Publications at Financial Markets Group (FMG)<BR> London School of Economics (LSE)<BR> University of London<BR> London, United Kingdom

This file is part of IDEAS, which uses RePEc data

Publications

by members of

Financial Markets Group (FMG)
London School of Economics (LSE)
University of London
London, United Kingdom

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.

Working papers

Undated material is listed at the end

2009

E. Philip Davis, 2009. "Financial Stability in the United Kingdom: Banking on Prudence," OECD Economics Department Working Papers 717, OECD, Economics Department. [Downloadable!]
Javier Mencía & Enrique Sentana, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Banco de EspaÃ±a Working Papers 0909, Banco de España. [Downloadable!]
Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification?," Working Papers wp2009_0905, CEMFI. [Downloadable!]
Vicente Cuñat & Maria Guadalupe, 2009. "Globalization and the Provision of Incentives inside the Firm: The Effect of Foreign Competition," Economics Working Papers 1134, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
Heski Bar-Isaac & Guillermo Caruana & Vicente Cuñat, 2009. "Costly Search and Design," Economics Working Papers 1155, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
Heski Bar-Isaac & Guillermo Caruana & Vicente Cuñat, 2009. "Search, Design and Market Structure," Working Papers 09-17, NET Institute, revised Sep 2009. [Downloadable!]
António Afonso & Ricardo M. Sousa, 2009. "Fiscal policy, housing and stock prices," Working Paper Series 990, European Central Bank. [Downloadable!]
António Afonso & Ricardo M. Sousa, 2009. "The macroeconomic effects of fiscal policy," Working Paper Series 991, European Central Bank. [Downloadable!]
Ricardo M. Sousa & António Afonso, 2009. "Assessing Long-Term Fiscal Developments: Evidence from Portugal," NIPE Working Papers 1/2009, NIPE - Universidade do Minho. [Downloadable!]
António Afonso & Ricardo M. Sousa, 2009. "Assessing Long-Term Fiscal Developments: Evidence from Portugal," Working Papers 2009/03, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
Ricardo M. Sousa & António Afonso, 2009. "The Macroeconomic Effects of Fiscal Policy in Portugal: a Bayesian SVAR Analysis," NIPE Working Papers 3/2009, NIPE - Universidade do Minho. [Downloadable!]
Tuomas A. Peltonen & Ricardo M. Sousa & Isabel S. Vansteenkiste, 2009. "Wealth Effects in Emerging Market Economies," NIPE Working Papers 4/2009, NIPE - Universidade do Minho. [Downloadable!]
Davide Furceri & Ricardo M. Sousa, 2009. "The Impact of Government Spending on the Private Sector: Crowding-out versus Crowding-in Effects"," NIPE Working Papers 6/2009, NIPE - Universidade do Minho. [Downloadable!]
António Afonso & Luca Agnello & Davide Furceri & Ricardo M. Sousa, 2009. "Assessing Long-Term Fiscal Developments: a New Approach," NIPE Working Papers 7/2009, NIPE - Universidade do Minho. [Downloadable!]
António Afonso & Ricardo M. Sousa, 2009. "The Macroeconomic Effects of Fiscal Policy in Portugal: a Bayesian SVAR Analysis," Working Papers 2009/09, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
António Afonso & Luca Agnello & Davide Furceri & Ricardo M. Sousa, 2009. "Assessing Long-Term Fiscal Developments: a New Approach," Working Papers 2009/19, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
Luca Agnello & Ricardo M. Sousa, 2009. "The Determinants of Public Deficit Volatility," NIPE Working Papers 11/2009, NIPE - Universidade do Minho. [Downloadable!]
Ricardo M. Sousa, 2009. "Wealth Effetcs on Consumption: Evidence from the euro area," NIPE Working Papers 12/2009, NIPE - Universidade do Minho. [Downloadable!]
Ricardo M. Sousa, 2009. "Wealth Effects on Consumption - Evidence from the euro area," Working Paper Series 1050, European Central Bank. [Downloadable!]
Tuomas A. Peltonen & Ricardo M. Sousa & Isabel S. Vansteenkiste, 2009. "Wealth effects in emerging market economies," Working Paper Series 1000, European Central Bank. [Downloadable!]
Luca Agnello & Ricardo M. Sousa, 2009. "The determinants of public deficit volatility," Working Paper Series 1042, European Central Bank. [Downloadable!]
António Afonso & Luca Agnello & Davide Furceri & Ricardo Sousa, 2009. "Assessing long-term fiscal developments - a new approach," Working Paper Series 1032, European Central Bank. [Downloadable!]
Tuomas A. Peltonen & Ricardo M. Sousa & Isabel S. Vansteenkiste, 2009. "Fundamentals, Financial Factors and The Dynamics of Investment in Emerging Markets," NIPE Working Papers 19/2009, NIPE - Universidade do Minho. [Downloadable!]
Tuomas A. Peltonen & Ricardo M. Sousa & Isabel S. Vansteenkiste, 2009. "Asset prices, Credit and Investment in Emerging Markets," NIPE Working Papers 18/2009, NIPE - Universidade do Minho. [Downloadable!]
António Afonso & Peter Claeys & Ricardo M. Sousa, 2009. "Fiscal Regime Shifts in Portugal," IREA Working Papers 200921, University of Barcelona, Research Institute of Applied Economics, revised Oct 2009. [Downloadable!]
António Afonso, Peter Claeys and Ricardo M. Sousa, 2009. "Fiscal Regime Shifts in Portugal," Working Papers 2009/41, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
Michela Verardo & Andrew Patton, 2009. "Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows," FMG Discussion Papers dp630, Financial Markets Group. [Downloadable!] (restricted)
Luca Anderlini & Leonardo Felli & Andrew Postlewaite, 2009. "Should Courts Always Enforce What Contracting Parties Write?," PIER Working Paper Archive 09-004, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
Kose, M. Ayhan & Prasad, Eswar & Taylor, Ashley D., 2009. "Thresholds in the Process of International Financial Integration," IZA Discussion Papers 4133, Institute for the Study of Labor (IZA). [Downloadable!]
M. Ayhan Kose & Eswar S. Prasad & Ashley D. Taylor, 2009. "Thresholds in the Process of International Financial Integration," NBER Working Papers 14916, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Jan Bena, 2009. "The Effect of Credit Rationing on the Shape of the Competition-Innovation Relationship," FMG Discussion Papers dp629, Financial Markets Group. [Downloadable!] (restricted)
Bruche, Max & Suarez, Javier, 2009. "The Macroeconomics of Money Market Freezes," CEPR Discussion Papers 7304, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Dennis Kristensen & Antonio Mele, 2009. "Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models," CREATES Research Papers 2009-14, School of Economics and Management, University of Aarhus. [Downloadable!]
Antonio Mele & Francesco Sangiorgi, 2009. "Ambiguity, Information Acquisition and Price Swings in Asset Markets," FMG Discussion Papers dp633, Financial Markets Group. [Downloadable!] (restricted)

2008

Ali Al-Eyd & Ray Barrell & E. Philip Davis, 2008. "Consumer Confidence Indices And Short-Term Forecasting Of Consumption," NIESR Discussion Papers 304, National Institute of Economic and Social Research. [Downloadable!]
Francisco Peñaranda & Enrique Sentana, 2008. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Economics Working Papers 1101, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
Enrique Sentana & Javier Mencía, 2008. "Multivariate Location-Scale Mixtures Of Normals And Mean-Variance-Skwness Portfolio Allocation," Working Papers wp2008_0805, CEMFI. [Downloadable!]
Enrique Sentana & Dante Amegual, 2008. "A Comparison Of Mean-Variance Efficiency Tests," Working Papers wp2008_0806, CEMFI. [Downloadable!]
Enrique Sentana, 2008. "The Econometrics Of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI. [Downloadable!]
Enrique Sentana & Javier Mencía, 2008. "Distributional Tests In Multivariate Dynamic Models With Normal And Student T Innovations," Working Papers wp2008_0804, CEMFI. [Downloadable!]
Ferreira, Daniel & Ferreira, Miguel A. & Raposo, Clara C., 2008. "Board Structure and Price Informativeness," CEI Working Paper Series 2008-4, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
Adams, Renﾃｩe B. & Ferreira, Daniel, 2008. "Women in the Boardroom and Their Impact on Governance and Performance," CEI Working Paper Series 2008-7, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
Heski Bar-Isaac & Guillermo Caruana & Vicente Cunat, 2008. "Information Gathering and Marketing," Working Papers 08-17, New York University, Leonard N. Stern School of Business, Department of Economics. [Downloadable!]
Anisha Ghosh & Christian Julliard, 2008. "Can Rare Events Explain the Equity Premium Puzzle?," FMG Discussion Papers dp610, Financial Markets Group. [Downloadable!] (restricted)
Ricardo M. Sousa & António Afonso, 2008. "The Macroeconomic Effects of Fiscal Policy," NIPE Working Papers 22/2008, NIPE - Universidade do Minho. [Downloadable!]
Ricardo M. Sousa & António Afonso, 2008. "Fiscal Policy, Housing and Stock Prices," NIPE Working Papers 21/2008, NIPE - Universidade do Minho. [Downloadable!]
António Afonso & Ricardo M. Sousa, 2008. "The Macroeconomic Effects of Fiscal Policy," Working Papers 2008/56, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
António Afonso & Ricardo M. Sousa, 2008. "Fiscal Policy, Housing and Stock Prices," Working Papers 2008/58, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
Andrew J. Patton, 2008. "Copula-Based Models for Financial Time Series," OFRC Working Papers Series 2008fe21, Oxford Financial Research Centre. [Downloadable!]
Andrew J. Patton & Kevin Sheppard, 2008. "Evaluating Volatility and Correlation Forecasts," OFRC Working Papers Series 2008fe22, Oxford Financial Research Centre. [Downloadable!]
Andrew J. Patton & Allan Timmermann, 2008. "The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast," CREATES Research Papers 2008-54, School of Economics and Management, University of Aarhus. [Downloadable!]
Grant, Charles & Koulovatianos, Christos & Michaelides, Alexander & Padula, Mario, 2008. "Evidence on the Insurance Effect of Marginal Income Taxes," CEPR Discussion Papers 6710, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Luca Anderlini & Leonardo Felli & Alessandro Riboni, 2008. "Statute Law or Case Law?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
Anderlini, Luca & Felli, Leonardo & Riboni, Alessandro, 2008. "Statute Law or Case Law?," CEPR Discussion Papers 6912, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Luca Anderlini & Leonardo Felli & Alessandro Riboni, 2008. "Statute Law or Case Law?," Carlo Alberto Notebooks 83, Collegio Carlo Alberto. [Downloadable!]
Irwin, Gregor & Penalver, Adrian & Salmon, Chris & Taylor, Ashley, 2008. "Dealing with country diversity: challenges for the IMF credit union model," Bank of England working papers 349, Bank of England. [Downloadable!]
Nikolaj Schmidt & Ashley Taylor & Charles Goodhart & Amil Dasgupta, 2008. "Cycles, Contagion and Crises," FMG Special Papers sp183, Financial Markets Group. [Downloadable!] (restricted)
Jan Bena, 2008. "The Effect of Credit Rationing on the Shape of the Competition-Innovation Relationship," CERGE-EI Working Papers wp377, The Center for Economic Research and Graduate Education - Economic Institute, Prague. [Downloadable!]
Valentina Corradi & Antonio Mele & Walter Distaso, 2008. "Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia," FMG Discussion Papers dp616, Financial Markets Group. [Downloadable!] (restricted)
Antonio Mele, 2008. "Information Linkages and Correlated Trading," FMG Discussion Papers dp620, Financial Markets Group. [Downloadable!] (restricted)

2007

Bob Nobay & Ivan Paya & David A. Peel, 2007. "Inflation Dynamics in the US -A Nonlinear Perspective," FMG Discussion Papers dp601, Financial Markets Group. [Downloadable!] (restricted)
E. Philip Davis & Sybille Grob & Leo de Haan, 2007. "Pension fund finance and sponsoring companies: empirical evidence on theoretical hypotheses," DNB Working Papers 158, Netherlands Central Bank, Research Department. [Downloadable!]
Ángel León & Javier Mencía & Enrique Sentana, 2007. "Parametric properties of semi-nonparametric distributions, with applications to option valuation," Banco de EspaÃ±a Working Papers 0707, Banco de España. [Downloadable!]
Francisco Peñaranda & Enrique Sentana, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," Economics Working Papers 1058, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Working Paper Series 40-07, Rimini Centre for Economic Analysis, revised Jul 2007. [Downloadable!]
Diez de los Rios, Antonio & Sentana, Enrique, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," CEPR Discussion Papers 6516, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper Series 38-07, Rimini Centre for Economic Analysis, revised Jul 2007. [Downloadable!]
Antonio Diez de los Rios & Enrique Sentana, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," Working Papers 07-53, Bank of Canada. [Downloadable!]
Peñaranda, Francisco & Sentana, Enrique, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," CEPR Discussion Papers 6566, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Enrique Sentana & Gabriele Fiorentini, 2007. "On The Efficiency And Consistency Of Likelihood Estimation In Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI. [Downloadable!]
Enrique Sentana & Francisco Peñaranda, 2007. "Duality In Mean-Variance Frontiers With Conditioning Information," Working Papers wp2007_0715, CEMFI. [Downloadable!]
Enrique Sentana & Antonio Diez de los Rios, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," Working Papers wp2007_0714, CEMFI. [Downloadable!]
Rohit Rahi & Piero Gottardi, 2007. "Value of Information in Competitive Economies with Incomplete Markets," FMG Discussion Papers dp596, Financial Markets Group. [Downloadable!] (restricted)
Jean-Pierre Zigrand & Rohit Rahi, 2007. "Strategic Financial Innovation in Segmented Markets," FMG Discussion Papers dp595, Financial Markets Group. [Downloadable!] (restricted)
Piero Gottardi & Rohit Rahi, 2007. "Value of Information in Competitive Economies with Incomplete Markets," Working Papers 2007_25, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
Francisco Peñaranda & Jón Daníelsson, 2007. "On the Impact of Fundamentals, Liquidity and Coordination on Market Stability," Economics Working Papers 1003, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
Francisco Penaranda & Jon Danielsson, 2007. "On the Impact of Fundamentals, Liquidity and Coordination on Market Stability," FMG Discussion Papers dp586, Financial Markets Group. [Downloadable!] (restricted)
Carlo Fiorio & Vassilis Hajivassiliou, 2007. "Inference and Thick Tails: Some Surprising Results," UNIMI - Research Papers in Economics, Business, and Statistics 1054, Universitá degli Studi di Milano. [Downloadable!]
Vassilis Hajivassiliou & Frédérique Savignac, 2007. "Financing Constraints and a Firm’s Decision and Ability to Innovate: Establishing Direct and Reverse Effects," FMG Discussion Papers dp594, Financial Markets Group. [Downloadable!] (restricted)
Ferreira, Daniel & Ornelas, Emanuel & Turner, John L., 2007. "Unbundling Ownership and Control," CEPR Discussion Papers 6257, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
De Haas, Ralph & Ferreira, Daniel & Taci, Anita, 2007. "What determines banks’ customer choice? Evidence from transition countries," MPRA Paper 6319, University Library of Munich, Germany. [Downloadable!]
Heski Bar-Isaac & Guillermo Caruana & Vicente Cunat, 2007. "Information Gathering Externalities in Product Markets," Working Papers 07-19, New York University, Leonard N. Stern School of Business, Department of Economics. [Downloadable!]
Vicente Cuñat & Maria Guadalupe, 2007. "Executive Compensation and Competition in the Banking and Financial Sectors," FMG Discussion Papers dp598, Financial Markets Group. [Downloadable!] (restricted)
Brunnermeier, Markus K & Julliard, Christian, 2007. "Money Illusion and Housing Frenzies," CEPR Discussion Papers 6183, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Tullio Jappelli & Christian Julliard & Marco Pagano, 2007. "Households’ Portfolio Diversification," CSEF Working Papers 180, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]
Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho. [Downloadable!]
Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho. [Downloadable!]
Patton, Andrew J & Timmermann, Allan G, 2007. "Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts," CEPR Discussion Papers 6526, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Enrico Sette, 2007. "Competition and Opportunistic Advice of Financial Analysts: Theory and Evidence," FMG Discussion Papers dp592, Financial Markets Group. [Downloadable!] (restricted)
CÃ©line Rochon & Maral Shamloo & Andrew Feltenstein, 2007. "High Growth and Low Consumption in East Asia: How to Improve Welfare While Avoiding Financial Failures," IMF Working Papers 07/278, International Monetary Fund. [Downloadable!]
Gomes, Francisco J & Michaelides, Alexander, 2007. "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents," CEPR Discussion Papers 6136, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Alex Michaelides & Paula Lopes & Joachim Inkmann, 2007. "(UBS Paper 044) How Deep is the Annuity Market Participation Puzzle?," FMG Discussion Papers dp593, Financial Markets Group. [Downloadable!] (restricted)
Jan Bena & Stepan Jurajda, 2007. "Which Firms Benefit More from Financial Development?," CERGE-EI Working Papers wp330, The Center for Economic Research and Graduate Education - Economic Institute, Prague. [Downloadable!]
Bena, Jan & Jurajda, Stepan, 2007. "Financial Development and Growth in Direct Firm-Level Comparisons," CEPR Discussion Papers 6395, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Bena, Jan & Jurajda, Stepan, 2007. "Which Firms Benefit More from Financial Development?," CEPR Discussion Papers 6392, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Jan Bena, & Stepan Jurajda, 2007. "Financial Development and Growth in Direct Firm-Level Comparisons," CERGE-EI Working Papers wp317, The Center for Economic Research and Graduate Education - Economic Institute, Prague. [Downloadable!]
Andreas Jobst, 2007. "The Economics of Islamic Finance and Securitization," IMF Working Papers 07/117, International Monetary Fund. [Downloadable!]
Laura Valderrama & Hemant Shah & Andreas Jobst & Ivan Guerra, 2007. "Public Debt Markets in Central America, Panama, and the Dominican Republic," IMF Working Papers 07/147, International Monetary Fund. [Downloadable!]
Andreas Jobst, 2007. "Consistent Quantitative Operational Risk Measurement and Regulation: Challenges of Model Specification, Data Collection, and Loss Reporting," IMF Working Papers 07/254, International Monetary Fund. [Downloadable!]
Andreas Jobst, 2007. "Operational Risk--The Sting is Still in the Tail but the Poison Depends on the Dose," IMF Working Papers 07/239, International Monetary Fund. [Downloadable!]
Jens Hilscher & Yves Nosbusch, 2007. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Money Macro and Finance (MMF) Research Group Conference 2006 114, Money Macro and Finance Research Group, revised 24 Apr 2007. [Downloadable!]

