IDEAS home Printed from https://ideas.repec.org/d/omioxuk.html
 

Publications

by members of

Oxford-Man Institute of Quantitative Finance
Oxford University
Oxford, 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 institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2021

  1. Mathias S. Kruttli & Brigitte Roth Tran & Sumudu W. Watugala, 2021. "Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics," Working Paper Series 2021-23, Federal Reserve Bank of San Francisco.
  2. Mathias S. Kruttli & Phillip J. Monin & Lubomir Petrasek & Sumudu W. Watugala, 2021. "Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis," Finance and Economics Discussion Series 2021-038, Board of Governors of the Federal Reserve System (U.S.).

2020

  1. Gechun Liang & Xingchun Wang, 2020. "Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes," Papers 2001.09443, arXiv.org, revised Jun 2020.

2019

  1. Meraj Allahrakha & Jill Cetina & Benjamin Munyan & Sumudu Watugala, 2019. "The Effects of the Volcker Rule on Corporate Bond Trading: Evidence from the Underwriting Exemption," Working Papers 19-02, Office of Financial Research, US Department of the Treasury.
  2. Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2019. "The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks," Working Papers 19-03, Office of Financial Research, US Department of the Treasury.
  3. Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou, 2019. "An ergodic BSDE approach to entropic risk measure and its large time behavior," Post-Print hal-01361585, HAL.

2018

  1. Ying Hu & Gechun Liang & Shanjian Tang, 2018. "Systems of ergodic BSDEs arising in regime switching forward performance processes," Papers 1807.01816, arXiv.org, revised Jun 2020.
  2. Wing Fung Chong & Gechun Liang, 2018. "Optimal investment and consumption with forward preferences and uncertain parameters," Papers 1807.01186, arXiv.org, revised Nov 2023.
  3. Gechun Liang & Haodong Sun, 2018. "Dynkin games with Poisson random intervention times," Papers 1803.00329, arXiv.org, revised Jul 2019.
  4. Gechun Liang & Zhou Yang, 2018. "Analysis of the optimal exercise boundary of American put options with delivery lags," Papers 1805.02909, arXiv.org, revised Dec 2020.
  5. Jerry Tsai & Jessica A. Wachter, 2018. "Pricing Long-Lived Securities in Dynamic Endowment Economies," NBER Working Papers 24641, National Bureau of Economic Research, Inc.

2017

  1. Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2017. "Investor Concentration, Flows, and Cash Holdings : Evidence from Hedge Funds," Finance and Economics Discussion Series 2017-121, Board of Governors of the Federal Reserve System (U.S.).
  2. Ying Hu & Gechun Liang & Shanjian Tang, 2017. "Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility," Papers 1707.00199, arXiv.org, revised Oct 2024.
  3. Zhou Yang & Gechun Liang & Chao Zhou, 2017. "Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs," Papers 1711.02939, arXiv.org, revised Dec 2018.

2016

  1. Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou, 2016. "An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior," Papers 1607.02289, arXiv.org, revised Apr 2017.

2015

  1. Sumudu W. Watugala, 2015. "Economic Uncertainty and Commodity Futures Volatility," Working Papers 15-14, Office of Financial Research, US Department of the Treasury.
  2. Huiwen Yan & Zhou Yang & Fahuai Yi & Gechun Liang, 2015. "Dynkin Game of Convertible Bonds and Their Optimal Strategy," Papers 1503.08961, arXiv.org.
  3. Huiwen Yan & Gechun Liang & Zhou Yang, 2015. "Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints," Papers 1503.08969, arXiv.org.
  4. Gechun Liang & Thaleia Zariphopoulou, 2015. "Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE," Papers 1511.04863, arXiv.org, revised Nov 2016.
  5. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.

