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Publications

by alumni of

University of Reading → Henley Business School

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters |

Working papers

2025

  1. Lajos Horváth & Emese Lazar & Zhenya Liu & Shixuan Wang & Xiaohan Xue, 2025, "Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models," Post-Print, HAL, number hal-05290588, Nov, DOI: 10.1080/07350015.2025.2540071.

2023

  1. Canback, Staffan, 2023, "Toward an Integrated Strategy Development Framework: A New Synthesis based on The Giants of the Past," MPRA Paper, University Library of Munich, Germany, number 117311, May.

2020

  1. Emese Lazar & Shuyuan Qi & Radu Tunaru, 2020, "Measures of Model Risk in Continuous-time Finance Models," Papers, arXiv.org, number 2010.08113, Oct, revised Oct 2020.

2018

  1. Carol Alexander & Emese Lazar & Silvia Stanescu, 2018, "Analytic Moments for GARCH Processes," Papers, arXiv.org, number 1808.09666, Aug, revised Sep 2018.

2017

  1. Emese Lazar & Ning Zhang, 2017, "Model Risk of Expected Shortfall," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2017-10, Nov.
  2. Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017, "Should Portfolio Model Inputs Be Estimated Using One or Two Economic Regimes?," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2017-07, Sep.
  3. Emmanouil Platanakis & Charles Sutcliffe, 2017, "Pension Schemes, Taxation and Stakeholder Wealth: The USS Rule Changes," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2017-08, Sep.
  4. Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017, "Harmful Diversification: Evidence from Alternative Investments," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2017-09, Sep.

2015

  1. Emmanouil Platanakis & Charles Sutcliffe, 2015, "Pension Scheme Redesign and Wealth Redistribution Between the Members and Sponsor: The USS Rule Change in October 2011," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2015-05, Apr.

2013

  1. Charles Sutcliffe, 2013, "Trading Death: The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2013-06, Jul.

2012

  1. Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012, "Futures basis, inventory and commodity price volatility: An empirical analysis," MPRA Paper, University Library of Munich, Germany, number 39903, Jul.
  2. Avino, Davide & Lazar, Emese & Varotto, Simone, 2012, "Price Discovery of Credit Spreads in Tranquil and Crisis Periods," MPRA Paper, University Library of Munich, Germany, number 42847, Jun.
  3. Avino, Davide & Lazar, Emese, 2012, "Rethinking Capital Structure Arbitrage," MPRA Paper, University Library of Munich, Germany, number 42850, Nov.
  4. Avino, Davide & Lazar, Emese & Varotto, Simone, 2012, "Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options," MPRA Paper, University Library of Munich, Germany, number 56781, Apr.

2011

  1. Carol Alexander & Emese Lazar & Silvia Stanescu, 2011, "Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2011-08, May.
  2. Adrian Bell & Chris Brooks & David Matthews & Charles Sutcliffe, 2011, "Over the Moon or Sick as a Parrot? The Effects of Football Results on a Club's Share Price," Post-Print, HAL, number hal-00709557, Jun, DOI: 10.1080/00036846.2011.577017.

2009

  1. Charles Sutcliffe, 2009, "Back to the Future: A Long Term Solution to the Occupational Pensions Crisis," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2009-13, Dec.

2008

  1. Carol Alexander & Emese Lazar, 2008, "Markov Switching GARCH Diffusion," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2008-01, Mar.

2007

  1. Canback, Staffan & D'Agnese, Frank, 2007, "Where in the world is the market? : The income distribution approach to understanding consumer demand in emerging countries," MPRA Paper, University Library of Munich, Germany, number 13854.
  2. Fei Chen & Charles Sutcliffe, 2007, "Better cross hedges with composite hedging? Hedging equity portfoloios using financial and commodity features," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2007-04, May.
  3. Charles Sutcliffe, 2007, "Should Defined Benefit Pension Schemes be Career Average or Final Salary?," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2007-06, Jun.
  4. Adrian Bell & Charles Sutcliffe, 2007, "Valuing Medieval Annuities: Were Corrodies Underpriced?," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2007-15, Nov, revised Jul 2009.