2006

David C Webb, 2006. "(UBS Pensions series 034) Long-Term Care Insurance, Annuities and Asymmetric Information: The Case for Bundling Contracts," FMG Discussion Papers dp530, Financial Markets Group. [Downloadable!] (restricted)
David De Meza & David C Webb, 2006. "Incentive Design under Loss Aversion," FMG Discussion Papers dp571, Financial Markets Group. [Downloadable!] (restricted)
R. Sean Craig & E. Philip Davis & Antonio Garcia Pascual, 2006. "Sources Of Pro-Cyclicality In East Asian Financial Systems," Economics and Finance Discussion Papers 06-02, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
Casper G. de Vries & Mandira Sarma & Bjørn N. Jorgensen & Jean-Pierre Zigrand & Jon Danielsson, 2006. "Consistent Measures of Risk," FMG Discussion Papers dp565, Financial Markets Group. [Downloadable!] (restricted)
Jean-Pierre Zigrand & Jon Danielsson, 2006. "Equilibrium Asset Pricing with Systemic Risk," FMG Discussion Papers dp561, Financial Markets Group. [Downloadable!] (restricted)
Cuñat, Vicente & Guadalupe, Maria, 2006. "Globalization and the Provision of Incentives Inside the Firm," CEPR Discussion Papers 5950, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Heski Bar-Isaac & Guillermo Caruana & Vicente Cunat, 2006. "Diversity and demand externalities: How cheap information can reduce welfare," Working Papers 06-08, New York University, Leonard N. Stern School of Business, Department of Economics. [Downloadable!]
Vicente Cuñat & Maria Guadalupe, 2006. "Globalization and the Provision of Incentives Inside the Firm: The Effect of Foreign Competition," IZA Discussion Papers 2408, Institute for the Study of Labor (IZA). [Downloadable!]
Andrea Caggese & Vicente Cuñat, 2006. "Financing Constraints and Fixed-Term Employment Contracts," Economics Working Papers 1010, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
Markus K. Brunnermeier & Christian Julliard, 2006. "Money Illusion and Housing Frenzies," NBER Working Papers 12810, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Markus K Brunnermeier & Christian Julliard, 2006. "Money Illusion and Housing Frenzies," FMG Discussion Papers dp579, Financial Markets Group. [Downloadable!] (restricted)
Ricardo M. Sousa, 2006. "Consumption, (Dis)Aggregate Wealth and Asset Returns," Computing in Economics and Finance 2006 212, Society for Computational Economics.
Andrew Patton, 2006. "Volatility Forecast Comparison using Imperfect Volatility Proxies," Research Paper Series 175, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Alex Michaelides & Francisco Gomes & Valery Polkovnichenko, 2006. "Wealth Accumulation and Portfolio Choice with Taxable and Tax-Deferred Accounts," Computing in Economics and Finance 2006 23, Society for Computational Economics.
Charles Grant & Christos Koulovatianos & Alexander Michaelides & Mario Padula, 2006. "Evidence on the Insurance Effect of Redistributive Taxation," Vienna Economics Papers 1206, University of Vienna, Department of Economics. [Downloadable!]
Charles Grant & Christos Koulovatianos & Alexander Michaelides & Mario Padula, 2006. "Evidence on the Insurance Effect of Redistributive Taxation," Vienna Economics Papers 1106, University of Vienna, Department of Economics. [Downloadable!]
Luca Anderlini & Leonardo Felli & Andrew Postlewaite, 2006. "Should Courts always Enforce what Contracting Parties Write?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
Luca Anderlini & Leonardo Felli & Andrew Postlewaite, 2006. "Active Courts and Menu Contracts," STICERD - Theoretical Economics Paper Series /2006/511, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
Luca Anderlini & Leonardo Felli & Andrew Postlewaite, 2006. "Active Courts and Menu Contracts," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
Luca Anderlini & Leonardo Felli & Andrew Postlewaite, 2006. "Active Courts and Menu Contracts," PIER Working Paper Archive 06-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
Jan Hanousek & Jan Bena, 2006. "Rent Extraction by Large Shareholders: Evidence Using Dividend Policy in the Czech Republic," FMG Discussion Papers dp556, Financial Markets Group. [Downloadable!] (restricted)
Jan Bena & Jan Hanousek, 2006. "Rent Extraction by Large Shareholders: Evidence Using Dividend Policy in the Czech Republic," CERGE-EI Working Papers wp291, The Center for Economic Research and Graduate Education - Economic Institute, Prague. [Downloadable!]
Jan Bena, 2006. "Choice of Corporate Risk Management Tools under Moral Hazard," FMG Discussion Papers dp566, Financial Markets Group. [Downloadable!] (restricted)
Hiroko Oura & Andreas Jobst & Charles Frederick Kramer & Catriona Purfield, 2006. "Asian Equity Markets: Growth, Opportunities, and Challenges," IMF Working Papers 06/266, International Monetary Fund. [Downloadable!]
Carlos González-Aguado & Max Bruche, 2006. "Recovery Rates, Default Probabilities and the Credit Cycle," FMG Discussion Papers dp572, Financial Markets Group. [Downloadable!] (restricted)
Max Bruche, 2006. "Estimating Structural Models Of Corporate Bond Prices," Working Papers wp2006_0610, CEMFI. [Downloadable!]
Max Bruche & Carlos González Aguado, 2006. "Recovery Rates, Default Probabilities And The Credit Cycle," Working Papers wp2006_0612, CEMFI. [Downloadable!]

2005

David C Webb, 2005. "(UBS Pensions Series 032) Pension Plan Funding, Risk Sharing and Technology Choice," FMG Discussion Papers dp527, Financial Markets Group. [Downloadable!] (restricted)
E Philip Davis & Yu-Wei Hu, 2005. "Saving, Funding And Economic Growth," Economics and Finance Discussion Papers 05-02, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
E Philip Davis & Yu-Wei Hu, 2005. "Saving, Funding And Economic Growth," Public Policy Discussion Papers 05-02, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
E Philip Davis & CHRISTOS IOANNIDIS & NICOLA SPAGNOLO, 2005. "Stock Market Integration And European Monetary Union," Economics and Finance Discussion Papers 05-19, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
Ray Barrell & E Philip Davis, 2005. "Equity Prices And The Real Economy – A Vector Error-Correction Approach," Economics and Finance Discussion Papers 05-13, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
Ray Barrell & E Philip Davis, 2005. "Shocks And Shock Absorbers: The International Propagation Of Equity Market Shocks And The Design Of Appropriate Policy Responses," Economics and Finance Discussion Papers 05-12, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
E Philip Davis, 2005. "The Role Of Pension Funds As Institutional Investors In Emerging Markets," Economics and Finance Discussion Papers 05-18, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
E. Philip Davis & Haibin Zhu, 2005. "Commercial property prices and bank performance," BIS Working Papers 175, Bank for International Settlements. [Downloadable!]
Mencía, Javier & Sentana, Enrique, 2005. "Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations," CEPR Discussion Papers 5177, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
León, Ángel & Mencía, Javier & Sentana, Enrique, 2005. "Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation," CEPR Discussion Papers 5435, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Ángel León & Javier Mencía & Enrique Sentana, 2005. "Parametric Properties Of Semi-Nonparametric Distributions, With Applications To Option Valuation," Working Papers wp2005_0509, CEMFI. [Downloadable!]
Casper G. de Vries & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005. "Comparing Downside Risk Measures for Heavy Tailed Distributions," FMG Discussion Papers dp551, Financial Markets Group. [Downloadable!] (restricted)
Casper G. de Vries & Gennady Samorodnitsky & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005. "Subadditivity Re–Examined: the Case for Value-at-Risk," FMG Discussion Papers dp549, Financial Markets Group. [Downloadable!] (restricted)
Daniel Ferreira & Emanuel Ornelas & John L. Turner, 2005. "Ownership Structure and the Market for Corporate Control," IBMEC RJ Economics Discussion Papers 2005-09, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]
Adams, Renée B. & Ferreira, Daniel, 2005. "Do Directors Perform for Pay?," CEI Working Paper Series 2005-2, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
Heski Bar-Isaac & Vicente Cuñat, 2005. "Long Term Debt with Hidden Borrowing," Economics Working Papers 803, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
Vicente Cuñat & María Guadalupe, 2005. "How Does Product Market Competition Shape Incentive Contracts?," CEP Discussion Papers dp0687, Centre for Economic Performance, LSE. [Downloadable!]
Heski Bar-Isaac & Vicente Cuñat, 2005. "Long term debt with Hidden Borrowing," Working Papers 05-04, New York University, Leonard N. Stern School of Business, Department of Economics. [Downloadable!]
Ricardo M. Sousa, 2005. "Consumption, (Dis) Aggregate Wealth and Asset Returns," NIPE Working Papers 9/2005, NIPE - Universidade do Minho. [Downloadable!]
Andrew J. Patton & Allan Timmermann, 2005. "Testable Implications of Forecast Optimality," STICERD - Econometrics Paper Series /2005/485, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
Gomes, Francisco J & Michaelides, Alexander, 2005. "Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence," CEPR Discussion Papers 4853, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Francisco Gomes & Alex Michaelides, 2005. "(UBS Pensions Series 035) Asset Pricing with Limited Risk Sharing and Heterogeneous Agents," FMG Discussion Papers dp537, Financial Markets Group. [Downloadable!] (restricted)
Gomes, Francisco J & Michaelides, Alexander & Polkovnichenko, Valery, 2005. "Wealth Accumulation and Portfolio Choice with Taxable and Tax-Deferred Accounts," CEPR Discussion Papers 4852, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Alex Michaelides & Paula Lopes, 2005. "(UBS Pensions Series 039) Rare Events and Annuity Market Participation," FMG Discussion Papers dp553, Financial Markets Group. [Downloadable!] (restricted)
Leonardo Felli & Christopher Harris, 2005. "Firm-Specific Training," Levine's Bibliography 122247000000000839, UCLA Department of Economics. [Downloadable!]

