Publications

by members of

Finance Group
Warwick Business School
University of Warwick
Coventry, United Kingdom

Working papers

2009

1. Ingmar Nolte & Valeri Voev, 2009. "Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise," CREATES Research Papers 2009-16, School of Economics and Management, University of Aarhus. [Downloadable!]

2008

1. Ingmar Nolte & Valeri Voev, 2008. "Estimating High-Frequency Based (Co-) Variances: A Unified Approach," CREATES Research Papers 2008-31, School of Economics and Management, University of Aarhus. [Downloadable!]

2007

1. Ingmar Nolte & Sandra Lechner, 2007. "Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform," CoFE Discussion Paper 07-03, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
2. Ingmar Nolte & Valeri Voev, 2007. "Panel Intensity Models with Latent Factors: An Application to the Trading Dynamics on the Foreign Exchange Market¤," CoFE Discussion Paper 07-02, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
3. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2007. "An Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask Quote Dynamics," CoFE Discussion Paper 07-04, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
4. Ingmar Nolte & Valeri Voev, 2007. "Estimating High-Frequency Based (Co-) Variances: A Unified Approach," CoFE Discussion Paper 07-07, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
5. Pasquale Della Corte & Lucio Sarno & Daniel L. Thornton, 2007. "The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value," Working Papers 2006-061, Federal Reserve Bank of St. Louis. [Downloadable!]
6. Della Corte, Pasquale & Sarno, Lucio & Thornton, Daniel L, 2007. "The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value," CEPR Discussion Papers 6445, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
7. Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2007. "An Economic Evaluation of Empirical Exchange Rate Models," CEPR Discussion Papers 6598, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

2006

1. Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006. "A multi-factor model for the valuation and risk managment of demand deposits," Research series 200605-2, National Bank of Belgium. [Downloadable!]
2. Hans Dewachter & Marco Lyrio, 2006. "A Structural Macro Model of the Yield Curve," Computing in Economics and Finance 2006 236, Society for Computational Economics.
3. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "A Multivariate Integer Count Hurdle Model: Theory and Application to Exchange Rate Dynamics," CoFE Discussion Paper 06-06, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
4. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "Estimating Liquidity Using Information on the Multivariate Trading Process," CoFE Discussion Paper 06-04, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
5. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "Estimating liquidity using information on the multivariate trading process," Working Papers 10, Department of Applied Econometrics, Warsaw School of Economics. [Downloadable!]

2004

1. Marco Lyrio & Hans Dewachter, 2004. "Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve," Computing in Economics and Finance 2004 188, Society for Computational Economics. [Downloadable!]
2. Roel C.A. Oomen, 2004. "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings 77, Econometric Society. [Downloadable!]

2003

1. Hans Dewachter & Marco Lyrio, 2003. "Macro Factors and the Term Structure of Interest Rates," International Economics Working Papers Series ces0304, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics. [Downloadable!]
2. Dewachter, H.D.R. & Lyrio, M., 2003. "The Cost of Technical Trading Rules in the Forex Market: A Utility-based Evaluation," Research Paper ERS-2003-052-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
3. Dewachter, H.D.R. & Lyrio, M., 2003. "Macro factors and the Term Structure of Interest Rates," Research Paper ERS-2003-037-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
4. Hans Dewachter & Marco Lyrio, 2003. "Macro Factors and the Term Structure of Interest Rates," Center for Economic Studies - Discussion papers ces0304, Katholieke Universiteit Leuven, Centrum voor Economische Studiën. [Downloadable!]

2002

1. Hans Dewachter & Marco Lyrio, 2002. "The Economic Value of Technical Trading Rules: A Non-parametric Utility-based Approach," International Economics Working Papers Series ces0203, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics. [Downloadable!]
2. Hans Dewachter & Marco Lyrio, 2002. "Macro Factors and the Term Structure of Interest Rates," International Economics Working Papers Series wpie007, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics. [Downloadable!]
3. Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2002. "The Effect of Monetary Unification on German Bond Markets," Center for Economic Studies - Discussion papers ces0205, Katholieke Universiteit Leuven, Centrum voor Economische Studiën. [Downloadable!]

2001

1. Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001. "Estimation of a Joint Model for the Term Structure of Interest Rates and the Macroeconomy," International Economics Working Papers Series ces0118, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics. [Downloadable!]
2. Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001. "The Effect of Monetary Unification on German Bond Markets," International Economics Working Papers Series ces0205, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics. [Downloadable!]
3. Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001. "A Joint Model for the Term Structure of Interest Rates and the Macroeconomy," International Economics Working Papers Series wpie002, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics. [Downloadable!]
4. Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001. "The Effect of Monetary Unification on German Bond Markets," International Economics Working Papers Series wpie005, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics. [Downloadable!]
5. Roel C.A. OOMEN, 2001. "Using high frequency stock market index data to calculate, model and forecast realized return variance," Economics Working Papers ECO2001/06, European University Institute. [Downloadable!]
6. Roel Oomen, 2001. "Using High Frequency Data to Calculate, Model and Forecast Realized Volatility," Computing in Economics and Finance 2001 75, Society for Computational Economics.

1999

1. Hans Dewachter & Marco Lyrio, 1999. "Multiple Equilibria and the Credibility of the Brazilian 'Crawling-Peg', 1995-1998," International Economics Working Papers Series ces9919, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics. [Downloadable!]

