harford & Avraham Kamara - icma-dp2013-08 Contingent Claim-Based Expected Stock Returns
by Nicholas Zhiyao Chen & Ilya A. Strebulaev - icma-dp2013-07 Liquidity Shocks and Stock Bubbles
by Ogonna Nneji - icma-dp2013-06 Trading Death: The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios
by Charles Sutcliffe - icma-dp2013-05 Does More Detailed Information Mean Better Performance? An Experiment in Information Explicitness
by Zilu Shang & Chris Brooks & Rachel McCloy - icma-dp2013-04 Are Investors Guided by the News Disclosed by Companies or by Journalists?
by Zilu Shang & Chris Brooks & Rachel McCloy - icma-dp2013-03 Did Long-Short Investors Destabilize Commodity Markets?
by Joëlle Miffre & Chris Brooks - icma-dp2013-02 On the Predictive Content of Leading Indicators: The Case of US Real Estate Markets
by Sotiris Tsolacos & Chris Brooks & Ogonna Nneji
2012
- icma-dp2013-01 Speculative Bubbles and the Cross-Sectional Variation in Stock Returns
by Chris Brooks & Keith Anderson - icma-dp2012-10 Is there a Gold Social Seal? The Financial Effects of Additions to and Deletions from Social Stock Indices
by Konstantina Kappou & Ioannis Oikonomou - icma-dp2012-09 ROM Simulation: Applications to Stress Testing and VaR
by Carol Alexander & Daniel Ledermann - icma-dp2012-07 Diversification of Equity with VIX Futures: Personal Views and Skewness Preference
by Carol Alexander & Dimitris Korovilas - icma-dp2012-06 The Time Varying Properties of Credit and Liquidity Components of CDS Spreads
by Filippo Coro & Alfonso Dufour & Simone Varotto - icma-dp2012-05 Average Portfolio Insurance Strategies
by Jacques Pézier & Johanna Scheller - icma-dp2012-04 A General Approach to Real Option Valuation with Applications to Real Estate Investments
by Carol Alexander & Xi Chen - icma-dp2012-02 The interactive financial effects between corporate social responsibility and irresponsibility
by Ioannis Oikonomou & Chris Brooks & Stephen Pavelin - icma-dp2012-01 The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread
by Carol Alexander & Marcel Prokopczuk & Anannit Sumawon
2011
- icma-dp2011-17 Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options
by Davide Avino & Emese Lazar & Simone Varotto - icma-dp2011-16 Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options
by Janis Back & Marcel Prokopczuk & Markus Rudolf - icma-dp2011-15 A Comprehensive Evaluation of Portfolio Insurance Strategies
by Jacques Pézier & Johanna Scheller - icma-dp2011-12 Rationalization of Investment Preference Criteria
by Jacques Pézier - icma-dp2011-11 Housing and equity bubbles: Are they contagious to REITs?
by Ogonna Nneji & Chris Brooks & Charles Ward - icma-dp2011-10 Model Risk in Variance Swap Rates
by Carol Alexander & Stamatis Leontsinis - icma-dp2011-09 The Dynamics of Commodity Prices
by Chris Brooks & Marcel Prokopczuk - icma-dp2011-08 Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL
by Carol Alexander & Emese Lazar & Silvia Stanescu - icma-dp2011-06 ROM Simulation with Rotation Matrices
by Daniel Ledermann - icma-dp2011-05 Generalized Beta-Generated Distributions
by Carol Alexander & Gauss M. Cordeiro & Edwin M. M. Ortega & José MarÃa Sarabia - icma-dp2011-04 The Hazards of Volatility Diversification
by Carol Alexander & Dimitris Korovilas - icma-dp2011-03 Does Information Content of Option Prices Add Value for Asset Allocation?
