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FMG Discussion Papers

From Financial Markets Group
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dp270: Prices, Price Processes, Volume and Their Information: A Literature Survey Downloads
Markus Brunnermeier
dp269: Optimal Managerial Remuneration and Firm-level Diversification Downloads
Erlend Nier
dp268: Speculative Securities Downloads
Rohit Rahi and Jose Marin
dp267: Pricing Options on Assets with Predictable White Noise Returns Downloads
Angel León and Enrique Sentana
dp266: Pareto-improving Asymmetric Information in a Dynamic Insurance Market Downloads
Thomas de Garidel
dp265: Does Reuters Spreads Reflect Currencies Differences in Global Trading Activity? Downloads
Philipp Hartmann
dp264: An Investigation of Long Range Dependence in Intra-Day Foreign Exchange Rate Volatility Downloads
Richard Payne and Marc Henry
dp258: The Effects of Macroeconomic News on High Frequency Exchange Rate Behaviour Downloads
Alvaro Almeida, Richard Payne and Charles Goodhart
dp255: On Bounded Rationality and Risk Aversion Downloads
Markus Brunnermeier
dp253: Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility Downloads
Paolo Zaffaroni and Peter Robinson
dp252: Underpricing and Crises - IPO Performance in Germany Downloads
Josef Schuster
dp250: Default Risk in Asset Pricing Downloads
Pierre Mella-Barral and Pierre Tychon
dp248: Maximum Likelihood Estimation of Stochastic Volatility Models Downloads
G Sandmann and Siem Jan Koopman
dp247: Optimal Monetary Policy Rules in a Rational Expectations Model of the Phillips Curve Downloads
Haizhou Huang, Peter B Clark and Charles Goodhart
dp246: Excessive Dispersion of US Stock Prices: A Regression Test of Cross-Sectional Volatility Downloads
Ian Tonks, Andy Snell and George Bulkley
dp242: Utilising Time Series Methods to Assess Information and Inventory Effects in a Dealer Market in Illiquid Stocks Downloads
Andy Snell and Ian Tonks
dp238: Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market Downloads
Richard Payne
dp232: Trading Volumes and Transaction Costs in the Foreign Market - Evidence from Daily Dollar-Yen Spot Data Downloads
Philipp Hartmann
dp230: The Dynamics of Corporate Debt forgiveness and Contract Renegotiation Downloads
Pierre Mella-Barral
dp226: Option Pricing With a Quadratic Diffusion Term Downloads
Sven Rady
dp222: What is the Central Banks Game? Downloads
Charles Goodhart and Haizhou Huang
dp216: Central Bank Reputation and Conservativeness Downloads
Haizhou Huang and Michele Fratianni
dp212: Risk and Return in the Spanish Stock Market Downloads
Enrique Sentana
dp181: State Prices Implicit in Valuation Formulae for Derivative Securities: A Martingale Approach Downloads
Sven Rady
dp175: Debt Deflation: Theory and Evidence Downloads
Mervyn Allister King
dp171: Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data Downloads
Danny Quah
dp160: UK Directors Trading: The Impact of Dealings in Smaller Firms Downloads
John Matatko, Alan Gregory, Ian Tonks and Richard Purkis
dp154: Empirical Cross-Section Dynamics in Economic Growth Downloads
Danny Quah
dp142: When Support/Resistance Levels are Broken, Can Profits be Made? Evidence from the Foreign Exchange Market Downloads
Riccardo Curcio and Charles Goodhart
dp126: The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds Downloads
Danny Quah
dp125: Auction and Dealership Markets: What is the Difference? Downloads
Ailsa Röell and Marco Pagano
dp110: The Clustering of Bid/Ask Prices and the Spread in the Foreign Exchange Market Downloads
Riccardo Curcio and Charles Goodhart
dp109: Existence and Uniqueness of an Optimum in the Infinate-Horizon Portfolio-cum-Saving Model with Semimartingale Investments Downloads
Lucien Foldes
dp106: Optimal Sure Portfolio Plans Downloads
Lucien Foldes
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