Warwick Business School, Financial Econometrics Research Centre

For technical questions regarding this series, please contact (Ingmar Nolte)
Series handle: repec:wbs:wpaper

• wp08-07 Firms' Investment under Financial Constraints: A Euro Area Investigation
  by Rozalia Pal & Roman Kozhan [Downloadable!]
• wp08-06 On Uncertainty, Market Timing and the Predictability of Tick by Tick Exchange Rates
  by Mark Salmon & Roman Kozhan [Downloadable!]
• wp08-05 Uncertainty Aversion in a Heterogeneous AgentModel of Foreign Exchange Rate Formation
  by Mark Salmon & Roman Kozhan [Downloadable!]
• wp08-04 Non-Additive Anonymous Games
  by Roman Kozhan [Downloadable!]
• wp08-03 Stochastic Behavioral Asset Pricing Models and the Stylized Facts
  by Thomas Lux [Downloadable!]
• wp08-02 A Short Note on the Problematic Concept of Excess Demand in Asset Pricing Models with Mean-Variance Optimization
  by Reiner Franke [Downloadable!]
• wp08-01 Semi-parametric estimation of joint large movements of risky assets
  by Alexandra Dias [Downloadable!]

• wp07-13 The Efficient Market Hypothesis through the Eyes of an Artificial Technical Analyst: An Application of a New Chartist Methodology to High-Frequency Stock Market Data
  by Thomas Lux & Timur Yusupov [Downloadable!]
• wp07-12 True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence
  by Thomas Lux & Di Matteo & Liu Ruipeng [Downloadable!]
• wp07-11 Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey
  by Thomas Lux [Downloadable!]
• wp07-10 Collective Opinion Formation in a Business Climate Survey
  by Thomas Lux [Downloadable!]
• wp07-09 Application of Statistical Physics in Finance and Economics
  by Thomas Lux [Downloadable!]
• wp07-08 A Prototype Model of Speculative Dynamics With Position-Based Trading
  by Reiner Franke [Downloadable!]
• wp07-07 Estimation of a Microfounded Herding Model On German Survey Expectations
  by Reiner Franke [Downloadable!]
• wp07-06 Informational differences and learning in an asset market with boundedly rational agents
  by Pietro Dindo & Cees Diks [Downloadable!]
• wp07-05 Who Do Currency Transaction Taxes Harm More: Short-Term Speculators or Long-Term Investors?
  by Markus Demary [Downloadable!]
• wp07-04 A Heterogenous Agents Model Usable for the Analysis of Currency Transaction Taxes
  by Markus Demary [Downloadable!]
• wp07-03 Equilibrium Return and Agents' Survival in a Multiperiod Asset Market: Analytic Support of a Simulation Model
  by Pietro Dindo & Mikhail Anufriev [Downloadable!]
• wp07-02 Should Network Structure Matter in Agent-Based Finance?
  by Michael Milakovic & Simone Alfarano [Downloadable!]
• wp07-01 A Simple Asymmetric Herding Model to Distinguish Between Stock and Foreign Exchange Markets
  by Reiner Franke & Simone Alfarano [Downloadable!]

