The European Journal of Finance

1995 - 2025

Current editor(s): Chris Adcock

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Volume 8, issue 4, 2002

Preface pp. 345-345

Chris Adcock

Guest Editorial pp. 346-351

Domenico Sartore and Marcello Esposito

Modelling the demand for M3 in the Euro area pp. 371-401

Roberto Golinelli and Sergio Pastorello

Forecasting inflation in the European Monetary Union: A disaggregated approach by countries and by sectors pp. 402-421

Antoni Espasa, E. Senra and R. Albacete

Explaining and forecasting the euro/dollar exchange rate through a non-linear threshold model pp. 422-448

Asmara Jamaleh

The fiscal dimension of a common monetary policy: results with a non-Ricardian global model pp. 449-479

Silvia Sgherri

US dollar/Euro exchange rate: a monthly econometric model for forecasting pp. 480-501

Domenico Sartore, Lucia Trevisan, Michele Trova and Francesca Volo

Volume 8, issue 3, 2002

Time varying country risk: an assessment of alternative modelling techniques pp. 249-274

R. D. Brooks, Robert Faff and M. McKenzie

Can channel pattern trading be profitably automated? pp. 275-301

M. A. H. Dempster and Charles Jones

Forecasting stock market volatility and the informational efficiency of the DAX-index options market pp. 302-321

Holger Claessen and Stefan Mittnik

World capital markets and Finnish stock returns pp. 322-343

Kim Nummelin and Mika Vaihekoski

Volume 8, issue 2, 2002

An analysis of the causes of recent banking crises pp. 152-175

David T. Llewellyn

On the timing of inside trades in a betting market pp. 176-186

Adi Schnytzer and Yuval Shilony

New evidence on the implied-realized volatility relation pp. 187-205

Bent Jesper Christensen and Charlotte Hansen

Administration of recoveries in individual insolvency: case studies of two UK banks pp. 206-221

Keith Pond

Estimating the price elasticity of demand in the London stock market pp. 222-237

Eric J. Levin and Robert Wright

Financial innovation and Divisia monetary indices in Taiwan: a neural network approach pp. 238-247

Jane M. Binner, Alicia M. Gazely and Shu-Heng Chen

Volume 8, issue 1, 2002

Financing firms with restricted access to financial markets: the use of trade credit and factoring in Belgium pp. 2-20

Greet Asselbergh

The information in the term structure of German interest rates pp. 21-45

Gianna Boero and Costanza Torricelli

Mispricing and lasting arbitrage between parallel markets in the Czech Republic pp. 46-69

Jan Hanousek and Libor Nemecek

Temporal aggregation, volatility components and volume in high frequency UK bond futures pp. 70-92

David McMillan and Alan Speight

The long-horizon returns behaviour of the Portuguese stock market1 pp. 93-122

Nelson Manuel Areal and Manuel Jose Da Rocha Armada

Do environmental variables affect the performance and technical efficiency of the European banking systems? A parametric analysis using the stochastic frontier approach pp. 123-146

Laura Cavallo and Stefania Rossi

Volume 7, issue 4, 2001

Preface pp. 285-285

Chris Adcock

Introduction pp. 286-288

Giulio Cifarelli

Dynamic local models for segmentation and prediction of financial time series pp. 289-311

Mehdi Azzouzi and Ian Nabney

Stock selection using a multi-factor model - empirical evidence from the French stock market pp. 312-334

Christophe Morel

Nonlinear analysis for forecasting currencies: are they useful to the portfolio manager? pp. 335-355

Foort Hamelink

Volume 7, issue 3, 2001

Trading frequency and the efficiency of price discovery in a non-dealer market pp. 187-197

Shmuel Hauser, Azriel Levy and Uzi Yaari

Implied volatility surfaces: uncovering regularities for options on financial futures pp. 198-230

Robert Tompkins

Implied volatilities, stochastic interest rates, and currency futures options valuation: an empirical investigation pp. 231-246

