Content
2002
- icma-dp2002-12 An Excursion into the Statistical Properties of Hedge Funds
by Harry. M Kat & Sa Lu - icma-dp2002-11 Stocks, Bond and Hedge Funds: Not a Free Lunch
by Gaurav Amin & Harry. M Kat - icma-dp2002-10 Performance Evaluation and Conditioning Information: The case of Hedge Funds
by Harry. M Kat & Joelle Miffre - icma-dp2002-09 The Performance and Long-Run Characteristics of the Chinese IPO Market
by Jing Chi & Carol Padgett - icma-dp2002-08 The Cointegration Alpha: Enchanced Index Tracking and Long-Short Equity Market Neutral Stragies
by Carol Alexandra & Anca Dimitriu - icma-dp2002-07 Portfolios of Hedge Funds What Investors Really Invest In
by Gaurav Amin & Harry. M Kat - icma-dp2002-06 Who Should Buy Hedge Funds? The effect of including Hedge Funds in Portfolios of Stocks and Bonds
by Gaurav Amin & Harry. M Kat - icma-dp2002-05 Augoregressive Conditional Kurtosis
by Chris Brooks & Simon P. Burke & Gita Persand - icma-dp2002-04 Forecasting the Collapse of Speculative Bubbles: An Empirical Investigation of the S&P 500 Composite Index
by Chris Brooks & Apostolos Katsaris - icma-dp2002-03 Disturbing Extremal Behavior of Spot Rate Dynamics
by Turan G. Bali & Salih N. Neftci - icma-dp2002-01 "Best-advice" and the "true" mortgate term. Actuaries' endowment advice principles revisited
by Andrew Godley - icma-dp2001-12 Short-Run Under Pricing and its Characteristics in Chinese IPO Markets
by Jing Chi & Dr. Carol Padgett
2001
- icma-dp2002-17 Correlation of Defauls Events Some New Tools
by Salih Neftci - icma-dp2002-02 Welcome to the Dark Side - Hedge Fund Attrition and Survivorship Bias over the period 1994-2001
by Gaurav S. Amin & Harry M. Kat - icma-dp2001-14 Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk
by Ali Bora Yigitbasioglu - icma-dp2001-13 Understanding the Internal Measurement Approach to Assessing Operational Risk Capital
by Carol Alexander - icma-dp2001-11 Matching and the Estimated Impact of Inter-listing (updated July 2003)
by Ryan J. Davies - icma-dp2001-10 Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility
by Carol Alexander & Sujit Narayanan - icma-dp2001-09 The Statistical Properties of Hedge Fund Index Returns
by Chris Brooks & Harry. M Kat - icma-dp2001-08 International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks
by Chris Brooks & Sotiris Tsolacos - icma-dp2001-07 Credit Risk Diversification
by Simonne Varotto - icma-dp2001-06 Credit Spreads and the Treasury Zero Coupon Spot Curve
by Frank Skinner & Nicholas Papageorgiou - icma-dp2001-05 Hedge Fund Performance 1990-2000- Do the "Money Machines" Really Add Value?
by Gaurav Amin & Harry. M Kat - icma-dp2001-04 A New Tool for Detecting Intraday Periodicities with Application to High Frequency Exchange Rates
by Chris Brooks & Melvin J. Hinich - icma-dp2001-03 Cointegration and Asset Allocation: A New Fund Strategy
by Carol Alexander & Ian Giblin & Wayne Weddington III - icma-dp2001-02 Modelling Retail Deposit Spreads in the UK
by Frank Skinner & Benton E. Gup & Michael Ioannides & Doowoo Nam - icma-dp2001-01 Estimating Corporate Yield Curves
by Antionio Diaz & Frank Skinner - icma-dp2000-08 On modelling credit risk using Arbitrage Free Models
by Frank Skinner & Antonio Diaz
2000
- icma-dp2000-11 OTC Derivatives for Retail Investors
by Harry. M Kat - icma-dp2000-07 An EVT Approach to calculating Risk Capital Requirements
by Chris Brooks & Gita Persand & Andrew D. Clare - icma-dp2000-06 Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices
by Carol Alexander - icma-dp2000-05 The ACD Model: Predictability of the Time Between Concecutive Trades
by Alfonso Dufour & Robert F Engle - icma-dp2000-03 The Abnormal Performance of Bond Returns
by Joelle Miffre - icma-dp2000-02 Bayesian Methods for Measuring Operational Risk
by Carol Alexander - icma-dp2000-01 Value at Risk and Market Crashes
by Chris Brooks & Gita Persand
Undated
- icma-dp2007-10 Short-Term Returns of UK Share Buyback Activity
by Carol Padgett & Zhiqi Wang - icma-dp2000-10 Principal Component Analysis of Volatility Smiles and Skews
by Carol Alexander