OFRC Working Papers Series

From Oxford Financial Research Centre
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2006fe08: Communication Dilemma in Speculative Markets

Nevzat Eren and Han Ozsoylev

2006fe07: Generic Determinacy and Money Non-Neutrality of International Monetary Equilibria

Dimitrios Tsomocos

2006fe06: Subsampling realised kernels

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

2006fe05: Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise

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

2006fe04: Towards a Measure of Financial Fragility

Oriol Aspachs, Charles A.E. Goodhart, Dimitrios Tsomocos and Lea Zicchino

2006fe03: Devaluation without common knowledge

Celine Rochon

2006fe02: Dynamic Matching and Bargaining: The Role of Deadlines

Sjaak Hurkensy and Nir Vulkan

2006fe01: Evaluation of macroeconomic models for financial stability analysis

Gunnar Bårdsen, Kjersti-Gro Lindquist and Dimitrios Tsomocos

2005fe18: Commitment to Overinvest and Price Informativeness

James Dow, Itay Goldstein and Alexander Guembel

2005fe17: Sovereign Debt Without Default Penalties

Oren Sussman and Alexander Guembel

2005fe16: The economics of the EU’s corporate-insolvency law and the quest for harmonisation by market forces

Oren Sussman

2005fe15: On Modelling Endogenous Default

Dimitrios Tsomocos and Lea Zicchino

2005fe14: A Necessary and Sufficient Condition for Convergence of Statistical to Strategic Equilibria of Market Games

Dimitrios Tsomocos and Dimitrios Voliotis

2005fe13: Takeover Defenses, Firm-Specific Skills and Managerial Entrenchment

Filippo Ippolito

2005fe12: Convertible Preferred Stock in Venture Capital Financing

Filippo Ippolito

2005fe11: Amplification and Asymmetry in Crashes and Frenzies

Han Ozsoylev

2005fe10: Price, Trade Size, and Information Revelation in Multi-Period Securities Markets

Han Ozsoylev and Shino Takayama

2005fe09: Limit theorems for bipower variation in financial econometrics

Ole Barndorff-Nielsen, Sven Erik Graversen, Jean Jacod and Neil Shephard

2005fe08: Variation, jumps, market frictions and high frequency data in financial econometrics

Ole Barndorff-Nielsen and Neil Shephard

2005fe07: Race to the top or bottom? Corporate governance, freedom of reincorporation and competition in law

Zsuzsanna Fluck and Colin Mayer

2005fe06: Limit theorems for multipower variation in the presence of jumps

Ole Barndorff-Nielsen, Neil Shephard and Matthias Winkel

2005fe05: Estimating quadratic variation when quoted prices jump by a constant increment

Jeremy Large

2005fe04: Why are Securitization Issues Tranched?

Maciej Firla-Cuchra and Tim Jenkinson

2005fe03: Regulating Financial Conglomerates

Xavier Freixas, Gyöngyi Lóránth and Alan Morrison

2005mf03: A matched asymptotic expansions approach to continuity corrections for discretely sampled options. Part 2: Bermudan options

Sam Howison

2005fe02: Interbank Competition with Costly Screening

Xavier Freixas, Sjaak Hurkens, Alan Morrison and Nir Vulkan

2005mf02: A matched asymptotic expansions approach to continuity corrections for discretely sampled options. Part 1: barrier options

Sam Howison and Mario Steinberg

2005fe01: Modelling Institutional Change in the Payments System, and its Implications for Monetary Policy

F. H. Capie, Dimitrios Tsomocos and G. E. Wood

2005mf01: Matched asymptotic expansions in financial engineering

Sam Howison

2004fe22: Multipower Variation and Stochastic Volatility

Ole Barndorff-Nielsen and Neil Shephard

2004fe21: A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales

Ole Barndorff-Nielsen, Svend Erik Graversen, Jean Jacod, Mark Podolskij and Neil Shephard

2004fe20: Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise

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

2004fe19: Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange

Clive Bowsher

2004fe18: A Time Series Analysis of Financial Fragility in the UK Banking System

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

2004fe17: Likelihood based inference for diffusion driven models

Siddhartha Chib, Michael K Pitt and Neil Shephard

2004fe15: Global Uniqueness and Money Non-neutrality in a Walrasian Dynamics without Rational Expectations

Gaël Giraud and Dimitrios Tsomocos

2004fe14: The Demise of Investment-Banking Partnerships: Theory and Evidence

Alan Morrison and William J. Wilhelm

2004fe13: Book vs. Fair Value Accounting in Banking, and Intertemporal Smoothing

Xavier Freixas and Dimitrios Tsomocos

2004fe12: Habit Formation and the Equity-Premium Puzzle: a Skeptical View

Stefano G. Athanasoulis and Oren Sussman

2004fe11: A Risk Assessment Model for Banks

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

2004fe10: Financial Liberalisation and Capital Regulation in Open Economies

Alan Morrison and Lucy White

2004fe09: Life Insurance: Regulation as Contract Enforcement

Alan Morrison

2004fe08: Is Deposit Insurance a Good Thing, and If So, Who Should Pay for It?

Alan Morrison and Lucy White

2004fe07: Financial Distress, Bankruptcy Law and the Business Cycle

Oren Sussman and Javier Suarez

2004fe05: A Model to Analyse Financial Fragility: Applications

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

2004fe04: Cancellation and uncertainty aversion on limit order books

Jeremy Large

2004mf03: An Asymptotic Analysis of an American Call Option with Small Volatility

N.P. Firth, J.N. Dewynne and S. J. Chapman

2004fe03: A feasible central limit theory for realised volatility under leverage

Ole Barndorff-Nielsen and Neil Shephard

2004mf02: High Dimensional Radial Barrier Options

N.P. Firth and J.N. Dewynne

2004fe02: Likelihood-based estimation of latent generalised ARCH structures

Gabriele Fiorentini, Enrique Sentana and Neil Shephard