2004

David De Meza & David C Webb, 2004. "Principal Agent Problems Under Loss Aversion: An Application to Executive Stock Options," FMG Discussion Papers dp478, Financial Markets Group. [Downloadable!] (restricted)
David C Webb, 2004. "(UBS Pensions series 23) Sponsoring Company Finance and Investment and Defined Benefit Pension Scheme Deficits," FMG Discussion Papers dp487, Financial Markets Group. [Downloadable!] (restricted)
Jakob B. Madsen & E. Philip Davis, 2004. "Equity Prices, Productivity Growth, and the 'New Economy'," EPRU Working Paper Series 04-05, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]
E Philip Davis & Christos Ioannidis, 2004. "External Financing of Us Corporations: Are Loans and Securities Complements or Substitutes?," Public Policy Discussion Papers 04-02, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
E Philip Davis & Christos Ioannidis, 2004. "External Financing of Us Corporations: Are Loans and Securities Complements or Substitutes?," Economics and Finance Discussion Papers 04-02, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
E Philip DaviS & Haibin Zhu, 2004. "Commercial property prices and bank performance," Public Policy Discussion Papers 04-19, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
E Philip Davis & Haibin Zhu, 2004. "Commercial property prices and bank performance," Economics and Finance Discussion Papers 04-19, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
Jakob B. Madsen & E. Philip Davis, 2004. "Equity Prices, Productivity Growth and 'The New Economy," FRU Working Papers 2004/11, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
E Philip Davis & Yuwei Hu, 2004. "Is There A Link Between Pension-Fund Assets And Economic Growth? - A Cross-Country Study," Public Policy Discussion Papers 04-23, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
E Philip Davis & Yuwei Hu, 2004. "Is There A Link Between Pension-Fund Assets And Economic Growth? - A Cross-Country Study," Economics and Finance Discussion Papers 04-23, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
Ray Barrell & E.Philip Davis, 2004. "Financial Liberalisation, Consumption and Wealth Effects in 7 OECD Countries," NIESR Discussion Papers 247, National Institute of Economic and Social Research. [Downloadable!]
Ray Barrell & E.Philip Davis, 2004. "Consumption, Financial and Real Wealth in the G-5 (revised December 2004)," NIESR Discussion Papers 232, National Institute of Economic and Social Research. [Downloadable!]
Ray Barrell & Olga Pomerantz & E.Philip Davis, 2004. "Costs of Financial Instability, Household-Sector Balance Sheets and Consumption," NIESR Discussion Papers 243, National Institute of Economic and Social Research. [Downloadable!]
Mark R. Stone & E. P. Davis, 2004. "Corporate Financial Structure and Financial Stability," IMF Working Papers 04/124, International Monetary Fund. [Downloadable!]
E. Philip Davis & Haibin Zhu, 2004. "Bank lending and commercial property cycles: some cross-country evidence," BIS Working Papers 150, Bank for International Settlements. [Downloadable!]
Enrique Sentana, 2004. "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," FMG Discussion Papers dp502, Financial Markets Group. [Downloadable!] (restricted)
Enrique Sentana & Francisco Penaranda, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," FMG Discussion Papers dp497, Financial Markets Group. [Downloadable!] (restricted)
Peñaranda, Francisco & Sentana, Enrique, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach," CEPR Discussion Papers 4422, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Francisco Javier Mencía & Enrique Sentana, 2004. "Estimation And Testing Of Dynamic Models With Generalised Hyperbolic Innovations," Working Papers wp2004_0411, CEMFI. [Downloadable!]
Francisco Peñaranda & Enrique Sentana, 2004. "Spanning Tests In Return And Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers wp2004_0410, CEMFI. [Downloadable!]
Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation Of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI. [Downloadable!]
Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-based estimation of latent generalised ARCH structures," OFRC Working Papers Series 2004fe02, Oxford Financial Research Centre. [Downloadable!]
Jean-Pierre Zigrand & Rohit Rahi, 2004. "Strategic Financial Innovation in Segmented Markets," FMG Discussion Papers dp520, Financial Markets Group. [Downloadable!] (restricted)
Rahi, Rohit & Zigrand, Jean-Pierre, 2004. "Strategic Financial Innovation in Segmented Markets," CEPR Discussion Papers 4176, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Jean-Pierre Zigrand & Ashley Taylor & Jon Danielsson, 2004. "(IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated?," FMG Discussion Papers dp518, Financial Markets Group. [Downloadable!] (restricted)
Moreira, Humberto Luiz Ataide & Costa, Cristiano Machado & Ferreira, Daniel Bernardo Soares, 2004. "Biased managers, organizational design, and incentive provision," Economics Working Papers (Ensaios Economicos da EPGE) 525, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
Vicente Cuñat & María Guadalupe, 2004. "Executive Compensation and Product Market Competition," CEP Discussion Papers dp0617, Centre for Economic Performance, LSE. [Downloadable!]
Cuñat, Vicente & Guadalupe, Maria, 2004. "Executive Compensation and Competition in the Banking and Financial Sectors," IZA Discussion Papers 1123, Institute for the Study of Labor (IZA). [Downloadable!]
Cuñat, Vicente & Guadalupe, Maria, 2004. "Executive Compensation and Competition in the Banking and Financial Sectors," CEPR Discussion Papers 4425, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Jonathan A. Parker & Christian Julliard, 2004. "Consumption Risk and the Cross-Section of Expected Returns," Working Papers 138, Princeton University, Woodrow Wilson School of Public and International Affairs, Discussion Papers in Economics.. [Downloadable!]
Yanqin Fan & Xiaohong Chen & Andrew Patton, 2004. "(IAM Series No 003) Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates," FMG Discussion Papers dp483, Financial Markets Group. [Downloadable!] (restricted)
Andrew Patton, 2004. "(IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral?," FMG Discussion Papers dp522, Financial Markets Group. [Downloadable!] (restricted)
Allan Timmermann & Andrew J. Patton, 2004. "Properties of Optimal Forecasts," Econometric Society 2004 North American Winter Meetings 234, Econometric Society. [Downloadable!]
Andrew Patton & Yanqin Fan & Xiaohong Chen, 2004. "Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates," Working Papers wp04-19, Warwick Business School, Financial Econometrics Research Centre. [Downloadable!]
Allan Timmermann & Andrew Patton, 2004. "Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity," Working Papers wp04-05, Warwick Business School, Financial Econometrics Research Centre. [Downloadable!]
Andrew Patton, 2004. "Modelling Asymmetric Exchange Rate Dependence," Working Papers wp04-04, Warwick Business School, Financial Econometrics Research Centre. [Downloadable!]
Francisco Gomes & Alexander Michaelides, 2004. "Aggregate Implications Of Defined Benefit And Defined Contribution Systems," Working Papers, Center for Retirement Research at Boston College 2003-16, Center for Retirement Research. [Downloadable!]
Alexander Michaelides & Francisco Gomes, 2004. "Aggregate Implications of Defined Benefit and Defined Contribution Systems," 2004 Meeting Papers 335, Society for Economic Dynamics.
Alex Michaelides & Francisco Gomes, 2004. "(UBS Pensions series 24) A Human Capital Explanation for an Asset Allocation Puzzle," FMG Discussion Papers dp491, Financial Markets Group. [Downloadable!] (restricted)
Francisco Gomes & Alex Michaelides & Valery Polkovnichenko, 2004. "(UBS Pensions series 28) Portfolio Choice and Wealth Accumulation with Taxable and Tax-Deferred Accounts," FMG Discussion Papers dp519, Financial Markets Group. [Downloadable!] (restricted)
Hassan Naqvi, 2004. "The Valuation of Corporate Debt with Default Risk," Finance 0410010, EconWPA. [Downloadable!]
Hassan Naqvi, 2004. "Banking Crises and the Lender of Last Resort: How crucial is the role of information?," Finance 0410009, EconWPA. [Downloadable!]
Christopher Harris & Leonardo Felli, 2004. "Firm-Specific Training," 2004 Meeting Papers 62, Society for Economic Dynamics.
Anderlini, Luca & Felli, Leonardo & Postlewaite, Andrew, 2004. "Should Courts Always Enforce What Contracting Parties Write?," CEPR Discussion Papers 4197, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Leonardo Felli & Christopher Harris, 2004. "Firm-Specific Training," STICERD - Theoretical Economics Paper Series /2004/473, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
Felli, Leonardo & Harris, Christopher J, 2004. "Firm-Specific Training," CEPR Discussion Papers 4580, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Leonardo Felli & Christopher Harris, 2004. "Firm-Specific Training," Economics Working Papers 0038, Institute for Advanced Study, School of Social Science. [Downloadable!]
Prasanna Gai & Ashley Taylor, 2004. "International financial rescues and debtor country moral hazard," Money Macro and Finance (MMF) Research Group Conference 2003 34, Money Macro and Finance Research Group. [Downloadable!]
Ashley Taylor & Prasanna Gai, 2004. "International financial rescues and debtor-country moral hazard," Econometric Society 2004 Far Eastern Meetings 561, Econometric Society.
Andreas Jobst, 2004. "The Basle Securitisation Framework Explained: The Regulatory Treatment of Asset Securitisation," CFS Working Paper Series 2004/21, Center for Financial Studies. [Downloadable!]
Antonio Mele & Filippo Altissimo, 2004. "Simulated Nonparametric Estimation of Continuous Time Models of Asset Prices and Returns," FMG Discussion Papers dp476, Financial Markets Group. [Downloadable!] (restricted)
Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," Econometric Society 2004 North American Summer Meetings 223, Econometric Society. [Downloadable!]
Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," FMG Discussion Papers dp489, Financial Markets Group. [Downloadable!] (restricted)
Mele, Antonio, 2004. "General Properties of Rational Stock-Market Fluctuations," Economics Series 153, Institute for Advanced Studies. [Downloadable!]

2003

David De Meza & David C Webb, 2003. "The Near Impossibility of Credit Rationing," FMG Discussion Papers dp459, Financial Markets Group. [Downloadable!] (restricted)
Byrne, Joseph B & E. Philip Davis, 2003. "Panel Estimation of the Impact of Uncertainty on Investment in the Industrial Countries," Royal Economic Society Annual Conference 2003 34, Royal Economic Society. [Downloadable!]
Joseph P. Byrne & E. Philip Davis, 2003. "Panel Estimation of the Impact of Exchange Rate Uncertainty on Investment in the Major Industrial Countries," NIESR Discussion Papers 208, National Institute of Economic and Social Research. [Downloadable!]
E Philip Davis, 2003. "Towards A Typology For Systemic Financial Instability," Public Policy Discussion Papers 03-20, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
E Philip Davis, 2003. "Towards A Typology For Systemic Financial Instability," Economics and Finance Discussion Papers 03-20, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
Joseph P. Byrne & E. Philip Davis, 2003. "Panel Estimation Of The Impact Of Exchange Rate Uncertainty On Investment In The Major Industrial Countries," Economics and Finance Discussion Papers 03-05, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
E Philip Davis, 2003. "Is There A Pensions Crisis In The Uk?," Economics and Finance Discussion Papers 03-21, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
E Philip Davis, 2003. "Is There A Pensions Crisis In The Uk?," Public Policy Discussion Papers 03-21, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
Jakob B Madsen & E Philip Davis, 2003. "Equity Prices, Productivity Growth, And ‘The New Economy’," Economics and Finance Discussion Papers 03-04, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
E Philip Davis & Christine Li, 2003. "Demographics And Financial Asset Prices In The Major Industrial Economies," Economics and Finance Discussion Papers 03-07, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
Joseph P. Byrne & E. Philip Davis, 2003. "Panel Estimation Of The Impact Of Exchange Rate Uncertainty On Investment In The Major Industrial Countries," Public Policy Discussion Papers 03-05, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
Jakob B Madsen & E Philip Davis, 2003. "Equity Prices, Productivity Growth, And ‘The New Economy’," Public Policy Discussion Papers 03-04, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
E Philip Davis & Christine Li, 2003. "Demographics And Financial Asset Prices In The Major Industrial Economies," Public Policy Discussion Papers 03-07, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
Davis, E. Philip, 2003. "Institutional investors, financial market efficiency, and financial stability," EIB Papers 4/2003, European Investment Bank, Economic and Financial Studies. [Downloadable!]
Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003. "Likelihood-based estimation of latent generalised ARCH structures," FMG Discussion Papers dp453, Financial Markets Group. [Downloadable!] (restricted)
Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003. "Likelihood-Based Estimation Of Latent Generalised Arch Structures," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
Jean-Pierre Zigrand & Jon Danielsson, 2003. "On time-scaling of risk and the square–root–of–time rule," FMG Discussion Papers dp439, Financial Markets Group. [Downloadable!] (restricted)
Burak Saltoglu & Jon Danielsson, 2003. "Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis," FMG Discussion Papers dp456, Financial Markets Group. [Downloadable!] (restricted)
Jonathan A. Parker & Christian Julliard, 2003. "Consumption Risk and Cross-Sectional Returns," NBER Working Papers 9538, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Christian Julliard, 2003. "The international diversification puzzle is not worse than you think," International Finance 0301004, EconWPA. [Downloadable!]
Ricardo M. Sousa, 2003. "Property of stocks and wealth effects on consumption," NIPE Working Papers 2/2003, NIPE - Universidade do Minho. [Downloadable!]
Timo Terasvirta & Clive W.J Granger & Andrew Patton, 2003. "Common factors in conditional distributions for Bivariate time series," FMG Discussion Papers dp455, Financial Markets Group. [Downloadable!] (restricted)
Patton, Andrew J & Timmermann, Allan G, 2003. "Properties of Optimal Forecasts," CEPR Discussion Papers 4037, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Francisco Gomes & Alex Michaelides, 2003. "(UBS Pensions series 20) Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence," FMG Discussion Papers dp474, Financial Markets Group. [Downloadable!] (restricted)
Charles GRANT & Christos KOULOVATIANOS & Alexander MICHAELIDES & Mario PADULA, 2003. "Redistributive Policies through Taxation: Theory and Evidence," Economics Working Papers ECO2003/13, European University Institute. [Downloadable!]
Alex Michaelides & Francisco Gomes, 2003. "(UBS Pensions series 18) Aggregate Implications of Defined Benefit and Defined Contribution Systems," FMG Discussion Papers dp469, Financial Markets Group. [Downloadable!] (restricted)
Charles Grant & Christos Koulovatianos & Alexander Michaelides & Mario Padula, 2003. "Redistributive Policies through Taxation: Theory and Evidence," CSEF Working Papers 100, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]
Gomes, Francisco J & Michaelides, Alexander, 2003. "Portfolio Choice with Internal Habit Formation: A Life-Cycle Model with Uninsurable Labour Income Risk," CEPR Discussion Papers 3868, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Leonardo Felli & Antonio Merlo, 2003. "Endogenous Lobbying," STICERD - Theoretical Economics Paper Series 448, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
Luca Anderlini & Leonardo Felli & Andrew Postlewaite, 2003. "Courts of Law and Unforeseen Contingencies," STICERD - Theoretical Economics Paper Series 447, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
Nabil I. Al-Najjar & Luca Anderlini & Leonardo Felli, 2003. "Undescribable Events," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
Nabil Al-Najjar & Luca Anderlini & Leonardo Felli, 2003. "Undescribable Contingencies," Discussion Papers 1370, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
Luca Anderlini & Leonardo Felli & Andrew Postlewaite, 2003. "Should Courts Always Enforce What Contracting Parties Write?," PIER Working Paper Archive 03-026, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
Luca Anderlini & Leonardo Felli & Andrew Postlewaite, 2003. "Should Courts Always Enforce What Contracting Parties Write?," PIER Working Paper Archive 06-024, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Oct 2006. [Downloadable!]
Andreas A. Jobst, 2003. "Verbriefung und ihre Auswirkung auf die Finanzmarktstabilität," Working Paper Series: Finance and Accounting 119, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
Andreas A. Jobst, 2003. "European Securitisation: A GARCH Model of CDO, MBS and Pfandbrief Spreads," Working Paper Series: Finance and Accounting 121, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]

2002

Joseph P. Byrne & E. Philip Davis, 2002. "Investment and Uncertainty in the G7," NIESR Discussion Papers 198, National Institute of Economic and Social Research. [Downloadable!]
E. Philip Davis, 2002. "Issues in the Regulation of Annuities Markets," CeRP Working Papers 26, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-based estimation of latent generalised ARCH structures," Economics Papers 2002-W19, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
Jean-Pierre Zigrand, 2002. "Rational Asset Pricing Implications from Realistic Trading Frictions," FMG Discussion Papers dp414, Financial Markets Group. [Downloadable!] (restricted)
Vicente Cuñat, 2002. "Trade Credit: Suppliers as Debt Collectors and Insurance Providers," Economics Working Papers 625, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2004. [Downloadable!]
Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J., 2002. "Common factors in conditional distributions," Working Paper Series in Economics and Finance 515, Stockholm School of Economics.
Andrew Patton, 2002. "(IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation," FMG Discussion Papers dp431, Financial Markets Group. [Downloadable!] (restricted)
Clive Granger & Timo TerÃ¤svirta & Andrew Patton, 2002. "Common Factors in Conditional Distributions," University of California at San Diego, Economics Working Paper Series 2002-19, Department of Economics, UC San Diego. [Downloadable!]
Al-Najjar, Nabil I. & Anderlini, Luca & Felli, Leonardo, 2002. "Unforeseen Contingencies," CEPR Discussion Papers 3271, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Felli, Leonardo & Roberts, Kevin W S, 2002. "Does Competition Solve the Hold-up Problem?," CEPR Discussion Papers 3535, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Felli, Leonardo & Merlo, Antonio, 2002. "Endogenous Lobbying," CEPR Discussion Papers 3174, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Nabil J Al-Najjar & Luca Anderlini & Leonardo Felli, 2002. "Unforeseen Contingencies," STICERD - Theoretical Economics Paper Series 431, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
Andreas A. Jobst, 2002. "Collateralized Loan Obligations (CLOs) – A Primer," Working Paper Series: Finance and Accounting 96, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
Andreas Jobst, 2002. "Loan Securitisation: Default Term Structure and Asset Pricing Based on Loss Prioritisation," FMG Discussion Papers dp422, Financial Markets Group. [Downloadable!] (restricted)
Antonio Mele, 2002. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Working Papers 460, Queen Mary, University of London, Department of Economics. [Downloadable!]

