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Content
2005, Volume 11, Issue 3
- 247-258 Investments, financial structure and imperfect financial markets: An intertemporal discrete-time framework
by Marco Mazzoli - 259-270 Dynamic bond portfolio choice in a model with Gaussian diffusion regimes
by Joao Liborio - 271-281 Semi-correlations as a tool for geographical and sector asset allocation
by Giampaolo Gabbi - 283-295 Assessing the effort of rating agencies in emerging economies: Some empirical evidence
by Giovanni Ferri & Li-gang Liu
2005, Volume 11, Issue 2
- 93-109 The tick/volatility ratio as a determinant of the compass rose pattern
by Chun Lee & Ike Mathur & Kimberly Gleason - 111-136 Non-linear dependence and conditional heteroscedasticity in stock returns evidence from the norwegian thinly traded equity market
by P. B. Solibakke - 137-150 Prediction in chaotic time series: methods and comparisons with an application to financial intra-day data
by D. Guegan & L. Mercier - 151-166 Evaluating density forecasts from models of stock market returns
by Gabriela De Raaij & Burkhard Raunig
2005, Volume 11, Issue 1
- 1-16 Valuing information using utility functions: how much should we pay for linear factor models?
by Soosung Hwang & Steve Satchell - 17-31 Signalling with official interest rates: the case of the German discount and lombard rate
by Peter Anker & Jorn Wasmund - 33-57 Forecasting variance using stochastic volatility and GARCH
by Bjorn Hansson & Peter Hordahl - 59-74 Which factors affect corporate bonds pricing? Empirical evidence from eurobonds primary market spreads
by Giampaolo Gabbi & Andrea Sironi - 75-92 Do bank-firm relationships reduce bank debt? Evidence from Japan
by Tobias Miarka & Michael Troge
2004, Volume 10, Issue 6
- 453-474 Estimating liquidity premia in the Spanish government securities market
by Francisco Alonso & Roberto Blanco & Ana Del Rio & Alicia Sanchis - 475-488 An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method
by Abdulnasser Hatemi-J & Eduardo Roca - 489-509 The agency problem, investment decision, and optimal financial structure
by Jyh-Bang Jou & Tan Lee - 510-525 The statistical evolution of prices on the Istanbul stock exchange
by Attila Odabasl & Celal Asku & Vedat Akgiray - 526-541 Stock repurchases with legal restrictions. Evidence from Spain
by Victor Gonzalez & Francisco Gonzalez - 542-566 On the bi-dimensionality of liquidity
by Roberto Pascual & Alvaro Escribano & Mikel Tapia - 567-578 Deposit insurance and the stock market: evidence from Denmark
by Jan Bartholdy & Glenn Boyle & Roger Stover
2004, Volume 10, Issue 5
- 329-344 Predictability of stock markets with disequilibrium trading
by Wojciech Charemza & Kalvinder Shields & Anna Zalewska - 345-352 Predictability of stock markets with disequilibrium trading. A commentary paper
by Pawel Miłobędzki - 353-369 Jai Alai arbitrage strategies
by Daniel Lane & William Ziemba - 370-378 Tote arbitrage and lock opportunities in racetrack betting
by David Edelman & Nigel O'Brian - 379-390 The utility of gambling and the favourite-longshot bias
by Michael Cain & David Peel - 391-411 A performance evaluation of portfolio managers: tests of micro and macro forecasting
by Simon Stevenson - 412-436 Heterogeneity effects from market interventions
by Nihat Aktas & Eric de Bodt & Michel Levasseur - 437-452 Company investment announcements and the market value of the firm
by Edward Jones & Jo Danbolt & Ian Hirst
2004, Volume 10, Issue 4
- 239-254 The cost of equity of internet stocks: a downside risk approach
by Javier Estrada - 255-276 Time-varying betas and the cross-sectional return-risk relation: evidence from the UK
by Patricia Fraser & Foort Hamelink & Martin Hoesli & Bryan Macgregor - 277-289 Nonlinear modelling of the Finnish Banking and Finance branch index
by Ralf Ostermark & Jaana Aaltonen & Henrik Saxen & Kenneth Soderlund - 290-307 The influence of the forecast horizon on judgemental probability forecasts of exchange rate movements
by Mary Thomson & Andrew Pollock & Karen Henriksen & Alex Macaulay - 308-327 Yield spreads, agency costs and the corporate bond call feature
by Sudipto Sarkar
2004, Volume 10, Issue 3
- 177-197 Public information arrival and volatility persistence in financial markets
by Gust Janssen - 198-211 A multicriteria model for portfolio management
by Carlos Bana & E. Costa & Joao Oliveira Soares - 212-237 High-order accurate implicit finite difference method for evaluating American options
by A. Mayo
2004, Volume 10, Issue 2
- 105-122 Employee stock option plans and stock market reaction: evidence from Finland
by Seppo Ikaheimo & Anders Kjellman & Jan Holmberg & Sari Jussila - 123-138 Practitioners' perspectives on the UK cost of capital
by Edward McLaney & John Pointon & Melanie Thomas & Jon Tucker - 139-148 Does the Euro affect the dynamic interactions of stock markets in Europe? Evidence from France, Germany and Italy
by Frank Westermann - 149-173 The decomposition of US and Euro area stock and bond returns and their sensitivity to economic state variables
by Nico Valckx
2004, Volume 10, Issue 1
- 3-22 Heterogeneous time preferences and interest rates—the preferred habitat theory revisited