2005

  1. Carol Alexandra & Emese Lazar, 2005, "The Continuous Limit of GARCH Processess," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-09, Feb, revised Jul 2004.
  2. Carol Alexandra & Emese Lazar, 2005, "On The Continuous Limit of GARCH," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2005-13, Nov.
  3. Carol Alexandra & Emese Lazar, 2005, "Asymmetries and Volatility Regimes in the European Equity Markets," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2005-14, Nov.
  4. Charles Sutcliffe, 2005, "Merging Schemes: An Ecomomic Analysis of Defined Benefit Pension Scheme Merger Criteria," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2005-09, May.
  5. John Board & Charles Sutcliffe, 2005, "Joined-Up Pensions Policy in the UK: An Asset-Libility Model for Simultaneously Determining the Asset Allocation and Contribution Rate," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2005-11, Sep.
  6. John Board & Alfonso Dufour & Charles Sutcliffe & Stephen Wells, 2005, "A False Perception? The relative riskiness of AIM and listed Stocks," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2006-01, Oct.

2004

  1. Staffan Canback, 2004, "Diseconomies of scale in large corporations: Theory and empirical analysis," Industrial Organization, University Library of Munich, Germany, number 0402001, Feb.
  2. Carol Alexandra & Emese Lazar, 2004, "Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-05, Mar.
  3. Carol Alexandra & Emese Lazar, 2004, "The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-13, Oct.

2003

  1. Staffan Canback & Phillip Samouel & David Price, 2003, "Strategy and structure in interaction: What determines the boundaries of the firm?," Industrial Organization, University Library of Munich, Germany, number 0303003, Mar, revised 17 Mar 2003.
  2. Staffan Canback, 2003, "Bureaucratic limits of firm size: Academic summary," Industrial Organization, University Library of Munich, Germany, number 0304006, Apr, revised 10 Nov 2003.
  3. Staffan Canback, 2003, "Bureaucratic limits of firm size: Practitioner's summary," Industrial Organization, University Library of Munich, Germany, number 0311001, Nov, revised 03 Jun 2005.
  4. Carol Alexandra & Emese Lazar, 2003, "Symmetric Normal Mixture GARCH," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2003-09, May.

2002

  1. Stephen Wells & Charles Sutcliffe & John Board, 2002, "Market Regulation in a Dynamic Environment," FMG Special Papers, Financial Markets Group, number sp144, Jul.

2001

  1. Sun, P. & Sutcliffe, C., 2001, "Scheduled Announcements and Volatility Patterns: The Effects of Monetary Policy Committee Announcements on LIBOR and Short Sterling Futures and Options," Papers, University of Southampton - Department of Accounting and Management Science, number 01-177.

2000

  1. Bennell, J. & Sutcliffe, C., 2000, "Black-Scholes Versus Neural Networks in Pricing FTSE 100 Options," Papers, University of Southampton - Department of Accounting and Management Science, number 00-156.

1999

  1. Board, J. & Sutcliffe, C. & Ziemba, W., 1999, "The Application of Operations Research Techniques to Financial Markets," Papers, University of Southampton - Department of Accounting and Management Science, number 99-147.
  2. Zacharatos, N. & Sutcliffe, C., 1999, "Is the Forward Rate for the Greek Drachma Unbiased? A VECM Analysis with both Overlapping and Non-Overlapping Data," Papers, University of Southampton - Department of Accounting and Management Science, number 99-151.

1998

  1. Staffan Canback, 1998, "Managerial diseconomies of scale: Literature survey and hypotheses anchored in transaction cost economics," Industrial Organization, University Library of Munich, Germany, number 9810001, Oct, revised 04 Oct 2002.
  2. Staffan Canback, 1998, "Transaction cost theory and management consulting: Why do management consultants exist?," Industrial Organization, University Library of Munich, Germany, number 9810002, Oct, revised 15 Nov 2002.

1996

  1. Board, J. & Sutcliffe, C., 1996, "The Effects of Spot Transparency on Bid-Ask Spreads and Volume of Traded Share Options," Papers, University of Southampton - Department of Accounting and Management Science, number 96-126.

1995

  1. Board, J. & Sutcliffe, C., 1995, "The Performance of Covered Calls and Protective Puts," Papers, University of Southampton - Department of Accounting and Management Science, number 105.

1994

  1. Beattie, V. & Casson, P. & Dale, R. & McKenzie, G. & Sutcliffe, C. & Turner, M., 1994, "Loan Loss Provision by International Banks: Estimation, Determinants and Evidence," Papers, University of Southampton - Department of Accounting and Management Science, number 94-90.

1993

  1. Board, J. & Sutcliffe, C., 1993, "The Dual Listing of Stock Index Futures: Arbitrage, Spread Arbitrage and Currency Risk," Papers, University of Southampton - Department of Accounting and Management Science, number 93-76.

