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OFRC Working Papers Series

From Oxford Financial Research Centre
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2009fe04: Income contingent tuition fees for universities Downloads
Neil Shephard
2009fe03: Nuisance parameters, composite likelihoods and a panel of GARCH models Downloads
Cavit Pakel, Neil Shephard and Kevin Sheppard
2009fe02: Realising the future: forecasting with high frequency based volatility (HEAVY) models Downloads
Neil Shephard and Kevin Sheppard
2009fe01: Competitive IPOs Downloads
Tim Jenkinson and Howard Jones
2008fe32: Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models Downloads
Thomas Flury and Neil Shephard
2008fe31: Modelling and measuring volatility Downloads
Ole Barndorff-Nielsen and Neil Shephard
2008fe30: Fitting vast dimensional time-varying covariance models Downloads
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 Downloads
Ole Barndorff-Nielsen, Peter Hansen, Asger Lunde and Neil Shephard
2008fe28: Liquidity and Asset Prices Downloads
Raphael Espinoza and Dimitrios Tsomocos
2008fe27: Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework Downloads
Chiara Pederzoli, Costanza Torricelli and Dimitrios Tsomocos
2008fe26: The Optimal Monetary Instrument for Prudential Purposes Downloads
C.A.E. Goodhart, P. Sunirand and Dimitrios Tsomocos
2008fe25: An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models Downloads
Silja Kinnebrock and Mark Podolskij
2008fe24: The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve Downloads
Clive Bowsher and Roland Meeks
2008fe23: Stochastic Volatility: Origins and Overview Downloads
Neil Shephard and Torben Andersen
2008fe22: Evaluating Volatility and Correlation Forecasts Downloads
Andrew Patton and Kevin Sheppard
2008fe21: Copula-Based Models for Financial Time Series Downloads
Andrew Patton
2008fe20: Leverage and Pricing in Buyouts: An Empirical Analysis Downloads
Ulf Axelson, Tim Jenkinson, Per Strömberg and Michael Weisbach
2008fe19: Public or private equity? How accelerated IPOs can increase competition in offerings Downloads
Tim Jenkinson
2008fe18: Do Investors Value High Levels of Regulation Downloads
Tim Jenkinson and Tarun Ramadorai
2008fe17: The development and performance of European private equity Downloads
Tim Jenkinson
2008fe16: Conformism, Public News and Market Effciency Downloads
Gabriel Desgranges and Celine Rochon
2008fe15: Board structures around the world: An experimental investigation Downloads
Ann B. Gillette, Thomas Noe and Michael J. Rebello
2008fe14: Stock Market Liquidity and Firm Performance: Wall Street Rule or Wall Street Rules? Downloads
Vivian W. Fang, Thomas Noe and Sheri Tice
2008fe13: Tunnel-proofing the executive suite: temptation, and the design of executive compensation Downloads
Thomas Noe
2008fe12: Product market efficiency: The bright side of myopic, uninformed, and passive external finance Downloads
Thomas Noe, Michael J. Rebello and Thomas A. Rietz
2008fe11: Buying up the block: An experimental investigation of capturing economic rents through sequential negotiations Downloads
Gautam Goswami, Thomas Noe and Jun Wang
2008fe10: Good IPOs draw in bad: Inelastic banking capacity and hot markets Downloads
Naveen Khanna, Thomas Noe and Ramana Sonti
2008fe9: Activists, raiders, and directors: Opportunism and the balance of corporate power Downloads
Thomas Noe, Michael J. Rebello and Ramana Sonti
2008fe09: Activists, raiders, and directors: Opportunism and the balance of corporate power Downloads
Thomas Noe, Michael J. Rebello and Ramana Sonti
2008fe08: Hype and Dump Manipulation Downloads
Nevzat Eren and Han Ozsoylev
2008fe07: Returns to Shareholder Activism Downloads
Marco Becht, Julian Franks, Colin Mayer and Stefano Rossi
2008fe06: How Do Firms Finance Large Cash Flow Requirements Downloads
Zhangkai Huang, Colin Mayer and Oren Sussman
2008fe05: Multinational Ownership and Subsidiary Investment Downloads
Wendy Carlin, Andrew Charlton and Colin Mayer
2008fe04: Where do firms incorporate? Deregulation and the cost of entry Downloads
Marco Becht, Colin Mayer and Hannes Wagner
2008fe03: Can Good Events Lead to Bad Outcomes? Endogenous Banking Crises and Fiscal Policy Responses Downloads
Andrew Feltenstein and Céline Rochon
2008fe02: Natural rate of unemployment and efficiency: A dynamic analysis with flexible prices and increasing returns Downloads
Gaël Giraud and Céline Rochon
2008fe01: Measuring downside risk - realised semivariance Downloads
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 Downloads
Thomas Noe and Michael J. Rebello
2007fe05: Generalised Business Mechanics Downloads
Peter Johnson
2007fe04: Analysis of Financial Stability Downloads
Dimitrios Tsomocos and C.A.E. Goodhart
2007fe03: A Note on the Central Limit Theorem for Bipower Variation of General Functions Downloads
Silja Kinnebrock and Mark Podolskij
2007fe02: Feasible inference for realised variance in the presence of jumps Downloads
Almut Veraart
2007fe01: Endogenous State Prices, Liquidity, Default, and the Yield Curve Downloads
Raphael Espinoza, Charles A. E. Goodhart and Dimitrios Tsomocos
2006fe15: Endogenous State Prices, Liquidity, Default, and the Yield Curve Downloads
Raphael Espinoza, Charles A. E. Goodhart and Dimitrios Tsomocos
2006fe14: The economics of IPO stabilization, syndicates and naked shorts Downloads
Tim Jenkinson and Howard Jones
2006fe13: IPO pricing and allocation: a survey of the views of institutional investors Downloads
Tim Jenkinson and Howard Jones
2006fe12: Convertible Preferred Stock in Venture Capital Financing Downloads
Flippo Ippolito
2006fe11: High Dimensional Yield Curves: Models and Forecasting Downloads
Clive Bowsher and Roland Meeks
2006fe10: Banks, Relative Performance, and Sequential Contagion Downloads
Sudipto Bhattacharya, Charles A. E. Goodhart, Pojanart Sunirand and Dimitrios Tsomocos
2006fe09: Searching for a Metric for Financial Stability Downloads
O. Aspachs, C. Goodhart, M. Segoviano, Dimitrios Tsomocos and Lea Zicchino
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