This file is part of IDEAS, which uses RePEc data

Economics and Finance Section, School of Social Sciences, Brunel University

CERF Discussion Paper Series

Contact information of Economics and Finance Section, School of Social Sciences, Brunel University:
Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK

For technical questions regarding this series, please contact (John.Hunter)
Series handle: repec:bru:brucer

Undated

94-02 The APT, Macroeconomic and Financial Factors, and Expectation Generating Processes
by Richard Priestley
97-04 Expected returns, risk and the integration of international bond markets
by David Barr & Richard Priestley
97-03 Risk factors in the Malaysian stock market
by Andrew Clare & Richard Priestley
97-02 Calculating the probability of failure of the Norwegian banking sector
by Andrew Clare & Richard Priestley
97-01 An asset pricing approach to estimating the persistence in expected returns
by Richard Priestley
96-16 An empirical study on contractual heterogeneity within the firm: the "vertical integration - incentive contracts" mix
by Luisa Affuso
96-15 Cointegration representation, identification and estimation
by John Hunter & C. Dislis
96-14 Excess stock returns and news: evidence from European markets
by Dimitrios Malliaropulos
96-13 Shocks, risk and the predictive power of long bond yields for future inflation
by Dimitrios Malliaropulos
96-12 Nonstationarity, structural breaks and the Fisher effect
by Dimitrios Malliaropulos
96-11 Identifying the effects of nominal and real shocks on the S&P 500 stock price index
by Dimitrios Malliaropulos
96-10 Long-run neutrality and superneutrality in an ARIMA framework: a note
by Dimitrios Malliaropulos
96-09 International stock return differentials and real exchange rate changes
by Dimitrios Malliaropulos
96-08 Testing for seasonal patterns in conditional return volatility: evidence from Asia-Pacific markets
by Andrew Clare & Ian Garrett & Greg Jones
96-07 Money, long-run superneutrality and real equity prices
by Dimitrios Malliaropulos
96-06 Explaining the stochastic trend in velocity of money
by Dimitrios Malliaropulos
96-05 Reports of beta's death are premature: evidence from the UK
by Andrew Clare, Richard Priestley & Steven Thomas
96-04 An infinitely divisible distribution in financial modelling
by Dimitrios Malliaropulos
96-03 Capital control liberalisation and stock market development
by Ross Levine & Sara Zervos
96-02 Industry and country components in emerging market stock returns
by Sara Zervos
96-01 Is equity a hedge against inflation in the long run? Evidence from the G5
by Dimitrios Malliaropulos
95-13 The effects of stock index futures trading on stock index volatility: an analysis of the asymmetric response of volatility to news
by Antonios Antoniou, Phil Holmes & Richard Priestley
95-12 Futures market efficiency, the unbiasedness hypothesis and variance bounds tests: the case of the FTSE-100 Futures Contract
by Antonios Antoniou & Phil Holmes
95-11 Stock markets, banks and economic growth
by Ross Levine & Sara Zervos
95-10 Modelling the dividend behaviour of the aggregate US stock market
by Ian Garrett & Richard Priestley
95-09 Inflation, real interest rates and the bond market: a study of UK nominal and index-linked Government bond prices
by David Barr & John Campbell
95-08 Utility neutral option pricing under transaction costs
by Mark Davis & Michael Monoyios
95-07 Tests of exogeneity for long run PPP and uncovered interest parity in an identified model of the UK effective exchange rate
by John Hunter & Mark Simpson
95-06 Seasonality, stock returns and the macroeconomy
by Richard Priestley
95-05 Do Assumptions about Factor Structure Matter in Identifying the Number of Significant Factors in Test of the APT ?
by Ian Garrett & Richard Priestley
95-04 The Effect of Regulatory Announcements on the Cost of Equity Capital of British Telecom (Revised May 1996)
