School of Economics and Finance Wellington, New Zealand
Victoria Business School
Victoria University of Wellington
: +64 (4) 463-5708
+64 (4) 495-5014
PO Box 600, Wellington 6140
RePEc:edi:egvuwnz (more details at EDIRC)
Research outputJump to: Working papers Articles
- Steel, William & Daglish, Toby & Marriott, Lisa & Gemmell, Norman & Howell, Bronwyn, 2013.
"A Proposed Pathway Towards Future Reform of New Zealandâ€™s De Minimis Threshold,"
Working Paper Series
2807, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
- Steel, Will & Daglish, Toby & Marriott, Lisa & Gemmell, Norman & Howell, Bronwyn, 2013. "A Proposed Pathway towards future reform of New Zealandâ€™s de minimis threshold," Working Paper Series 4359, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
- Andrew Coleman & Toby Daglish, "undated". "Regional Price Convergence in Australia and New Zealand, 1984-1996," Treasury Working Paper Series 98/03, New Zealand Treasury.
- Toby Daglish & Lyndon Moore, 2013. "The Valuation of Equity Futures on the Tokyo Stock Exchange: 1920–1923," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(7), pages 601-628, July.
- Toby Daglish & Nimesh Patel, 2012. "Fixed Come Hell or High Water? Selection and Prepayment of Fixed-Rate Mortgages Outside the United States," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(4), pages 708-742, December.
- Daglish, Toby, 2009. "What motivates a subprime borrower to default?," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 681-693, April.
- Toby Daglish & John Hull & Wulin Suo, 2007. "Volatility surfaces: theory, rules of thumb, and empirical evidence," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 507-524.
- Toby Daglish, 2003. "A Pricing and Hedging Comparison of Parametric and Nonparametric Approaches for American Index Options," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(3), pages 327-364.
CitationsMany of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.
- Andrew Coleman & Toby Daglish, "undated".
"Regional Price Convergence in Australia and New Zealand, 1984-1996,"
Treasury Working Paper Series
98/03, New Zealand Treasury.
- Andrew Coleman, 2001. "Three Perspectives on an Australasian Monetary Union," RBA Annual Conference Volume,in: David Gruen & John Simon (ed.), Future Directions for Monetary Policies in East Asia Reserve Bank of Australia.
- Andrew Coleman, 1999. "Economic Integration and Monetary Union," Treasury Working Paper Series 99/06, New Zealand Treasury.
- Adam Creighton, 2006. "Labour Mobility And Trans-Tasman Currency Union ," Australian Economic Papers, Wiley Blackwell, vol. 45(1), pages 38-56, March.
- Daglish, Toby, 2009.
"What motivates a subprime borrower to default?,"
Journal of Banking & Finance,
Elsevier, vol. 33(4), pages 681-693, April.
- Xie, Yan Alice & Liu, Sheen & Wu, Chunchi & Anderson, Bing, 2009. "The effects of default and call risk on bond duration," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1700-1708, September.
- Tajik, Mohammad & Aliakbari, Saeideh & Ghalia, Thaana & Kaffash, Sepideh, 2015. "House prices and credit risk: Evidence from the United States," Economic Modelling, Elsevier, vol. 51(C), pages 123-135.
- Alessandra Canepa & Fawaz Khaled, 2018. "Housing, Housing Finance and Credit Risk," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 6(2), pages 1-23, May.
- Ebrahim, M. Shahid & Shackleton, Mark B. & Wojakowski, Rafal M., 2011. "Participating mortgages and the efficiency of financial intermediation," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3042-3054, November.
- McCollum, Meagan N. & Lee, Hong & Pace, R. Kelley, 2015. "Deleveraging and mortgage curtailment," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 60-75.
- Bhardwaj, Geetesh & Sengupta, Rajdeep, 2012. "Subprime mortgage design," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1503-1519.
- Poitras, Geoffrey & Zanotti, Giovanna, 2016. "Mortgage contract design and systemic risk immunization," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 320-331.
- Yaseen Ghulam & Sophie Hill, 2017. "Distinguishing between Good and Bad Subprime Auto Loans Borrowers: The Role of Demographic, Region and Loan Characteristics," Review of Economics & Finance, Better Advances Press, Canada, vol. 10, pages 49-62, November.
- Hao Meng & Hai-Chuan Xu & Wei-Xing Zhou & Didier Sornette, 2014. "Symmetric thermal optimal path and time-dependent lead-lag relationship: Novel statistical tests and application to UK and US real-estate and monetary policies," Papers 1408.5618, arXiv.org, revised Feb 2018.