2014

  1. Rui Albuquerque & Tarun Ramadorai & Sumudu W. Watugala, 2014. "Trade Credit and Cross-country Predictable Firm Returns," Staff Discussion Papers 14-04, Office of Financial Research, US Department of the Treasury.
  2. Vicky Henderson & Gechun Liang, 2014. "Pseudo Linear Pricing Rule for Utility Indifference Valuation," Papers 1403.7830, arXiv.org.
  3. Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.

2013

  1. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.

2012

  1. Neil Shephard & Kevin Sheppard, 2012. "Efficient and feasible inference for the components of financial variation using blocked multipower variation," Economics Series Working Papers 593, University of Oxford, Department of Economics.
  2. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate Rotated ARCH Models," Economics Papers 2012-W01, Economics Group, Nuffield College, University of Oxford.
  3. Gechun Liang & Eva Lutkebohmert & Wei Wei, 2012. "Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model," Papers 1209.3513, arXiv.org, revised Mar 2015.

2011

  1. Albuquerque, Rui & Watugala, Sumudu, 2011. "Trade Credit and International Return Comovement," CEPR Discussion Papers 8222, C.E.P.R. Discussion Papers.
  2. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  3. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011. "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Series Working Papers 533, University of Oxford, Department of Economics.
  4. Vicky Henderson & Gechun Liang, 2011. "A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk," Papers 1111.3856, arXiv.org, revised Sep 2015.

2010

  1. G. Liang & T. Lyons & Z. Qian, 2010. "A Functional Approach to FBSDEs and Its Application in Optimal Portfolios," Papers 1011.4499, arXiv.org.

2009

  1. Nathaniel Frank, 2009. "Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading," Economics Papers 2009-W04, Economics Group, Nuffield College, University of Oxford.
  2. Mr. Heiko Hesse & Nathaniel Frank, 2009. "The Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis," IMF Working Papers 2009/206, International Monetary Fund.
  3. Nathaniel Frank & Mr. Heiko Hesse, 2009. "Financial Spillovers to Emerging Markets During the Global Financial Crisis," IMF Working Papers 2009/104, International Monetary Fund.
  4. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Papers 2009-W03, Economics Group, Nuffield College, University of Oxford.
  5. Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009. "Nuisance parameters, composite likelihoods and a panel of GARCH models," OFRC Working Papers Series 2009fe03, Oxford Financial Research Centre.
  6. Neil Shephard & Thomas Flury, 2009. "Learning and filtering via simulation: smoothly jittered particle filters," Economics Series Working Papers 469, University of Oxford, Department of Economics.

2008

  1. Frank, Nathaniel & Ley, Eduardo, 2008. "Refinements to the probabilistic approach to fiscal sustainability analysis," Policy Research Working Paper Series 4709, The World Bank.
  2. Mr. Heiko Hesse & Nathaniel Frank & Ms. Brenda Gonzalez-Hermosillo, 2008. "Transmission of Liquidity Shocks: Evidence from the 2007 Subprime Crisis," IMF Working Papers 2008/200, International Monetary Fund.
  3. Andrew J. Patton & Kevin Sheppard, 2008. "Evaluating Volatility and Correlation Forecasts," OFRC Working Papers Series 2008fe22, Oxford Financial Research Centre.
  4. Neil Shephard & Kevin Sheppard & Robert F. Engle, 2008. "Fitting vast dimensional time-varying covariance models," Economics Series Working Papers 403, University of Oxford, Department of Economics.
  5. Thomas Flury & Neil Shephard, 2008. "Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models," OFRC Working Papers Series 2008fe32, Oxford Financial Research Centre.

2001

  1. Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers 8554, National Bureau of Economic Research, Inc.

Journal articles

2024

  1. Augustus Kmetz & Mathias S. Kruttli & Brigitte Roth Tran & Sumudu W. Watugala & Alan Yan, 2024. "Extreme Weather and Financial Market Uncertainty," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, vol. 2024(01), pages 1-5, January.
  2. Ivan T Ivanov & Mathias S Kruttli & Sumudu W Watugala, 2024. "Banking on Carbon: Corporate Lending and Cap-and-Trade Policy," The Review of Financial Studies, Society for Financial Studies, vol. 37(5), pages 1640-1684.