by Antonios Antoniou & Gioia Pescetto
95-03 Common Factors and the Empirical Validity of the Arbitrage Pricing Theory
by Antonios Antoniou & Ian Garrett & Richard Priestley
95-02 The APT vs. the CAPM as a Description of Security Returns: The United Kindom Experience
by Antonios Antoniou & Ian Garrett & R. Priestly
95-01 Did Membership of the Exchange Rate Mechanism Reduce the Equity Market Risk Premium ?
by Antonios Antoniou & Ian Garrett & R. Priestly
94-07 Estimating the Cost of Capital of the UK's Newly Privatised Utilities
by Andrew Clare et al
94-06 Day of the Week Effects: Evidence from the Kuala Lumpur Stock Exchange
by Andrew Clare et al
94-05 On the Removal of Nonsynchronous Trading and Non Trading Effects from Security Prices and Stock Index Values
by Ian Garrett
94-04 Predicting the Returns from Stock Index Futures
by Andrew Clare et al
94-03 Volume-volatility Relations for Oil Crude Futures Markets
by Andrew Foster
94-02 A parsimonious cointegration representation for multi-cointegration
by John Hunter
94-01 Short versus Long Term Dependence in Stock Prices: Evidence from Variance Ratios and Rescaled Range Statistics
by Ian Garrett & Michael Gavrides
93-07 An Analysis of the Behaviour of International Oil Spot and Futures Markets during the Gulf Conflict
by Andrew Foster
93-06 A Note on: Global Macroeconomic shocks, Time-varying Covariances and Tests of the ICAPM
by Andrew Clare et al
93-05 Is the Gilt-Equity Yield Ratio useful for Predicting UK Stock Returns?
by Andrew Clare et al
93-04 Short-term and Long-term Efficiency in Commodity Spot and Futures Markets
by Antonios Antoniou & Andrew Foster
93-03 Beta Regression Tendencies when Stock Prices Cointegrate with the Market Index
by Papachristou
93-02 Macroeconomic Shocks and the Domestic CAPM: Evidence from the UK Stock Market
by Andrew Clare et al
93-01 Systematic Risk and Returns to Stock Index Futures Contracts: International Evidence
by Antonios Antoniou & Philip Holmes
92-06 Stock Index Futures and the October 1987 Stock Market Crash
by Antonios Antoniou & Ian Garrett
92-05 Are Financial Markets Effectively Functioning? Some Evidence From the UK Stock and Stock Index Futures Markets
by Antonios Antoniou & Ian Garrett
92-04 Price Dominance Between Spot and Futures Markets : A Reexamination using Error-Correction Models
by Antonios Antoniou & Andrew Foster
92-03 Global Identification of Linear Rational Expectations Models
by John Hunter
92-02 The Relationship between Futures Trading and Spot Price Volatility: Distinguishing Between the Message and the Messenger
by Antonios Antoniou & Philip Holmes
92-01 Tests of Futures Market Efficiency using Cointegration
by Antonios Antoniou & Andrew Foster
91-08 A Reexamination of the Case for Interest Ceilings on Consumer Credit
by Andrew Hartropp
91-07 Non-synchronous Trading and the October 1987 Crash
by Ian Garrett
91-06 Miller-Modigliani, Behavioural Models of Dividend Policy and the Dividend Behaviour of the Aggregate Stock Market : Some Evidence for the UK
by Ian Garrett & Richard Priestley
91-05 On the Implementation and Interpretation of the Market Model : An Alternative Approach
by Ian Garrett
91-04 The Capital Asset Pricing Model and Weekly Futures Returns : The Case of the FTSE-100 Stock Index Futures Contract
by Antonios Antoniou & Philip Holmes
91-03 Efficient Predictions of Inefficient Markets : An Analysis of Commodity Spot and Futures Markets
by Antonios Antoniou & Andrew Foster
91-02 Futures Trading and Spot Market Volatility : Evidence for Brent Crude Oil Using GARCH
by Antonios Antoniou & Andrew Foster
91-01 Using the Market Model : A Note
by Ian Garrett

Access and download statistics

Did you know? RePEc stands for Research Papers in Economics.

This page was last updated on 2008-12-2.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.