2001

David C Webb & David De Meza, 2001. "Saving Eliminates Credit Rationing," FMG Discussion Papers dp391, Financial Markets Group. [Downloadable!] (restricted)
Joseph P. Byrne & E. Philip Davis, 2001. "Disaggregate wealth and aggregate consumption: an investigation of empirical relationships for the G7," NIESR Discussion Papers 180, National Institute of Economic and Social Research. [Downloadable!]
E. Philip Davis & Paul Ashworth, 2001. "Some evidence on financial factors in the determination of aggregate business investment for the G7 countries," NIESR Discussion Papers 187, National Institute of Economic and Social Research. [Downloadable!]
E. P. Davis, 2001. "Multiple Avenues of Intermediation, Corporate Finance and Financial Stability," IMF Working Papers 01/115, International Monetary Fund. [Downloadable!]
Sentana, E., 2001. "Mean-Variance Portfolio Allocation with a Value at Risk Constraint," Papers 0105, Centro de Estudios Monetarios Y Financieros-.
Gabriele Fiorentini & Enrique Sentana, 2001. "Constrained Indirect Inference Estimation," FMG Discussion Papers dp384, Financial Markets Group. [Downloadable!] (restricted)
Enrique Sentana & Enrique Sentana, 2001. "Mean-Variance Portfolio allocation with a Value at Risk Constraint," FMG Discussion Papers dp380, Financial Markets Group. [Downloadable!] (restricted)
Sentana, Enrique, 2001. "Mean Variance Portfolio Allocation with a Value at Risk Constraint," CEPR Discussion Papers 2997, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Rohit Rahi & Piero Gottardi, 2001. "Efficiency Properties of Rational Expectations Equilibria with Asymmetric Information," FMG Discussion Papers dp381, Financial Markets Group. [Downloadable!] (restricted)
Gottardi, Piero & Rahi, Rohit, 2001. "Efficiency Properties of Rational Expectations Equilibria with Asymmetric Information," CEPR Discussion Papers 2922, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Jean-Pierre Zigrand & Jon Danielsson, 2001. "What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model," FMG Discussion Papers dp393, Financial Markets Group. [Downloadable!] (restricted)
Jean-Pierre Zigrand, 2001. "Rational Limits to Arbitrage," FMG Discussion Papers dp392, Financial Markets Group. [Downloadable!] (restricted)
Jean-Pierre Zigrand, 2001. "On Physics and Finance," FMG Special Papers sp128, Financial Markets Group. [Downloadable!] (restricted)
Jean-Pierre Zigrand & Jon Danielsson & Hyun Song Shin, 2001. "Asset Price Dynamics with Value-at-Risk Constrained Traders," FMG Discussion Papers dp394, Financial Markets Group. [Downloadable!] (restricted)
Jón Daníelsson & Bjørn N. Jorgensen & Casper G. de Vries & Xiaogang Yang, 2001. "Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation," Tinbergen Institute Discussion Papers 01-069/2, Tinbergen Institute. [Downloadable!]
Jón Daníelsson & Bjørn N. Jorgensen & Casper G. de Vries, 2001. "Incentives for Effective Risk Management," Tinbergen Institute Discussion Papers 01-094/2, Tinbergen Institute. [Downloadable!]
Con Keating & Hyun Song Shin & Charles Goodhart & Jon Danielsson, 2001. "An Academic Response to Basel II," FMG Special Papers sp130, Financial Markets Group. [Downloadable!] (restricted)
Dolores Cabral & Ricardo M. Sousa, 2001. "Indicadores de localização, especialização e diversificação e análise shift-share - uma aplicação às NUT III da Região Norte no período 1986-1998," NIPE Working Papers 13/2001, NIPE - Universidade do Minho. [Downloadable!]
Andrew J. Patton, 2001. "Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula," University of California at San Diego, Economics Working Paper Series 2001-09, Department of Economics, UC San Diego. [Downloadable!]
Andrew Patton, 2001. "Estimation of Copula Models for Time Series of Possibly Different Length," University of California at San Diego, Economics Working Paper Series 2001-17, Department of Economics, UC San Diego. [Downloadable!]
Michaelides, Alexander, 2001. "Portfolio Choice, Liquidity Constraints and Stock Market Mean Reversion," CEPR Discussion Papers 2823, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Alexander Michaelides, 2001. "Portfolio Choice, Liquidity Constraints and Stock Market Mean Reversion," Computing in Economics and Finance 2001 115, Society for Computational Economics.
Alexander Michaelides, 2001. "International Portfolio Choice and Liquidity Constraints: Can Small Information Costs Explain the Home Equity Bias Puzzle?," Computing in Economics and Finance 2001 116, Society for Computational Economics.
Michaelides, Alexander, 2001. "International Portfolio Choice: Liquidity Constraints and the Home Equity Bias Puzzle," CEPR Discussion Papers 3066, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Haliassos, Michalis & Michaelides, Alexander, 2001. "Portfolio Choice and Liquidity Constraints," CEPR Discussion Papers 2822, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
A. Abdelkhalek, A. Bilas and A. Michaelides, 2001. "Parallelization and Performance of Portfolio Choice Models," Computing in Economics and Finance 2001 114, Society for Computational Economics. [Downloadable!]
Michael Haliassos and Alexander Michaelides, 2001. "Calibration and Computation of Household Portfolio Models," Computing in Economics and Finance 2001 194, Society for Computational Economics. [Downloadable!]
Cornelli, Francesca & Felli, Leonardo, 2001. "How to Sell a (Bankrupt) Company?," CEPR Discussion Papers 2881, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Luca Anderlini & Leonardo Felli, 2001. "Transaction Costs and the Robustness of the Coase Theorem," STICERD - Theoretical Economics Paper Series 409, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
Anderlini, Luca & Felli, Leonardo & Postlewaite, Andrew, 2001. "Courts of Law and Unforeseen Contingencies," CEPR Discussion Papers 2835, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Leonardo Felli & Kevin Roberts, 2001. "Does Competition Solve the Hold-up Problem?," STICERD - Theoretical Economics Paper Series 414, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
Leonardo Felli & Antonio Merlo, 2001. "Endogenous Lobbying," PIER Working Paper Archive 04-043, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Oct 2004. [Downloadable!]
Luca Anderlini & Leonardo Felli & Andrew Postlewaite, 2001. "Courts of Law and Unforeseen Contingencies," PIER Working Paper Archive 06-001, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Jan 2006. [Downloadable!]
Fabio Fornari & Antonio Mele, 2001. "Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations," Temi di discussione (Economic working papers) 396, Bank of Italy, Economic Research Department. [Downloadable!]
Fabio Fornari & Antonio Mele, 2001. "A Simple Approach to the Estimation of Continuous Time CEV Stochastic Volatility Models of the Short-Term Rate," Temi di discussione (Economic working papers) 397, Bank of Italy, Economic Research Department. [Downloadable!]

2000

De Meza, D. & Webb, D.C., 2000. "Advantageous Selection in Insurance Market," Discussion Papers 00/07, University of Exeter, School of Business and Economics.
E.P. Davis, 2000. "Financial Stability in the Euro Area: Some Lessons from US Financial History," FMG Special Papers sp123, Financial Markets Group. [Downloadable!] (restricted)
Sentana, Enrique, 2000. "Did the EMS Reduce the Cost of Capital?," CEPR Discussion Papers 2640, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Manuel Arellano & Lars P. Hansen & Enrique Sentana, 2000. "Underidentification?," Econometric Society World Congress 2000 Contributed Papers 1824, Econometric Society. [Downloadable!]
Sentana, E., 2000. "Factor Representing Portfolios in Large Asset Markets," Papers 0001, Centro de Estudios Monetarios Y Financieros-.
Calzolari, G. & Fiorentini, G. & Sentana, E., 2000. "Constrained EMM and Indirect Inference Estimation," Papers 0005, Centro de Estudios Monetarios Y Financieros-.
Fiorentini, G. & Sentana, E. & Calzolari, G., 2000. "The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality," Papers 0007, Centro de Estudios Monetarios Y Financieros-.
Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2000. "The Score Of Conditionally Heteroskedastic Dynamic Regression Models With Student T Innovations, An Lm Test For Multivariate Normality," Working Papers. Serie AD 2000-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2000. "Constrained Emm And Indirect Inference Estimation," Working Papers. Serie AD 2000-26, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
Rohit Rahi, 2000. "Efficiency Properties of Rational Expectations Equilibria with Asymmetric Information," Econometric Society World Congress 2000 Contributed Papers 1468, Econometric Society. [Downloadable!]
J. Danielsson & L. de Haan & L. Peng & C.G. de Vries, 2000. "Using a bootstrap method to choose the sample fraction in tail index estimation," Econometric Institute Report 197, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Jon Danielsson, 2000. "The Emperor has no Clothes: Limits to Risk Modelling," FMG Special Papers sp126, Financial Markets Group. [Downloadable!] (restricted)
Danielsson, J. & Haan, L.F.M. de & Peng, L. & Vries, C.G. de, 2000. "Using a bootstrap method to choose the sample fraction in tail index estimation," Econometric Institute Report EI 2000-19/A Revision_Dat, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Vincente Cuñat, 2000. "Trade Credit: Suppliers as Debt Collectors and Insurance Providers," FMG Discussion Papers dp365, Financial Markets Group. [Downloadable!] (restricted)
Robert Engle & Andrew Patton, 2000. "Impacts of Trades in an Error-Correction Model of Quote Prices," University of California at San Diego, Economics Working Paper Series 2000-26, Department of Economics, UC San Diego. [Downloadable!]
Renato G. Flres Jr. & Cristian Huse, 2000. "Specification Testing Of Univariate Continuous-Time Interest Rate Models," Computing in Economics and Finance 2000 68, Society for Computational Economics.
Michael Haliassos, Alexander Michaelides, 2000. "Portfolio Choice And Liquidity Constraints," Computing in Economics and Finance 2000 297, Society for Computational Economics. [Downloadable!]
Leonardo Felli & Kevin Roberts, 2000. "Does Competition Solve the Hold-up Problem?," Econometric Society World Congress 2000 Contributed Papers 1714, Econometric Society. [Downloadable!]
Felli, L. & Roberts, K., 2000. "Does Competition Solve the Hold-Up Problem?," Economics Papers 2000-w11, Economics Group, Nuffield College, University of Oxford.
Felli, L. & Merlo, A., 2000. "Endogenous Lobbying," Working Papers 00-04, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
Luca Anderlini & Leonardo Felli, 2000. "Bounded Rationality and Incomplete Contracts," STICERD - Theoretical Economics Paper Series 407, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
Cornelli, Francesca & Felli, Leonhard, 2000. "How to Sell a (Bankrupt) Company," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
Felli, Leonhardo & Roberts, Kevin, 2000. "Does Competition Solve the Hold-Up Problem?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
Felli, Leonhardo & Merlo, Antonio, 2000. "Endogenous Lobbying," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
A. Mele, 2000. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," THEMA Working Papers 2000-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
F. Fornari & A. Mele, 2000. "Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations," THEMA Working Papers 2000-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
F. Fornari & A. Mele, 2000. "An Equilibrium Model of the Term Structure with Stochastic Volatility," THEMA Working Papers 2000-13, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]

1999

Olivier de Bandt & E Philip Davis, 1999. "A cross-country comparison of market structures in European banking," Working Paper Series 7, European Central Bank. [Downloadable!]
Sentana, Enrique, 1999. "Least Squares Predictions and Mean-Variance Analysis," CEPR Discussion Papers 2088, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Enrique Sentana & Enrique Sentana, 1999. "Least Squares Predictions and Mean-Variance Analysis," FMG Discussion Papers dp312, Financial Markets Group. [Downloadable!] (restricted)
Jean-Pierre Zigrand, 1999. "Arbitrage and Endogenous Market Integration," FMG Discussion Papers dp319, Financial Markets Group. [Downloadable!] (restricted)
Jon Danielsson & Richard Payne, 1999. "Real Trading Patterns and Prices in Spot Foreign Exchange Markets," FMG Discussion Papers dp320, Financial Markets Group. [Downloadable!] (restricted)
Vassilis A. Hajivassiliou & Yannis M. Ioannides, 1999. "Unemployment and Liquidity Constraints," Discussion Papers Series, Department of Economics, Tufts University 9925, Department of Economics, Tufts University. [Downloadable!]
Michael Haliassos & Alexandros Michaelides, 1999. "Portfolio Choice and Liquidity Constraints," University of Cyprus Working Papers in Economics 9918, University of Cyprus Department of Economics. [Downloadable!]
Felli, L. & Roberts, K., 1999. "Competition and Hold-Ups," Economics Papers 1999-w17, Economics Group, Nuffield College, University of Oxford.
Anderlini, Luca & Felli, Leonardo, 1999. "Costly Bargaining and Renegotiation," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
Anderlini, L. & Felli, L., 1999. "Costly Bargaining and Renegotiation," Discussion Paper Series In Economics And Econometrics 9910, Economics Division, School of Social Sciences, University of Southampton.
Antonio Mele & Fabio Fornari, 1999. "Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis," Computing in Economics and Finance 1999 912, Society for Computational Economics. [Downloadable!]
Antonio Mele & Fabio Fornari, 1999. "ARCH Models and Option Pricing: the Continuous-Time Connection," Computing in Economics and Finance 1999 113, Society for Computational Economics. [Downloadable!]

