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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- 25165: Data-driven wavelet-Fisz methodology for nonparametric function estimation

- Piotr Fryzlewicz
- 25164: Exchange rate regime choice with multiple key currencies

- Thomas Plümper and Eric Neumayer
- 25162: Consistent classification of non-stationary time series using stochastic wavelet representations

- Piotr Fryzlewicz and Hernando Ombao
- 25099: Reforming pensions: principles, analytical errors and policy directions

- Nicholas Barr and Peter Diamond
- 25092: Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary

- Oliver Linton, Kyungchul Song and Yoon-Jae Whang
- 25069: What happens when you regulate risk?: evidence from a simple equilibrium model

- Jean-Pierre Zigrand and Jon Danielsson
- 25068: Rational limits to arbitrage

- Jean-Pierre Zigrand
- 25067: Saving eliminates credit rationing

- David de Meza and David C. Webb
- 25066: Crisis costs and debtor discipline: the efficacy of public policy in sovereign debt crises

- Prasanna Gai, Simon Hayes and Hyun Song Shin
- 25065: Financial development, agency and the pace of adoption of new techniques

- Ronald W. Anderson and Kjell Nyborg
- 25063: Signalling with debt and equity: a unifying approach and its implications for the pecking order hypothesis and competitive credit rationing

- Florian Heider
- 25062: What do internal capital markets do? Redistribution vs. incentives

- Axel Gautier and Florian Heider
- 25061: Constrained indirect inference estimation

- Giorgio Calzorali, Gabriele Fiorentini and Enrique Sentana
- 25059: Efficiency properties of rational expectations equilibria with asymmetric information

- Piero Gottardi and Rohit Rahi
- 25058: Mean-variance portfolio allocation with a value at risk constraint

- Enrique Sentana
- 25057: Tests of the Fama and French model in India

- Gregory Connor and Sanjay Sehgal
- 25056: Agency conflicts, ownership concentration, and legal shareholder protection

- Mike Burkart and Fausto Panunzi
- 25052: The skill profile of central bankers and supervisors

- Charles Goodhart, Dirk Schoenmaker and Paolo Dasgupta
- 25050: Financing and corporate growth under repeated moral hazard

- Ronald W. Anderson and Kjell Nyborg
- 25048: The impact of technology on cash usage

- Charles Goodhart and Malte Krueger
- 25046: Coordination risk and the price of debt

- Stephen Morris and Hyun Song Shin
- 25045: Does one Soros make a difference? A theory of currency crises with large and small traders

- Giancarlo Corsetti, Amil Dasgupta, Stephen Morris and Hyun Song Shin
- 25044: Disclosures and asset returns

- Hyun Song Shin
- 25042: In defence of usury laws

- Giuseppe Coco and David de Meza
- 25039: Foreign exchange intervention and macroeconomic stability

- Paolo Vitale
- 24978: Drivers of housing choice among rural-to-urban migrants: evidence from Taiyuan

- Bingqin Li, Mark Duda and Xiangsheng An
- 24977: Analysing the costs and benefits of social care funding arrangements in England: technical report

- Julien Forder and Jose Luis Fernandez
- 24958: Analysis of spreads in the dollar/euro and Deutsche Mark/dollar foreign exchange markets

- Charles Goodhart, Ryan Love, Richard Payne and Dagfinn Rime
- 24956: Financial contagion through capital connections: a model of the origin and spread of bank panics

- Amil Dasgupta
- 24955: Coordination, learning, and delay

- Amil Dasgupta
- 24954: Optimal expectations

- Markus Brunnermeier and Jonathan Parker
- 24953: The role of bank capital and the transmission mechanism of monetary policy

- Pojanart Sunirand
- 24951: On the out-of-sample importance of skewness and asymetric dependence for asset allocation

- Andrew Patton
- 24950: Revisited multi-moment approximate option pricing models: a general comparison (Part 1)

- Emmanuel Jurczenko, Bertrand Maillet and Bogdan Negrea
- 24949: The impact of wealth on consumption and retirement behaviour in the UK

- David Blake
- 24948: Internal ratings, the business cycle and capital requirements: some evidence from an emerging market economy

- Miguel A. Segoviano and Philip Lowe
- 24947: Dealer liquidity in an auction market: evidence fom the London Stock Exchange

- Sylvain Friederich and Richard Payne
- 24946: Returns from active management in international equity markets: evidence from a panel of UK pension funds

- David Blake and Allan Timmermann
- 24945: Performance clustering and incentives in the UK pension fund industry

- David Blake, Bruce N. Lehmann and Allan Timmermann
- 24944: International asset allocation with time-varying investment opportunities

- David Blake and Allan Timmermann
- 24942: Performance persistence of pension fund managers

- Ian Tonks
- 24941: Loan securitisation: default term structure and asset pricing based on loss prioritisation

- Andreas Jobst
- 24940: In-kind finance

- Mike Burkart and Tore Ellingsen
- 24939: Co-ordination failure and the role of banks in the resolution of financial distress

- Spyros Pagratis
- 24938: Skewness and kurtosis implied by option prices: a second comment

- Emmanuel Jurczenko, Bertrand Maillet and Bogdan Negrea
- 24937: You might as well be hung for a sheep as a lamb: the loss function of an agent

- Margaret Bray and Charles Goodhart
- 24936: How deep was the September 2001 stock market crisis?: putting recent events on the American and French markets into perspective with an index of market shocks