by Frank Riedel - 23-43 Returns after personal tax on UK equity and gilts, 1919-1998
by Seth Armitage - 44-67 Orthogonal GARCH and covariance matrix forecasting: The Nordic stock markets during the Asian financial crisis 1997-1998
by Hans Bystrom - 68-80 A note on estimating the divisional cost of capital for diversified companies: an empirical evaluation of heuristic-based approaches
by Juergen Bufka & Oliver Kemper & Dirk Schiereck - 81-104 Common stochastic trends and the dynamic linkages driving european stock markets: evidence from pre- and post-october 1987 crash eras
by Rumi Masih & A. Mansur & M. Masih
2003, Volume 9, Issue 6
- 533-556 Asset pricing dynamics
by Raphael Markellos & Terence Mills - 557-580 Information criteria for GARCH model selection
by Chris Brooks & Simon Burke - 581-601 Motives for partial acquisitions between firms in the spanish stock market
by Matilde Olvido Fernandez & Juan Samuel Baixauli
2003, Volume 9, Issue 5
- 392-392 Preface
by Manuel J. da Rocha Armada & Chris Adcock - 393-419 Asymmetric information, imitative behaviour and communication: price formation in an experimental asset market
by Olivier Brandouy & Pascal Barneto & Lawrence Leger - 420-448 Validity of discrete-time stochastic volatility models in non-synchronous equity markets
by Per Bjarte Solibakke - 449-474 Confined exponential approximations for the valuation of American options
by Jongwoo Lee & Dean Paxson - 475-498 Market illiquidity and bounds on European option prices
by Joao Amaro De Matos & Paula Antao - 499-513 Basis variations and regime shifts in the oil futures market
by Wai Mun Fong & Kim Hock See - 514-532 Evaluating capital mobility in the EU: a new approach using swaps data
by Isabel Vieira
2003, Volume 9, Issue 4
- 301-322 Insider trading, growth opportunities and the market reaction to new financing announcements
by Bruce Burton & A. Alasdair Lonie & David Power - 323-342 Post-acquisition performance in the short and long run. Evidence from the Copenhagen Stock Exchange 1993-1997
by Jan Bo Jakobsen & Torben Voetmann - 343-357 Asset pricing implications of benchmarking: a two-factor CAPM
by Juan-Pedro Gomez & Fernando Zapatero - 358-378 Liquidity and market makers: a pseudo-experimental analysis with ultrahigh frequency data
by Jose Montalvo - 379-390 UK interim and final dividend reductions: a note on price reaction
by Balasingham Balachandran
2003, Volume 9, Issue 3
- 199-218 Legal constraints, transaction costs and the evaluation of mutual funds
by Miguel Martinez Sedano - 219-241 Are highly leveraged firms more sensitive to an economic downturn?
by Hossein Asgharian - 242-272 FX volatility forecasts and the informational content of market data for volatility
by Christian Dunis & Jason Laws & Stephane Chauvin - 273-289 Can NN-algorithms and macroeconomic data improve OLS industry returns forecasts?
by Christian Pedersen & Stephen Satchell - 290-300 Variance ratio tests of the random walk hypothesis for European emerging stock markets
by Graham Smith & Hyun-Jung Ryoo
2003, Volume 9, Issue 2
- 105-124 The Intertemporal Capital Asset Pricing Model with returns that follow Poisson jump–diffusion processes
by Eric Bentzen & Peter Sellin - 125-145 Testing for a flexible non-linear link between short-term Eurorates and spreads
by Marcelo Fernandes - 146-168 Credibility in the EMS: new evidence using nonlinear forecastability tests
by Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Juan Martín-González - 169-193 UK corporate use of derivatives
by Nicholas Bailly & David Browne & Eve Hicks & Len Skerrat - 194-197 The ECU term structure of interest rates
by Joao Neves & K. Ben Nowman
2003, Volume 9, Issue 1
- 19-40 The association between qualitative management earnings forecasts and discretionary accounting in the Netherlands
by André Dorsman & Henk Langendijk & Bart Van Praag - 41-60 Trends in market reactions: stock dividends and rights offerings at Istanbul stock exchange
by Gülnur Muradoğlu & Kürsat Aydoğan - 61-91 Warrant pricing: a review of empirical research
by Chris Veld - 92-103 The volatility term structure in a lognormal process for the short rate
by Georges Darbellay
2002, Volume 8, Issue 4
- 345-345 Preface
by Chris Adcock - 346-351 Guest Editorial
by Domenico Sartore & Marcello Esposito - 371-401 Modelling the demand for M3 in the Euro area
by Roberto Golinelli & Sergio Pastorello - 402-421 Forecasting inflation in the European Monetary Union: A disaggregated approach by countries and by sectors
by A. Espasa & E. Senra & R. Albacete - 422-448 Explaining and forecasting the euro/dollar exchange rate through a non-linear threshold model
by Asmara Jamaleh - 449-479 The fiscal dimension of a common monetary policy: results with a non-Ricardian global model
by Silvia Sgherri - 480-501 US dollar/Euro exchange rate: a monthly econometric model for forecasting
by Domenico Sartore & Lucia Trevisan & Michele Trova & Francesca Volo
2002, Volume 8, Issue 3
- 249-274 Time varying country risk: an assessment of alternative modelling techniques
by R. D. Brooks & R. W. Faff & M. McKenzie - 275-301 Can channel pattern trading be profitably automated?