Journal articles

2026

  1. Lajos Horváth & Emese Lazar & Zhenya Liu & Shixuan Wang & Xiaohan Xue, 2026, "Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 44, issue 2, pages 482-496, April, DOI: 10.1080/07350015.2025.2540071.
  2. Haitong Jiang & Emese Lazar & Miriam Marra, 2026, "Improving Implied Volatility Forecasts for American Options Using Neural Networks," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 46, issue 6, pages 1137-1153, June, DOI: 10.1002/fut.70101.
  3. Lamperti, Fabio & Castellani, Davide, 2026, "Automation and the risk of labor market exclusion across Europe," Structural Change and Economic Dynamics, Elsevier, volume 77, issue C, pages 62-76, DOI: 10.1016/j.strueco.2025.12.014.
  4. Marco Cucculelli & Fabio Lamperti & Jasmine Mondolo & Fabrizio Pompei & Francesco Venturini, 2026, "Firm adoption of Industry 4.0 technologies in times of economic turmoil: the role of enabling factors," The Journal of Technology Transfer, Springer, volume 51, issue 4, pages 2455-2485, August, DOI: 10.1007/s10961-025-10263-1.
  5. Fabio Lamperti & Katiuscia Lavoratori & Luigi Tredicine, 2026, "From globalization to reshoring? The role of Industry 4.0 in global value chains across Europe," Economics of Innovation and New Technology, Taylor & Francis Journals, volume 35, issue 3, pages 401-423, April, DOI: 10.1080/10438599.2025.2487145.

2025

  1. Lazar, Emese & Zhang, Ning, 2025, "Model Risk of Volatility Models," Econometrics and Statistics, Elsevier, volume 35, issue C, pages 1-22, DOI: 10.1016/j.ecosta.2022.06.002.
  2. Huang, Xinyu & Newton, David P. & Platanakis, Emmanouil & Sutcliffe, Charles, 2025, "Single-stage portfolio optimization with automated machine learning for M6," International Journal of Forecasting, Elsevier, volume 41, issue 4, pages 1450-1460, DOI: 10.1016/j.ijforecast.2024.08.004.

2024

  1. Qiu, Zhiguo & Lazar, Emese & Nakata, Keiichi, 2024, "VaR and ES forecasting via recurrent neural network-based stateful models," International Review of Financial Analysis, Elsevier, volume 92, issue C, DOI: 10.1016/j.irfa.2024.103102.
  2. Hu, Haoshen & Lazar, Emese & Pan, Jingqi & Wang, Shixuan, 2024, "Environmental performance and credit ratings: A transatlantic study," International Review of Financial Analysis, Elsevier, volume 96, issue PB, DOI: 10.1016/j.irfa.2024.103635.
  3. Lazar, Emese & Pan, Jingqi & Wang, Shixuan, 2024, "On the estimation of Value-at-Risk and Expected Shortfall at extreme levels," Journal of Commodity Markets, Elsevier, volume 34, issue C, DOI: 10.1016/j.jcomm.2024.100391.
  4. Emese Lazar & Shuyuan Qi & Radu Tunaru, 2024, "Measures of Model Risk for Continuous-Time Finance Models," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 5, pages 1456-1481.
  5. Lamperti, Fabio, 2024, "Unlocking machine learning for social sciences: The case for identifying Industry 4.0 adoption across business restructuring events," Technological Forecasting and Social Change, Elsevier, volume 207, issue C, DOI: 10.1016/j.techfore.2024.123627.
  6. Fabio Lamperti & Katiuscia Lavoratori & Davide Castellani, 2024, "The unequal implications of Industry 4.0 adoption: evidence on productivity growth and convergence across Europe," Economics of Innovation and New Technology, Taylor & Francis Journals, volume 33, issue 8, pages 1051-1075, November, DOI: 10.1080/10438599.2023.2269089.
  7. Zhao, Zucheng & Sutcliffe, Charles, 2024, "Why are pension schemes frozen, and how does a freeze affect the Employer's risk?," International Review of Economics & Finance, Elsevier, volume 94, issue C, DOI: 10.1016/j.iref.2024.103393.

2023

  1. Lazar, Emese & Wang, Shixuan & Xue, Xiaohan, 2023, "Loss function-based change point detection in risk measures," European Journal of Operational Research, Elsevier, volume 310, issue 1, pages 415-431, DOI: 10.1016/j.ejor.2023.03.033.
  2. Brewster, Chris & Fontinha, Rita & Haak-Saheem, Washika & Lamperti, Fabio & Walker, James, 2023, "Linking embeddedness to physical career mobility: How Brexit affected the preference of business, economics and management academics for leaving the UK," Research Policy, Elsevier, volume 52, issue 9, DOI: 10.1016/j.respol.2023.104855.
  3. Xinyu Huang & Weihao Han & David Newton & Emmanouil Platanakis & Dimitrios Stafylas & Charles Sutcliffe, 2023, "The diversification benefits of cryptocurrency asset categories and estimation risk: pre and post Covid-19," The European Journal of Finance, Taylor & Francis Journals, volume 29, issue 7, pages 800-825, May, DOI: 10.1080/1351847X.2022.2033806.

