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LSE Research Online Documents on Economics

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24827: On time-scaling of risk and the square–root–of–time rule Downloads
Jon Danielsson and Jean-Pierre Zigrand
24826: Equilibrium analysis, banking, contagion and financial fragility Downloads
Dimitrios Tsomocos
24825: Corporate bond prices and co-ordination failure Downloads
Max Bruche
24824: Basel II and developing countries: diversification and portfolio effects Downloads
Stephany Griffith-Jones, Miguel Angel Segoviano and Stephen Spratt
24823: Equilibrium asset pricing with systemic risk Downloads
Jon Danielsson and Jean-Pierre Zigrand
24822: Credible pensions Downloads
Timothy Besley and Andrea Prat
24821: Basel and procyclicality: a comparison of the standardised and IRB approaches to an improved credit risk method Downloads
Charles Goodhart and Miguel A. Segoviano
24820: Barriers to pension scheme participation in small and medium sized enterprises Downloads
Alistair Byrne, Debbie Harrison and David Blake
24819: Are "market neutral" hedge funds really market neutral? Downloads
Andrew Patton
24788: Conglomerate entrenchment under optimal financial contracting Downloads
Antoine Faure-Grimaud and Roman Inderst
24785: Strategic financial innovation in segmented markets Downloads
Rohit Rahi and Jean-Pierre Zigrand
24783: The virtual organisation - technical or social innovation?: lessons from the film industry Downloads
Lucas D. Introna, Hope Moore and Mike Cushman
24778: A time series analysis of financial fragility in the UK banking system Downloads
Charles Goodhart, Pojanart Sunirand and Dimitrios Tsomocos
24773: A GARCH model of the implied volatility of the Swiss Market Index from options prices Downloads
Michael Sabbatini and Oliver Linton
24772: Yield curve estimation by kernel smoothing Downloads
Oliver Linton, Enno Mammen, J. Nielsen and C. Taanggard
24769: The shape of the risk premium: evidence from a semiparametric GARCH model Downloads
Oliver Linton and Benoit Perron
24767: Flexible term structure estimation: which method is preferable? Downloads
Andrew Jeffrey, Oliver Linton and Thong Nguyen
24764: Reducing the risks to health: the role of social protection: report of the Social Protection Task Group for the Strategic Review of Health Inequalities in England post 2010 Downloads
Howard Glennerster, Jonathan Bradshaw, Ruth Lister and Olle Lundberg
24763: Estimation of linear regression models by a spread-tolerant estimator Downloads
Oliver Linton
24762: Estimating semiparametric ARCH (∞) models by kernel smoothing methods Downloads
Oliver Linton and Enno Mammen
24760: Feedback trading Downloads
Jon Danielsson and Ryan Love
24758: A local instrumental variable estimation method for generalized additive volatility models Downloads
Woocheol Kim and Oliver Linton
24756: Self-fulfilling liquidity and the coordination premium Downloads
Guillaume Plantin
24755: Consistent testing for stochastic dominance: a subsampling approach Downloads
Oliver Linton, Esfandiar Maasoumi and Yoon-Jae Whang
24754: Liability valuation and optimal asset allocation Downloads
Joachim Inkmann and David Blake
24753: Opening and closing the market: evidence from the London Stock Exchange Downloads
Andrew Ellul, Hyun Song Shin and Ian Tonks
24751: Defined benefit or defined contribution?: An empirical study of pension choices Downloads
Joao F. Cocco and Paula Lopes
24750: A risk assessment model for banks Downloads
Charles Goodhart, Pojanart Sunirand and Dimitrios Tsomocos
24748: Action research in the UK construction industry - the B-hive project Downloads
Mike Cushman
24744: Eurobond underwriter spreads Downloads
Neil Esho, Michael G. Kollo and Ian G. Sharpe
24742: Estimation and testing of dynamic models with generalised hyperbolic innovations Downloads
Javier Mencia and Enrique Sentana
24741: A semiparametric single-factor model of the term structure Downloads
Dennis Kristensen
24739: Estimation in two classes of semiparametric diffusion models Downloads
Dennis Kristensen
24738: Estimation of partial differential equations with applications in finance Downloads
Dennis Kristensen
24729: Language needs in business, a survey of European multinational companies Downloads
Herve Didiot-Cook, Valérie Gauthier and Koen Scheirlinckx
24712: The wrong kind of transparency Downloads
Andrea Prat
24710: The interaction between the Bank of England's forecasts and policy, and the outturn Downloads
Charles Goodhart
24708: The Monetary Policy Committee's reaction function: an exercise in estimation Downloads
Charles Goodhart
24706: Career concerns in financial markets Downloads
Amil Dasgupta and Andrea Prat
24705: A human capital explanation for an asset allocation puzzle? Downloads
Francisco Gomes and Alexander Michaelides
24704: Real effects of regional house prices: dynamic panel estimation with heterogeneity Downloads
Sònia Muñoz
24703: A model to analyse financial fragility Downloads
Charles Goodhart, Pojanart Sunirand and Dimitrios Tsomocos
24702: Multiple-bank lending: diversification and free-riding in monitoring Downloads
Elena Carletti, Vittoria Cerasi and Sonja Daltung
24701: General properties of rational stock-market fluctuations Downloads
Antonio Mele
24700: A theory of sovereign debt roll-over crisis Downloads
Masazumi Hattori
24699: Sponsoring company finance and investment and defined benefit pension scheme deficits Downloads
David C. Webb
24698: Performance of personal pension schemes in the UK Downloads
Alan Gregory and Ian Tonks
24697: Stopping short?: evidence on contributions to long-term savings from aggregate and micro data Downloads
Sarah Smith
24682: Financial institutions and the wealth of nations: tales of development Downloads