1998

A. Robert Nobay & David A. Peel, 1998. "Optimal Monetary Policy in a Model of Asymmetric Central Bank Preferences," FMG Discussion Papers dp306, Financial Markets Group. [Downloadable!] (restricted)
David C Webb, 1998. "The Impact of Liquidity Constraints on Bank Lending Policy," FMG Discussion Papers dp299, Financial Markets Group. [Downloadable!] (restricted)
E.P. Davis & Sinikka Salo, 1998. "Excess Capacity in EU and US Banking Sectors - Conceptual, Measurement and Policy Issues," FMG Special Papers sp105, Financial Markets Group. [Downloadable!] (restricted)
E.P. Davis, 1998. "Pension Fund Reform and European Financial Markets," FMG Special Papers sp107, Financial Markets Group. [Downloadable!] (restricted)
Rohit Rahi & James Dow, 1998. "Should Speculators be Taxed?," FMG Discussion Papers dp291, Financial Markets Group. [Downloadable!] (restricted)
Rohit Rahi & James Dow, 1998. "Informed Trading, Investment, and Welfare," FMG Discussion Papers dp292, Financial Markets Group. [Downloadable!] (restricted)
Jón Daníelsson & Casper G. de Vries, 1998. "Beyond the Sample: Extreme Quantile and Probability Estimation," Tinbergen Institute Discussion Papers 98-016/2, Tinbergen Institute. [Downloadable!]
Jón Daníelsson & Casper G. de Vries, 1998. "Value-at-Risk and Extreme Returns," Tinbergen Institute Discussion Papers 98-017/2, Tinbergen Institute. [Downloadable!]
Silvia Caserta & Jon Danielsson & Casper G. de Vries, 1998. "Abnormal Returns, Risk, and Options in Large Data Sets," Tinbergen Institute Discussion Papers 98-107/2, Tinbergen Institute. [Downloadable!]
Philipp Hartmann & Jon Danielsson, 1998. "The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor," FMG Special Papers sp100, Financial Markets Group. [Downloadable!] (restricted)
Jon Danielsson & Casper G. de Vries, 1998. "Beyond the Sample: Extreme Quantile and Probability Estimation," FMG Discussion Papers dp298, Financial Markets Group. [Downloadable!] (restricted)
Cornelli, Francesca & Felli, Leonardo, 1998. "Revenue Efficiency and Change of Control: The Case of Bankruptcy," CEPR Discussion Papers 2030, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Luca Anderlini & Leonardo Felli, 1998. "Costly Bargaining and Renegotiation - (Now published in Econometrica, 69(4) (March 2001), pp. 377-411.)," STICERD - Theoretical Economics Paper Series 361, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
Luca Anderlini & Leonardo Felli, 1998. "Costly Coasian Contracts," STICERD - Theoretical Economics Paper Series 362, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
Leonardo Felli & Francesca Cornelli, 1998. "Revenue Efficiency and Change of Control: The Case of Bankruptcy," FMG Discussion Papers dp300, Financial Markets Group. [Downloadable!] (restricted)
Fornari, F. & Mele, A., 1998. "ARCH Models and Option Pricing: The Continuous Time Connection," Papers 9830, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
F. Fornari & A. Mele, 1998. "ARCH Models and Option Pricing : The Continuous Time Connection," THEMA Working Papers 98-30, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

1997

E. Philip Davis, 1997. "Private Pensions in OECD Countries: The United Kingdom," OECD Labour Market and Social Policy Occasional Papers 21, OECD, Directorate for Employment, Labour and Social Affairs. [Downloadable!]
E. Philip Davis, 1997. "Les régimes de retraite privés dans les pays de l'OCDE : Le Royaume-Uni," OECD Labour Market and Social Policy Occasional Papers 21, OECD, Directorate for Employment, Labour and Social Affairs. [Downloadable!]
Sentana, E. & Fiorentini, G., 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model," Papers 9709, Centro de Estudios Monetarios Y Financieros-.
Sentana, E., 1997. "Least Squares Predictions and Mean-Variance Analysis," Papers 9711, Centro de Estudios Monetarios Y Financieros-.
Sentana, E., 1997. "The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models," Papers 9719, Centro de Estudios Monetarios Y Financieros-.
Angel León & Enrique Sentana, 1997. "Pricing Options on Assets with Predictable White Noise Returns," FMG Discussion Papers dp267, Financial Markets Group. [Downloadable!] (restricted)
Dow, J. & Rahi, R., 1997. "Should Speculators be Taxed?," Economics Working Papers eco97/21, European University Institute.
José M. Marín & Rohit Rahi, 1997. "Speculative Securities," Economics Working Papers 223, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
Rohit Rahi & José Marín, 1997. "Speculative Securities," FMG Discussion Papers dp268, Financial Markets Group. [Downloadable!] (restricted)
Dow, J & Rahi, R, 1997. "Informed Trading, Investment, and Welfare," Economics Working Papers eco97/03, European University Institute.
J. Danielsson & L. de Haan & L. Peng & C.G. de Vries, 1997. "Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation," Tinbergen Institute Discussion Papers 97-016/4, Tinbergen Institute. [Downloadable!]
Jon Danielsson, 1997. "Extreme Returns, Tail Estimation, and Value-at-Risk," FMG Discussion Papers dp273, Financial Markets Group. [Downloadable!] (restricted)
V A Hajivassiliou, 1997. "Testing Game-Theoretic Models of Price Fixing Behaviour," STICERD - Econometrics Paper Series /1997/324, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
V A Hajivassiliou, 1997. "Some Practical Issues in Maximum Simulated Likelihood," STICERD - Econometrics Paper Series /1997/340, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
V A Hajivassiliou & DL McFadden, 1997. "The Method of Simulated Scores for the Estimation of LDV Models," STICERD - Econometrics Paper Series /1997/328, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Alexander Michaelides & Serena Ng, 1997. "Estimating the Rational Expectations Model of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators," Boston College Working Papers in Economics 373, Boston College Department of Economics. [Downloadable!]
Anderlini, L. & Felli, L., 1997. "Costly Coasian Contracts," Cambridge Working Papers in Economics 9704, Faculty of Economics, University of Cambridge.
Leonardo Felli & Francois Ortalo-Magne, 1997. "Technological Innovations: Slumps and Booms," Microeconomics 9711002, EconWPA. [Downloadable!]

1996

Davis, E.P., 1996. "Public Pension, Pension Reform and Fiscal Policy," Papers 5, European Monetary Institute.
E.P. Davis, 1996. "The Role of Institutional Investors in the Evolution of Financial Structure and Behaviour," FMG Special Papers sp89, Financial Markets Group. [Downloadable!] (restricted)
Demos, A & Sentana, E, 1996. "An EM Algorithm for Conditionally Heteroskedastic Factor Models," Papers 9615, Centro de Estudios Monetarios Y Financieros-.
Fiorentini, G & Sentana, E, 1996. "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means," Papers 9617, Centro de Estudios Monetarios Y Financieros-.
James Dow & Rohit Rahi, 1996. "Informed Trading, Investment and Welfare," Archive Working Papers 029, Birkbeck, Department of Economics, Mathematics & Statistics.
José M. Marín & Rohit Rahi, 1996. "Information Revelation and Market Incompleteness," Economics Working Papers 145, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
Jose Marin & Rohit Rahi, 1996. "Information Revelation and Market Incompleteness," Archive Working Papers 024, Birkbeck, Department of Economics, Mathematics & Statistics.
Vries, Caspar de & Danielsson, Jon, 1996. "Tail Index and Quantile Estimation with Very High Frequency Data," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich.
Luca Anderlini & Leonardo Felli, 1996. "Costly Coasian Contracts," Game Theory and Information 9610006, EconWPA, revised 14 Oct 1996. [Downloadable!]
Luca Anderlini & Leonardo Felli, 1996. "Costly Contingent Contracts," STICERD - Theoretical Economics Paper Series 313, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Francesca Cornelli & Leonardo Felli, 1996. "Ex-ante Efficiency of Bankruptcy Procedures," Finance 9610001, EconWPA. [Downloadable!]
Leonardo Felli, 1996. "Preventing Collusion Through Discretion," STICERD - Theoretical Economics Paper Series 303, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Leonardo Felli & J M Villas-Boas, 1996. "Friendships in Vertical Relations - (Now published under the title Renegotiation and Collusion in Organisations, in Journal of Economics and Management Strategy, 9(4)(Winter 2001), pp.453-483.)," STICERD - Theoretical Economics Paper Series 314, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Leonardo Felli & J. Miguel Villas-Boas, 1996. ""Friendships" in Vertical Relations," Game Theory and Information 9609003, EconWPA, revised 21 Sep 1996. [Downloadable!]

1995

E.P. Davis, 1995. "Institutional Investors, Unstable Financial Markets and Monetary Policy," FMG Special Papers sp75, Financial Markets Group. [Downloadable!] (restricted)
E.P. Davis, 1995. "Financial Fragility in the Early 1990s - What Can Be Learnt from International Experience?," FMG Special Papers sp76, Financial Markets Group. [Downloadable!] (restricted)
Sentana, E. & Shah, M. & Wadhwani, S., 1995. "Has the EMS Reduced the Cost of Capital?," Papers 9514, Centro de Estudios Monetarios Y Financieros-.
Sentana,E., 1995. "Quadratic Arch Models," Papers 9517, Centro de Estudios Monetarios Y Financieros-.
Enrique Sentana, 1995. "Risk and Return in the Spanish Stock Market," FMG Discussion Papers dp212, Financial Markets Group. [Downloadable!] (restricted)
Vassilis A. Hajivassiliou & Yannis M. Ioannides, 1995. "Unemployment and Liquidity Constraints," Cowles Foundation Discussion Papers 1090, Cowles Foundation, Yale University. [Downloadable!]
Anderlini, L. & Felli, L., 1995. "Endogenous Agency Problems," Papers 200, Cambridge - Risk, Information & Quantity Signals.
Luca Anderlini & Leonardo Felli, 1995. "Describability and Agency Problems," Game Theory and Information 9511001, EconWPA, revised 20 Sep 1996. [Downloadable!]
Fornari, F. & Mele, A., 1995. "Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets," Papers 251, Banca Italia - Servizio di Studi.

1994

E.P. Davis, 1994. "An International Comparison of the Financing of Occupational Pensions," FMG Special Papers sp62, Financial Markets Group. [Downloadable!] (restricted)
E. P. Davis & S. G. B. Henry, 1994. "The Use of Financial Spreads as Indicator Variables: Evidence for the U.K. and Germany," IMF Working Papers 94/31, International Monetary Fund.
Sentana, E. & Shah, M., 1994. "An Index of Co-Movements in Financial Time Series," Papers 9415, Centro de Estudios Monetarios Y Financieros-.
Nijman, T. & Sentana, E., 1994. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses," Papers 9419, Centro de Estudios Monetarios Y Financieros-.
Sentana, E., 1994. "The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases," Papers 9420, Centro de Estudios Monetarios Y Financieros-.
Sentana, E., 1994. "A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix," Papers 9421, Centro de Estudios Monetarios Y Financieros-.
Vassilis A. Hajivassiliou & Daniel McFadden & Paul A. Ruud, 1994. "Simulation of Multivariate Normal Rectangle Probabilities: Theoretical and Computational Results," Cowles Foundation Discussion Papers 1021R, Cowles Foundation, Yale University. [Downloadable!]
Leonardo Felli & Christopher Harris, 1994. "Job Matching, Learning and the Distribution of Surplus (Revised version published in Journal of Political Economy, vol.104 (1996), pp.838-868 (new title: Learning, Wage Dynamics, and Firm-Specific Hum," STICERD - Theoretical Economics Paper Series 277, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.

1993

E.P. Davis, 1993. "Problems of Banking Regulation: An EC Perspective," FMG Special Papers sp59, Financial Markets Group. [Downloadable!] (restricted)
Davis, E.P. & DEC, 1993. "The structure, regulation, and performance of pension funds in nine industrial countries," Policy Research Working Paper Series 1229, The World Bank. [Downloadable!]
Nijman, T. & Sentana, E., 1993. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes," Papers 9312, Tilburg - Center for Economic Research.
Rohit Rahi, 1993. "Adverse Selection and Security Design," Economics Working Papers 64, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 1994. [Downloadable!]
Vassilis Argyrou Hajivassiliou, 1993. "Simulating Normal Rectangle Probabilities and Their Derivatives: The Effects of Vectorization," Working Papers _025, Yale University. [Downloadable!]
V.A. Hajivassiliou & P. A. Ruud, 1993. "Classical Estimation Methods for LDV Models Using Simulation," Econometrics 9311002, EconWPA. [Downloadable!]
Vassilis A. Hajivassiliou & Daniel L. McFadden & Paul Ruud, 1993. "Simulation of Multivariate Normal Rectangle Probabilities and their Derivatives: Theoretical and Computational Results," Working Papers _024, Yale University. [Downloadable!]
Vassilis A. Hajivassiliou, 1993. "Simulating Normal Rectangle Probabilities and Their Derivatives: The Effects of Vectorization," Cowles Foundation Discussion Papers 1049, Cowles Foundation, Yale University. [Downloadable!]
Vassilis A. Hajivassiliou & Yannis M. Ioannides, 1993. "Unemployment and Liquidity Constraints," Working Papers _019, Yale University. [Downloadable!]
Vassilis A. Hajivassiliou & Daniel L. McFadden, 1993. "The Method of Simulated Scores for the Estimation of LDV Models," Working Papers _023, Yale University. [Downloadable!]
Vassilis A. Hajivassiliou, 1993. "Testing Game-Theoretic Models of Price Fixing Behaviour," Working Papers _017, Yale University. [Downloadable!]
Stelios Corres & Vassilis A. Hajivassiliou & Yannis M. Ioannides, 1993. "An Empirical Investigation on the Dynamics of Qualitative Decisions of Firms," Working Papers _020, Yale University. [Downloadable!]
Vassilis A. Hajivassiliou, 1993. "Macroeconomic Shocks in an Aggregative Disequilibrium Model," Working Papers _016, Yale University. [Downloadable!]
Hajivassiliou, 1993. "Macroeconomic Shocks in an Aggregative Disequilibrium Model," Cowles Foundation Discussion Papers 1063, Cowles Foundation, Yale University. [Downloadable!]
Hajivassiliou, 1993. "A Simulation Estimation Analysis of the External Debt Crises of Developing Countries," Cowles Foundation Discussion Papers 1057, Cowles Foundation, Yale University. [Downloadable!]
Vassilis A. Hajivassiliou & Yannis M. Ioannides, 1993. "Duality, Consumption Decisions Under Uncertainty, and Liquidity Constraints: A Note," Working Papers _018, Yale University. [Downloadable!]
Vassilis A. Hajivassiliou, 1993. "A Simulation Estimation Analysis of the External Debt Crises of Developing Countries," Working Papers _022, Yale University. [Downloadable!]
Vassilis A. Hajivassiliou & Paul A. Ruud, 1993. "Classical Estimation Methods for LDV Models Using Simulation," Cowles Foundation Discussion Papers 1051, Cowles Foundation, Yale University. [Downloadable!]
Vassilis A. Hajivassiliou and Paul A. Ruud., 1993. "Classical Estimation Methods for LDV Models Using Simulation," Economics Working Papers 93-219, University of California at Berkeley.
Vassilis A. Hajivassiliou & Paul A. Ruud, 1993. "Handbook of Econometrics: Classical Estimation Methods for LDV Models Using Simulation," Working Papers _021, Yale University. [Downloadable!]
Luca Anderlini & Leonardo Felli, 1993. "Incomplete Written Contracts: Endogenous Agency Problems (Revised version, Describability and Agency Problems, published in European Economic Review, vol.42 (1998), pp.35-59.)," STICERD - Theoretical Economics Paper Series 267, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Luca Anderlini & Leonardo Felli, 1993. "Incomplete Written Contracts: Undescribable States of Nature (Now published in Quarterly Journal of Economics (1994), vol.109, pp.1085-1124.)," STICERD - Theoretical Economics Paper Series 263, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Anderlini, L. & Felli, L., 1993. "Incomplete Written Contracts: Undescribable States of Nature," Papers 183, Cambridge - Risk, Information & Quantity Signals.

1992

Rahi,Rohit, 1992. "Partially revealing rational expectations equilibria with nominal assets," Discussion Paper Serie A 387, University of Bonn, Germany.
Vassilis A. Hajivassiliou & Yannis M. Ioannides, 1992. "A Note on the Dual Approach to the Existence and Characterization of Optimal Consumption Decisions Under Uncertainty and Liquidity Constraints," Cowles Foundation Discussion Papers 1018, Cowles Foundation, Yale University. [Downloadable!]

1991

Davis, E Philip & Mayer, Colin, 1991. "Corporate Finance in the Euromarkets and the Economics of Intermediation," CEPR Discussion Papers 570, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Vassilis A. Hajivassiliou, 1991. "Simulation Estimation Methods for Limited Dependent Variable Models," Cowles Foundation Discussion Papers 1007, Cowles Foundation, Yale University. [Downloadable!]

1990

Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990. "Volatiltiy and Links Between National Stock Markets," NBER Working Papers 3357, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Axel Borsch-Supan & Vassilis Hajivassiliou & Laurence J. Kotlikoff & John N. Morris, 1990. "Health, Children, and Elderly Living Arrangements: A Multiperiod-Multinomial Probit Model with Unobserved Heterogeneity and Autocorrelated Errors," NBER Working Papers 3343, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Vassilis A. Hajivassiliou & Axel Borsch-Supan, 1990. "Smooth Unbiased Multivariate Probability Simulators for Maximum Likelihood Estimation of Limited Dependent Variable Models," Cowles Foundation Discussion Papers 960, Cowles Foundation, Yale University. [Downloadable!]
Vassilis A. Hajivassiliou & Daniel McFadden, 1990. "The Method of Simulated Scores for the Estimation of LDV Models with an Application to External Debt Crisis," Cowles Foundation Discussion Papers 967, Cowles Foundation, Yale University. [Downloadable!]
Vassilis A. Hajivassiliou, 1990. "Testing Game Theoretic Models of Price-Fixing Behaviour," Cowles Foundation Discussion Papers 935, Cowles Foundation, Yale University. [Downloadable!]