2022

  1. Lazar, Emese & Qi, Shuyuan, 2022, "Model risk in the over-the-counter market," European Journal of Operational Research, Elsevier, volume 298, issue 2, pages 769-784, DOI: 10.1016/j.ejor.2021.07.021.
  2. Yushuang Jiang & Emese Lazar, 2022, "Forecasting VIX Using Filtered Historical Simulation
    [A GARCH Option Pricing Model with Filtered Historical Simulation]    ," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 4, pages 655-680.
  3. Walker, James & Brewster, Chris & Fontinha, Rita & Haak-Saheem, Washika & Benigni, Stefano & Lamperti, Fabio & Ribaudo, Dalila, 2022, "The unintended consequences of the pandemic on non-pandemic research activities," Research Policy, Elsevier, volume 51, issue 1, DOI: 10.1016/j.respol.2021.104369.
  4. Davide Castellani & Fabio Lamperti & Katiuscia Lavoratori, 2022, "Measuring adoption of industry 4.0 technologies via international trade data: insights from European countries," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, volume 49, issue 1, pages 51-93, March, DOI: 10.1007/s40812-021-00204-y.
  5. Giulia Felice & Fabio Lamperti & Lucia Piscitello, 2022, "The employment implications of additive manufacturing," Industry and Innovation, Taylor & Francis Journals, volume 29, issue 3, pages 333-366, March, DOI: 10.1080/13662716.2021.1967730.

2021

  1. Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2021, "Analytic moments for GJR-GARCH (1, 1) processes," International Journal of Forecasting, Elsevier, volume 37, issue 1, pages 105-124, DOI: 10.1016/j.ijforecast.2020.03.005.
  2. Carol Alexander & Emese Lazar, 2021, "The continuous limit of weak GARCH," Econometric Reviews, Taylor & Francis Journals, volume 40, issue 2, pages 197-216, February, DOI: 10.1080/07474938.2020.1799592.
  3. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021, "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, volume 53, issue 5, DOI: 10.1016/j.bar.2021.101000.
  4. Platanakis, Emmanouil & Sutcliffe, Charles & Ye, Xiaoxia, 2021, "Horses for courses: Mean-variance for asset allocation and 1/N for stock selection," European Journal of Operational Research, Elsevier, volume 288, issue 1, pages 302-317, DOI: 10.1016/j.ejor.2020.05.043.
  5. Zucheng Zhao & Charles Sutcliffe, 2021, "What determines the asset allocation of defined benefit pension funds?," Applied Economics, Taylor & Francis Journals, volume 53, issue 36, pages 4178-4191, August, DOI: 10.1080/00036846.2021.1897512.
  6. Zucheng Zhao & Charles Sutcliffe, 2021, "Asset–liability models and the Chinese basic pension fund," Economic and Political Studies, Taylor & Francis Journals, volume 9, issue 2, pages 186-216, April, DOI: 10.1080/20954816.2020.1793497.

2020

  1. Lazar, Emese & Xue, Xiaohan, 2020, "Forecasting risk measures using intraday data in a generalized autoregressive score framework," International Journal of Forecasting, Elsevier, volume 36, issue 3, pages 1057-1072, DOI: 10.1016/j.ijforecast.2019.10.007.

2019

  1. Lazar, Emese & Zhang, Ning, 2019, "Model risk of expected shortfall," Journal of Banking & Finance, Elsevier, volume 105, issue C, pages 74-93, DOI: 10.1016/j.jbankfin.2019.05.017.
  2. Platanakis, Emmanouil & Sakkas, Athanasios & Sutcliffe, Charles, 2019, "Harmful diversification: Evidence from alternative investments," The British Accounting Review, Elsevier, volume 51, issue 1, pages 1-23, DOI: 10.1016/j.bar.2018.08.003.
  3. Gong, Mengfeng & Gao, Yuan & Koh, Lenny & Sutcliffe, Charles & Cullen, John, 2019, "The role of customer awareness in promoting firm sustainability and sustainable supply chain management," International Journal of Production Economics, Elsevier, volume 217, issue C, pages 88-96, DOI: 10.1016/j.ijpe.2019.01.033.
  4. Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2019, "The role of transaction costs and risk aversion when selecting between one and two regimes for portfolio models," Applied Economics Letters, Taylor & Francis Journals, volume 26, issue 6, pages 516-521, March, DOI: 10.1080/13504851.2018.1486984.