2022

  1. Kruttli, Mathias S. & Monin, Phillip J. & Watugala, Sumudu W., 2022. "The life of the counterparty: Shock propagation in hedge fund-prime broker credit networks," Journal of Financial Economics, Elsevier, vol. 146(3), pages 965-988.

2019

  1. Sumudu W. Watugala, 2019. "Economic uncertainty, trading activity, and commodity futures volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(8), pages 921-945, August.
  2. Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou, 2019. "An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior," Finance and Stochastics, Springer, vol. 23(1), pages 239-273, January.

2015

  1. Albuquerque, Rui & Ramadorai, Tarun & Watugala, Sumudu W., 2015. "Trade credit and cross-country predictable firm returns," Journal of Financial Economics, Elsevier, vol. 115(3), pages 592-613.

2014

  1. Vicky Henderson & Gechun Liang, 2014. "Pseudo linear pricing rule for utility indifference valuation," Finance and Stochastics, Springer, vol. 18(3), pages 593-615, July.
  2. Gechun Liang & Eva Lütkebohmert & Yajun Xiao, 2014. "A Multiperiod Bank Run Model for Liquidity Risk," Review of Finance, European Finance Association, vol. 18(2), pages 803-842.

2012

  1. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate high‐frequency‐based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 907-933, September.

2011

  1. Flury, Thomas & Shephard, Neil, 2011. "Bayesian Inference Based Only On Simulated Likelihood: Particle Filter Analysis Of Dynamic Economic Models," Econometric Theory, Cambridge University Press, vol. 27(5), pages 933-956, October.
  2. Jianwei Lin & Gechun Liang & Sen Wu & Harry Zheng, 2011. "The Valuation Of The Basket Cds In A Primary-Subsidiary Model," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 28(02), pages 213-238.

2010

  1. Neil Shephard & Kevin Sheppard, 2010. "Realising the future: forecasting with high-frequency-based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 197-231.

2009

  1. Nathaniel Frank & Eduardo Ley, 2009. "On the Probabilistic Approach to Fiscal Sustainability: Structural Breaks and Non-Normality," IMF Staff Papers, Palgrave Macmillan, vol. 56(4), pages 742-757, November.
  2. Nathaniel Frank & Heiko Hesse, 2009. "Financial Spillovers to Emerging Markets during the Global Financial Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(6), pages 507-521, December.
  3. Patton, Andrew J. & Sheppard, Kevin, 2009. "Optimal combinations of realised volatility estimators," International Journal of Forecasting, Elsevier, vol. 25(2), pages 218-238.

2006

  1. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Oxford University Press, vol. 4(4), pages 537-572.

2004

  1. A. Norman & A. Ahmed & J. Chou & A. Dalal & K. Fortson & M. Jindal & C. Kurz & H. Lee & K. Payne & R. Rando & K. Sheppard & E. Sublett & J. Sussman & I. White, 2004. "On the Computational Complexity of Consumer Decision Rules," Computational Economics, Springer;Society for Computational Economics, vol. 23(2), pages 173-192, March.

2003

  1. Norman, A. & Ahmed, M. & Chou, J. & Fortson, K. & Kurz, C. & Lee, H. & Linden, L. & Meythaler, K. & Rando, R. & Sheppard, K., 2003. "An ordering experiment," Journal of Economic Behavior & Organization, Elsevier, vol. 50(2), pages 249-262, February.

1996

  1. Lyons, T. J. & Röckner, M. & Zhang, T. S., 1996. "Martingale decomposition of Dirichlet processes on the Banach space C0[0, 1]," Stochastic Processes and their Applications, Elsevier, vol. 64(1), pages 31-38, November.

1995

  1. T. J. Lyons, 1995. "Uncertain volatility and the risk-free synthesis of derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(2), pages 117-133.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.