by Vladimir Zdorovenin & Jacques Pézier - icma-dp2011-02 Liquidity Risk, Credit Risk, Market Risk and Bank Capital
by Simone Varotto - icma-dp2011-01 Intrinsic and Rational Speculative Bubbles in the U.S. Housing Market 1960-2009
by Ogonna Nneji & Chris Brooks & Charles Ward
2010
- icma-dp2011-07 Analytic Moments for GARCH Processes
by Carol Alexander & Emese Lazar & Silvia Stanescu - icma-dp2010-12 The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis
by Ioannis Oikonomou & Chris Brooks & Stephen Pavelin - icma-dp2010-11 VIX Dynamics with Stochastic Volatility of Volatility
by Andreas Kaeck & Carol Alexander - icma-dp2010-10 Regime-Dependent Smile-Adjusted Delta Hedging
by Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis - icma-dp2010-09 Generalized Beta-Generated Distributions
by Carol Alexander & Jose Maria Sarabia - icma-dp2010-08 Seasonality and the Valuation of Commodity Options
by Janis Back & Marcel Prokopczuk & Markus Rudolf - icma-dp2010-07 Endogenizing Model Risk to Quantile Estimates
by Carol Alexander & Jose Maria Sarabia - icma-dp2010-06 Stochastic Volatility Jump-Diffusions for Equity Index Dynamics
by Andreas Kaeck & Carol Alexander - icma-dp2010-05 Does model fit matter for hedging? Evidence from FTSE 100 options
by Carol Alexander & Andreas Kaeck - icma-dp2010-04 Pricing and Hedging in the Freight Futures Market
by Marcel Prokopczuk - icma-dp2010-03 Stress Testing Credit Risk: The Great Depression Scenario
by Simone Varotto - icma-dp2010-02 American Option Valuation: Implied Calibration of GARCH Pricing-Models
by Michael Weber & Marcel Prokopczuk - icma-dp2010-01 An Empirical Model Comparison for Valuing Crack Spread Options
by Steffen Mahringer & Marcel Prokopczuk
2009
- icma-dp2009-13 Back to the Future: A Long Term Solution to the Occupational Pensions Crisis
by Charles Sutcliffe - icma-dp2009-12 The Relationship between Risk, Capital and Efficiency: Evidence from Japanese Cooperative Banks
by Tara Deelchand & Carol Padgett - icma-dp2009-11 Testing for periodically collapsing rational speculative bubbles in US REITs
by Keith Anderson & Chris Brooks & Sotiris Tsolacos - icma-dp2009-10 Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics
by Raphael Paschke & Marcel Prokopczuk - icma-dp2009-09 Exact Moment Simulation using Random Orthogonal Matrices
by Carol Alexander & Walter Ledermann & Daniel Ledermann - icma-dp2009-08 Over the Moon or Sick as a Parrot? The Effect's of Football Results on a Club's Share Price
by Adrian Bell & Chris Brooks & David Matthews & Charles Sutcliffe - icma-dp2009-04 Transaction Costs, Trading Volume and Momentum Strategies
by Xiafei Li & Chris Brooks & Joelle Miffre - icma-dp2009-03 Forecasting Yield Curves Using Analyst's Views
by Leonardo Nogueira - icma-dp2009-02 Size and Scale Economies in Japanese Cooperative Banking
by Tara Deelchand & Carol Padgett - icma-dp2009-01 Time Varying Volatility and the Cross-Section of Equity Returns Â
by Chris Brooks & Xiafei Li & Joelle Miffre
2008
- icma-dp2009-07 Meshfree Approximation for Multi-Asset Options
by Emmanuel Hanert & Aanand Venkatramanan - icma-dp2009-05 Analytic Approximations for Multi-Asset Option Pricing
by Carol Alexander & Aanand Venkatramanan - icma-dp2008-09 Optimal Investment Strategies and Performance Sharing Rules for Pension Schemes with Minimum Guarantee
by Johanna Scheller & Jacques Pézier - icma-dp2008-07 Interest in medieval accounts: Examples from England, 1272-1340
by Adrian R. Bell & Chris Brooks & Tony Moore - icma-dp2008-06 An analytically tractable time-changed jump-diffusion default intensity model
by Naoufel El-Bachir & Damiano Brigo - icma-dp2008-04 An Assessment of the Internal Rating Based Approach in Basel II
by Simone Varotto - icma-dp2008-03 Dependent jump processes with coupled Lévy measures
by Naoufel El-Bachir - icma-dp2008-01 Markov Switching GARCH Diffusion
by Carol Alexander & Emese Lazar
2007
- icma-dp2009-06 Analytic Approximations for Spread Options
by Carol Alexander & Aanand Venkatramanan - icma-dp2008-05 Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory
by Jacques Pézier - icma-dp2007-15 Valuing Medieval Annuities: Were Corrodies Underpriced?