Vivek Bhargava, Robert Brooks and D. K. Malhotra

Is the covariance of international stock market returns regime dependent? pp. 247-268

Christian Jochum

Optimal hedge ratios and alternative hedging strategies in the presence of cointegrated time-varying risks pp. 269-283

Ah-Boon Sim and Ralf Zurbruegg

Volume 7, issue 2, 2001

A family of humped volatility models pp. 93-116

Fabio Mercurio and Juan Moraleda

Estimation of global systematic risk for securities listed in multiple markets pp. 117-130

Gauri Ghai, Maria De Boyrie, Shahid Hamid and Arun Prakash

Forward and spot exchange rates in a bivariate TAR framework pp. 131-143

R. Dacco and S. Satchell

Term structure of return correlations and international diversification: evidence from European stock markets pp. 144-164

Ming-Shiun Pan, Y. Angela Liu and Herbert Roth

Bank failure: a multidimensional scaling approach pp. 165-183

Cecilio Mar-Molinero and Carlos Serrano-Cinca

Volume 7, issue 1, 2001

Empirical distributions of stock returns: European securities markets, 1990-95 pp. 1-21

Felipe Aparicio and Javier Estrada

Power ARCH modelling of commodity futures data on the London Metal Exchange pp. 22-38

Michael McKenzie, Heather Mitchell, Robert Brooks and Robert Faff

Basis variation and a common source of risk: evidence from UK futures markets pp. 39-62

Patricia Fraser and Andrew McKaig

Derivatives usage in UK non-financial listed companies pp. 63-91

Chris Mallin, Kean Ow-Yong and Martin Reynolds

Volume 6, issue 4, 2000

Credit agency regulation and the impact of credit ratings in the international bond market pp. 311-331

David Brookfield and Phillip Ormrod

Intraday data and hedging efficiency in interest spread trading pp. 332-352

Christian Dunis and Pierre Lequeux

Structural effects of asset-backed securitization pp. 353-369

Simon Wolfe

Volume 6, issue 3, 2000

The selection of multinational equity portfolios: forecasting models and estimation risk pp. 259-279

Nigel Meade and Gerry Salkin

Stock returns and economic activity: the UK case pp. 280-297

David Lovatt and Ashok Parikh

Forecasting the returns on UK investment trusts: a comparison pp. 298-310

Laurence Copeland and Ping Wang

Volume 6, issue 2, 2000

Switching regime models in the Spanish inter-bank market pp. 93-112

Arielle Beyaert and Juan rez-Castej

Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives pp. 113-125

Ramaprasad Bhar and Carl Chiarella

Combining forecasts: some results on exchange and interest rates pp. 126-145

Monica Billio, Domenico Sartore and Carlo Toffano

Managing funds in the US market: how to distinguish between transitory distortions and structural changes in the stock prices? pp. 146-162

Catherine Bruneau, Ch. Duval-Kieffer and J. P. Nicolai

The effects of trading activity on market volatility pp. 163-175

Giampiero Gallo and Barbara Pacini

Bayesian approach to yield curve modelling with application to the simulation of EMU environments: generating scenarios by modelling yield curve movements pp. 176-195

Melendres Howe

Further insights on the puzzle of technical analysis profitability pp. 196-224

Bertrand Maillet and Thierry Michel

Testing densities with financial data: an empirical comparison of the Edgeworth-Sargan density to the Student's t pp. 225-239

Ignacio Mauleón and Javier Perote

Analysing long memory and asymmetries pp. 240-258

Matti Vir

Volume 6, issue 1, 2000

The performance of covered calls pp. 1-17

J. Board, Charles Sutcliffe and E. Patrinos

On the volatility of measures of financial risk: an investigation using returns from European markets pp. 18-38

Babak Eftekhari, Christian Pedersen and Stephen Satchell

Stock index and price dynamics in the UK and the US: new evidence from a trading rule and statistical analysis pp. 39-69

Stephen Taylor

Time-varying risk in the German stock market pp. 70-91

Martin Scheicher