OFRC Working Papers Series

From Oxford Financial Research Centre
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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

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

Thomas Noe, Michael J. Rebello and Ramana Sonti

2008fe9: 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