LSE Research Online Documents on Economics
From London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC. Bibliographic data for series maintained by LSERO Manager (). Access Statistics for this working paper series.
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- 24827: On time-scaling of risk and the square–root–of–time rule

- Jon Danielsson and Jean-Pierre Zigrand
- 24826: Equilibrium analysis, banking, contagion and financial fragility

- Dimitrios Tsomocos
- 24825: Corporate bond prices and co-ordination failure

- Max Bruche
- 24824: Basel II and developing countries: diversification and portfolio effects

- Stephany Griffith-Jones, Miguel Angel Segoviano and Stephen Spratt
- 24823: Equilibrium asset pricing with systemic risk

- Jon Danielsson and Jean-Pierre Zigrand
- 24822: Credible pensions

- Timothy Besley and Andrea Prat
- 24821: Basel and procyclicality: a comparison of the standardised and IRB approaches to an improved credit risk method

- Charles Goodhart and Miguel A. Segoviano
- 24820: Barriers to pension scheme participation in small and medium sized enterprises

- Alistair Byrne, Debbie Harrison and David Blake
- 24819: Are "market neutral" hedge funds really market neutral?

- Andrew Patton
- 24788: Conglomerate entrenchment under optimal financial contracting

- Antoine Faure-Grimaud and Roman Inderst
- 24785: Strategic financial innovation in segmented markets

- Rohit Rahi and Jean-Pierre Zigrand
- 24783: The virtual organisation - technical or social innovation?: lessons from the film industry

- Lucas D. Introna, Hope Moore and Mike Cushman
- 24778: A time series analysis of financial fragility in the UK banking system

- Charles Goodhart, Pojanart Sunirand and Dimitrios Tsomocos
- 24773: A GARCH model of the implied volatility of the Swiss Market Index from options prices

- Michael Sabbatini and Oliver Linton
- 24772: Yield curve estimation by kernel smoothing

- Oliver Linton, Enno Mammen, J. Nielsen and C. Taanggard
- 24769: The shape of the risk premium: evidence from a semiparametric GARCH model

- Oliver Linton and Benoit Perron
- 24767: Flexible term structure estimation: which method is preferable?

- 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

- Howard Glennerster, Jonathan Bradshaw, Ruth Lister and Olle Lundberg
- 24763: Estimation of linear regression models by a spread-tolerant estimator

- Oliver Linton
- 24762: Estimating semiparametric ARCH (∞) models by kernel smoothing methods

- Oliver Linton and Enno Mammen
- 24760: Feedback trading

- Jon Danielsson and Ryan Love
- 24758: A local instrumental variable estimation method for generalized additive volatility models

- Woocheol Kim and Oliver Linton
- 24756: Self-fulfilling liquidity and the coordination premium

- Guillaume Plantin
- 24755: Consistent testing for stochastic dominance: a subsampling approach

- Oliver Linton, Esfandiar Maasoumi and Yoon-Jae Whang
- 24754: Liability valuation and optimal asset allocation

- Joachim Inkmann and David Blake
- 24753: Opening and closing the market: evidence from the London Stock Exchange

- Andrew Ellul, Hyun Song Shin and Ian Tonks
- 24751: Defined benefit or defined contribution?: An empirical study of pension choices

- Joao F. Cocco and Paula Lopes
- 24750: A risk assessment model for banks

- Charles Goodhart, Pojanart Sunirand and Dimitrios Tsomocos
- 24748: Action research in the UK construction industry - the B-hive project

- Mike Cushman
- 24744: Eurobond underwriter spreads

- Neil Esho, Michael G. Kollo and Ian G. Sharpe
- 24742: Estimation and testing of dynamic models with generalised hyperbolic innovations

- Javier Mencia and Enrique Sentana
- 24741: A semiparametric single-factor model of the term structure

- Dennis Kristensen
- 24739: Estimation in two classes of semiparametric diffusion models

- Dennis Kristensen
- 24738: Estimation of partial differential equations with applications in finance

- Dennis Kristensen
- 24729: Language needs in business, a survey of European multinational companies

- Herve Didiot-Cook, Valérie Gauthier and Koen Scheirlinckx
- 24712: The wrong kind of transparency

- Andrea Prat
- 24710: The interaction between the Bank of England's forecasts and policy, and the outturn

- Charles Goodhart
- 24708: The Monetary Policy Committee's reaction function: an exercise in estimation

- Charles Goodhart
- 24706: Career concerns in financial markets

- Amil Dasgupta and Andrea Prat
- 24705: A human capital explanation for an asset allocation puzzle?

- Francisco Gomes and Alexander Michaelides
- 24704: Real effects of regional house prices: dynamic panel estimation with heterogeneity

- Sònia Muñoz
- 24703: A model to analyse financial fragility

- Charles Goodhart, Pojanart Sunirand and Dimitrios Tsomocos
- 24702: Multiple-bank lending: diversification and free-riding in monitoring

- Elena Carletti, Vittoria Cerasi and Sonja Daltung
- 24701: General properties of rational stock-market fluctuations

- Antonio Mele
- 24700: A theory of sovereign debt roll-over crisis

- Masazumi Hattori
- 24699: Sponsoring company finance and investment and defined benefit pension scheme deficits

- David C. Webb
- 24698: Performance of personal pension schemes in the UK

- Alan Gregory and Ian Tonks
- 24697: Stopping short?: evidence on contributions to long-term savings from aggregate and micro data