2018

  1. Oikonomou, Ioannis & Platanakis, Emmanouil & Sutcliffe, Charles, 2018, "Socially responsible investment portfolios: Does the optimization process matter?," The British Accounting Review, Elsevier, volume 50, issue 4, pages 379-401, DOI: 10.1016/j.bar.2017.10.003.
  2. Platanakis, Emmanouil & Sutcliffe, Charles & Urquhart, Andrew, 2018, "Optimal vs naïve diversification in cryptocurrencies," Economics Letters, Elsevier, volume 171, issue C, pages 93-96, DOI: 10.1016/j.econlet.2018.07.020.

2017

  1. Emmanouil Platanakis & Charles Sutcliffe, 2017, "Asset–liability modelling and pension schemes: the application of robust optimization to USS," The European Journal of Finance, Taylor & Francis Journals, volume 23, issue 4, pages 324-352, March, DOI: 10.1080/1351847X.2015.1071714.

2016

  1. Platanakis, Emmanouil & Sutcliffe, Charles, 2016, "Pension scheme redesign and wealth redistribution between the members and sponsor: The USS rule change in October 2011," Insurance: Mathematics and Economics, Elsevier, volume 69, issue C, pages 14-28, DOI: 10.1016/j.insmatheco.2016.04.001.

2015

  1. Avino, Davide & Lazar, Emese & Varotto, Simone, 2015, "Time varying price discovery," Economics Letters, Elsevier, volume 126, issue C, pages 18-21, DOI: 10.1016/j.econlet.2014.09.030.
  2. Sutcliffe, Charles, 2015, "Trading death: The implications of annuity replication for the annuity puzzle, arbitrage, speculation and portfolios," International Review of Financial Analysis, Elsevier, volume 38, issue C, pages 163-174, DOI: 10.1016/j.irfa.2014.10.010.

2013

  1. Avino, Davide & Lazar, Emese & Varotto, Simone, 2013, "Price discovery of credit spreads in tranquil and crisis periods," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 242-253, DOI: 10.1016/j.irfa.2013.08.002.
  2. Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2013, "Forecasting VaR using analytic higher moments for GARCH processes," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 36-45, DOI: 10.1016/j.irfa.2013.05.006.

2012

  1. Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012, "Futures basis, inventory and commodity price volatility: An empirical analysis," Economic Modelling, Elsevier, volume 29, issue 6, pages 2651-2663, DOI: 10.1016/j.econmod.2012.07.016.
  2. Adrian R. Bell & Chris Brooks & David Matthews & Charles Sutcliffe, 2012, "Over the moon or sick as a parrot? The effects of football results on a club's share price," Applied Economics, Taylor & Francis Journals, volume 44, issue 26, pages 3435-3452, September, DOI: 10.1080/00036846.2011.577017.
  3. Fei Chen & Charles Sutcliffe, 2012, "Better cross hedges with composite hedging? Hedging equity portfolios using financial and commodity futures," The European Journal of Finance, Taylor & Francis Journals, volume 18, issue 6, pages 575-595, August, DOI: 10.1080/1351847X.2011.620253.
  4. Fei Chen & Charles Sutcliffe, 2012, "Pricing And Hedging Short Sterling Options Using Neural Networks," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., volume 19, issue 2, pages 128-149, April, DOI: 10.1002/isaf.336.

2010

  1. Bell, Adrian & Sutcliffe, Charles, 2010, "Valuing medieval annuities: Were corrodies underpriced?," Explorations in Economic History, Elsevier, volume 47, issue 2, pages 142-157, April.

2009

  1. Carol Alexander & Emese Lazar, 2009, "Modelling Regime‐Specific Stock Price Volatility," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 71, issue 6, pages 761-797, December, DOI: 10.1111/j.1468-0084.2009.00563.x.

2008

  1. Badescu Alex & Kulperger Reg & Lazar Emese, 2008, "Option Valuation with Normal Mixture GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 2, pages 1-42, May, DOI: 10.2202/1558-3708.1580.

2007

  1. John Board & Charles Sutcliffe, 2007, "Joined-Up Pensions Policy in the UK: An Asset-Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate," Economic Analysis, Institute of Economic Sciences, volume 40, issue 3-4, pages 87-118.