• wp06-24 Multiple Priors and No-Transaction Region
  by Roman Kozhan [Downloadable!]
• wp06-23 Caution and Activism? Monetary Policy Strategies in an Open Economy
  by Jouko Vilmunen & Lucio Sarno & Martin Ellison [Downloadable!]
• wp06-22 Risk bubbles and market instability
  by Giacomo Raffaelli & Matteo Marsili [Downloadable!]
• wp06-21 Pricing Multivariate Currency Options with Copulas
  by Christoph Schleicher & Mark Salmon [Downloadable!]
• wp06-20 Forecasting Volatility and Volume in the Tokyo Stock Market: Long Memory, Fractality and Regime Switching
  by Taisei Kaizoji & Thomas Lux [Downloadable!]
• wp06-19 The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility
  by Thomas Lux [Downloadable!]
• wp06-18 Price Stability and Volatility in Markets with Positive and Negative Expectations Feedback: An Experimental Investigation
  by Jan Tuinstra & Joep Sonnemans & Cars Hommes & Peter Heemeijer [Downloadable!]
• wp06-17 Dynamic instability in a phenomenological model of correlated assets
  by Matteo Marsili & Giacomo Raffaelli [Downloadable!]
• wp06-16 Effects of degree correlations on the loop structure of scale free networks
  by Matteo Marsili & Ginestra Bianconi [Downloadable!]
• wp06-15 A Behavioral Model for Participation Games with Negative Feedback
  by Jan Tuinstra & Pietro Dindo [Downloadable!]
• wp06-14 A weak bifucation theory for discrete time stochastic dynamical systems
  by Florian Wagener & Cees Diks [Downloadable!]
• wp06-13 Transaction Taxes, Traders’ Behavior and Exchange Rate Risks
  by Markus Demary [Downloadable!]
• wp06-12 Statistical mechanics of socio-economic systems with heterogeneous agents
  by Matteo Marsili & Andrea De Martino [Downloadable!]
• wp06-11 More hedging instruments may destabilize markets
  by Florian Wagener & Cars Hommes & William Brock [Downloadable!]
• wp06-10 On the flexibility of complex systems
  by Roberto Mulet & Ginwestra Bianconi [Downloadable!]
• wp06-09 Effect of degree correlations on the loop structure of scale-free networks
  by Matteo Marsili & Ginwestra Bianconi [Downloadable!]
• wp06-08 Effects of Tobin Taxes in Minority Game Markets
  by Matteo Marsili & Tobias Galla & Ginwestra Bianconi [Downloadable!]
• wp06-07 Multi-asset minority games
  by Matteo Marsili & Felipe Ferreira & Andrea De Martino & Ginwestra Bianconi [Downloadable!]
• wp06-06 Optimal Investment and Asymmetric Risk for a Large Portfolio: A Large Deviations Approach
  by Stephen Satchell & John Knight & Ba Chu [Downloadable!]
• wp06-05 The Asymptotic Properties of AR(1) Process with the Occasionally Changing AR Coefficient
  by Soosung Hwang & Ba Chu [Downloadable!]
• wp06-04 An Asymptotics of Stationary and Nonstationary AR(1) Processes with Multiple Structural Breaks in Mean
  by Soosung Hwang & Ba Chu [Downloadable!]
• wp06-03 Optimal Long Term Investment in a Jump Diffusion Setting: A Large Deviation Approach
  by Ba Chu [Downloadable!]
• wp06-02 Price and Wealth Dynamics in a Speculative Market with Generic Procedurally Rational Traders
  by Gulio Bottazzi & Mikhail Anufriev [Downloadable!]

• wp05-17 Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggreagation in Real Estate Price Indices
  by Soosung Hwang & Shaun Bond [Downloadable!]
• wp05-16 Performance Measurement with Loss Aversion
  by Soosung Hwang & Gordon Gemmill & Mark Salmon [Downloadable!]
• wp05-15 Phase coexistence in a forecasting game
  by Matteo Marsili & Philippe Curty [Downloadable!]
• wp05-14 Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index (Revised)
  by Christoph Schleicher & Mark Salmon & Matthew Hurd [Downloadable!]
• wp05-13 The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields
  by Giorgio Valente & Daniel Thornton & Lucio Sarno [Downloadable!]
• wp05-12 A Cross-Country Financial Accelorator: Evidence from North America and Europe
  by Mark Taylor & Ashoka Mody & Lucio Sarno [Downloadable!]
• wp05-11 Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand?
  by Lucio Sarno [Downloadable!]
• wp05-10 Incentive Contracts and Hedge Fund Management
  by Jens Carsten Jackwerth & James Hodder [Downloadable!]
• wp05-09 Employee Stock Options: Much More Valuable Than You Thought
  by Jens Carsten Jackwerth & James Hodder [Downloadable!]
• wp05-08 Performance Measurement with Loss Aversion
  by Mark Salmon & Soosung Hwang & Gordon Gemmill [Downloadable!]
• wp05-07 Mispricing of S&P 500 Index Options
  by Stylianos Perrakis & Jens Carsten Jackwerth & George Constantinides [Downloadable!]
• wp05-05 Equivalence and bifurcations of finite order stochastic processes
  by Florian Wagener & Cees Diks [Downloadable!]
• wp05-04 CAY Revisited: Can Optimal Scaling Resurrect the (C)CAPM?
  by Alexander Stremme & Devraj Basu [Downloadable!]
• wp05-03 Emergence of large cliques in random scale-free networks
  by Matteo Marsili & Ginwestra Bianconi [Downloadable!]
• wp05-02 Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach
  by Friedrich Wagner & Thomas Lux & Simone Alfarano [Downloadable!]
• wp05-01 Portfolio Efficiency and Discount Factor Bounds with Conditioning Information: A Unified Approach
  by Alexander Stremme & Devraj Basu & Abhay Abhayankar [Downloadable!]

