FMG Discussion Papers

From Financial Markets Group
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dp516: A GARCH Model of the Implied Volatility of the Swiss Market Index From Option Pricesdffrom Options Prices

Michael Sabbatini and Oliver Linton

dp515: Yield Curve Estimation by Kernel Smoothing

C Taanggard, J Nielsen, Enno Mammen and Oliver Linton

dp514: The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model

Benoit Perron and Oliver Linton

dp513: Flexible Term Structure Estimation: Which Method is Preferable?

Thong Nguyen, Andrew Jeffrey and Oliver Linton

dp512: Estimation of Linear Regression Models by a Spread-Tolerant Estimator

Oliver Linton

dp511: Estimating Semiparametric ARCH Models by Kernel Smoothing Methods

Enno Mammen and Oliver Linton

dp509: A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models

Woocheol Kim and Oliver Linton

dp508: Consistent Testing for Stochastic Dominance: A Subsampling Approach

Yoon-Jae Whang, Esfandiar Maasoumi and Oliver Linton

dp506: Opening and Closing the Market: Evidence from the London Stock Exchange

Hyun Song Shin, Ian Tonks and Andrew Ellul

dp505: (UBS Pensions series 26) Defined Benefit or Defined Contribution? An Empirical Study of Pension Choices

Joao F. Cocco and Paula Lopes

dp503: Eurobond Underwriter Spreads

Neil Esho and Ian Sharpe

dp502: Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations

Enrique Sentana

dp501: A Semiparametric Single-Factor Model of the Term Structure

Dennis Kristensen

dp500: Estimation in Two Classes of Semiparametric Diffusion Models

Dennis Kristensen

dp498: (UBS Pensions series 25) The Wrong Kind of Transparency

Andrea Prat

dp497: Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach

Enrique Sentana and Francisco Peñaranda

dp494: Career Concerns in Financial Markets

Andrea Prat and Amil Dasgupta

dp493: Real Effects of Regional House Prices: Dynamic Panel Estimation with Heterogeneity

Sonia Munoz

dp491: (UBS Pensions series 24) A Human Capital Explanation for an Asset Allocation Puzzle

Alexander Michaelides and Francisco Gomes

dp490: Multiple-bank lending: diversification and free-riding in monitoring

Sonja Daltung, Vittoria Cerasi and Elena Carletti

dp489: General Properties of Rational Stock-Market Fluctuations

Antonio Mele

dp488: A Theory of Sovereign Debt Roll-over Crisis

Masazumi Hattori

dp487: (UBS Pensions series 23) Sponsoring Company Finance and Investment and Defined Benefit Pension Scheme Deficits

David Webb

dp486: (UBS Pensions series 22) Performance of Personal Pension Schemes in the UK

Alan Gregory and Ian Tonks

dp485: (UBS Pensions series 21) Stopping short? Evidence on contributions to long-term savings from aggregate and micro data

Sarah Smith

dp483: (IAM Series No 003) Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates

Yanqin Fan, Xiaohong Chen and Andrew Patton

dp481: IPO Underpricing During the Boom: A Block-Booking Explanation

Kevin James

dp480: Block-Booking and IPO Share Allocation: The Importance of Being Ignorant

Celine Gondat-Larralde and Kevin James

dp479: Continous Time Optimal Stochastic Growth: Local martingales, Transversality and Existence

Lucien Foldes

dp478: Principal Agent Problems Under Loss Aversion: An Application to Executive Stock Options

David de Meza and David Webb

dp477: (IAM Series No 002) An Intro to Hedge Funds

Mason Woo and Gregory Connor

dp476: Simulated Nonparametric Estimation of Continuous Time Models of Asset Prices and Returns

Antonio Mele and Filippo Altissimo

dp475: Macroeconomic news, order flows and exchange rates

Richard Payne

dp474: (UBS Pensions series 20) Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence

Francisco Gomes and Alexander Michaelides

dp473: (UBS Pensions series 19) Are Annuities Value for Money? Who Can Afford Them?

Paula Lopes

dp472: Credibility and Cheap Talk of Securities Analysts:Theory and Evidence

Jordi Blanes

dp471: A Comprehensive Test of Order Choice Theory:Recent Evidence from the NYSE

Andrew Ellul

dp470: Credit Card Debt and Default over the Life-Cycle

Paula Lopes

dp469: (UBS Pensions series 18) Aggregate Implications of Defined Benefit and Defined Contribution Systems

Alexander Michaelides and Francisco Gomes

dp468: (UBS Pensions series 17) Long-Term Value at Risk

Andrew Cairns and Kevin Dowd

dp467: Analysis of spreads in the Dollar/Euro and Deutsche Mark/Dollar foreign exchange markets

Richard Payne, Charles Goodhart and Dagfinn Rime

dp464: Procyclicality and the new Basel Accord–banks’ choice of loan rating system

Dimitrios Tsomocos, Eva Catarineu-Rabell and Patricia Jackson

dp462: Management Behaviour and Market Response

Josef Schuster and Jinhui Luo

dp460: The Cross-Section of European IPO Returns

Josef Schuster

dp459: The Near Impossibility of Credit Rationing

David de Meza and David Webb

dp458: Evaluation of Joint Density Forecasts of Stock and Bond Returns: Predictability and Parameter Uncertainty

Francisco Peñaranda

dp456: Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis

Burak Saltoğlu and Jon Danielsson

dp455: Common factors in conditional distributions for Bivariate time series

Timo Teräsvirta, Clive Granger and Andrew Patton

dp454: (UBS Pensions series 12) Pension Fund Governance and the Choice Between Defined Benefit and Defined Contribution Plans

Andrea Prat

dp453: Likelihood-based estimation of latent generalised ARCH structures

Neil Shephard, Gabriele Fiorentini and Enrique Sentana