OFRC Working Papers Series

From Oxford Financial Research Centre
Contact information at EDIRC.
Bibliographic data for series maintained by Maxine Collett ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

2009fe04: Income contingent tuition fees for universities

Neil Shephard

2009fe03: Nuisance parameters, composite likelihoods and a panel of GARCH models

Cavit Pakel, Neil Shephard and Kevin Sheppard

2009fe02: Realising the future: forecasting with high frequency based volatility (HEAVY) models

Neil Shephard and Kevin Sheppard

2009fe01: Competitive IPOs

Tim Jenkinson and Howard Jones

2008fe32: Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models

Thomas Flury and Neil Shephard

2008fe31: Modelling and measuring volatility

Ole Barndorff-Nielsen and Neil Shephard

2008fe30: Fitting vast dimensional time-varying covariance models

Robert Engle, Neil Shephard and Kevin Shepphard

2008fe29: Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Ole Barndorff-Nielsen, Peter Hansen, Asger Lunde and Neil Shephard

2008fe28: Liquidity and Asset Prices

Raphael Espinoza and Dimitrios Tsomocos

2008fe27: Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework

Chiara Pederzoli, Costanza Torricelli and Dimitrios Tsomocos

2008fe26: The Optimal Monetary Instrument for Prudential Purposes

C.A.E. Goodhart, P. Sunirand and Dimitrios Tsomocos

2008fe25: An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models

Silja Kinnebrock and Mark Podolskij

2008fe24: The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve

Clive Bowsher and Roland Meeks

2008fe23: Stochastic Volatility: Origins and Overview

Neil Shephard and Torben Andersen

2008fe22: Evaluating Volatility and Correlation Forecasts

Andrew Patton and Kevin Sheppard

2008fe21: Copula-Based Models for Financial Time Series

Andrew Patton

2008fe20: Leverage and Pricing in Buyouts: An Empirical Analysis

Ulf Axelson, Tim Jenkinson, Per Strömberg and Michael Weisbach

2008fe19: Public or private equity? How accelerated IPOs can increase competition in offerings

Tim Jenkinson

2008fe18: Do Investors Value High Levels of Regulation

Tim Jenkinson and Tarun Ramadorai

2008fe17: The development and performance of European private equity

Tim Jenkinson

2008fe16: Conformism, Public News and Market Effciency

Gabriel Desgranges and Celine Rochon

2008fe15: Board structures around the world: An experimental investigation

Ann B. Gillette, Thomas Noe and Michael J. Rebello

2008fe14: Stock Market Liquidity and Firm Performance: Wall Street Rule or Wall Street Rules?

Vivian W. Fang, Thomas Noe and Sheri Tice

2008fe13: Tunnel-proofing the executive suite: temptation, and the design of executive compensation

Thomas Noe

2008fe12: Product market efficiency: The bright side of myopic, uninformed, and passive external finance

Thomas Noe, Michael J. Rebello and Thomas A. Rietz

2008fe11: Buying up the block: An experimental investigation of capturing economic rents through sequential negotiations

Gautam Goswami, Thomas Noe and Jun Wang

2008fe10: Good IPOs draw in bad: Inelastic banking capacity and hot markets

Naveen Khanna, Thomas Noe and Ramana Sonti

2008fe9: Activists, raiders, and directors: Opportunism and the balance of corporate power

Thomas Noe, Michael J. Rebello and Ramana Sonti

2008fe09: Activists, raiders, and directors: Opportunism and the balance of corporate power

Thomas Noe, Michael J. Rebello and Ramana Sonti

2008fe08: Hype and Dump Manipulation

Nevzat Eren and Han Ozsoylev

2008fe07: Returns to Shareholder Activism

Marco Becht, Julian Franks, Colin Mayer and Stefano Rossi

2008fe06: How Do Firms Finance Large Cash Flow Requirements

Zhangkai Huang, Colin Mayer and Oren Sussman

2008fe05: Multinational Ownership and Subsidiary Investment

Wendy Carlin, Andrew Charlton and Colin Mayer

2008fe04: Where do firms incorporate? Deregulation and the cost of entry

Marco Becht, Colin Mayer and Hannes Wagner

2008fe03: Can Good Events Lead to Bad Outcomes? Endogenous Banking Crises and Fiscal Policy Responses

Andrew Feltenstein and Céline Rochon

2008fe02: Natural rate of unemployment and efficiency: A dynamic analysis with flexible prices and increasing returns

Gaël Giraud and Céline Rochon

2008fe01: Measuring downside risk - realised semivariance

Ole Barndorff-Nielsen, Silja Kinnebrock and Neil Shephard

2007fe06: To each according to her luck and power: Optimal corporate governance and compensation policy in a dynamic world

Thomas Noe and Michael J. Rebello

2007fe05: Generalised Business Mechanics

Peter Johnson

2007fe04: Analysis of Financial Stability

Dimitrios Tsomocos and C.A.E. Goodhart

2007fe03: A Note on the Central Limit Theorem for Bipower Variation of General Functions

Silja Kinnebrock and Mark Podolskij

2007fe02: Feasible inference for realised variance in the presence of jumps

Almut Veraart

2007fe01: Endogenous State Prices, Liquidity, Default, and the Yield Curve

Raphael Espinoza, Charles A. E. Goodhart and Dimitrios Tsomocos

2006fe15: Endogenous State Prices, Liquidity, Default, and the Yield Curve

Raphael Espinoza, Charles A. E. Goodhart and Dimitrios Tsomocos

2006fe14: The economics of IPO stabilization, syndicates and naked shorts

Tim Jenkinson and Howard Jones

2006fe13: IPO pricing and allocation: a survey of the views of institutional investors

Tim Jenkinson and Howard Jones

2006fe12: Convertible Preferred Stock in Venture Capital Financing

Flippo Ippolito

2006fe11: High Dimensional Yield Curves: Models and Forecasting

Clive Bowsher and Roland Meeks

2006fe10: Banks, Relative Performance, and Sequential Contagion

Sudipto Bhattacharya, Charles A. E. Goodhart, Pojanart Sunirand and Dimitrios Tsomocos

2006fe09: Searching for a Metric for Financial Stability

O. Aspachs, C. Goodhart, M. Segoviano, Dimitrios Tsomocos and Lea Zicchino