• wp04-19 Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates
  by Andrew Patton & Yanqin Fan & Xiaohong Chen [Downloadable!]
• wp04-18 Testing for One-Factor Models versus Stochastic Volatility Models
  by Walter Distaso & Valentina Corradi [Downloadable!]
• wp04-17 Estimating and Testing Sochastic Volatility Models using Realized Measures
  by Walter Distaso & Valentina Corradi [Downloadable!]
• wp04-16 Predictive Density Accuracy Tests
  by Norman Swanson & Valentina Corradi [Downloadable!]
• wp04-15 Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes
  by Roel Oomen [Downloadable!]
• wp04-14 Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling
  by Roel Oomen [Downloadable!]
• wp04-13 The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates
  by Giorgio Valente & Mark Taylor & Lucio Sarno & Richard Clarida [Downloadable!]
• wp04-12 Federal Funds Rate Prediction
  by Giorgio Valente & Daniel Thornton & Lucio Sarno [Downloadable!]
• wp04-11 Modeling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers
  by Giorgio Valente & Lucio Sarno [Downloadable!]
• wp04-10 Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts
  by Giorgio Valente & Lucio Sarno [Downloadable!]
• wp04-09 Periodic Stochastic Volatility and Fat Tails
  by Ilias Tsiakas [Downloadable!]
• wp04-08 Is Seasonal Heteroscedasticity Real? An International Perspective
  by Ilias Tsiakas [Downloadable!]
• wp04-07 Minority games with finite score memory
  by Isaac Castillo & Matteo Marsili & Andrea De Martino & Damin Challet [Downloadable!]
• wp04-06 Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average
  by Walter Distaso & Valentina Corradi & Basel Awartani [Downloadable!]
• wp04-05 Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity
  by Allan Timmermann & Andrew Patton [Downloadable!]
• wp04-04 Modelling Asymmetric Exchange Rate Dependence
  by Andrew Patton [Downloadable!]
• wp04-03 Decoupling and Convergence to Independence with Applications to Functional Limit Theorems
  by Alessio Sancetta [Downloadable!]
• wp04-02 Copula Based Monte Carlo Integration in Financial Problems
  by Alessio Sancetta [Downloadable!]
• wp04-01 Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability
  by Giorgio Valente & Lucio Sarno & Abhay Abhayankar [Downloadable!]

• wp02-11 Aggregation and Memory of Models of Changing Volatility
  by Paolo Zaffaroni [Downloadable!]
• wp02-10 Reinterpreting the Real Exchange Rate - Yield Diffential Nexus
  by Andrew Wood & Ana-Maria Fuertes & Jerry Coakley [Downloadable!]
• wp02-09 Noise Training, Costly Arbitrage and Asset Prices: evidence from closed-end funds
  by Dylan Thomas & Gordon Gemmill [Downloadable!]
• wp02-08 Testing Merton's Model for Credit Spreads on Zero-Coupon Bonds
  by Gordon Gemmill [Downloadable!]
• wp02-07 On th Evolution of Global Style Factors in the MSCI Universe of Assets
  by Steve Satchell & George Christodoulakis [Downloadable!]
• wp02-06 Sharp Style Analysis in the MSCI Sector Portfolios: A Monte Caro Integration Approach
  by George Christodoulakis [Downloadable!]
• wp02-04 Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge
  by Nick Webber & Claudia Riveiro [Downloadable!]
• wp02-03 On Empirical Risk Measurement with Asymmetric Returns Data
  by Soosung Hwang & Christian Pedersen [Downloadable!]
• wp02-02 Event-related GARCH: the impact of stock dividends in Turkey
  by Ismail Orgakcioglu & Roy Batchelor [Downloadable!]
• wp02-01 Combining Heterogeneous Classifiers for Stock Selection
  by Roy Batchelor & George Albanis [Downloadable!]

• wp01-16 GARCH Model with Cross-sectional Volatility; GARCHX Models
  by Steve Satchell & Soosung Hwang [Downloadable!]
• wp01-15 Tracking Error: Ex-Ante versus Ex-Post Measures
  by Steve Satchell & Soosung Hwang [Downloadable!]
• wp01-14 The Asset Allocation Decision in a Loss Aversion World
  by Steve Satchell & Soosung Hwang [Downloadable!]
• wp01-13 An Analysis of Performance Measures Using Copulae
  by Mark Salmon & Soosung Hwang [Downloadable!]
• wp01-12 A New Measure of Herding and Empirical Evidence
  by Mark Salmon & Soosung Hwang [Downloadable!]
• wp01-11 The Derivation of New Model of Equity Duration
  by Steve Satchell & Richard Lewin [Downloadable!]
• wp01-10 Robust Decision Theory and the Lucas Critique
  by Mark Salmon & Massimiliano Marcellino [Downloadable!]
• wp01-09 Numerical Issues in Threshold Autoregressive Modelling of Time Series
  by Maria-Teresa Perez & Ana-Maria Fuertes & Jerry Coakley [Downloadable!]
• wp01-08 Small Sample Properties of Panel Time-series Estimators with I(1) Errors
  by Ron Smith & Ana-Maria Fuertes & Jerry Coakley [Downloadable!]
• wp01-06 Rethinking the Forward Premium Puzzle in a Non-linear Framework
  by Ana-Maria Fuertes & Jerry Coakley [Downloadable!]
• wp01-05 Co-Volatility and Correlation Clustering: A Multivariate Correlated ARCH Framework
  by George Christodoulakis [Downloadable!]
• wp01-04 On Preferred Point Geometry in Statistics
  by Mark Salmon & Paul Marriott & Frank Critchley [Downloadable!]
• wp01-03 Investigating Dynamic Dependence Using Copulae
  by Mark Salmon & Nicolas Gaussel & Eric Bouyé [Downloadable!]
• wp01-02 Multivariate Extremes at Work for Portfolio Risk Measurement
  by Eric Bouyé [Downloadable!]
• wp01-01 Copulas: an Open Field for Risk Management
  by Thierry Roncalli & Gael Riboulet & Ashkan Nikeghbali & Vado Durrleman & Erick Bouyé [Downloadable!]