- Cécile Bastidon, 2014. "Households credits and financial stability," Post-Print hal-01021280, HAL.
- Pan, Huiran & Wang, Chun, 2013. "House prices, bank instability, and economic growth: Evidence from the threshold model," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1720-1732.
- Kusum Mundra, 2013.
"Minority and Immigrant Homeownership Experience: Evidence from the 2009 American Housing Survey,"
Working Papers Rutgers University, Newark
2013-001, Department of Economics, Rutgers University, Newark.
- Mundra, Kusum, 2013. "Minority and Immigrant Homeownership Experience: Evidence from the 2009 American Housing Survey," IZA Discussion Papers 7131, Institute for the Study of Labor (IZA).
- Grant, Charles, 2010. "Evidence on the insurance effect of bankruptcy exemptions," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2247-2254, September.
- António Miguel Martins & Ana Paula Serra & Francisco Vitorino Martins & Simon Stevenson, "undated". "Residential Property Loans and Bank Performance during Property Price Booms: Evidence from Europe," Real Estate & Planning Working Papers rep-wp2014-05, Henley Business School, Reading University.
- Mundra, Kusum & Uwaifo Oyelere, Ruth, 2013. "Determinants of Immigrant Homeownership: Examining their Changing Role during the Great Recession and Beyond," IZA Discussion Papers 7468, Institute for the Study of Labor (IZA).
- Moscone, Francesco & Tosetti, Elisa & Canepa, Alessandra, 2014. "Real estate market and financial stability in US metropolitan areas: A dynamic model with spatial effects," Regional Science and Urban Economics, Elsevier, vol. 49(C), pages 129-146.
- Koetter, Michael & Poghosyan, Tigran, 2010. "Real estate prices and bank stability," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1129-1138, June.
- Büyükkarabacak, Berrak & Valev, Neven T., 2010. "The role of household and business credit in banking crises," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1247-1256, June.
- Toby Daglish & John Hull & Wulin Suo, 2007.
"Volatility surfaces: theory, rules of thumb, and empirical evidence,"
Taylor & Francis Journals, vol. 7(5), pages 507-524.
- Jacinto Marabel Romo, 2012. "Volatility Regimes For The Vix Index," Revista de Economia Aplicada, Universidad de Zaragoza, Departamento de Estructura Economica y Economia Publica, vol. 20(2), pages 111-134, Autumn.
- Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
- Matthias Fengler & Wolfgang Härdle & Enno Mammen, 2005. "A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics," SFB 649 Discussion Papers SFB649DP2005-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Itkin, Andrey, 2015.
"To sigmoid-based functional description of the volatility smile,"
The North American Journal of Economics and Finance,
Elsevier, vol. 31(C), pages 264-291.
- Andrey Itkin, 2014. "To sigmoid-based functional description of the volatility smile," Papers 1407.0256, arXiv.org, revised Dec 2014.
- Carr, Peter & Wu, Liuren, 2016. "Analyzing volatility risk and risk premium in option contracts: A new theory," Journal of Financial Economics, Elsevier, vol. 120(1), pages 1-20.
- Fengler, Matthias R. & Härdle, Wolfgang & Mammen, Enno, 2003. "Implied volatility string dynamics," SFB 373 Discussion Papers 2003,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Frédéric Abergel & Riadh Zaatour, 2012. "What drives option prices ?," Post-Print hal-00687675, HAL.
- Wallmeier, Martin, 2012. "Smile in Motion: An Intraday Analysis of Asymmetric Implied Volatility," FSES Working Papers 427, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
- Carey, Alexander, 2010. "Higher-order volatility: time series," MPRA Paper 21087, University Library of Munich, Germany.
- Wang, Jinzhong & Chen, Shijiang & Tao, Qizhi & Zhang, Ting, 2017. "Modelling the implied volatility surface based on Shanghai 50ETF options," Economic Modelling, Elsevier, vol. 64(C), pages 295-301.
- Toby Daglish, 2003.
"A Pricing and Hedging Comparison of Parametric and Nonparametric Approaches for American Index Options,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 1(3), pages 327-364.
- Yuji Yamada, 2012. "Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(2), pages 149-179, May.
- René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
- Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
- Yatchew, Adonis & Hardle, Wolfgang, 2006. "Nonparametric state price density estimation using constrained least squares and the bootstrap," Journal of Econometrics, Elsevier, vol. 133(2), pages 579-599, August.
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