1989

Hajivassiliou, V. A., 1989. "Do the secondary markets believe in life after debt?," Policy Research Working Paper Series 252, The World Bank. [Downloadable!]
Vassilis A. Hajivassiliou, 1989. "Do the Secondary Markets Believe in Life After Debt?," Cowles Foundation Discussion Papers 911, Cowles Foundation, Yale University. [Downloadable!]

1988

Nobay, A.R. & Levy, E., 1988. "On The Bivariate Analysis Of Speculative Efficiency In Forward Markets," Papers 88-61, Chicago - Graduate School of Business.
E. Levy & A.R. Nobay, 1988. "On Evaluating Speculative Efficiency in Forward Markets," University of California at Los Angeles, Anderson Graduate School of Management 1191, Anderson Graduate School of Management, UCLA. [Downloadable!]

1987

Vassilis A. Hajivassiliou, 1987. "An Aggregative Disequilibrium Model of the U.S. Labour Market," Cowles Foundation Discussion Papers 848, Cowles Foundation, Yale University. [Downloadable!]
Peter C.B. Phillips & Vassilis A. Hajivassiliou, 1987. "Bimodal t-Ratios," Cowles Foundation Discussion Papers 842, Cowles Foundation, Yale University. [Downloadable!]

1986

Vassilis A. Hajivassiliou, 1986. "Temporal Dependence in Limited Dependent Variable Models: Theoretical and Monte-Carlo Results," Cowles Foundation Discussion Papers 803, Cowles Foundation, Yale University. [Downloadable!]
Vassilis A. Hajivassiliou, 1986. "Two Misspecification Tests for the Simple Switching Regressions Disequilibrium Model," Cowles Foundation Discussion Papers 792, Cowles Foundation, Yale University. [Downloadable!]

Undated

R J Colwell & E P Davis, . "Output, Productivity and Externalities - the Case of Banking," Bank of England working papers 3, Bank of England.
E P Davis, . "Bank Credit Risk," Bank of England working papers 8, Bank of England.
E. Philip Davis, . "An International Comparison of the Financing of Occupational Pensions," Pension Research Council Working Papers 94-15, Wharton School Pension Research Council, University of Pennsylvania.
Leonardo Felli & Kevin Roberts, . "Does Competition Solve the Hold-up Problem?," Penn CARESS Working Papers 4a7d448e61f494c5472087aed, Penn Economics Department. [Downloadable!]
Leonardo Felli & Francois Ortalo-Magne, . "Technological Innovations: Slumps and Booms," Penn CARESS Working Papers c468f14544cc51cba56e9b940, Penn Economics Department. [Downloadable!]
Luca Anderlini & Leonardo Felli, . "Costly Coasian Contracts," Penn CARESS Working Papers c5b2efc4326ca8bb8162440d6, Penn Economics Department. [Downloadable!]
Leonardo Felli & Antonio Merlo, . "Endogenous Lobbying," CARESS Working Papres 00-03, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences. [Downloadable!]
Francesca Cornelli & Leonardo Felli, . "Revenue Efficiency and Change of Control: The Case of Bankruptcy," Rodney L. White Center for Financial Research Working Papers 18-98, Wharton School Rodney L. White Center for Financial Research.
Leonardo Felli & Kevin Roberts, . "Does Competition Solve the Hold-up Problem?," CARESS Working Papres 00-04, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences. [Downloadable!]
Leonardo Felli & Francois Ortalo-Magne, . ""Technological Innovations: Slumps and Booms''," CARESS Working Papres 97-17, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences. [Downloadable!]
Luca Anderlini & Leonardo Felli, . ""Costly Coasian Contracts''," CARESS Working Papres 97-11, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences. [Downloadable!]
Luca Anderlini, Leonardo Felli, & Andrew Postlewaite, . "Should Courts Always Enforce What Contracting Parties Write?," Working Papers gueconwpa~03-03-29, Georgetown University, Department of Economics. [Downloadable!]
Luca Anderlini, Leonardo Felli & Andrew Postlewaite, . "Courts of Law and Unforeseen Contingencies," Working Papers gueconwpa~03-03-26, Georgetown University, Department of Economics. [Downloadable!]
Luca Anderlini & Leonardo Felli, . "Transaction Costs and the Robustness of the Coase Theorem," Working Papers gueconwpa~03-03-27, Georgetown University, Department of Economics. [Downloadable!]
Leonardo Felli & Antonio Merlo, . "Endogenous Lob," Penn CARESS Working Papers 1a3065cabe91a2a7ec65d93b0, Penn Economics Department. [Downloadable!]
Nabil Al-Najjar, Luca Anderlini & Leonardo Felli, . "Transaction Costs and the Robustness of the Coase Theorem," Working Papers gueconwpa~03-03-28, Georgetown University, Department of Economics. [Downloadable!]
Luca Anderlini & Leonardo Felli & Andrew Postlewaite, . "Active Courts and Menu Contracts," Working Papers gueconwpa~06-06-08, Georgetown University, Department of Economics. [Downloadable!]
Luca Anderlini & Leonardo Felli & Andrew Postlewaite, . "Should Courts Always Enforce What Contracting Parties Write?," Working Papers gueconwpa~06-06-07, Georgetown University, Department of Economics. [Downloadable!]
Prasanna Gai & Ashley Taylor, . "International financial rescues and debtor-country moral hazard," Bank of England working papers 217, Bank of England. [Downloadable!]
Michael Chui & Simon Hall & Ashley Taylor, . "Crisis spillovers in emerging market economies: interlinkages, vulnerabilities and investor behaviour," Bank of England working papers 212, Bank of England. [Downloadable!]

Journal articles

2009

Ali Al-Eyd & Ray Barrell & E. Philip Davis, 2009. "Consumer Confidence Indices And Short-Term Forecasting Of Consumption," Manchester School, University of Manchester, vol. 77(1), pages 96-111, 01. [Downloadable!] (restricted)
LeÃ³n, Ãngel & MencÃa, Javier & Sentana, Enrique, 2009. "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 176-192. [Downloadable!] (restricted)
Rohit Rahi & Jean-Pierre Zigrand, 2009. "Strategic Financial Innovation in Segmented Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(8), pages 2941-2971, August. [Downloadable!] (restricted)
Adams, Renée & Almeida, Heitor & Ferreira, Daniel, 2009. "Understanding the relationship between founder-CEOs and firm performance," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 136-150, January. [Downloadable!] (restricted)
Cuñat, Vicente & Guadalupe, Maria, 2009. "Executive compensation and competition in the banking and financial sectors," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 495-504, March. [Downloadable!] (restricted)
Vicente Cuñat & Maria Guadalupe, 2009. "Globalization and the Provision of Incentives inside the Firm: The Effect of Foreign Competition," Journal of Labor Economics, University of Chicago Press, vol. 27(2), pages 179-212, 04. [Downloadable!] (restricted)
Patton, Andrew J. & Sheppard, Kevin, 2009. "Optimal combinations of realised volatility estimators," International Journal of Forecasting, Elsevier, vol. 25(2), pages 218-238. [Downloadable!] (restricted)
Andrew Patton & Dimitris Politis & Halbert White, 2009. "Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White," Econometric Reviews, Taylor and Francis Journals, vol. 28(4), pages 372-375. [Downloadable!] (restricted)
Andrew J. Patton, 2009. "Are "Market Neutral" Hedge Funds Really Market Neutral?," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(7), pages 2295-2330, July. [Downloadable!] (restricted)
Filippo Altissimo & Antonio Mele, 2009. "Simulated Non-Parametric Estimation of Dynamic Models," Review of Economic Studies, Blackwell Publishing, vol. 76(2), pages 413-450, 04. [Downloadable!] (restricted)

2008

Davis, E. Philip & Karim, Dilruba, 2008. "Comparing early warning systems for banking crises," Journal of Financial Stability, Elsevier, vol. 4(2), pages 89-120, June. [Downloadable!] (restricted)
Davis, E. Philip & Madsen, Jakob B., 2008. "Productivity and equity market fundamentals: 80 years of evidence for 11 OECD countries," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1261-1283, December. [Downloadable!] (restricted)
Davis, E. Philip & Hu, Yu-Wei, 2008. "Does funding of pensions stimulate economic growth?," Journal of Pension Economics and Finance, Cambridge University Press, vol. 7(02), pages 221-249, July. [Downloadable!]
Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September. [Downloadable!] (restricted)
Jón Daníelsson & Bjørn Jorgensen & Casper Vries & Xiaoguang Yang, 2008. "Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation," Annals of Finance, Springer, vol. 4(3), pages 345-367, July. [Downloadable!] (restricted)
Jón Daníelsson & Jean-Pierre Zigrand, 2008. "Equilibrium asset pricing with systemic risk," Economic Theory, Springer, vol. 35(2), pages 293-319, May. [Downloadable!] (restricted)
Daníelsson, Jón, 2008. "Blame the models," Journal of Financial Stability, Elsevier, vol. 4(4), pages 321-328, December. [Downloadable!] (restricted)
Adams, Renée B. & Ferreira, Daniel, 2008. "Do directors perform for pay?," Journal of Accounting and Economics, Elsevier, vol. 46(1), pages 154-171, September. [Downloadable!] (restricted)
Renée Adams & Daniel Ferreira, 2008. "One Share-One Vote: The Empirical Evidence," Review of Finance, Oxford University Press for European Finance Association, vol. 12(1), pages 51-91. [Downloadable!] (restricted)
Andrea Caggese & Vicente Cuñat, 2008. "Financing Constraints and Fixed-term Employment Contracts," Economic Journal, Royal Economic Society, vol. 118(533), pages 2013-2046, November. [Downloadable!] (restricted)
Markus K. Brunnermeier & Christian Julliard, 2008. "Money Illusion and Housing Frenzies," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(1), pages 135-180, January. [Downloadable!] (restricted)
Francisco Gomes & Alexander Michaelides, 2008. "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(1), pages 415-448, January. [Downloadable!] (restricted)
Jan Bena & Jan Hanousek, 2008. "Rent Extraction by Large Shareholders: Evidence Using Dividend Policy in the Czech Republic," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(03-04), pages 106-130, May. [Downloadable!]
Heiko Hesse & Andreas (Andy) Jobst & Juan SolÃ©, 2008. "Trends and Challenges in Islamic Finance," World Economics, World Economics, Economic & Financial Publishing, PO Box 69, Henley-on-Thames, Oxfordshire, United Kingdom, RG9 1GB, vol. 9(2), pages 175-193, April. [Downloadable!]
Yves Nosbusch, 2008. "Interest Costs and the Optimal Maturity Structure Of Government Debt," Economic Journal, Royal Economic Society, vol. 118(527), pages 477-498, 03. [Downloadable!] (restricted)

2007

Ray Barrell & E. Philip Davis, 2007. "Financial Liberalisation, Consumption And Wealth Effects In Seven Oecd Countries," Scottish Journal of Political Economy, Scottish Economic Society, vol. 54(2), pages 254-267, 05. [Downloadable!] (restricted)
Yannis M. Ioannides & Vassilis A. Hajivassiliou, 2007. "Unemployment and liquidity constraints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(3), pages 479-510. [Downloadable!]
Renée B. Adams & Daniel Ferreira, 2007. "A Theory of Friendly Boards," Journal of Finance, American Finance Association, vol. 62(1), pages 217-250, 02. [Downloadable!] (restricted)
Patton, Andrew J. & Timmermann, Allan, 2007. "Properties of optimal forecasts under asymmetric loss and nonlinearity," Journal of Econometrics, Elsevier, vol. 140(2), pages 884-918, October. [Downloadable!] (restricted)
Patton, Andrew J. & Timmermann, Allan, 2007. "Testing Forecast Optimality Under Unknown Loss," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1172-1184, December. [Downloadable!] (restricted)
Lopes, Paula & Michaelides, Alexander, 2007. "Rare events and annuity market participation," Finance Research Letters, Elsevier, vol. 4(2), pages 82-91, June. [Downloadable!] (restricted)
Leonardo Felli & Antonio Merlo, 2007. "If You Cannot Get Your Friends Elected, Lobby Your Enemies," Journal of the European Economic Association, MIT Press, vol. 5(2-3), pages 624-635, 04-05. [Downloadable!] (restricted)
Campbell, John Y. & Nosbusch, Yves, 2007. "Intergenerational risksharing and equilibrium asset prices," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2251-2268, November. [Downloadable!] (restricted)
Mele, Antonio, 2007. "Asymmetric stock market volatility and the cyclical behavior of expected returns," Journal of Financial Economics, Elsevier, vol. 86(2), pages 446-478, November. [Downloadable!] (restricted)

2006

Barrell, Ray & Davis, E. Philip & Pomerantz, Olga, 2006. "Costs of financial instability, household-sector balance sheets and consumption," Journal of Financial Stability, Elsevier, vol. 2(2), pages 194-216, June. [Downloadable!] (restricted)
Jakob B Madsen & E Philip Davis, 2006. "Equity Prices, Productivity Growth and 'The New Economy'," Economic Journal, Royal Economic Society, vol. 116(513), pages 791-811, 07. [Downloadable!] (restricted)
Danielsson, Jon & Zigrand, Jean-Pierre, 2006. "On time-scaling of risk and the square-root-of-time rule," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2701-2713, October. [Downloadable!] (restricted)
Zigrand, Jean-Pierre, 2006. "Endogenous market integration, manipulation and limits to arbitrage," Journal of Mathematical Economics, Elsevier, vol. 42(3), pages 301-314, June. [Downloadable!] (restricted)
Danielsson, Jon & Jorgensen, Bjorn N. & Sarma, Mandira & de Vries, Casper G., 2006. "Comparing downside risk measures for heavy tailed distributions," Economics Letters, Elsevier, vol. 92(2), pages 202-208, August. [Downloadable!] (restricted)
Luis Braido & Daniel Ferreira, 2006. "Options can induce risk taking for arbitrary preferences," Economic Theory, Springer, vol. 27(3), pages 513-522, 04. [Downloadable!] (restricted)
Vicente Cunat, 2006. "Efficient Monopolies: The Limits of Competition in the European Property Insurance Market. By THOMAS VON UNGERN-STERNBERG," Economica, London School of Economics and Political Science, vol. 73(291), pages 553-554, 08. [Downloadable!] (restricted)
Andrew J. Patton, 2006. "Estimation of multivariate models for time series of possibly different lengths," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 147-173. [Downloadable!]
Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J., 2006. "Common factors in conditional distributions for bivariate time series," Journal of Econometrics, Elsevier, vol. 132(1), pages 43-57, May. [Downloadable!] (restricted)
Andrew J. Patton, 2006. "Modelling Asymmetric Exchange Rate Dependence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 47(2), pages 527-556, 05. [Downloadable!] (restricted)
Luca Anderlini & Leonardo Felli, 2006. "Transaction Costs and the Robustness of the Coase Theorem," Economic Journal, Royal Economic Society, vol. 116(508), pages 223-245, 01. [Downloadable!] (restricted)
Leonardo Felli & Antonio Merlo, 2006. "Endogenous Lobbying," Journal of the European Economic Association, MIT Press, vol. 4(1), pages 180-215, 03. [Downloadable!] (restricted)
Nabil I. Al-Najjar & Luca Anderlini & Leonardo Felli, 2006. "Undescribable Events," Review of Economic Studies, Blackwell Publishing, vol. 73(4), pages 849-868, October. [Downloadable!] (restricted)
Fornari, Fabio & Mele, Antonio, 2006. "Approximating volatility diffusions with CEV-ARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 30(6), pages 931-966, June. [Downloadable!] (restricted)