2006

  1. Emese Lazar & Carol Alexander, 2006, "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 3, pages 307-336, DOI: 10.1002/jae.849.
  2. Sutcliffe, C. M. S., 2006, "Merging Schemes: An Economic Analysis of Defined Benefit Pension Scheme Merger Criteria," Annals of Actuarial Science, Cambridge University Press, volume 1, issue 2, pages 203-220, September.

2005

  1. Sutcliffe, Charles, 2005, "The cult of the equity for pension funds: should it get the boot?," Journal of Pension Economics and Finance, Cambridge University Press, volume 4, issue 1, pages 57-85, March.

2004

  1. Sutcliffe, C. M. S., 2004, "Pension Scheme Asset Allocation with Taxation Arbitrage, Risk Sharing and Default Insurance," British Actuarial Journal, Cambridge University Press, volume 10, issue 5, pages 1111-1131, December.
  2. Julia Bennell & Charles Sutcliffe, 2004, "Black–Scholes versus artificial neural networks in pricing FTSE 100 options," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., volume 12, issue 4, pages 243-260, October, DOI: 10.1002/isaf.254.

2003

  1. John Board & Charles Sutcliffe & William T. Ziemba, 2003, "Applying Operations Research Techniques to Financial Markets," Interfaces, INFORMS, volume 33, issue 2, pages 12-24, April, DOI: 10.1287/inte.33.2.12.14465.
  2. Peng Sun & Charles Sutcliffe, 2003, "Scheduled announcements and volatility patterns: The effects of monetary policy committee announcements on LIBOR and short sterling futures and options," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 8, pages 773-797, August.

2001

  1. John Board & Gleb Sandmann & Charles Sutcliffe, 2001, "The Effect of Futures Market Volume on Spot Market Volatility," Journal of Business Finance & Accounting, Wiley Blackwell, volume 28, issue 7‐8, pages 799-819, September, DOI: 10.1111/1468-5957.00394.

2000

  1. John Board & Charles Sutcliffe, 2000, "The Proof of the Pudding: The Effects of Increased Trade Transparency in the London Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, volume 27, issue 7-8, pages 887-909, September, DOI: 10.1111/1468-5957.00338.
  2. John Board & Charles Sutcliffe & Anne Vila, 2000, "Market Maker Performance: The Search for Fair Weather Market Makers," Journal of Financial Services Research, Springer;Western Finance Association, volume 17, issue 3, pages 259-276, September, DOI: 10.1023/A:1008102803467.
  3. J. Board & C. Sutcliffe & E. Patrinos, 2000, "The performance of covered calls," The European Journal of Finance, Taylor & Francis Journals, volume 6, issue 1, pages 1-17, DOI: 10.1080/135184700336937.

1998

  1. John Board & Charles Sutcliffe, 1998, "Options trading when the underlying market is not transparent," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 18, issue 2, pages 225-242, April.

1997

  1. John Board & Charles Sutcliffe, 1997, "Inventory‐based stock market transparency rules," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, volume 5, issue 1, pages 23-28, January, DOI: 10.1108/eb024901.
  2. Rob Gray & David Alexander & Brian Rutherford & Geoffrey Whittington & Charles Sutcliffe, 1997, "Book Reviews," Accounting and Business Research, Taylor & Francis Journals, volume 28, issue 1, pages 83-88, December, DOI: 10.1080/00014788.1997.9728900.

1996

  1. John Board & Charles Sutcliffe, 1996, "Trade Transparency and the London Stock Exchange," European Financial Management, European Financial Management Association, volume 2, issue 3, pages 355-365, November, DOI: 10.1111/j.1468-036X.1996.tb00048.x.
  2. John Board & Charles Sutcliffe, 1996, "The dual listing of stock index futures: Arbitrage, spread arbitrage, and currency risk," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 16, issue 1, pages 29-54, February.

1995

  1. John Board & Charles Sutcliffe, 1995, "The Relative Volatility Of The Markets In Equities And Index Futures," Journal of Business Finance & Accounting, Wiley Blackwell, volume 22, issue 2, pages 201-223, March, DOI: 10.1111/j.1468-5957.1995.tb00679.x.

1994

  1. William Rees & Charles Sutcliffe, 1994, "Quantitative Non‐Financial Information And Income Measures: The Case Of Long Term Contracts," Journal of Business Finance & Accounting, Wiley Blackwell, volume 21, issue 3, pages 331-347, April, DOI: 10.1111/j.1468-5957.1994.tb00323.x.
  2. John L. G. Board & Charles M. S. Sutcliffe, 1994, "Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence," Management Science, INFORMS, volume 40, issue 4, pages 516-534, April, DOI: 10.1287/mnsc.40.4.516.