1995

1. Avesani, Renzo & Gallo, Giampiero M & Salmon, Mark, 1995. "On the Evolution of Credibility and Flexible Exchange Rate Target Zones," CEPR Discussion Papers 1123, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

1993

1. Haldrup, N. & Salmon, M., 1993. "Polynomially Cointegrated Systems and their Representation; A Synthesis," Economics Working Papers 1993-22, School of Economics and Management, University of Aarhus.

1990

1. Miller, Marcus & Salmon, Mark, 1990. "When Does Coordination Pay?," CEPR Discussion Papers 425, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

1989

1. Basar, T & Salmon, Mark, 1989. "Credibility and the Value of Information Transmission in a Model of Monetary Policy and Inflation," CEPR Discussion Papers 338, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

1988

1. Salmon, Mark, 1988. "Error Correction Models, Co-integration and the Internal Model Principle," CEPR Discussion Papers 265, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

1985

1. Fisher, Paul & Salmon, Mark, 1985. "On Evaluating the Importance of Non-Linearity in Large Macroeconometric Models," CEPR Discussion Papers 86, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

1984

1. Miller, Marcus & Salmon, Mark, 1984. "Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies," CEPR Discussion Papers 27, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

Journal articles

2008

1. Jiang, George J. & Oomen, Roel C.A., 2008. "Testing for jumps when asset prices are observed with noise-a "swap variance" approach," Journal of Econometrics, Elsevier, vol. 144(2), pages 352-370, June. [Downloadable!] (restricted)
2. Jim Griffin & Roel Oomen, 2008. "Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 230-253. [Downloadable!] (restricted)
3. Ingmar Nolte, 2008. "Modeling a Multivariate Transaction Process," Journal of Financial Econometrics, Oxford University Press, vol. 6(1), pages 143-170, Winter. [Downloadable!] (restricted)
4. Della Corte, Pasquale & Sarno, Lucio & Thornton, Daniel L., 2008. "The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value," Journal of Financial Economics, Elsevier, vol. 89(1), pages 158-174, July. [Downloadable!] (restricted)

2007

1. George J. Jiang & Roel C. A. Oomen, 2007. "Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data," Journal of Financial Econometrics, Oxford University Press, vol. 5(1), pages 1-30. [Downloadable!] (restricted)
2. Nolte, Ingmar & Pohlmeier, Winfried, 2007. "Using forecasts of forecasters to forecast," International Journal of Forecasting, Elsevier, vol. 23(1), pages 15-28. [Downloadable!] (restricted)

2006

1. Marco Lyrio & Hans Dewachter & Konstantijn Maes, 2006. "A joint model for the term structure of interest rates and the macroeconomy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462. [Downloadable!]
2. Dewachter, Hans & Lyrio, Marco, 2006. "The cost of technical trading rules in the Forex market: A utility-based evaluation," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1072-1089, November. [Downloadable!] (restricted)
3. Dewachter, Hans & Lyrio, Marco, 2006. "Macro Factors and the Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(1), pages 119-140, February. [Downloadable!] (restricted)
4. Oomen, Roel C.A., 2006. "Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 195-202, April. [Downloadable!] (restricted)
5. Oomen, Roel C.A., 2006. "Properties of Realized Variance Under Alternative Sampling Schemes," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 219-237, April. [Downloadable!] (restricted)
6. Roman Liesenfeld & Ingmar Nolte & Winfried Pohlmeier, 2006. "Modelling financial transaction price movements: a dynamic integer count data model," Empirical Economics, Springer, vol. 30(4), pages 795-825, January. [Downloadable!] (restricted)

2005

1. Hans Dewachter & Marco Lyrio, 2005. "The economic value of technical trading rules: a nonparametric utility-based approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 41-62. [Downloadable!]
2. Roel C. A. Oomen, 2005. "Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes," Journal of Financial Econometrics, Oxford University Press, vol. 3(4), pages 555-577. [Downloadable!] (restricted)

2000

1. Lyrio, Marco & Dewachter, Hans, 2000. "Multiple Equilibria and the Credibility of the Brazilian 'Crawling Peg,' 1995-1998," International Finance, Blackwell Publishing, vol. 3(1), pages 1-23, April. [Downloadable!] (restricted)

1996

1. Critchley, Frank & Marriott, Paul & Salmon, Mark, 1996. "On the Differential Geometry of the Wald Test with Nonlinear Restrictions," Econometrica, Econometric Society, vol. 64(5), pages 1213-22, September. [Downloadable!] (restricted)

1986

1. Fisher, Paul & Salmon, Mark, 1986. "On Evaluating the Importance of Nonlinearity in Large Macroeconometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 27(3), pages 625-46, October. [Downloadable!] (restricted)

1985

1. Miller, Marcus & Salmon, Mark, 1985. "Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies," Economic Journal, Royal Economic Society, vol. 95(380a), pages 124-37, Supplemen. [Downloadable!] (restricted)

1982

1. Salmon, Mark H, 1982. "Error Correction Mechanisms," Economic Journal, Royal Economic Society, vol. 92(367), pages 615-29, September. [Downloadable!] (restricted)

This page was last updated on 2009-11-1.