2005

Joseph P. Byrne & E. Philip Davis, 2005. "The Impact of Short- and Long-run Exchange Rate Uncertainty on Investment: A Panel Study of Industrial Countries," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(3), pages 307-329, 06. [Downloadable!] (restricted)
Joseph P. Byrne & E. Philip Davis, 2005. "Investment and Uncertainty in the G7," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 141(1), pages 1-32, April. [Downloadable!] (restricted)
E Philip Davis, 2005. "Challenges Posed by Ageing to Financial and Monetary Stability*," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan Journals, vol. 30(4), pages 542-564, October. [Downloadable!] (restricted)
Enrique Sentana, 2005. "Least Squares Predictions and Mean-Variance Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 3(1), pages 56-78. [Downloadable!] (restricted)
Jean-Pierre Zigrand, 2005. "Rational Asset Pricing Implications from Realistic Trading Frictions," Journal of Business, University of Chicago Press, vol. 78(3), pages 871-892, May. [Downloadable!]
Danielsson, Jon & Taylor, Ashley & Zigrand, Jean-Pierre, 2005. "Highwaymen or heroes: Should hedge funds be regulated?: A survey," Journal of Financial Stability, Elsevier, vol. 1(4), pages 522-543, October. [Downloadable!] (restricted)
Renée B. Adams & Heitor Almeida & Daniel Ferreira, 2005. "Powerful CEOs and Their Impact on Corporate Performance," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 18(4), pages 1403-1432. [Downloadable!] (restricted)
Costa, Cristiano M. & Ferreira, Daniel & Moreira, Humberto, 2005. "Biased managers, organizational design, and incentive provision," Economics Letters, Elsevier, vol. 86(3), pages 379-385, March. [Downloadable!] (restricted)
Vicente Cuñat & Maria Guadalupe, 2005. "How Does Product Market Competition Shape Incentive Contracts?," Journal of the European Economic Association, MIT Press, vol. 3(5), pages 1058-1082, 09. [Downloadable!] (restricted)
Jonathan A. Parker & Christian Julliard, 2005. "Consumption Risk and the Cross Section of Expected Returns," Journal of Political Economy, University of Chicago Press, vol. 113(1), pages 185-222, February.
Francisco Gomes & Alexander Michaelides, 2005. "Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence," Journal of Finance, American Finance Association, vol. 60(2), pages 869-904, 04. [Downloadable!] (restricted)

2004

E. Philip Davis, 2004. "Is there a Pensions Crisis in the U.K.?," The Geneva Papers on Risk and Insurance, The International Association for the Study of Insurance Economics, vol. 29(3), pages 343-370, 07. [Downloadable!] (restricted)
Byrne, Joseph P. & Davis, E. Philip, 2004. "Permanent and temporary inflation uncertainty and investment in the United States," Economics Letters, Elsevier, vol. 85(2), pages 271-277, November. [Downloadable!] (restricted)
Davis, E. Philip & Stone, Mark R., 2004. "Corporate financial structure and financial stability," Journal of Financial Stability, Elsevier, vol. 1(1), pages 65-91, September. [Downloadable!] (restricted)
E. Philip Davis, 2004. "Is there a Pensions Crisis in the U.K.?," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan Journals, vol. 29(3), pages 343-370, July. [Downloadable!] (restricted)
Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, 09. [Downloadable!] (restricted)
Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2004. "On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models," Economics Letters, Elsevier, vol. 83(3), pages 307-312, June. [Downloadable!] (restricted)
Sentana, Enrique, 2004. "Factor representing portfolios in large asset markets," Journal of Econometrics, Elsevier, vol. 119(2), pages 257-289, April. [Downloadable!] (restricted)
Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana, 2004. "Constrained Indirect Estimation," Review of Economic Studies, Blackwell Publishing, vol. 71(4), pages 945-973, October. [Downloadable!] (restricted)
Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre, 2004. "The impact of risk regulation on price dynamics," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1069-1087, May. [Downloadable!] (restricted)
Zigrand, Jean-Pierre, 2004. "A general equilibrium analysis of strategic arbitrage," Journal of Mathematical Economics, Elsevier, vol. 40(8), pages 923-952, December. [Downloadable!] (restricted)
Engle, Robert F. & Patton, Andrew J., 2004. "Impacts of trades in an error-correction model of quote prices," Journal of Financial Markets, Elsevier, vol. 7(1), pages 1-25, January. [Downloadable!] (restricted)
Andrew J. Patton, 2004. "On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 130-168. [Downloadable!] (restricted)
Anderlini, Luca & Felli, Leonardo, 2004. "Bounded rationality and incomplete contracts," Research in Economics, Elsevier, vol. 58(1), pages 3-30, March. [Downloadable!] (restricted)
Prasanna Gai & Ashley Taylor, 2004. "International Financial Rescues and Debtor-Country Moral Hazard," International Finance, Blackwell Publishing, vol. 7(3), pages 391-420, December. [Downloadable!] (restricted)

2003

A. Robert Nobay & David A. Peel, 2003. "Optimal Discretionary Monetary Policy in a Model of Asymmetric Central Bank Preferences," Economic Journal, Royal Economic Society, vol. 113(489), pages 657-665, 07. [Downloadable!] (restricted)
Joseph P. Byrne & E. Philip Davis, 2003. "Disaggregate Wealth and Aggregate Consumption: an Investigation of Empirical Relationships for the G7," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(2), pages 197-220, 05. [Downloadable!] (restricted)
Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2003. "Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 532-46, October.
Michael Haliassos & Alexander Michaelides, 2003. "Portfolio Choice and Liquidity Constraints," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(1), pages 143-177, February. [Downloadable!] (restricted)
Michaelides, Alexander, 2003. "A reconciliation of two alternative approaches towards buffer stock saving," Economics Letters, Elsevier, vol. 79(1), pages 137-143, April. [Downloadable!] (restricted)
Michaelides, Alexander, 2003. "International portfolio choice, liquidity constraints and the home equity bias puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 28(3), pages 555-594, December. [Downloadable!] (restricted)
Francisco Gomes & Alexander Michaelides, 2003. "Portfolio Choice With Internal Habit Formation: A Life-Cycle Model With Uninsurable Labor Income Risk," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 729-766, October. [Downloadable!] (restricted)
Antonio Mele, 2003. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 16(3), pages 679-716, July. [Downloadable!] (restricted)

2002

Davis, E. Philip, 2002. "Institutional investors, corporate governance and the performance of the corporate sector," Economic Systems, Elsevier, vol. 26(3), pages 203-229, September. [Downloadable!] (restricted)
Davis, E. Philip, 2002. "Prudent person rules or quantitative restrictions? The regulation of long-term institutional investors' portfolios," Journal of Pension Economics and Finance, Cambridge University Press, vol. 1(02), pages 157-191, July. [Downloadable!]
Enrique Sentana, 2002. "Did the EMS Reduce the Cost of Capital?," Economic Journal, Royal Economic Society, vol. 112(482), pages 786-809, October. [Downloadable!] (restricted)
Danielsson, Jon, 2002. "The emperor has no clothes: Limits to risk modelling," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1273-1296, July. [Downloadable!] (restricted)
Danielsson, Jon & Jorgensen, Bjorn N. & de Vries, Casper G., 2002. "Incentives for effective risk management," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1407-1425, July. [Downloadable!] (restricted)
Danielsson, J. & Payne, R., 2002. "Real trading patterns and prices in spot foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 203-222, April. [Downloadable!] (restricted)
Heitor Almeida & Daniel Ferreira, 2002. "Democracy and the Variability of Economic Performance," Economics and Politics, Blackwell Publishing, vol. 14(3), pages 225-257, November. [Downloadable!] (restricted)

2001

de Meza, David & Webb, David C, 2001. "Advantageous Selection in Insurance Markets," RAND Journal of Economics, The RAND Corporation, vol. 32(2), pages 249-62, Summer.
Sentana, Enrique & Fiorentini, Gabriele, 2001. "Identification, estimation and testing of conditionally heteroskedastic factor models," Journal of Econometrics, Elsevier, vol. 102(2), pages 143-164, June. [Downloadable!] (restricted)
Danielsson, J. & de Haan, L. & Peng, L. & de Vries, C. G., 2001. "Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation," Journal of Multivariate Analysis, Elsevier, vol. 76(2), pages 226-248, February. [Downloadable!] (restricted)
Sydney C. Ludvigson & Alexander Michaelides, 2001. "Does Buffer-Stock Saving Explain the Smoothness and Excess Sensitivity of Consumption?," American Economic Review, American Economic Association, vol. 91(3), pages 631-647, June. [Downloadable!] (restricted)
Kalyvitis, Sarantis & Michaelides, Alexander, 2001. "New evidence on the effects of US monetary policy on exchange rates," Economics Letters, Elsevier, vol. 71(2), pages 255-263, May. [Downloadable!] (restricted)
Anderlini, Luca & Felli, Leonardo, 2001. "Costly Bargaining and Renegotiation," Econometrica, Econometric Society, vol. 69(2), pages 377-411, March.
Fornari, Fabio & Mele, Antonio, 2001. "Volatility Smiles and the Information Content of News," Applied Financial Economics, Taylor and Francis Journals, vol. 11(2), pages 179-86, April. [Downloadable!] (restricted)
Fornari, Fabio & Mele, Antonio, 2001. "Recovering the probability density function of asset prices using garch as diffusion approximations," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 83-110, March. [Downloadable!] (restricted)

2000

Nobay, A. R. & Peel, D. A., 2000. "Optimal monetary policy with a nonlinear Phillips curve," Economics Letters, Elsevier, vol. 67(2), pages 159-164, May. [Downloadable!] (restricted)
Webb, David C, 2000. "The Impact of Liquidity Constraints on Bank Lending Policy," Economic Journal, Royal Economic Society, vol. 110(460), pages 69-91, January. [Downloadable!] (restricted)
de Meza, David & Webb, David, 2000. "Does credit rationing imply insufficient lending?," Journal of Public Economics, Elsevier, vol. 78(3), pages 215-234, November. [Downloadable!] (restricted)
De Bandt, Olivier & Davis, E. Philip, 2000. "Competition, contestability and market structure in European banking sectors on the eve of EMU," Journal of Banking & Finance, Elsevier, vol. 24(6), pages 1045-1066, June. [Downloadable!] (restricted)
Enrique Sentana, 2000. "The Likelihood Function of Conditionally Heteroskedastic Factor Models," Annales d'Economie et de Statistique, ADRES, issue 58, pages 02, Avril-Jui. [Downloadable!]
Dow, James & Rahi, Rohit, 2000. "Should Speculators Be Taxed?," Journal of Business, University of Chicago Press, vol. 73(1), pages 89-107, January. [Downloadable!] (restricted)
Marin, Jose M & Rahi, Rohit, 2000. "Information Revelation and Market Incompleteness," Review of Economic Studies, Blackwell Publishing, vol. 67(3), pages 563-79, July.
Danielsson, Jon & Morimoto, Yuji, 2000. "Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 18(2), pages 25-48, December. [Downloadable!]
Jon Danielsson & Casper G. De Vries, 2000. "Value-at-Risk and Extreme Returns," Annales d'Economie et de Statistique, ADRES, issue 60, pages 11, Octobre-D. [Downloadable!]
Kearney, Colm & Patton, Andrew J, 2000. "Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System," The Financial Review, Eastern Finance Association, vol. 35(1), pages 29-48, February.
Michaelides, Alexander & Ng, Serena, 2000. "Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators," Journal of Econometrics, Elsevier, vol. 96(2), pages 231-266, June. [Downloadable!] (restricted)
Leonardo Felli & J. Miguel Villas-Boas, 2000. "Renegotiation and Collusion in Organizations," Journal of Economics & Management Strategy, Blackwell Publishing, vol. 9(4), pages 453-483, December. [Downloadable!] (restricted)

1999

de Meza, David & Webb, David, 1999. "Wealth, Enterprise and Credit Policy," Economic Journal, Royal Economic Society, vol. 109(455), pages 153-63, April. [Downloadable!] (restricted)
Davis, E Philip, 1999. "Institutionalization and EMU: Implications for European Financial Markets," International Finance, Blackwell Publishing, vol. 2(1), pages 33-61, April. [Downloadable!] (restricted)
Enrique Sentana, 1999. "Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix," Spanish Economic Review, Springer, vol. 1(1), pages 79-90. [Downloadable!] (restricted)
Rohit Rahi & José M. Marín, 1999. "research articles : Speculative securities," Economic Theory, Springer, vol. 14(3), pages 653-668. [Downloadable!] (restricted)
Vicente Cuñat, 1999. "Determinantes del plazo de endeudamiento de las empresas españolas," Investigaciones Economicas, Fundación SEPI, vol. 23(3), pages 351-392, September. [Downloadable!]

1998

Demos, Antonis & Sentana, Enrique, 1998. "An EM Algorithm for Conditionally Heteroscedastic Factor Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 357-61, July.
Enrique Sentana, 1998. "The relation between conditionally heteroskedastic factor models and factor GARCH models," Econometrics Journal, Royal Economic Society, vol. 1(RegularPa), pages 1-9.
Pedro L. Sánchez-Torres & Enrique Sentana, 1998. "Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 22(1), pages 5-17, January. [Downloadable!]
Fiorentini, Gabriele & Sentana, Enrique, 1998. "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1101-18, November.
Demos, Antonis & Sentana, Enrique, 1998. "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June. [Downloadable!] (restricted)
Jon Danielsson & Casper G. de Vries & Bjorn N. Jorgensen, 1998. "The value of value at risk: statistical, financial, and regulatory considerations (summary)," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 107-108. [Downloadable!]
Danielsson, Jon, 1998. "Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 155-173, June. [Downloadable!] (restricted)
Vassilis A. Hajivassiliou & Daniel L. McFadden, 1998. "The Method of Simulated Scores for the Estimation of LDV Models," Econometrica, Econometric Society, vol. 66(4), pages 863-896, July.
Anderlini, Luca & Felli, Leonardo, 1998. "Describability and agency problems," European Economic Review, Elsevier, vol. 42(1), pages 35-59, January. [Downloadable!] (restricted)

1997

Michael, Panos & Nobay, A Robert & Peel, David A, 1997. "Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation," Journal of Political Economy, University of Chicago Press, vol. 105(4), pages 862-79, August.
Davis, E Philip & Fagan, Gabriel, 1997. "Are Financial Spreads Useful Indicators of Future Inflation and Output Growth in EU Countries?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(6), pages 701-14, Nov.-Dec.. [Downloadable!]
Enrique Sentana, 1997. "Risk and return in the Spanish stock market: some evidence from individual assets," Investigaciones Economicas, Fundación SEPI, vol. 21(2), pages 297-360, May. [Downloadable!]
Sentana, Enrique, 1997. "Multivariate Regression with Unequal Number of Observations?Solution," Econometric Theory, Cambridge University Press, vol. 13(04), pages 613-614, August. [Downloadable!]
Cornelli, Francesca & Felli, Leonardo, 1997. "Ex-ante efficiency of bankruptcy procedures," European Economic Review, Elsevier, vol. 41(3-5), pages 475-485, April. [Downloadable!] (restricted)
Fornari, Fabio & Mele, Antonio, 1997. "Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(1), pages 49-65, Jan.-Feb.. [Downloadable!]
Fornari, Fabio & Mele, Antonio, 1997. "Asymmetries and Non-linearities in Economic Activity," Applied Financial Economics, Taylor and Francis Journals, vol. 7(2), pages 203-06, April. [Downloadable!] (restricted)
Fabio Fornari & Antonio Mele, 1997. "Weak convergence and distributional assumptions for a general class of nonliner arch models," Econometric Reviews, Taylor and Francis Journals, vol. 16(2), pages 205-227. [Downloadable!] (restricted)