by Adrian Bell & Charles Sutcliffe - icma-dp2007-14 An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
by Damiano Brigo & Naoufel El-Bachir - icma-dp2007-12 Low-Cost Momentum Strategies
by Xiafei Li & Chris Brooks & Jöelle Miffre - icma-dp2007-11 Analytic Approximations for Spread Options
by Carol Alexander & Aanand Venkatramanan - icma-dp2007-09 Tests on the Accuracy of Basel II
by Simone Varotto - icma-dp2007-08 Admissions of International Graduate Students: Art or Science? A Business School Experience
by Samantha Heslop & Simone Varotto - icma-dp2007-07 Global Portfolio Optiomization Revisted: A Least Discrimination Alternative to Black-Litterman
by Jacques Pezier - icma-dp2007-06 Should Defined Benefit Pension Schemes be Career Average or Final Salary?
by Charles Sutcliffe - icma-dp2007-05 The S&P 500 Index Effect in Continuous Time: Evidence from Overnight, Intraday and Tick-by-Tick Stock Price Performance
by Chris Brooks & Konstantina Kappou & Charles Ward - icma-dp2007-04 Better cross hedges with composite hedging? Hedging equity portfoloios using financial and commodity features
by Fei Chen & Charles Sutcliffe - icma-dp2007-03 The Value Premium and Time-Varying Unsystematic Risk
by Chris Brooks & Xiafei Li & Joelle Miffre - icma-dp2007-02 Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk
by Carol Alexander & Elizabeth Sheedy - icma-dp2007-01 Hedging and Cross-hedging ETFs
by Carol Alexander & Andreza Barbosa
2006
- icma-dp2006-13 Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
by Damiano Brigo & Naoufel El-Bachir - icma-dp2006-12 Optimal Hedging with Higher Moments
by Chris Brooks & A.Cerny & J. Miffre - icma-dp2006-11 Return Differences Between Family and Non-Family Firms: Absolute and Index Differences
by Suranjita Mukherjee & Carol Padgett - icma-dp2006-10 The Relative Merits of Investable Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios
by Jacques Pezier & Anthony White - icma-dp2006-09 Momentum Profits and Time-Varying Unsystematic Risk
by Xiafei Li & Chris Brooks & Joelle Miffre - icma-dp2006-08 Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices
by Carol Alexander & Andreas Kaeck - icma-dp2006-07 Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?
by Chris Brooks & Apostolos Katsaris - icma-dp2006-06 The Stock Performance of America's 100 Best Corporate Citizens
by Stephen Brammer & Chris Brooks & Stephen Pavelin - icma-dp2006-05 Corporate Reputation and Stock Returns; are good firm good for investors?
