ICMA Centre Discussion Papers in Finance

From Henley Business School, University of Reading
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2013-07: Liquidity Shocks and Stock Bubbles: Ogonna Nneji
2013-06: Trading Death: The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios: Charles Sutcliffe
2013-05: Does More Detailed Information Mean Better Performance? An Experiment in Information Explicitness: Zilu Shang, Chris Brooks and Rachel McCloy
2013-04: Are Investors Guided by the News Disclosed by Companies or by Journalists?: Zilu Shang, Chris Brooks and Rachel McCloy
2013-03: Did Long-Short Investors Destabilize Commodity Markets?: JoÃ«lle Miffre and Chris Brooks
2013-02: On the Predictive Content of Leading Indicators: The Case of US Real Estate Markets: Sotiris Tsolacos, Chris Brooks and Ogonna Nneji
2013-01: Speculative Bubbles and the Cross-Sectional Variation in Stock Returns: Chris Brooks and Keith Anderson
2012-10: Is there a Gold Social Seal? The Financial Effects of Additions to and Deletions from Social Stock Indices: Konstantina Kappou and Ioannis Oikonomou
2012-09: ROM Simulation: Applications to Stress Testing and VaR: Carol Alexander and Daniel Ledermann
2012-07: Diversification of Equity with VIX Futures: Personal Views and Skewness Preference: Carol Alexander and Dimitris Korovilas
2012-06: The Time Varying Properties of Credit and Liquidity Components of CDS Spreads: Filippo Coro, Alfonso Dufour and Simone Varotto
2012-04: A General Approach to Real Option Valuation with Applications to Real Estate Investments: Carol Alexander and Xi Chen
2012-02: The interactive financial effects between corporate social responsibility and irresponsibility: Ioannis Oikonomou, Chris Brooks and Stephen Pavelin
2012-01: The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread: Carol Alexander, Marcel Prokopczuk and Anannit Sumawong
2011-17: Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options: Davide Avino, Emese Lazar and Simone Varotto
2011-16: Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options: Janis Back, Marcel Prokopczuk and Markus Rudolf
2011-11: Housing and equity bubbles: Are they contagious to REITs?: Ogonna Nneji, Chris Brooks and Charles Ward
2011-10: Model Risk in Variance Swap Rates: Carol Alexander and Stamatis Leontsinis
2011-09: The Dynamics of Commodity Prices: Chris Brooks and Marcel Prokopczuk
2011-08: Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL: Carol Alexander, Emese Lazar and Silvia Stanescu
2011-07: Analytic Moments for GARCH Processes: Carol Alexander, Emese Lazar and Silvia Stanescu
2011-06: ROM Simulation with Rotation Matrices: Daniel Ledermann
2011-05: Generalized Beta-Generated Distributions: Carol Alexander, Gauss M. Cordeiro, Edwin M. M. Ortega and José María Sarabia
2011-04: The Hazards of Volatility Diversification: Carol Alexander and Dimitris Korovilas
2011-03: Does Information Content of Option Prices Add Value for Asset Allocation?: Vladimir Zdorovenin and Jacques PÃ©zier
2011-02: Liquidity Risk, Credit Risk, Market Risk and Bank Capital: Simone Varotto
2011-01: Intrinsic and Rational Speculative Bubbles in the U.S. Housing Market 1960-2009: Ogonna Nneji, Chris Brooks and Charles Ward
2010-12: The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis: Ioannis Oikonomou, Chris Brooks and Stephen Pavelin
2010-11: VIX Dynamics with Stochastic Volatility of Volatility: Andreas Kaeck and Carol Alexander
2010-10: Regime-Dependent Smile-Adjusted Delta Hedging: Carol Alexander, Alexander Rubinov, Markus Kalepky and Stamatis Leontsinis
2010-09: Generalized Beta-Generated Distributions: Carol Alexander and José María Sarabia
2010-08: Seasonality and the Valuation of Commodity Options: Janis Back, Marcel Prokopczuk and Markus Rudolf
2010-07: Endogenizing Model Risk to Quantile Estimates: Carol Alexander and José María Sarabia
2010-06: Stochastic Volatility Jump-Diffusions for Equity Index Dynamics: Andreas Kaeck and Carol Alexander
2010-05: Does model fit matter for hedging? Evidence from FTSE 100 options: Carol Alexander and Andreas Kaeck
2010-04: Pricing and Hedging in the Freight Futures Market: Marcel Prokopczuk
2010-03: Stress Testing Credit Risk: The Great Depression Scenario: Simone Varotto
2010-02: American Option Valuation: Implied Calibration of GARCH Pricing-Models: Michael Weber and Marcel Prokopczuk
2010-01: An Empirical Model Comparison for Valuing Crack Spread Options: Steffen Mahringer and Marcel Prokopczuk
2009-13: Back to the Future: A Long Term Solution to the Occupational Pensions Crisis: Charles Sutcliffe
2009-12: The Relationship between Risk, Capital and Efficiency: Evidence from Japanese Cooperative Banks: Tara Deelchand and Carol Padgett
2009-11: Testing for periodically collapsing rational speculative bubbles in US REITs: Keith Anderson, Chris Brooks and Sotiris Tsolacos
2009-10: Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics: Raphael Paschke and Marcel ProkopczukÂ
2009-09: Exact Moment Simulation using Random Orthogonal Matrices: Carol Alexander, Walter Ledermann and Daniel Ledermann
2009-08: Over the Moon or Sick as a Parrot? The Effect's of Football Results on a Club's Share Price: Adrian Bell, Chris Brooks, David Matthews and Charles Sutcliffe
2009-07: Meshfree Approximation for Multi-Asset Options: Emmanuel Hanert and Aanand Venkatramanan
2009-06: Analytic Approximations for Spread Options: Carol Alexander and Aanand Venkatramanan

ICMA Centre Discussion Papers in Finance

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