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OFRC Working Papers Series

From Oxford Financial Research Centre
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2006fe08: Communication Dilemma in Speculative Markets Downloads
Nevzat Eren and Han Ozsoylev
2006fe07: Generic Determinacy and Money Non-Neutrality of International Monetary Equilibria Downloads
Dimitrios Tsomocos
2006fe06: Subsampling realised kernels Downloads
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 Downloads
Ole Barndorff-Nielsen, Peter Hansen, Asger Lunde and Neil Shephard
2006fe04: Towards a Measure of Financial Fragility Downloads
Oriol Aspachs, Charles A.E. Goodhart, Dimitrios Tsomocos and Lea Zicchino
2006fe03: Devaluation without common knowledge Downloads
Celine Rochon
2006fe02: Dynamic Matching and Bargaining: The Role of Deadlines Downloads
Sjaak Hurkensy and Nir Vulkan
2006fe01: Evaluation of macroeconomic models for financial stability analysis Downloads
Gunnar Bårdsen, Kjersti-Gro Lindquist and Dimitrios Tsomocos
2005fe18: Commitment to Overinvest and Price Informativeness Downloads
James Dow, Itay Goldstein and Alexander Guembel
2005fe17: Sovereign Debt Without Default Penalties Downloads
Oren Sussman and Alexander Guembel
2005fe16: The economics of the EU’s corporate-insolvency law and the quest for harmonisation by market forces Downloads
Oren Sussman
2005fe15: On Modelling Endogenous Default Downloads
Dimitrios Tsomocos and Lea Zicchino
2005fe14: A Necessary and Sufficient Condition for Convergence of Statistical to Strategic Equilibria of Market Games Downloads
Dimitrios Tsomocos and Dimitrios Voliotis
2005fe13: Takeover Defenses, Firm-Specific Skills and Managerial Entrenchment Downloads
Filippo Ippolito
2005fe12: Convertible Preferred Stock in Venture Capital Financing Downloads
Filippo Ippolito
2005fe11: Amplification and Asymmetry in Crashes and Frenzies Downloads
Han Ozsoylev
2005fe10: Price, Trade Size, and Information Revelation in Multi-Period Securities Markets Downloads
Han Ozsoylev and Shino Takayama
2005fe09: Limit theorems for bipower variation in financial econometrics Downloads
Ole Barndorff-Nielsen, Sven Erik Graversen, Jean Jacod and Neil Shephard
2005fe08: Variation, jumps, market frictions and high frequency data in financial econometrics Downloads
Ole Barndorff-Nielsen and Neil Shephard
2005fe07: Race to the top or bottom? Corporate governance, freedom of reincorporation and competition in law Downloads
Zsuzsanna Fluck and Colin Mayer
2005fe06: Limit theorems for multipower variation in the presence of jumps Downloads
Ole Barndorff-Nielsen, Neil Shephard and Matthias Winkel
2005fe05: Estimating quadratic variation when quoted prices jump by a constant increment Downloads
Jeremy Large
2005fe04: Why are Securitization Issues Tranched? Downloads
Maciej Firla-Cuchra and Tim Jenkinson
2005mf03: A matched asymptotic expansions approach to continuity corrections for discretely sampled options. Part 2: Bermudan options Downloads
Sam Howison
2005fe03: Regulating Financial Conglomerates Downloads
Xavier Freixas, Gyöngyi Lóránth and Alan Morrison
2005mf02: A matched asymptotic expansions approach to continuity corrections for discretely sampled options. Part 1: barrier options Downloads
Sam Howison and Mario Steinberg
2005fe02: Interbank Competition with Costly Screening Downloads
Xavier Freixas, Sjaak Hurkens, Alan Morrison and Nir Vulkan
2005mf01: Matched asymptotic expansions in financial engineering Downloads
Sam Howison
2005fe01: Modelling Institutional Change in the Payments System, and its Implications for Monetary Policy Downloads
F. H. Capie, Dimitrios Tsomocos and G. E. Wood
2004fe22: Multipower Variation and Stochastic Volatility Downloads
Ole Barndorff-Nielsen and Neil Shephard
2004fe21: A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales Downloads
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 Downloads
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 Downloads
Clive Bowsher
2004fe18: A Time Series Analysis of Financial Fragility in the UK Banking System Downloads
Charles A.E. Goodhart, Pojanart Sunirand and Dimitrios Tsomocos
2004fe17: Likelihood based inference for diffusion driven models Downloads
Siddhartha Chib, Michael K Pitt and Neil Shephard
2004fe15: Global Uniqueness and Money Non-neutrality in a Walrasian Dynamics without Rational Expectations Downloads
Gaël Giraud and Dimitrios Tsomocos
2004fe14: The Demise of Investment-Banking Partnerships: Theory and Evidence Downloads
Alan Morrison and William J. Wilhelm
2004fe13: Book vs. Fair Value Accounting in Banking, and Intertemporal Smoothing Downloads
Xavier Freixas and Dimitrios Tsomocos
2004fe12: Habit Formation and the Equity-Premium Puzzle: a Skeptical View Downloads
Stefano G. Athanasoulis and Oren Sussman
2004fe11: A Risk Assessment Model for Banks Downloads
Charles A.E. Goodhart, Pojanart Sunirand and Dimitrios Tsomocos
2004fe10: Financial Liberalisation and Capital Regulation in Open Economies Downloads
Alan Morrison and Lucy White
2004fe09: Life Insurance: Regulation as Contract Enforcement Downloads
Alan Morrison
2004fe08: Is Deposit Insurance a Good Thing, and If So, Who Should Pay for It? Downloads
Alan Morrison and Lucy White
2004fe07: Financial Distress, Bankruptcy Law and the Business Cycle Downloads
Oren Sussman and Javier Suarez
2004fe05: A Model to Analyse Financial Fragility: Applications Downloads
Charles A.E. Goodhart, Pojanart Sunirand and Dimitrios Tsomocos
2004fe04: Cancellation and uncertainty aversion on limit order books Downloads
Jeremy Large
2004fe03: A feasible central limit theory for realised volatility under leverage Downloads
Ole Barndorff-Nielsen and Neil Shephard
2004mf03: An Asymptotic Analysis of an American Call Option with Small Volatility Downloads
N.P. Firth, J.N. Dewynne and S. J. Chapman
2004fe02: Likelihood-based estimation of latent generalised ARCH structures Downloads
Gabriele Fiorentini, Enrique Sentana and Neil Shephard
2004mf02: High Dimensional Radial Barrier Options Downloads
N.P. Firth and J.N. Dewynne
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