1993

  1. William Rees & Charles Sutcliffe, 1993, "Mathematical Modelling And Stochastic Simulation Of Accounting Alternatives," Journal of Business Finance & Accounting, Wiley Blackwell, volume 20, issue 3, pages 351-358, April, DOI: 10.1111/j.1468-5957.1993.tb00260.x.

1988

  1. J.L.G. Board & C.M.S. Sutcliffe, 1988, "The Weekend Effect In Uk Stock Market Returns," Journal of Business Finance & Accounting, Wiley Blackwell, volume 15, issue 2, pages 199-213, June, DOI: 10.1111/j.1468-5957.1988.tb00130.x.

1986

  1. C M S Sutcliffe & J L G Board, 1986, "Designing Secondary School Catchment Areas Using Goal Programming," Environment and Planning A, , volume 18, issue 5, pages 661-675, May, DOI: 10.1068/a180661.

1983

  1. Sinclair, M Thea & Sutcliffe, Charles M S, 1983, "Injection Leakages, Trade Repercussions and the Regional Income Multiplier: An Extension," Scottish Journal of Political Economy, Scottish Economic Society, volume 30, issue 3, pages 275-286, November.

1982

  1. Sinclair, M Thea & Sutcliffe, Charles M S, 1982, "Keynesian Income Multipliers with First and Second Round Effects: An Application to Tourist Expenditure," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 44, issue 4, pages 321-338, November.
  2. Charles Sutcliffe, 1982, "Inflation and Prisoner's Dilemmas," Journal of Post Keynesian Economics, Taylor & Francis Journals, volume 4, issue 4, pages 574-585, July.

1978

  1. Sinclair, M Thea & Sutcliffe, Charles M S, 1978, "The First Round of the Keynesian Regional Income Multiplier," Scottish Journal of Political Economy, Scottish Economic Society, volume 25, issue 2, pages 177-186, June.

Books

2016

  1. Charles Sutcliffe, 2016, "Finance and Occupational Pensions," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-349-94863-5, ISBN: ARRAY(0xa4f19208), April, DOI: 10.1057/978-1-349-94863-5.

2015

  1. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015, "Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-137-36130-1, ISBN: ARRAY(0xa47f43c0), April, DOI: 10.1057/9781137361301.

2002

  1. John Board & Charles Sutcliffe & Stephen Wells, 2002, "Transparency and Fragmentation," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-4039-0707-3, ISBN: ARRAY(0xa49a93b0), April, DOI: 10.1057/9781403907073.

Chapters

2023

  1. Emmanouil Platanakis & Charles Sutcliffe, 2023, "Cryptocurrency Portfolios Using Heuristics," Lecture Notes in Operations Research, Springer, in: Pascal Alphonse & Karima Bouaiss & Pascal Grandin & Constantin Zopounidis, "Essays on Financial Analytics", DOI: 10.1007/978-3-031-29050-3_7.

2016

  1. Charles Sutcliffe, 2016, "Introduction to Pension Schemes," Palgrave Macmillan Books, Palgrave Macmillan, chapter 1, "Finance and Occupational Pensions", DOI: 10.1057/978-1-349-94863-5_1.
  2. Charles Sutcliffe, 2016, "Selected Pension Scheme Topics," Palgrave Macmillan Books, Palgrave Macmillan, chapter 2, "Finance and Occupational Pensions", DOI: 10.1057/978-1-349-94863-5_2.
  3. Charles Sutcliffe, 2016, "Investment by Pension Funds," Palgrave Macmillan Books, Palgrave Macmillan, chapter 3, "Finance and Occupational Pensions", DOI: 10.1057/978-1-349-94863-5_3.
  4. Charles Sutcliffe, 2016, "Corporate Finance and Pension Schemes," Palgrave Macmillan Books, Palgrave Macmillan, chapter 4, "Finance and Occupational Pensions", DOI: 10.1057/978-1-349-94863-5_4.
  5. Charles Sutcliffe, 2016, "Annuities," Palgrave Macmillan Books, Palgrave Macmillan, chapter 5, "Finance and Occupational Pensions", DOI: 10.1057/978-1-349-94863-5_5.