by Stephen Brammer & Chris Brooks & Stephen Pavelin - icma-dp2006-04 Minimum Variance Hedging and Stock Index Market Efficiency
by Carol Alexander & Andreza Barbosa - icma-dp2006-03 Hedging Options with Scale-Invariant Models
by Carol Alexander & Leonardo M. Nogueira - icma-dp2006-02 Investing in Montenegro: Limits and Opportunties
by Dr. Dragan Radanovic
2005
- icma-dp2006-01 A False Perception? The relative riskiness of AIM and listed Stocks
by John Board & Alfonso Dufour & Charles Sutcliffe & Stephen Wells - icma-dp2005-17 The UK Code of Corpoate Governance Link between Compliance and Firm Performance
by Dr. Carol Padgett & Amama Shabbir - icma-dp2005-16 Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds
by Carol Alexander & Andreza Barbosa - icma-dp2005-15 Investment Reputation Indes: Family Firms vs Non-Family firms in the UK
by Suranjita Mukherjee & Dr. Carol Padgett - icma-dp2005-14 Asymmetries and Volatility Regimes in the European Equity Markets
by Carol Alexandra & Emese Lazar - icma-dp2005-13 On The Continuous Limit of GARCH
by Carol Alexandra & Emese Lazar - icma-dp2005-12 The Financial Services Reform Act 2001: Impact on Systemic risk in Australia
by Colin Beardsley & John R. O'Brien - icma-dp2005-11 Joined-Up Pensions Policy in the UK: An Asset-Libility Model for Simultaneously Determining the Asset Allocation and Contribution Rate
by John Board & Charles Sutcliffe - icma-dp2005-10 Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models
by Carol Alexandra & Leonardo M. Nogueira - icma-dp2005-09 Merging Schemes: An Ecomomic Analysis of Defined Benefit Pension Scheme Merger Criteria
by Charles Sutcliffe - icma-dp2005-08 Leger est aprendre mes fort est arendre;: Wool, Debt and the Dispersal of Pipewell Abbey (1280 - 1330)
by Adrian Bell & Chris Brooks & Paul Dryburgh - icma-dp2005-07 Detecting Switching Strategies in Equity Hedge Funds
by Carol Alexander & Anca Dimitriu - icma-dp2005-06 Predicting Agency Rating Migrations with Spread Implied Ratings
by Jianming Kou & Dr Simone Varotto - icma-dp2005-05 The Spider in the Hedge
by Carol Alexander & Andreza Barbosa - icma-dp2005-04 The Extremes of the P/E Effect
by Keith Anderson & Chris Brooks - icma-dp2005-03 Decomposing the P/E Ratio
by Keith Anderson & Chris Brooks - icma-dp2005-02 The Long-Term P/E Radio
by Keith Anderson & Chris Brooks - icma-dp2005-01 Advance Contracts for the Sale of Wool in Medieval England; An Undeveloped and Inefficient Market?
by Adrian Bell & Chris Brooks & Paul Dryburgh - icma-dp2004-15 Cross Hedging with Single Stock Futures
by Chris Brooks & Ryan J. Davies & Sang Soo Kim - icma-dp2004-09 The Continuous Limit of GARCH Processess
by Carol Alexandra & Emese Lazar
2004
- icma-dp2008-02 Stochastic Local Volatility
by Carol Alexander & Leonardo Nogueira - icma-dp2004-14 Pricing Convertible Bonds by Simulation
by Ali Bora Yigitsbasioglu & Dmitri Lvov & Naoufel El-Bachir - icma-dp2004-13 The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH
by Carol Alexandra & Emese Lazar - icma-dp2004-12 Ex Ante versus Ex Post Regulation of Bank Capital
by Dr Arup Daripa & Dr. Simone Varotto - icma-dp2004-11 The Effectiveness of Britain's Financial Service Authority: An Economic Analysis
by Colin Beardsley & John R. O'Brien - icma-dp2004-10 Hedging with Stochastic and Local Volatility
by Carol Alexander & Leonardo M. Nogueira - icma-dp2004-08 FRS17 and the Sterling Doubles A Corporate Yield Curve
by Frank Skinner & Michalis Ioannides - icma-dp2004-07 An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds
by Ali Bora Yigibasioglu & Carol Alexandra - icma-dp2004-06 MTS Time Series: Market and Data Description for the European Bond and Repo Database
by Alfonso Dufour & Frank Skinner - icma-dp2004-05 Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling
by Carol Alexandra & Emese Lazar - icma-dp2004-04 Gambling on the S&P 500's Gold Seal: New Evidence on the Index Effect
by Chris Brooks & Konstantina Kappou & Charles Ward - icma-dp2004-03 A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds
by Carol Alexander & Anca Dimitriu - icma-dp2004-02 Measuring the Impact of Regulationon Market Stability: Evidence from the US Markets
by Colin Beardsley & John R. O'Brien - icma-dp2004-01 The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations
by Carol Alexander & Anca Dimitriu
2003
- icma-dp2003-15 Bivariate Normal Mixture Spread Option Valuation
by Carol Alexandra & Andrew Scourse - icma-dp2003-14 Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange
by Chris Brooks & Melvin. J. Hinich & Douglas M. Patterson - icma-dp2003-13 On the Aggregation of Market and Credit Risks
by Carol Alexandra & Jacques Pezier - icma-dp2003-12 The Present, Future and Imperfect of Financial Risk Management
by Carol Alexandra - icma-dp2003-11 Application-Based Financial Risk Aggregation methods
by Jacques Pezier - icma-dp2003-10 Long-term Information, Short-lived Securities
by Dan Bernhardt & Ryan J. Davies & John Spicer - icma-dp2003-09 Symmetric Normal Mixture GARCH
by Carol Alexandra & Emese Lazar - icma-dp2003-08 Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding
by Carol Alexander & Anca Dimitriu - icma-dp2003-07 Multivariate GARCH Models: Software Choice and Estimation Issues
by Chris Brooks & Simon Burke & Gita Persand - icma-dp2003-03 Statistical Properties of Forward Libor Rates
by Carol Alexander & Dimitri Lvov - icma-dp2003-02 Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency
by Carol Alexander & Anca Dimitriu - icma-dp2003-01 The At Issue Maturity of Corporate Bonds: The Influence of Credit Rating, Security Level, Duration and Macreoconomic Conditions
by Geetajali Bali & Frank Skinner
2002
- icma-dp2003-06 Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model
by Carol Alexander - icma-dp2003-05 What Drives Swap Spreads, Credit or Liquidity?
by Ying Huang & Salih Neftci & Ira Jersey - icma-dp2003-04 An Empirical Study of Credit Default Swaps
by Frank Skinner & Antonio Diaz - icma-dp2002-26 Indexation doesn't make sense
by Harry. M Kat - icma-dp2002-25 Managed Features and Hedge Funds:
by Harry. M Kat - icma-dp2002-24 In Search of the Optimal Fund of Hedge Funds
by Harry. M Kat - icma-dp2002-23 The Dangers of Using Correlation to Measure Dependence
by Harry. M Kat - icma-dp2002-22 Taking the Sting out of Hedge Funds
by Harry. M Kat - icma-dp2002-21 Operational Risk Management
by Jacques Pezier - icma-dp2002-20 A Constructive Review of Basel's Proposals on Operational Risk
by Jacques Pezier - icma-dp2002-19 Smart Fund Managers? Stupid Money?
by Dan Bernhardt & Ryan Davies & Harvey Westbrook Jr. - icma-dp2002-18 Common Correlation and Calibrating the Lognormal Forward Rate Model
by Carol Alexandra - icma-dp2002-16 The True Distortions in the With Profits Market "If disclosure is not the problem, then more information is not the answer"
by Andrew Godley - icma-dp2002-15 Generalization of the Sharpe Ratio and the Arbitrage-Free Pricing of Higher Moments
by Gaurav Amin & Harry. M Kat - icma-dp2002-14 A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index
by Chris Brooks & Apostolos Katsaris - icma-dp2002-13 Persistence in Hedge Fund Performance: The True Value of a Track Record
by Harry. M Kat & Faye Menexe