1996

Nijman, Theo & Sentana, Enrique, 1996. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 71-87. [Downloadable!] (restricted)
Sentana, Enrique, 1996. "Multivariate Regression with Unequal Number of Observations," Econometric Theory, Cambridge University Press, vol. 12(03), pages 586-587, August. [Downloadable!]
Rahi, Rohit, 1996. "Adverse Selection and Security Design," Review of Economic Studies, Blackwell Publishing, vol. 63(2), pages 287-300, April. [Downloadable!] (restricted)
Jón Daníelsson, 1996. "Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 1(1). [Downloadable!]
Hajivassiliou, Vassilis & McFadden, Daniel & Ruud, Paul, 1996. "Simulation of multivariate normal rectangle probabilities and their derivatives theoretical and computational results," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 85-134. [Downloadable!] (restricted)
Hajivassiliou, Vassilis A. & Ioannides, Yannis M., 1996. "Duality and liquidity constraints under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 20(6-7), pages 1177-1192. [Downloadable!] (restricted)
Felli, Leonardo & Harris, Christopher, 1996. "Learning, Wage Dynamics, and Firm-Specific Human Capital," Journal of Political Economy, University of Chicago Press, vol. 104(4), pages 838-68, August. [Downloadable!] (restricted)
Felli, Leonard & Harris, Christopher, 1996. "A Note on G. Bertola and L. Felli (1993) "Job Matching and the Distribution of Surplus"Ricerche Economiche,47, 65-92," Ricerche Economiche, Elsevier, vol. 50(3), pages 317-319, September. [Downloadable!] (restricted)
Fornari, Fabio & Mele, Antonio, 1996. "Modeling the changing asymmetry of conditional variances," Economics Letters, Elsevier, vol. 50(2), pages 197-203, February. [Downloadable!] (restricted)

1995

Michael, P & Nobay, A R & Peel, D A, 1995. "A Test for Rational Expectations When Some Variables Are I(2)," Applied Economics Letters, Taylor and Francis Journals, vol. 2(2), pages 42-44, February. [Downloadable!] (restricted)
Sentana, Enrique, 1995. "Quadratic ARCH Models," Review of Economic Studies, Blackwell Publishing, vol. 62(4), pages 639-61, October. [Downloadable!] (restricted)
Rahi, Rohit, 1995. "Partially revealing rational expectations equilibria with nominal assets," Journal of Mathematical Economics, Elsevier, vol. 24(2), pages 137-146. [Downloadable!] (restricted)
Rahi Rohit, 1995. "Optimal Incomplete Markets with Asymmetric Information," Journal of Economic Theory, Elsevier, vol. 65(1), pages 171-197, February. [Downloadable!] (restricted)
Duffie Darrell & Rahi Rohit, 1995. "Financial Market Innovation and Security Design: An Introduction," Journal of Economic Theory, Elsevier, vol. 65(1), pages 1-42, February. [Downloadable!] (restricted)

1994

Michael, P & Nobay, A R & Peel, D A, 1994. "The German Hyperinflation and the Demand for Money Revisited," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(1), pages 1-22, February. [Downloadable!] (restricted)
Michael, Panos & Nobay, A Robert & Peel, David, 1994. "Purchasing power parity yet again: evidence from spatially separated commodity markets," Journal of International Money and Finance, Elsevier, vol. 13(6), pages 637-657, December. [Downloadable!] (restricted)
Davis, E Philip & Henry, S G B & Pesaran, B, 1994. "The Role of Financial Spreads: Empirical Analysis of Spreads and Real Activity," The Manchester School of Economic & Social Studies, Blackwell Publishing, vol. 62(4), pages 374-94, December.
Davis, E Philip, 1994. "Banking, Corporate Finance, and Monetary Policy: An Empirical Perspective," Oxford Review of Economic Policy, Oxford University Press, vol. 10(4), pages 49-67, Winter.
King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, vol. 62(4), pages 901-33, July. [Downloadable!] (restricted)
Danielsson, Jon, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 393-95, October.
Danielsson, Jon, 1994. "Stochastic volatility in asset prices estimation with simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 375-400. [Downloadable!] (restricted)
Hajivassiliou, V A, 1994. "A Simulation Estimation Analysis of the External Debt Crises of Developing Countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(2), pages 109-31, April-Jun. [Downloadable!] (restricted)
Anderlini, Luca & Felli, Leonardo, 1994. "Incomplete Written Contracts: Undescribable States of Nature," The Quarterly Journal of Economics, MIT Press, vol. 109(4), pages 1085-1124, November. [Downloadable!] (restricted)
Fornari, Fabio & Mele, Antonio, 1994. "A stochastic variance model for absolute returns," Economics Letters, Elsevier, vol. 46(3), pages 211-214, November. [Downloadable!] (restricted)

1993

Nobay, A R & Michael, P, 1993. "Interest Arbitrage and Debt Management in the UK under Fixed Exchange Rates," Oxford Economic Papers, Oxford University Press, vol. 45(4), pages 605-17, October. [Downloadable!] (restricted)
Webb, David C, 1993. " The Trade-Off between Cash Flow and Net Present Value," Scandinavian Journal of Economics, Blackwell Publishing, vol. 95(1), pages 65-75.
Enrique Sentana, 1993. "The econometrics of the stock market I: rationality tests," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 401-420, September. [Downloadable!]
Enrique Sentana, 1993. "The econometrics of the stock market II: asset pricing," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 421-444, September. [Downloadable!]
Danielsson, J & Richard, J-F, 1993. "Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S153-73, Suppl. De. [Downloadable!] (restricted)
Borsch-Supan, Axel & Hajivassiliou, Vassilis A., 1993. "Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models," Journal of Econometrics, Elsevier, vol. 58(3), pages 347-368, August. [Downloadable!] (restricted)
Felli, Leonardo, 1993. "Turnovers and asymptotic behavior of workers," Economics Letters, Elsevier, vol. 42(1), pages 43-50. [Downloadable!] (restricted)
Bertola, Giuseppe & Felli, Leonardo, 1993. "Job matching and the distribution of producer surplus," Ricerche Economiche, Elsevier, vol. 47(1), pages 65-92, March. [Downloadable!] (restricted)

1992

Webb, David C, 1992. "Two-Period Financial Contracts with Private Information and Costly State Verification," The Quarterly Journal of Economics, MIT Press, vol. 107(3), pages 1113-23, August. [Downloadable!] (restricted)
de Mesa, David & Webb, David C., 1992. "Efficient credit rationing," European Economic Review, Elsevier, vol. 36(6), pages 1277-1290, August. [Downloadable!] (restricted)
Davis, E P, 1992. "Credit Quality Spreads, Bond Market Efficiency and Financial Fragility," The Manchester School of Economic & Social Studies, Blackwell Publishing, vol. 60(0), pages 21-46, Supplemen.
Colwell, R J & Davis, E P, 1992. " Output and Productivity in Banking," Scandinavian Journal of Economics, Blackwell Publishing, vol. 94(0), pages S111-29, Supplemen.
Sentana, Enrique & Wadhwani, Sushil B, 1992. "Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data," Economic Journal, Royal Economic Society, vol. 102(411), pages 415-25, March. [Downloadable!] (restricted)
Harvey, Andrew & Ruiz, Esther & Sentana, Enrique, 1992. "Unobserved component time series models with Arch disturbances," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 129-157. [Downloadable!] (restricted)

1991

Webb, David C, 1991. "Long-term Financial Contracts Can Mitigate the Adverse Selection Problem in Project Financing," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(2), pages 305-20, May. [Downloadable!] (restricted)
Webb, David C, 1991. "An Economic Evaluation of Insolvency Procedures in the United Kingdom: Does the 1986 Insolvency Act Satisfy the Creditors' Bargain?," Oxford Economic Papers, Oxford University Press, vol. 43(1), pages 139-57, January. [Downloadable!] (restricted)
Sentana, Enrique & Wadhwani, Sushil, 1991. "Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan," Review of Economic Studies, Blackwell Publishing, vol. 58(3), pages 547-63, May. [Downloadable!] (restricted)

1990

de Meza, David & Webb, David, 1990. "Risk, Adverse Selection and Capital Market Failure," Economic Journal, Royal Economic Society, vol. 100(399), pages 206-14, March.

1989

De Meza, David & Webb, David C., 1989. "The role of interest rate taxes in credit markets with divisible projects and asymmetric information," Journal of Public Economics, Elsevier, vol. 39(1), pages 33-44, June. [Downloadable!] (restricted)

1988

Levy, E. & Nobay, A. R., 1988. "Using bivariate autoregressive representations in testing exact expectations relations," Economics Letters, Elsevier, vol. 28(4), pages 343-349. [Downloadable!] (restricted)
De Meza, David & Webb, David C., 1988. "Credit market efficiency and tax policy in the presence of screening costs," Journal of Public Economics, Elsevier, vol. 36(1), pages 1-22, June. [Downloadable!] (restricted)
Enrique Sentana Ivañez, 1988. "Nota sobre la inclusión en el sistema de precios en un modelo de Leontief de dos regímenes de imposición indirecta sobre el consumo," Investigaciones Economicas, Fundación SEPI, vol. 12(1), pages 169-176, January. [Downloadable!]

1987

Webb, David C, 1987. "The Importance of Incomplete Information in Explaining the Existence of Costly Bankruptcy," Economica, London School of Economics and Political Science, vol. 54(215), pages 279-88, August. [Downloadable!] (restricted)
Webb, David C, 1987. "Conflict of Interest, Bond Rating and the Value Maximization Rule," Economica, London School of Economics and Political Science, vol. 54(216), pages 455-63, November. [Downloadable!] (restricted)
de Meza, David & Webb, David C, 1987. "Too Much Investment: A Problem of Asymmetric Information," The Quarterly Journal of Economics, MIT Press, vol. 102(2), pages 281-92, May. [Downloadable!] (restricted)
Davis, E P, 1987. "A Stock-Flow Consistent Macro-econometric Model of the UK Economy--Part I," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 2(2), pages 111-32, April. [Downloadable!] (restricted)
Davis, E P, 1987. "A Stock-flow Consistent Macro-econometric Model of the UK Economy--Part II," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 2(4), pages 259-307, October. [Downloadable!] (restricted)
Hajivassiliou, Vassilis A., 1987. "The external debt repayments problems of LDC's : An econometric model based on panel data," Journal of Econometrics, Elsevier, vol. 36(1-2), pages 205-230. [Downloadable!] (restricted)

1986

Levy, E & Nobay, A R, 1986. "The Speculative Efficiency Hypothesis: A Bivariate Analysis," Economic Journal, Royal Economic Society, vol. 96(380a), pages 109-21, Supplemen. [Downloadable!] (restricted)
Hajivassiliou, Vassilis Argyrou, 1986. "Two misspecification tests for the simple switching regressions disequilibrium model," Economics Letters, Elsevier, vol. 22(4), pages 343-348. [Downloadable!] (restricted)

1984

Webb, David C., 1984. "Imperfect information and credit market equilibrium," European Economic Review, Elsevier, vol. 26(1-2), pages 247-258. [Downloadable!] (restricted)
Davis, E P, 1984. "The Consumption Function in Macroeconomic Models: A Comparative Study," Applied Economics, Taylor and Francis Journals, vol. 16(6), pages 799-838, December.

1983

Webb, David C, 1983. "Contingent Claims, Personal Loans and the Irrelevance of Corporate Financial Structure," Economic Journal, Royal Economic Society, vol. 93(372), pages 832-46, December. [Downloadable!] (restricted)

1982

Nobay, A. R. & Peel, D. A., 1982. "The government behavioural constraint in rational expectations models," Economics Letters, Elsevier, vol. 9(3), pages 221-227. [Downloadable!] (restricted)
Webb, David C., 1982. "Default risk in a model of corporate and government finance," Journal of Public Economics, Elsevier, vol. 17(3), pages 287-306, April. [Downloadable!] (restricted)

1981

Webb, David C, 1981. "The Net Wealth Effect of Government Bonds When Credit Markets are Imperfect," Economic Journal, Royal Economic Society, vol. 91(362), pages 405-14, June. [Downloadable!] (restricted)

1977

Nobay, A Robert & Johnson, Harry G, 1977. "Monetarism: A Historic-Theoretic Perspective," Journal of Economic Literature, American Economic Association, vol. 15(2), pages 470-85, June. [Downloadable!] (restricted)
Nobay, A Robert & Johnson, Harry G, 1977. "Comment on D. A. Currie, "Some Criticisms of the Monetary Analysis of Balance of Payments Correction."," Economic Journal, Royal Economic Society, vol. 87(348), pages 769-70, December. [Downloadable!] (restricted)

1975

Johnson, Harry G & Nobay, A R, 1975. "James Edward Meade: A Partial Tribute," The Manchester School of Economic & Social Studies, Blackwell Publishing, vol. 43(3), pages 213-19, September.

1973

Nobay, A R, 1973. "The Bank of England, Monetary Policy and Monetary Theory in the United Kingdom, 1951-1971," The Manchester School of Economic & Social Studies, Blackwell Publishing, vol. 41(1), pages 43-58, March.

Books

1999

E Philip Davis, 1999. "Financial data needs for macroprudential surveillance - What are the key indicators of risks to domestic financial stability?," Lectures, Centre for Central Banking Studies, Bank of England, number 2. [Downloadable!]

Chapters

2008

E Philip Davis, 2008. "Liquidity, Financial Crises and the Lender of Last Resort – How Much of a Departure is the Sub-prime Crisis?," RBA Annual Conference Volume, in: Paul Bloxham & Christopher Kent (ed.), Lessons from the Financial Turmoil of 2007 and 2008 Reserve Bank of Australia. [Downloadable!]

2006

E Philip Davis, 2006. "How Will Ageing Affect the Structure of Financial Markets?," RBA Annual Conference Volume, in: Christopher Kent & Anna Park & Daniel Rees (ed.), Demography and Financial Markets Reserve Bank of Australia. [Downloadable!]

1996

E Philip Davis, 1996. "The Role of Institutional Investors in the Evolution of Financial Structure and Behaviour," RBA Annual Conference Volume, in: Malcom Edey (ed.), The Future of the Financial System Reserve Bank of Australia. [Downloadable!]

1992

Axel Borsch-Supan & Vassilis Hajivassiliou & Laurence J. Kotlikoff, 1992. "Health, Children, and Elderly Living Arrangements: A Multiperiod-Multinomial Probit Model with Unobserved Heterogeneity and Autocorrelated Errors," NBER Chapters, in: Topics in the Economics of Aging, pages 79-108 National Bureau of Economic Research, Inc. [Downloadable!]

1986

Hajivassiliou, Vassilis A. & Ruud, Paul A., 1986. "Classical estimation methods for LDV models using simulation," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 40, pages 2383-2441 Elsevier. [Downloadable!] (restricted)

Did you know? The most prolific authors have over 700 items listed on IDEAS.

This page was last updated on 2009-12-2.

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Publications

by members of

Financial Markets Group (FMG) London School of Economics (LSE) University of London London, United Kingdom

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Financial Markets Group (FMG)
London School of Economics (LSE)
University of London
London, United Kingdom