FMG Discussion Papers

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1996: Underpricing and Crises - IPO Performance in Germany

Josef Schuster

1996: Default Risk in Asset Pricing

Pierre Mella-Barral and Pierre Tychon

1996: Maximum Likelihood Estimation of Stochastic Volatility Models

G Sandmann and Siem Jan Koopman

1996: Optimal Monetary Policy Rules in a Rational Expectations Model of the Phillips Curve

Haizhou Huang, Peter B Clark and Charles Goodhart

1996: Excessive Dispersion of US Stock Prices: A Regression Test of Cross-Sectional Volatility

Ian Tonks, Andy Snell and George Bulkley

1996: Utilising Time Series Methods to Assess Information and Inventory Effects in a Dealer Market in Illiquid Stocks

Andy Snell and Ian Tonks

1996: Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market

Richard Payne

1996: Trading Volumes and Transaction Costs in the Foreign Market - Evidence from Daily Dollar-Yen Spot Data

Philipp Hartmann

1996: The Dynamics of Corporate Debt forgiveness and Contract Renegotiation

Pierre Mella-Barral

1995: Option Pricing With a Quadratic Diffusion Term

Sven Rady

1995: What is the Central Banks Game?

Charles Goodhart and Haizhou Huang

1995: Central Bank Reputation and Conservativeness

Haizhou Huang and Michele Fratianni

1995: Risk and Return in the Spanish Stock Market

Enrique Sentana

1994: State Prices Implicit in Valuation Formulae for Derivative Securities: A Martingale Approach

Sven Rady

1993: Debt Deflation: Theory and Evidence

Mervyn Allister King

1993: Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data

Danny Quah

1993: UK Directors Trading: The Impact of Dealings in Smaller Firms

John Matatko, Alan Gregory, Ian Tonks and Richard Purkis

1992: Empirical Cross-Section Dynamics in Economic Growth

Danny Quah

1992: When Support/Resistance Levels are Broken, Can Profits be Made? Evidence from the Foreign Exchange Market

Riccardo Curcio and Charles Goodhart

1991: The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds

Danny Quah

1991: Auction and Dealership Markets: What is the Difference?

Ailsa Röell and Marco Pagano

1991: The Clustering of Bid/Ask Prices and the Spread in the Foreign Exchange Market

Riccardo Curcio and Charles Goodhart

1991: Existence and Uniqueness of an Optimum in the Infinate-Horizon Portfolio-cum-Saving Model with Semimartingale Investments

Lucien Foldes

1990: Optimal Sure Portfolio Plans

Lucien Foldes

1990: Certainty Equivalence in the continuous-time portfolio-cum-saving model

Lucien Foldes

1990: News and the Foreign Exchange Market

Charles Goodhart

1989: Conditions for Optimality in the Infinite-Horizon Portfolio-cum-Saving Problem with Semimartingale Investments

Lucien Foldes