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ICMA Centre Discussion Papers in Finance

From Henley Business School, University of Reading
Contact information at EDIRC.

Bibliographic data for series maintained by Marie Pearson (marie.pearson@henley.ac.uk).

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2002-13: Persistence in Hedge Fund Performance: The True Value of a Track Record Downloads
Harry Kat and Faye Menexe
2002-12: An Excursion into the Statistical Properties of Hedge Funds Downloads
Harry Kat and Sa Lu
2002-11: Stocks, Bond and Hedge Funds: Not a Free Lunch Downloads
Gaurav Amin and Harry Kat
2002-10: Performance Evaluation and Conditioning Information: The case of Hedge Funds Downloads
Harry Kat and Joelle Miffre
2002-09: The Performance and Long-Run Characteristics of the Chinese IPO Market Downloads
Jing Chi and Carol Padgett
2002-08: The Cointegration Alpha: Enchanced Index Tracking and Long-Short Equity Market Neutral Stragies Downloads
Carol Alexandra and Anca Dimitriu
2002-07: Portfolios of Hedge Funds What Investors Really Invest In Downloads
Gaurav Amin and Harry Kat
2002-06: Who Should Buy Hedge Funds? The effect of including Hedge Funds in Portfolios of Stocks and Bonds Downloads
Gaurav Amin and Harry Kat
2002-05: Augoregressive Conditional Kurtosis Downloads
Chris Brooks, Simon Burke and Gita Persand
2002-04: Forecasting the Collapse of Speculative Bubbles: An Empirical Investigation of the S&P 500 Composite Index Downloads
Chris Brooks and Apostolos Katsaris
2002-03: Disturbing Extremal Behavior of Spot Rate Dynamics Downloads
Turan G. Bali and Salih Neftci
2002-02: Welcome to the Dark Side - Hedge Fund Attrition and Survivorship Bias over the period 1994-2001 Downloads
Gaurav S. Amin and Harry Kat
2002-01: "Best-advice" and the "true" mortgate term. Actuaries' endowment advice principles revisited Downloads
Andrew Godley
2001-14: Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk Downloads
Ali Bora Yigitbasioglu
2001-13: Understanding the Internal Measurement Approach to Assessing Operational Risk Capital Downloads
Carol Alexander
2001-12: Short-Run Under Pricing and its Characteristics in Chinese IPO Markets Downloads
Jing Chi and Carol Padgett
2001-11: Matching and the Estimated Impact of Inter-listing (updated July 2003) Downloads
Ryan Davies
2001-10: Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility Downloads
Carol Alexander and Sujit Narayanan
2001-09: The Statistical Properties of Hedge Fund Index Returns Downloads
Chris Brooks and Harry Kat
2001-08: International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks Downloads
Chris Brooks and Sotiris Tsolacos
2001-07: Credit Risk Diversification Downloads
Simone Varotto
2001-06: Credit Spreads and the Treasury Zero Coupon Spot Curve Downloads
Frank Skinner and Nicholas Papageorgiou
2001-05: Hedge Fund Performance 1990-2000- Do the "Money Machines" Really Add Value? Downloads
Gaurav Amin and Harry Kat
2001-04: A New Tool for Detecting Intraday Periodicities with Application to High Frequency Exchange Rates Downloads
Chris Brooks and Melvin Hinich
2001-03: Cointegration and Asset Allocation: A New Fund Strategy Downloads
Carol Alexander, Ian Giblin and Wayne Weddington III
2001-02: Modelling Retail Deposit Spreads in the UK Downloads
Frank Skinner, Benton Gup, Michael Ioannides and Doowoo Nam
2001-01: Estimating Corporate Yield Curves Downloads
Antionio Diaz and Frank Skinner
2000-11: OTC Derivatives for Retail Investors Downloads
Harry Kat
2000-10: Principal Component Analysis of Volatility Smiles and Skews Downloads
Carol Alexander
2000-08: On modelling credit risk using Arbitrage Free Models Downloads
Frank Skinner and Antonio Diaz
2000-07: An EVT Approach to calculating Risk Capital Requirements Downloads
Chris Brooks, Gita Persand and Andrew Clare
2000-06: Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices Downloads
Carol Alexander
2000-05: The ACD Model: Predictability of the Time Between Concecutive Trades Downloads
Alfonso Dufour and Robert Engle
2000-03: The Abnormal Performance of Bond Returns Downloads
Joelle Miffre
2000-02: Bayesian Methods for Measuring Operational Risk Downloads
Carol Alexander
2000-01: Value at Risk and Market Crashes Downloads
Chris Brooks and Gita Persand
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