- Sarah Smith
- 24682: Financial institutions and the wealth of nations: tales of development

- 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

- Xiaohong Chen, Yanqin Fan and Andrew Patton
- 24680: A model to analyse financial fragility: applications

- Charles Goodhart, Pojanart Sunirand and Dimitrios Tsomocos
- 24679: IPO underpricing during the boom: a block-booking explanation

- Kevin R. James
- 24678: Block-booking and IPO share allocation: the importance of being ignorant

- Celine Gondat-Larralde and Kevin R. James
- 24677: Continuous time optimal stochastic growth: local martingales, transversality and existence

- Lucien Foldes
- 24676: Principal agent problems under loss aversion: an application to executive stock options

- David de Meza and David C. Webb
- 24675: An Introduction to hedge funds

- Gregory Connor and Mason Woo
- 24674: Simulated nonparametric estimation of continuous time models of asset prices and returns

- Filippo Altissimo and Antonio Mele
- 24673: Corporate governance in the UK: is the comply-or-explain approach working?

- Antoine Faure-Grimaud, Sridhar Arcot and Valentina Bruno
- 24672: Rare events and annuity market participation

- Paula Lopes and Alexander Michaelides
- 24671: Comparing downside risk measures for heavy tailed distribution

- Jon Danielsson, Bjørn Jørgensen, Mandira Sarma and Casper de Vries
- 24670: The dynamics of venture capital contracts

- Carsten Bienz and Julia Hirsch
- 24669: Exchange rate volatility and central bank interventions

- Freyan Panthaki
- 24668: Subadditivity re–examined: the case for value-at-risk

- Jon Danielsson, Bjørn Jørgensen, Sarma Mandira, Gennady Samorodnitsky and Casper de Vries
- 24667: On modelling endogenous default

- Dimitrios Tsomocos and Lea Zicchino
- 24666: The interest rate conditioning assumption

- Charles Goodhart
- 24665: An essay on the interactions between the Bank of England's forecasts, the MPC's policy adjustments, and the eventual outcome

- Charles Goodhart
- 24664: ART versus reinsurance: the disciplining effect of information insensitivity

- Silke Brandts and Christian Laux
- 24663: Minority blocks and takeover premia

- Mike Burkart, Denis Gromb and Fausto Panunzi
- 24662: Reforming public pensions in the US and the UK

- Peter Diamond
- 24661: Long-term debt and hidden borrowing

- Heski Bar-Isaac and Vicente Cuñat
- 24660: Optimal intergenerational risk sharing

- Otto van Hemert
- 24659: Reputation effects in trading on the New York Stock Exchange

- Robert Battalio, Andrew Ellul and Robert Jennings
- 24658: Simulated nonparametric estimation of dynamic models with applications to finance

- Filippo Altissimo and Antonio Mele
- 24650: Dynamic portfolio and mortgage choice for homeowners

- Otto van Hemert, Franck de Jong and Joost Driessen
- 24649: Asset pricing with limited risk sharing and heterogeneous agents

- Francisco Gomes and Alexander Michaelides
- 24648: IMF concern for reputation and conditional lending failure: theory and empirics

- Silvia Marchesi and Laura Sabani
- 24647: Estimating structural bond pricing models via simulated maximum likelihood

- Max Bruche
- 24646: Rational trader risk

- Péter Kondor
- 24645: The more we know, the less we agree: public announcements and higher-order expectations

- Péter Kondor
- 24644: Spot market power and future market trading

- Alexander Muermann and Stephen H. Shore
- 24643: A model of corporate liquidity

- Ronald W. Anderson and Andrew Carverhill
- 24642: Can the retirement-consumption puzzle be resolved?: evidence from the British Household Panel Survey

- Sarah Smith
- 24641: Pension plan funding, risk sharing and technology choice

- David C. Webb
- 24637: Evolution of decision and control rights in venture capital contracts: an empirical analysis

- Carsten Bienz and Uwe Walz
- 24636: Regionality revisited: an examination of the direction of spread of currency crises

- Amil Dasgupta, Roberto Leon-Gonzalez and Anja Shortland
- 24635: The role of prestige and networks in outside director appointment

- Tom Kirchmaier and Michael G. Kollo
- 24634: Financial structure, managerial compensation and monitoring

- Vittoria Cerasi and Sonja Daltung
- 24633: Corporate governance and regulation: can there be too much of a good thing?

- Valentina Bruno and Stijn Claessens
- 24632: Liquidity and capital structure

- 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

- Virginia Mantouvalou
- 24622: International economic governance and human rights accountability

- Margot E. Salomon
- 24619: Law through practice: London and Liverpool commodity markets c.1820-1975

- Ross Cranston
- 24606: Life after work: privacy and dismissal

- Virginia Mantouvalou
- 24558: Legal regimes and regimes of knowledge: governing global services trade

- Andrew T. F. Lang
- 24524: Recovery rates, default probabilities and the credit cycle

- Max Bruche and Carlos Gonzalez-Aguado
- 24523: Incentive design under loss aversion

- David de Meza and David C. Webb
- 24522: Speculative attacks with multiple sources of public information

- Camille Cornand and Frank Heinemann
- 24521: Monetary policy and its informative value

- Romain Baeriswyl and Camille Cornand
- 24520: Are there Monday effects in stock returns: a stochastic dominance approach

- Young-Hyun Cho, Oliver Linton and Yoon-Jae Whang
- 24519: The optimal design of funded pensions

- Luciano Greco
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