2015

  1. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015, "Introduction," Palgrave Macmillan Books, Palgrave Macmillan, chapter 1, "Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies", DOI: 10.1057/9781137361301_1.
  2. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015, "Regression Analyses with Multiple Variables," Palgrave Macmillan Books, Palgrave Macmillan, chapter 10, "Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies", DOI: 10.1057/9781137361301_10.
  3. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015, "Market-Switching Stocks," Palgrave Macmillan Books, Palgrave Macmillan, chapter 11, "Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies", DOI: 10.1057/9781137361301_11.
  4. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015, "GARCH Analysis of Switchers," Palgrave Macmillan Books, Palgrave Macmillan, chapter 12, "Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies", DOI: 10.1057/9781137361301_12.
  5. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015, "Conclusions," Palgrave Macmillan Books, Palgrave Macmillan, chapter 13, "Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies", DOI: 10.1057/9781137361301_13.
  6. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015, "Activities," Palgrave Macmillan Books, Palgrave Macmillan, chapter 2, "Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies", DOI: 10.1057/9781137361301_2.
  7. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015, "Interviews," Palgrave Macmillan Books, Palgrave Macmillan, chapter 3, "Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies", DOI: 10.1057/9781137361301_3.
  8. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015, "Literature Review," Palgrave Macmillan Books, Palgrave Macmillan, chapter 4, "Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies", DOI: 10.1057/9781137361301_4.
  9. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015, "Empirical Analysis," Palgrave Macmillan Books, Palgrave Macmillan, chapter 5, "Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies", DOI: 10.1057/9781137361301_5.
  10. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015, "Preliminary Data Analysis," Palgrave Macmillan Books, Palgrave Macmillan, chapter 6, "Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies", DOI: 10.1057/9781137361301_6.
  11. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015, "Volatility Estimation," Palgrave Macmillan Books, Palgrave Macmillan, chapter 7, "Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies", DOI: 10.1057/9781137361301_7.
  12. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015, "Basic Analysis of Relative Volatility," Palgrave Macmillan Books, Palgrave Macmillan, chapter 8, "Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies", DOI: 10.1057/9781137361301_8.
  13. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015, "Relative Risk Allowing for Size, Age or Liquidity," Palgrave Macmillan Books, Palgrave Macmillan, chapter 9, "Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies", DOI: 10.1057/9781137361301_9.

2002

  1. John Board & Charles Sutcliffe & Stephen Wells, 2002, "Executive Summary and Policy Implications," Palgrave Macmillan Books, Palgrave Macmillan, chapter 1, "Transparency and Fragmentation", DOI: 10.1057/9781403907073_1.
  2. John Board & Charles Sutcliffe & Stephen Wells, 2002, "A New Regulatory Framework," Palgrave Macmillan Books, Palgrave Macmillan, chapter 10, "Transparency and Fragmentation", DOI: 10.1057/9781403907073_10.
  3. John Board & Charles Sutcliffe & Stephen Wells, 2002, "Introduction and Overview," Palgrave Macmillan Books, Palgrave Macmillan, chapter 2, "Transparency and Fragmentation", DOI: 10.1057/9781403907073_2.
  4. John Board & Charles Sutcliffe & Stephen Wells, 2002, "The Recognised Investment Exchanges," Palgrave Macmillan Books, Palgrave Macmillan, chapter 3, "Transparency and Fragmentation", DOI: 10.1057/9781403907073_3.
  5. John Board & Charles Sutcliffe & Stephen Wells, 2002, "Fragmentation and Consolidation," Palgrave Macmillan Books, Palgrave Macmillan, chapter 4, "Transparency and Fragmentation", DOI: 10.1057/9781403907073_4.
  6. John Board & Charles Sutcliffe & Stephen Wells, 2002, "Policy Responses to Fragmentation," Palgrave Macmillan Books, Palgrave Macmillan, chapter 6, "Transparency and Fragmentation", DOI: 10.1057/9781403907073_6.
  7. John Board & Charles Sutcliffe & Stephen Wells, 2002, "Theory and Results on Transparency," Palgrave Macmillan Books, Palgrave Macmillan, chapter 7, "Transparency and Fragmentation", DOI: 10.1057/9781403907073_7.
  8. John Board & Charles Sutcliffe & Stephen Wells, 2002, "The Regulation of Transparency," Palgrave Macmillan Books, Palgrave Macmillan, chapter 8, "Transparency and Fragmentation", DOI: 10.1057/9781403907073_8.
  9. John Board & Charles Sutcliffe & Stephen Wells, 2002, "Over the Counter (OTC) Markets," Palgrave Macmillan Books, Palgrave Macmillan, chapter 9, "Transparency and Fragmentation", DOI: 10.1057/9781403907073_9.

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