- Bertrand Maillet and Thierry Michel
- 24935: Speculative attacks and financial architecture: experimental analysis of coordination games with public and private information

- Frank Heinemann, Rosemarie Nagel and Peter Ockenfels
- 24934: Hedging housing risk in London

- Matteo Iacoviello and Francois Ortalo-Magne
- 24933: Rational asset pricing implications from realistic trading frictions

- Jean-Pierre Zigrand
- 24932: Market timing and return prediction under model instability

- Mohammad Pesaran and Allan Timmermann
- 24931: Venture capital contracts and market structure

- Roman Inderst and Holger M. Müller
- 24930: A structural model of corporate bond pricing with co-ordination failure

- Max Bruche
- 24929: Platform competition in two sided markets

- Jean Rochet and Jean Triole
- 24928: Coordination failures and the lender of last resort: was Bagehot right after all?

- Jean Rochet and Xavier Vives
- 24927: Consistent testing for stochastic dominance: a subsampling approach

- Oliver Linton, Esfandiar Maasoumi and Yoon-Jae Whang
- 24926: Family firms

- Andrei Shleifer, Fausto Panunzi and Mike Burkart
- 24909: Momentum in the UK stock market

- Mark Hon and Ian Tonks
- 24908: Daily closing inside spreads and trading volumes around earnings announcements

- Daniella Acker, Mathew Stalker and Ian Tonks
- 24907: Diversification and delegation in firms

- Vittoria Cerasi and Sonja Daltung
- 24906: Asymmetric information, heterogeneity in risk perceptions and insurance: an explanation to a puzzle

- Kostas Koufopoulos
- 24905: Bubbles and crashes

- Dilip Abreu and Markus Brunnermeier
- 24904: Pricing catastrophe insurance derivatives

- Alexander Muermann
- 24903: Optimal hedging strategies and interactions between firms

- Frédéric Loss
- 24902: The fallacy of new business creation as a disciplining device for managers

- Frédéric Loss and Antoine Renucci
- 24901: Macroeconomic news, order flows and exchange rates

- Ryan Love and Richard Payne
- 24900: Optimal life-cycle asset allocation: understanding the empirical evidence

- Francisco Gomes and Alexander Michaelides
- 24899: Are annuities value for money?: who can afford them?

- Paula Lopes
- 24897: Credibility and cheap talk of securities analysts: theory and evidence

- Jordi Blanes i Vidal
- 24896: A comprehensive test of order choice theory: recent evidence from the NYSE

- Andrew Ellul, Craig W. Holden, Pankaj Jain and Robert Jennings
- 24869: Credit card debt and default over the life-cycle

- Paula Lopes
- 24868: Aggregate implications of defined benefit and defined contribution systems

- Francisco Gomes and Alexander Michaelides
- 24867: Long-term value at risk

- Kevin Dowd, David Blake and Andrew Cairns
- 24866: Modelling the composition of personal sector wealth in the United Kingdom

- David Blake
- 24864: Is immigration the answer to the UK’s pension crisis?

- David Blake
- 24863: Procyclicality and the new Basel Accord–banks’ choice of loan rating system

- Eva Catarineu-Rabell, Patricia Jackson and Dimitrios Tsomocos
- 24862: Financial system requirements for successful pension reform

- David Blake
- 24861: Management behaviour and market response

- Josef Anton Schuster and Jinhui Luo
- 24860: IPOs: insights from seven European countries

- Josef Anton Schuster
- 24859: The cross-section of European IPO returns

- Josef Anton Schuster
- 24858: The near impossibility of credit rationing

- David de Meza and David C. Webb
- 24857: Evaluation of joint density forecasts of stock and bond returns: predictability and parameter uncertainty

- Francisco Peñaranda
- 24856: What is a promise from the government worth?:: measuring and assessing the implications of political risk in state and personal pension schemes in the United Kingdom

- David Blake
- 24855: Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis

- Jon Danielsson and Burak Saltoğlu
- 24854: Common factors in conditional distributions for Bivariate time series

- Clive Granger, Timo Teräsvirta and Andrew Patton
- 24853: Pension fund governance and the choice between defined benefit and defined contribution plans

- Timothy Besley and Andrea Prat
- 24852: Likelihood-based estimation of latent generalised ARCH structures

- Gabriele Fiorentini, Enrique Sentana and Neil Shephard
- 24851: The United Kingdom pension system: key issues

- David Blake
- 24850: The role of money in the transmission mechanism of monetary policy: evidence from Thailand

- Pojanart Sunirand
- 24849: Tranching

- Guillaume Plantin
- 24848: Does reinsurance need reinsurers?

- Guillaume Plantin
- 24834: Take (smoothed) risks when you are young, not when you are old: how to get the best from your stakeholder pension plan

- David Blake
- 24833: UK pension fund management after Myners: the hunt for correlation begins

- David Blake
- 24832: UK annuity rates and pension replacement ratios 1957-2002

- Edmund Cannon and Ian Tonks
- 24831: Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans

- Andrew J. G. Cairns, David Blake and Kevin Dowd
- 24830: Pensionmetrics 2: stochastic pension plan design during the distribution phase

- David Blake, Andrew J. G. Cairns and Kevin Dowd
- 24829: Predatory trading

- Markus Brunnermeier and Lasse Heje Pederson
- 24828: Financing constraints, irreversibility, and investment dynamics

- Andrea Caggese
- 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
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