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FMG Discussion Papers

From Financial Markets Group
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dp520: Strategic Financial Innovation in Segmented Markets Downloads
Jean-Pierre Zigrand and Rohit Rahi
dp519: (UBS Pensions series 28) Portfolio Choice and Wealth Accumulation with Taxable and Tax-Deferred Accounts Downloads
Francisco Gomes, Alexander Michaelides and Valery Polkovnichenko
dp518: (IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated? Downloads
Jean-Pierre Zigrand, Ashley Taylor and Jon Danielsson
dp516: A GARCH Model of the Implied Volatility of the Swiss Market Index From Option Pricesdffrom Options Prices Downloads
Michael Sabbatini and Oliver Linton
dp515: Yield Curve Estimation by Kernel Smoothing Downloads
C Taanggard, J Nielsen, Enno Mammen and Oliver Linton
dp514: The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model Downloads
Benoit Perron and Oliver Linton
dp513: Flexible Term Structure Estimation: Which Method is Preferable? Downloads
Thong Nguyen, Andrew Jeffrey and Oliver Linton
dp512: Estimation of Linear Regression Models by a Spread-Tolerant Estimator Downloads
Oliver Linton
dp511: Estimating Semiparametric ARCH Models by Kernel Smoothing Methods Downloads
Enno Mammen and Oliver Linton
dp509: A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models Downloads
Woocheol Kim and Oliver Linton
dp508: Consistent Testing for Stochastic Dominance: A Subsampling Approach Downloads
Yoon-Jae Whang, Esfandiar Maasoumi and Oliver Linton
dp506: Opening and Closing the Market: Evidence from the London Stock Exchange Downloads
Hyun Song Shin, Ian Tonks and Andrew Ellul
dp505: (UBS Pensions series 26) Defined Benefit or Defined Contribution? An Empirical Study of Pension Choices Downloads
Joao F. Cocco and Paula Lopes
dp503: Eurobond Underwriter Spreads Downloads
Neil Esho and Ian Sharpe
dp502: Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations Downloads
Enrique Sentana
dp501: A Semiparametric Single-Factor Model of the Term Structure Downloads
Dennis Kristensen
dp500: Estimation in Two Classes of Semiparametric Diffusion Models Downloads
Dennis Kristensen
dp498: (UBS Pensions series 25) The Wrong Kind of Transparency Downloads
Andrea Prat
dp497: Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach Downloads
Enrique Sentana and Francisco Peñaranda
dp494: Career Concerns in Financial Markets Downloads
Andrea Prat and Amil Dasgupta
dp493: Real Effects of Regional House Prices: Dynamic Panel Estimation with Heterogeneity Downloads
Sonia Munoz
dp491: (UBS Pensions series 24) A Human Capital Explanation for an Asset Allocation Puzzle Downloads
Alexander Michaelides and Francisco Gomes
dp490: Multiple-bank lending: diversification and free-riding in monitoring Downloads
Sonja Daltung, Vittoria Cerasi and Elena Carletti
dp489: General Properties of Rational Stock-Market Fluctuations Downloads
Antonio Mele
dp488: A Theory of Sovereign Debt Roll-over Crisis Downloads
Masazumi Hattori
dp487: (UBS Pensions series 23) Sponsoring Company Finance and Investment and Defined Benefit Pension Scheme Deficits Downloads
David Webb
dp486: (UBS Pensions series 22) Performance of Personal Pension Schemes in the UK Downloads
Alan Gregory and Ian Tonks
dp485: (UBS Pensions series 21) Stopping short? Evidence on contributions to long-term savings from aggregate and micro data Downloads
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 Downloads
Yanqin Fan, Xiaohong Chen and Andrew Patton
dp481: IPO Underpricing During the Boom: A Block-Booking Explanation Downloads
Kevin James
dp480: Block-Booking and IPO Share Allocation: The Importance of Being Ignorant Downloads
Celine Gondat-Larralde and Kevin James
dp479: Continous Time Optimal Stochastic Growth: Local martingales, Transversality and Existence Downloads
Lucien Foldes
dp478: Principal Agent Problems Under Loss Aversion: An Application to Executive Stock Options Downloads
David de Meza and David Webb
dp477: (IAM Series No 002) An Intro to Hedge Funds Downloads
Mason Woo and Gregory Connor
dp476: Simulated Nonparametric Estimation of Continuous Time Models of Asset Prices and Returns Downloads
Antonio Mele and Filippo Altissimo
dp475: Macroeconomic news, order flows and exchange rates Downloads
Richard Payne
dp474: (UBS Pensions series 20) Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence Downloads
Francisco Gomes and Alexander Michaelides
dp473: (UBS Pensions series 19) Are Annuities Value for Money? Who Can Afford Them? Downloads
Paula Lopes
dp472: Credibility and Cheap Talk of Securities Analysts:Theory and Evidence Downloads
Jordi Blanes
dp471: A Comprehensive Test of Order Choice Theory:Recent Evidence from the NYSE Downloads
Andrew Ellul
dp470: Credit Card Debt and Default over the Life-Cycle Downloads
Paula Lopes
dp469: (UBS Pensions series 18) Aggregate Implications of Defined Benefit and Defined Contribution Systems Downloads
Alexander Michaelides and Francisco Gomes
dp468: (UBS Pensions series 17) Long-Term Value at Risk Downloads
Andrew Cairns and Kevin Dowd
dp467: Analysis of spreads in the Dollar/Euro and Deutsche Mark/Dollar foreign exchange markets Downloads
Richard Payne, Charles Goodhart and Dagfinn Rime
dp464: Procyclicality and the new Basel Accord–banks’ choice of loan rating system Downloads
Dimitrios Tsomocos, Eva Catarineu-Rabell and Patricia Jackson
dp462: Management Behaviour and Market Response Downloads
Josef Schuster and Jinhui Luo
dp460: The Cross-Section of European IPO Returns Downloads
Josef Schuster
dp459: The Near Impossibility of Credit Rationing Downloads
David de Meza and David Webb
dp458: Evaluation of Joint Density Forecasts of Stock and Bond Returns: Predictability and Parameter Uncertainty Downloads
Francisco Peñaranda
dp456: Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis Downloads
Burak Saltoğlu and Jon Danielsson
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