• wp00-06 Valuing Information Using Utility Functions
  by Steve Satchell & Soosung Hwang [Downloadable!]
• wp00-05 Properties of Cross-sectional Volatility
  by Soosung Hwang [Downloadable!]
• wp00-04 Calculating the Miss-specification in Beta from Using a Proxy for the Market Portfolio
  by Steve Satchell & Soosung Hwang [Downloadable!]
• wp00-03 Deriving the APT when the Number of Factors is Unknown
  by Stephen Satchell & Laun Middleton [Downloadable!]
• wp00-02 Evolving Systems of Financial Returns: Auto-Regressive Conditional Beta
  by Steve Satchell & George A. Christodoulakis [Downloadable!]
• wp00-01 Evaluating the Performance of Nearest Neighbour Algorithms when Forecasting US Industry Returns
  by Stephen Satchell & Christian S. Pedersen [Downloadable!]

• wp99-21 How do UK-Based Foreign Exchange Dealers Think Their Market Operates?
  by Ian Marsh & Menzie Chinn & Yin-Wong Cheung [Downloadable!]
• wp99-20 Forecasting Volatility using LINEX Loss Functions
  by Stephen Satchell & John Knight & Soosung Hwang [Downloadable!]
• wp99-19 Improved Testing for the Efficiency of Asset Pricing Theories in Linear Factor Models
  by Steve Satchell & Soosung Hwang [Downloadable!]
• wp99-18 The Disappearance of Style in the US Equity Market
  by Stephen Satchell & Soosung Hwang [Downloadable!]
• wp99-17 Modelling Emerging Market Risk Premia Using Higher Moments
  by Stephen Satchell & Soosung Hwang [Downloadable!]
• wp99-16 Market Risk and the Concept of Fundamental Volatility: Measuring Volatility Across Asset and Derivative Markets and Testing for the Impact of Derivatives Markets on Financial Markets
  by Stephen Satchell & Soosung Hwang [Downloadable!]
• wp99-15 The Effects of Systematic Sampling and Temporal Aggregation on Discrete Time Long Memory Processes and their Finite Sample Properties
  by Soosung Hwang [Downloadable!]
• wp99-14 Currency Spillovers and Tri-Polarity: a Simultaneous Model of the US Dollar, German Mark and Japanese Yen
  by Ian Marsh & Ronald MacDonald [Downloadable!]
• wp99-12 From Market Micro-structure to Macro Fundamentals: is there Predictability in the Dollar-Deutsche Mark Exchange Rate?
  by Mark Salmon & Robert Hillman [Downloadable!]
• wp99-11 On the Evolution of Credibility and Flexible Exchange Rate Target Zones
  by Mark Salmon & Giampiero Gallo & Renzo Avesani [Downloadable!]
• wp99-10 An Introduction to Differential Geometry in Econometrics
  by Mark Salmon & Paul Marriott [Downloadable!]
• wp99-08 A Panel-Based Investigation into the Relationship Between Stock Prices and Dividends
  by David Power & Ian Marsh [Downloadable!]
• wp99-07 An Analysis of the Performance of European Foreign Exchange Forecasters
  by Ian Marsh [Downloadable!]
• wp99-06 An Elementary Account of Amari's Expected Geometry
  by Mark Salmon & Paul Marriott & Frank Critchley [Downloadable!]
• wp99-05 Bootstrap Predictability of Daily Exchange Rates in ARMA Models
  by Anne-Sophie Van Royen & Demos Tambakis [Downloadable!]
• wp99-04 Technical Analysis and Central Bank Intervention
  by Paul Weller & Christopher Neely [Downloadable!]
• wp99-03 Predictability in International Asset Returns: A Re-examination
  by Paul Weller & Christopher Neely [Downloadable!]
• wp99-02 Intraday Technical Trading in the Foreign Exchange Market
  by Paul Weller & Christopher Neely [Downloadable!]
• wp99-01 Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models
  by Stephen Satchell & Soosung Hwang & Anthony Hall [Downloadable!]

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This page was last updated on 2009-11-4.