Jian Tong and Cheng-Gang Xu
24681: Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates Downloads
Xiaohong Chen, Yanqin Fan and Andrew Patton
24680: A model to analyse financial fragility: applications Downloads
Charles Goodhart, Pojanart Sunirand and Dimitrios Tsomocos
24679: IPO underpricing during the boom: a block-booking explanation Downloads
Kevin R. James
24678: Block-booking and IPO share allocation: the importance of being ignorant Downloads
Celine Gondat-Larralde and Kevin R. James
24677: Continuous time optimal stochastic growth: local martingales, transversality and existence Downloads
Lucien Foldes
24676: Principal agent problems under loss aversion: an application to executive stock options Downloads
David de Meza and David C. Webb
24675: An Introduction to hedge funds Downloads
Gregory Connor and Mason Woo
24674: Simulated nonparametric estimation of continuous time models of asset prices and returns Downloads
Filippo Altissimo and Antonio Mele
24673: Corporate governance in the UK: is the comply-or-explain approach working? Downloads
Antoine Faure-Grimaud, Sridhar Arcot and Valentina Bruno
24672: Rare events and annuity market participation Downloads
Paula Lopes and Alexander Michaelides
24671: Comparing downside risk measures for heavy tailed distribution Downloads
Jon Danielsson, Bjørn Jørgensen, Mandira Sarma and Casper de Vries
24670: The dynamics of venture capital contracts Downloads
Carsten Bienz and Julia Hirsch
24669: Exchange rate volatility and central bank interventions Downloads
Freyan Panthaki
24668: Subadditivity re–examined: the case for value-at-risk Downloads
Jon Danielsson, Bjørn Jørgensen, Sarma Mandira, Gennady Samorodnitsky and Casper de Vries
24667: On modelling endogenous default Downloads
Dimitrios Tsomocos and Lea Zicchino
24666: The interest rate conditioning assumption Downloads
Charles Goodhart
24665: An essay on the interactions between the Bank of England's forecasts, the MPC's policy adjustments, and the eventual outcome Downloads
Charles Goodhart
24664: ART versus reinsurance: the disciplining effect of information insensitivity Downloads
Silke Brandts and Christian Laux
24663: Minority blocks and takeover premia Downloads
Mike Burkart, Denis Gromb and Fausto Panunzi
24662: Reforming public pensions in the US and the UK Downloads
Peter Diamond
24661: Long-term debt and hidden borrowing Downloads
Heski Bar-Isaac and Vicente Cuñat
24660: Optimal intergenerational risk sharing Downloads
Otto van Hemert
24659: Reputation effects in trading on the New York Stock Exchange Downloads
Robert Battalio, Andrew Ellul and Robert Jennings
24658: Simulated nonparametric estimation of dynamic models with applications to finance Downloads
Filippo Altissimo and Antonio Mele
24650: Dynamic portfolio and mortgage choice for homeowners Downloads
Otto van Hemert, Franck de Jong and Joost Driessen
24649: Asset pricing with limited risk sharing and heterogeneous agents Downloads
Francisco Gomes and Alexander Michaelides
24648: IMF concern for reputation and conditional lending failure: theory and empirics Downloads
Silvia Marchesi and Laura Sabani
24647: Estimating structural bond pricing models via simulated maximum likelihood Downloads
Max Bruche
24646: Rational trader risk Downloads
Péter Kondor
24645: The more we know, the less we agree: public announcements and higher-order expectations Downloads
Péter Kondor
24644: Spot market power and future market trading Downloads
Alexander Muermann and Stephen H. Shore
24643: A model of corporate liquidity Downloads
Ronald W. Anderson and Andrew Carverhill
24642: Can the retirement-consumption puzzle be resolved?: evidence from the British Household Panel Survey Downloads
Sarah Smith
24641: Pension plan funding, risk sharing and technology choice Downloads
David C. Webb
24637: Evolution of decision and control rights in venture capital contracts: an empirical analysis Downloads
Carsten Bienz and Uwe Walz
24636: Regionality revisited: an examination of the direction of spread of currency crises Downloads
Amil Dasgupta, Roberto Leon-Gonzalez and Anja Shortland
24635: The role of prestige and networks in outside director appointment Downloads
Tom Kirchmaier and Michael G. Kollo
24634: Financial structure, managerial compensation and monitoring Downloads
Vittoria Cerasi and Sonja Daltung
24633: Corporate governance and regulation: can there be too much of a good thing? Downloads
Valentina Bruno and Stijn Claessens
24632: Liquidity and capital structure Downloads
Ronald W. Anderson and Andrew Carverhill
24624: Is there a human right not to be a trade union member?: labour rights under the European Convention on Human Rights Downloads
Virginia Mantouvalou
24622: International economic governance and human rights accountability Downloads
Margot E. Salomon
24619: Law through practice: London and Liverpool commodity markets c.1820-1975 Downloads
Ross Cranston
24606: Life after work: privacy and dismissal Downloads
Virginia Mantouvalou
24558: Legal regimes and regimes of knowledge: governing global services trade Downloads
Andrew T. F. Lang
24524: Recovery rates, default probabilities and the credit cycle Downloads
Max Bruche and Carlos Gonzalez-Aguado
24523: Incentive design under loss aversion Downloads
David de Meza and David C. Webb
24522: Speculative attacks with multiple sources of public information Downloads
Camille Cornand and Frank Heinemann
24521: Monetary policy and its informative value Downloads
Romain Baeriswyl and Camille Cornand
24520: Are there Monday effects in stock returns: a stochastic dominance approach Downloads
Young-Hyun Cho, Oliver Linton and Yoon-Jae Whang
24519: The optimal design of funded pensions Downloads
Luciano Greco
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