ICMA Centre Discussion Papers in Finance

From Henley Business School, University of Reading
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2005-07: Detecting Switching Strategies in Equity Hedge Funds

Carol Alexander and Anca Dimitriu

2005-06: Predicting Agency Rating Migrations with Spread Implied Ratings

Jianming Kou and Simone Varotto

2005-05: The Spider in the Hedge

Carol Alexander and Andreza Barbosa

2005-04: The Extremes of the P/E Effect

Keith Anderson and Chris Brooks

2005-03: Decomposing the P/E Ratio

Keith Anderson and Chris Brooks

2005-02: The Long-Term P/E Radio

Keith Anderson and Chris Brooks

2005-01: Advance Contracts for the Sale of Wool in Medieval England; An Undeveloped and Inefficient Market?

Adrian Bell, Chris Brooks and Paul Dryburgh

2004-15: Cross Hedging with Single Stock Futures

Chris Brooks, Ryan Davies and Sang Soo Kim

2004-14: Pricing Convertible Bonds by Simulation

Ali Bora Yigitsbasioglu Yigitsbasioglu, Dmitri Lvov Lvov and Naoufel El-Bachir

2004-13: The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH

Carol Alexandra and Emese Lazar

2004-12: Ex Ante versus Ex Post Regulation of Bank Capital

Arup Daripa and Simone Varotto

2004-11: The Effectiveness of Britain's Financial Service Authority: An Economic Analysis

Colin Beardsley and John R. O'Brien

2004-10: Hedging with Stochastic and Local Volatility

Carol Alexander and Leonardo Nogueira

2004-09: The Continuous Limit of GARCH Processess

Carol Alexandra and Emese Lazar

2004-08: FRS17 and the Sterling Doubles A Corporate Yield Curve

Frank Skinner and Michalis Ioannides

2004-07: An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds

Ali Bora Yigitbasioglu and Carol Alexandra

2004-06: MTS Time Series: Market and Data Description for the European Bond and Repo Database

Alfonso Dufour and Frank Skinner

2004-05: Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling

Carol Alexandra and Emese Lazar

2004-04: Gambling on the S&P 500's Gold Seal: New Evidence on the Index Effect

Chris Brooks, Konstantina Kappou and Charles Ward

2004-03: A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds

Carol Alexander and Anca Dimitriu

2004-02: Measuring the Impact of Regulationon Market Stability: Evidence from the US Markets

Colin Beardsley and John R. O'Brien

2004-01: The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations

Carol Alexander and Anca Dimitriu

2003-15: Bivariate Normal Mixture Spread Option Valuation

Carol Alexandra and Andrew Scourse

2003-14: Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange

Chris Brooks, Melvin Hinich and Douglas M. Patterson

2003-13: On the Aggregation of Market and Credit Risks

Carol Alexandra and Jacques Pezier

2003-12: The Present, Future and Imperfect of Financial Risk Management

Carol Alexandra

2003-11: Application-Based Financial Risk Aggregation methods

Jacques Pezier

2003-10: Long-term Information, Short-lived Securities

Dan Bernhardt, Ryan Davies and John Spicer

2003-09: Symmetric Normal Mixture GARCH

Carol Alexandra and Emese Lazar

2003-08: Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding

Carol Alexander and Anca Dimitriu

2003-07: Multivariate GARCH Models: Software Choice and Estimation Issues

Chris Brooks, Simon Burke and Gita Persand

2003-06: Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model

Carol Alexander

2003-05: What Drives Swap Spreads, Credit or Liquidity?

Ying Huang, Salih Neftci and Ira Jersey

2003-04: An Empirical Study of Credit Default Swaps

Frank Skinner and Antonio Diaz

2003-03: Statistical Properties of Forward Libor Rates

Carol Alexander and Dimitri Lvov

2003-02: Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency

Carol Alexander and Anca Dimitriu

2003-01: The At Issue Maturity of Corporate Bonds: The Influence of Credit Rating, Security Level, Duration and Macreoconomic Conditions

Geetanjali Bali and Frank Skinner

2002-26: Indexation doesn't make sense

Harry Kat

2002-25: Managed Features and Hedge Funds

Harry Kat

2002-24: In Search of the Optimal Fund of Hedge Funds

Harry Kat

2002-23: The Dangers of Using Correlation to Measure Dependence

Harry Kat

2002-22: Taking the Sting out of Hedge Funds

Harry Kat

2002-21: Operational Risk Management

Jacques Pezier

2002-20: A Constructive Review of Basel's Proposals on Operational Risk

Jacques Pezier

2002-19: Smart Fund Managers? Stupid Money?

Dan Bernhardt, Ryan Davies and Harvey Westbrook Jr.

2002-18: Common Correlation and Calibrating the Lognormal Forward Rate Model

Carol Alexandra

2002-17: Correlation of Defauls Events Some New Tools

Salih Neftci

2002-16: The True Distortions in the With Profits Market "If disclosure is not the problem, then more information is not the answer"

Andrew Godley

2002-15: Generalization of the Sharpe Ratio and the Arbitrage-Free Pricing of Higher Moments

Gaurav Amin and Harry Kat

2002-14: A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index

Chris Brooks and Apostolos Katsaris