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Economics and Finance Discussion Papers
from Economics and Finance Section, School of Social Sciences, Brunel University
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04-20: TESTING OF NONSTATIONARITIES IN THE UNIT CIRCLE,LONG MEMORY PROCESSES AND DAY OF THE WEEK EFFECTS IN FINANCIAL DATA
Guglielmo Maria Caporale , Luis Alberiko Gil-Alana and Mike Nazarski 04-19: Commercial property prices and bank performance
E Philip Davis and Haibin Zhu 04-18: PANEL DATA TESTS OF PPP: A CRITICAL OVERVIEW
Guglielmo Maria Caporale and Mario Cerrato 04-17: NON-LINEARITIES AND FRACTIONAL INTEGRATION IN THE US UNEMPLOYMENT RATE
Guglielmo Maria Caporale and Luis Alberiko Gil-Alana 04-16: NELSON AND PLOSSER REVISITED: EVIDENCE FROM FRACTIONAL ARIMA MODELS
Guglielmo Maria Caporale and Luis Alberiko Gil-Alana 04-15: THE STOCHASTIC UNIT ROOT MODEL AND FRACTIONAL INTEGRATION: AN EXTENSION TO THE SEASONAL CASE
Guglielmo Maria Caporale and Luis Alberiko Gil-Alana 04-14: THE BDS TEST AS A TEST FOR THE ADEQUACY OF A GARCH(1,1) SPECIFICATION: A MONTE CARLO STUDY
Guglielmo Maria Caporale , Christos Ntantamis , Theologos Pantelidis and Nikitas Pittis 04-13: MEASURING HALF-LIVES USING A NON-PARAMETRIC BOOTSTRAP APPROACH
Guglielmo Maria Caporale , Mario Cerrato and Nicola Spagnolo 04-12: Contracting Out Public Service Provision to Non-for-profit Firms
John Bennett and Elisabetta Iossa 04-11: Uncertainty and UK Monetary Policy
Christopher Martin and Costas Milas 04-10: THE EQUITY PREMIUM
Kyri Kyriacou , Jakob B. Madsen and Bryan Mase 04-09: Executive Stock Option Exercises and the Predictive Ability of Transaction Value
Kyri Kyriacou and Bryan Mase 04-08: Identifying and Solving Multivariate Rational Expectations Models
John Hunter and Christos Ioannidis 04-07: Financial Contracts and Strategic customer Exclusion
Naoki KOJIMA 04-06: The IPO Spread and Conflicts of Interests
Naoki KOJIMA 04-05: The Finite-Sample Effects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators: Purely Nonstationary Case
Steve Lawford and Michalis P. Stamatogiannis 04-04: Price Cap, Revenue Sharing and Information Acquisition
Elisabetta Iossa and Francesca Stroffolini 04-03: Finite-sample quantiles of the Jarque-Bera test
Steve Lawford 04-02: External Financing of Us Corporations: Are Loans and Securities Complements or Substitutes?
E Philip Davis and Christos Ioannidis 04-01: Debt Sustainability, Structural Breaks and Non-linear Fiscal Adjustment: A Testing Application to Greek Fiscal Policy
Michael Arghyrou 03-27: The Dynamics of International R&D Spillovers
Prof. Kul B Luintel and Mosahid Khan 03-26: Commercial Activity as Insurance: the Investment Behavior of Non-profit Firms
John Bennett , Elisabetta Iossa and Gabriella Legrenzi 03-25: Optimal Monetary Policy and the Asset Market:A Non-cooperative Game
Christos Ioannidis, and Oreste Napolitano 03-24: Privatization Methods and Economic Growth
John Bennett , Saul Estrin , James Maw and Giovanni Urga 03-23: A CHANGE OF FOCUS STOCK MARKET RECLASSIFICATION IN THE UK
Bryan Mase 03-22: Optimal Monetary Policy and Asset Price Misalignments
Alexandros Kontonikas and Alberto Montagnoli 03-21: IS THERE A PENSIONS CRISIS IN THE UK?
E Philip Davis 03-20: TOWARDS A TYPOLOGY FOR SYSTEMIC FINANCIAL INSTABILITY
E Philip Davis 03-19: Should Monetary Policy Respond to Asset Price Misalignments?
Alexandros Kontonikas and Christos Ioannidis 03-18: The Impact of Risk on the Decision to Exercise an ESO
Kyriacos Kyriacou 03-17: THE INFORMATION CONTAINED IN THE EXERCISE OF EXECUTIVE STOCK OPTIONS
Kyriacos Kyriacou and Bryan Mase 03-16: AGGREGATE ECONOMY RISK AND COMPANY FAILURE:AN EXAMINATION OF UK QUOTED FIRMS IN THE EARLY 1990s
John hunter , Zacharias Psaradakis and Martin Sola 03-15: Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables
fabio spagnolod , Zacharias Psaradakis and Martin Sola 03-14: Red Signals: Trade Deficits and the Current Account
Marzia Raybaudi , Martin Sola and fabio spagnolod 03-13: Performance of utility-based strategies for hedging basis risk
Michael Monoyios 03-12: Non-linear and non-symmetric exchange-rate adjustment:New evidence from medium- and high-inflation countries
Michael Arghyrou , Virginie Boinet and Christopher Martin 03-11: A Hypergeometric Test for Omitted Nonlinearity
Steve Lawford 03-10: A PANEL ANALYSIS OF UK INDUSTRIAL COMPANY FAILURE
John Hunter and Natalia Isachenkova 03-09: AGGREGATE ECONOMY RISK AND COMPANY FAILURE:AN EXAMINATION OF UK QUOTED FIRMS IN THE EARLY 1990s
John Hunter 03-08: Market Efficiency and the Euro:The case of the Athens Stock Exchange
Theodore Panagiotidis 03-07: DEMOGRAPHICS AND FINANCIAL ASSET PRICES IN THE MAJOR INDUSTRIAL ECONOMIES
E Philip Davis and Christine Li 03-06: Macroeconomic Effects of Reallocation Shocks:A generalised impulse response function analysis for three European countries
Theodore Panagiotidisa , Gianluigi Pellonib and Wolfgang Polasekc (Gianluigi Pelloni and Theodore Panagiotidis )03-05: PANEL ESTIMATION OF THE IMPACT OF EXCHANGE RATE UNCERTAINTY ON INVESTMENT IN THE MAJOR INDUSTRIAL COUNTRIES
Joseph P. Byrne and E Philip Davis 03-04: EQUITY PRICES, PRODUCTIVITY GROWTH, AND ‘THE NEW ECONOMY’
Jakob B. Madsen and E Philip Davis 03-03: Non-linear Inflationary Dynamics: Evidence from the UK
Michael Arghyrou , Christopher Martin and Costas Milas 03-02: Liquidity Effects due to Information Costs from Changes in the FTSE 100 List
Andros Gregoriou and Christos Ioannidis 03-01: GMM and present value tests of the C-CAPM under Transactions Costs: Evidence from the UK stock market
Andros Gregoriou and Christos Ioannidis 02-31: Monetary Policy Rules, Real Rigidity and Endogenous Persistence
George John Bratsiotis and Christopher Martin 02-30: Optimal Monetary Policy with Wealth Effects
Alexandros Kontonikas and Alberto Montagnoli 02-29: On the dynamics of lending and deposit interest rates in emerging markets:a non-linear approach
Ana Maria Iregui , Costas Milas and Jesus Otero
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