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OFRC Working Papers Series

From Oxford Financial Research Centre
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2004fe01: Econometrics of testing for jumps in financial economics using bipower variation Downloads
Ole Barndorff-Nielsen and Neil Shephard
2004mf01: Option Pricing with Levy-Stable Processes Downloads
Álvaro Cartea and Sam Howison
2003fe16: A New Test of Capital Structure Downloads
Colin Mayer and Oren Sussman
2003fe15: Spending Less Time with the Family: The Decline of Family Ownership in the UK Downloads
Julian Franks, Colin Mayer and Stefano Rossi
2003fe14: Ownership: Evolution and Regulation Downloads
Julian Franks, Colin Mayer and Stefano Rossi
2003fe13: A Model to Analyse Financial Fragility Downloads
Charles A.E. Goodhart, Pojanart Sunirand and Dimitrios Tsomocos
2003fe12: Hard Debt, Soft CEO’s and Union Rents Downloads
Linus Wilson
2003fe11: Multinational Bank Capital Regulation with Deposit Insurance and Diversification Effects Downloads
Gyongyi Loranth and Alan Morrison
2003fe10: Modeling the Demand for Emerging Market Assets Downloads
Valpy FitzGerald and Derya Krolzig
2003fe08: Equilibrium Analysis, Banking and Financial Instability Downloads
Dimitrios Tsomocos
2003mf08: Purely discontinuous Levy processes and power variation: inference for integrated volatility and the scale parameter Downloads
Jeannette H.C. Woerner
2003mf07: An Option Pricing Formula for the GARCH diffusion model Downloads
Giovanni Barone-Adesi, Claudia Ravanelli and Henrik Rasmussen
2003fe07: Making Money out of Publicly Available Information Downloads
Alan Morrison and Nir Vulkan
2003mf06: On the Pricing and Hedging of Volatility Derivatives Downloads
Sam Howison, Avraam Rafailidis and Henrik Rasmussen
2003fe06: Procyclicality and the new Basel Accord - Banks' choice of loan rating system Downloads
Eva Catarineu-Rabell, Patricia Jackson and Dimitrios Tsomocos
2003mf05: Estimation of Integrated Volatility in Stochastic Volatility Models Downloads
Jeannette H.C. Woerner
2003fe05: Why are European IPOs so rarely priced outside the indicative price range? Downloads
William J. Wilhelm, Alan Morrison and Tim Jenkinson
2003fe04: E-Barter vs. Fiat Money: Will Central Banks Survive? Downloads
Dimitrios Tsomocos, F.H. Capie and Geoffrey E. Wood
2003mf04: Bounds for Floating-Strike Asian Options using Symmetry Downloads
Vicky Henderson, David Hobson, William Shaw and Rafal Wojakowski
2003fe03: Equilibrium Analysis, Banking, Contagion and Financial Fragility Downloads
Dimitrios Tsomocos
2003mf03: Using Options on Greeks as Liquidity Protection Downloads
David Bakstein and Sam Howison
2003mf02: A Comparison of q-optimal Option Prices in a Stochastic Volatility Model with Correlation Downloads
Vicky Henderson, David Hobson, Sam Howison and Tino Kluge
2003fe02: Partnership Firms, Reputation and Human Capital Downloads
Alan Morrison and William J. Wilhelm, Jr.
2003mf01: Monte Carlo valuation of American Options Downloads
David Lamper and Sam Howison
2002fe08: The Economics of Capital Regulation in Financial Conglomerates Downloads
Alan Morrison
2002fe07: IPO Pricing in the Dot-com Bubble Downloads
William J. Wilhelm and Alexander Ljungqvist
2002fe06: Evidence of Information Spillovers in the Production of Investment Banking Services Downloads
Lawrence M. Benveniste, Alexander Ljungqvist, William J. Wilhelm and Xiaoyun Yu
2002fe05: Crises and Capital Requirements in Banking Downloads
Lucy White and Alan Morrison
2002mf05: Variational Sums and Power Variation: a unifying approach to model selection and estimation in semimartingale models Downloads
Jeannette H.C. Woerner
2002mf04: Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing Downloads
Álvaro Cartea and Sam Howison
2002fe04: Dynamics of trade-by-trade price movements: decomposition and models Downloads
Tina Hviid Rydberg and Neil Shephard
2002mf03: Analytical Comparisons of Option prices in Stochastic Volatility Models Downloads
Vicky Henderson
2002fe03: Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics Downloads
Ole Barndorff-Nielsen and Neil Shephard
2002mf02: A Risk-Neutral Parametric Liquidity Model for Derivatives Downloads
David Bakstein and Sam Howison
2002fe02: Manipulation, the allocational role of prices and production externalities Downloads
Itay Goldstein and Alexander Gümbel
2002fe01: Stock Based Compensation: Firm-specific risk, Efficiency and Incentives Downloads
Vicky Henderson
2002mf01: Coupling and Option Price Comparisons in a Jump-Diffusion model Downloads
Vicky Henderson and David Hobson
2001fe17: Resource Margin Accounting: Empirical Results for US Manufacturing Companies 1983-1998 Downloads
Peter Johnson
2001fe16: Resource Margin Accounting: A Theoretical Perspective Downloads
Peter Johnson
2001fe15: Sources of Funds and Investment Strategies of Venture Capital Funds: Evidence from Germany, Israel, Japan and the UK Downloads
Koen Schoors, Yishay Yafeh and Colin Mayer
2001fe14: New evidence of the impact of dividend taxation and on the identity of the marginal investor Downloads
Leonie Bell and Tim Jenkinson
2001fe13: Optimal exchange-rates: a market-microstructure approach Downloads
Alexander Gümbel and Oren Sussman
2001fe12: Emerging Markets and Entry by Actively Managed Funds Downloads
Alexander Gümbel
2001fe11: Ownership and Control of German Corporations Downloads
Julian Franks and Colin Mayer
2001fe10: Institutional Investment and Private Equity in the UK Downloads
Colin Mayer
2001fe09: Regulatory Principles and the Financial Services and Markets Act Downloads
Colin Mayer
2001mf09: A note on the pricing and hedging of volatility derivatives Downloads
Sam Howison, A. Rafailidis and H.O. Rasmussen
2001fe08: IPO Allocations: Discriminatory or Discretionary? Downloads
William Wilhelm and Alexander Ljungqvist
2001mf08: On the Equivalence of Floating and Fixed-Strike Asian Options Downloads
Vicky Henderson and Rafal Wojakowski
2001fe07: The Internet and Financial Market Structure Downloads
William Wilhelm
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