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FMG Discussion Papers

From Financial Markets Group
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dp455: Common factors in conditional distributions for Bivariate time series Downloads
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 Downloads
Andrea Prat
dp453: Likelihood-based estimation of latent generalised ARCH structures Downloads
Neil Shephard, Gabriele Fiorentini and Enrique Sentana
dp451: The Role of Money in The Transmission Mechanism of Monetary Policy: Evidence from Thailand Downloads
Pojanart Sunirand
dp450: Equilibrium analysis, banking, contagion and financial fragility Downloads
Dimitrios Tsomocos
dp449: Tranching Downloads
Guillaume Plantin
dp448: Self-Fulfilling Liquidity Downloads
Guillaume Plantin
dp447: Does Reinsurance Need Reinsurers? Downloads
Guillaume Plantin
dp444: (UBS Pensions series 8) UK Annuity Rates and Pension Replacement Ratios 1957 - 2002 Downloads
Ian Tonks
dp441: Predatory Trading Downloads
Markus Brunnermeier and Lasse Heje Pederson
dp440: Financing Constraints, Irreversibility, and Investment Dynamics Downloads
Andrea Caggese
dp439: On time-scaling of risk and the square–root–of–time rule Downloads
Jean-Pierre Zigrand and Jon Danielsson
dp437: Basel II and Developing Countries: Diversification and Portfolio Effects Downloads
Stephany Griffith-Jones and Stephen Spratt
dp436: Financial Contagion through Capital Connections: A Model of the Origin and Spread of Bank Panics Downloads
Amil Dasgupta
dp435: Coordination, Learning, and Delay Downloads
Amil Dasgupta
dp434: Optimal Expectations Downloads
Jonathan Parker and Markus Brunnermeier
dp433: The Role of Bank Capital and The Transmission Mechanism of Monetary Policy Downloads
Pojanart Sunirand
dp432: Homeownership: Low household mobility, volatile housing prices, high income dispersion Downloads
Sven Rady
dp431: (IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation Downloads
Andrew Patton
dp430: Revisited Multi-moment Approximate Option Downloads
Bogdan Negrea, Bertrand Maillet and Emmanuel Jurczenko
dp428: Internal ratings, the business cycle and capital requirements: some evidence from an emerging market economy Downloads
Philip Lowe
dp427: Dealer liquidity in an auction market: evidence fom the London Stock Exchange Downloads
Richard Payne and Sylvain Friederich
dp426: (UBS Pensions Series 4) Returns from Active Management in International Equity Markets; Evidence from a Panel of UK Pension Funds Downloads
Allan Timmermann
dp425: (UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry Downloads
Bruce N. Lehmann and Allan Timmermann
dp424: (UBS Pensions Series 2) International Asset Allocation with Time-Varying Investment Opportunities Downloads
Allan Timmermann
dp423: (UBS Pensions Series 1) Performance Persistence of Pension Fund Managers Downloads
Ian Tonks
dp422: Loan Securitisation: Default Term Structure and Asset Pricing Based on Loss Prioritisation Downloads
Andreas Jobst
dp421: In-Kind Finance Downloads
Tore Ellingsen and Mike Burkart
dp419: Skewness and Kurtosis Implied by Option Prices: A Second Comment Downloads
Bogdan Negrea, Bertrand Maillet and Emmanuel Jurczenko
dp418: You Might as Well be Hung for a Sheep as a Lamb: The Loss Function of an Agent Downloads
Charles Goodhart and Margaret Bray
dp417: 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 Downloads
Thierry Michel and Bertrand Maillet
dp416: Speculative Attacks and Financial Architecture: Experimental Analysis of Coordination Games with Public and Private Information Downloads
Peter Ockenfels, Rosemarie Nagel and Frank Heinemann
dp415: Hedging Housing Risk in London Downloads
Matteo Iacoviello
dp414: Rational Asset Pricing Implications from Realistic Trading Frictions Downloads
Jean-Pierre Zigrand
dp413: Divdends and Equity Prices: The Variance Trade Off Downloads
Margaret Bray and Giovanni Marseguerra
dp412: Market Timing and Return Prediction under Model Instability Downloads
Allan Timmermann and M Pesaran
dp411: Venture Capital Contracts and Market Structure Downloads
Holger M Muller and Roman Inderst
dp409: Platform Competition in Two Sided Markets Downloads
Jean Rochet and Jean Triole
dp408: Coordination Failures and the Lender of Last Resort: Was Bagehot Right After All? Downloads
Jean Rochet and Xavier Vives
dp407: Consistent Testing for Stochastic Dominance: A Subsampling Approach Downloads
Oliver Linton, Esfandiar Maasoumi and Yoon-Jae Whang
dp406: Family Firms Downloads
Andrei Shleifer, Fausto Panunzi and Mike Burkart
dp405: Mommentum in the UK Stock Market Downloads
Ian Tonks and Mark Hon
dp404: Daily Closing Inside Spreads and Trading Volumes around Earnings Announcements Downloads
Ian Tonks, Daniella Acker and Matthew Stalker
dp403: Diversification and Delegation in Firms Downloads
Sonja Daltung and Vittoria Cerasi
dp402: Asymmetric Information, Heterogeneity in Risk Perceptions and Insurance: An Explanation to a Puzzle Downloads
Kostas Koufopoulos
dp401: Bubbles and Crashes Downloads
Markus Brunnermeier
dp400: Pricing Catastrophe Insurance Derivatives Downloads
Alexander Muermann
dp399: Optimal Hedging Strategies and Interactions between Firms Downloads
Frédéric Loss
dp398: The Fallacy of New Business Creation as a Disciplining Device for Managers Downloads
Antoine Renucci and Frédéric Loss
dp397: Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities Downloads
Allan Timmermann and Massimo Guidolin
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