by M. A. H. Dempster & C. M. Jones - 302-321 Forecasting stock market volatility and the informational efficiency of the DAX-index options market
by Holger Claessen & Stefan Mittnik - 322-343 World capital markets and Finnish stock returns
by Kim Nummelin & Mika Vaihekoski
June 2002, Volume 8, Issue 2
- 152-175 An analysis of the causes of recent banking crises
by David T. Llewellyn - 176-186 On the timing of inside trades in a betting market
by Adi Schnytzer & Yuval Shilony - 187-205 New evidence on the implied-realized volatility relation
by Bent Jesper Christensen & Charlotte Strunk Hansen - 206-221 Administration of recoveries in individual insolvency: case studies of two UK banks
by Keith Pond - 222-237 Estimating the price elasticity of demand in the London stock market
by Eric J. Levin & Robert E. Wright - 238-247 Financial innovation and Divisia monetary indices in Taiwan: a neural network approach
by Jane M. Binner & Alicia M. Gazely & Shu-Heng Chen
2002, Volume 8, Issue 1
- 2-20 Financing firms with restricted access to financial markets: the use of trade credit and factoring in Belgium
by Greet Asselbergh - 21-45 The information in the term structure of German interest rates
by Gianna Boero & Costanza Torricelli - 46-69 Mispricing and lasting arbitrage between parallel markets in the Czech Republic
by Jan Hanousek & Libor Nemecek - 70-92 Temporal aggregation, volatility components and volume in high frequency UK bond futures
by David McMillan & Alan Speight - 93-122 The long-horizon returns behaviour of the Portuguese stock market1
by Nelson Manuel Areal & Manuel Jose Da Rocha Armada - 123-146 Do environmental variables affect the performance and technical efficiency of the European banking systems? A parametric analysis using the stochastic frontier approach
by Laura Cavallo & Stefania Rossi
2001, Volume 7, Issue 4
- 285-285 Preface
by Chris Adcock - 286-288 Introduction
by Giulio Cifarelli - 289-311 Dynamic local models for segmentation and prediction of financial time series
by Mehdi Azzouzi & Ian Nabney - 312-334 Stock selection using a multi-factor model - empirical evidence from the French stock market
by Christophe Morel - 335-355 Nonlinear analysis for forecasting currencies: are they useful to the portfolio manager?
by Foort Hamelink
2001, Volume 7, Issue 3
- 187-197 Trading frequency and the efficiency of price discovery in a non-dealer market
by Shmuel Hauser & Azriel Levy & Uzi Yaari - 198-230 Implied volatility surfaces: uncovering regularities for options on financial futures
by Robert Tompkins - 231-246 Implied volatilities, stochastic interest rates, and currency futures options valuation: an empirical investigation
by Vivek Bhargava & Robert Brooks & D. K. Malhotra - 247-268 Is the covariance of international stock market returns regime dependent?
by Christian Jochum - 269-283 Optimal hedge ratios and alternative hedging strategies in the presence of cointegrated time-varying risks
by Ah-Boon Sim & Ralf Zurbruegg
2001, Volume 7, Issue 2
- 93-116 A family of humped volatility models
by Fabio Mercurio & Juan Moraleda - 117-130 Estimation of global systematic risk for securities listed in multiple markets
by Gauri Ghai & Maria De Boyrie & Shahid Hamid & Arun Prakash - 131-143 Forward and spot exchange rates in a bivariate TAR framework
by R. Dacco & S. Satchell - 144-164 Term structure of return correlations and international diversification: evidence from European stock markets
by Ming-Shiun Pan & Y. Angela Liu & Herbert Roth - 165-183 Bank failure: a multidimensional scaling approach
by Cecilio Mar-Molinero & Carlos Serrano-Cinca
2001, Volume 7, Issue 1
- 1-21 Empirical distributions of stock returns: European securities markets, 1990-95
by Felipe Aparicio & Javier Estrada - 22-38 Power ARCH modelling of commodity futures data on the London Metal Exchange
by Michael McKenzie & Heather Mitchell & Robert Brooks & Robert Faff - 39-62 Basis variation and a common source of risk: evidence from UK futures markets
by Patricia Fraser & Andrew McKaig - 63-91 Derivatives usage in UK non-financial listed companies
by Chris Mallin & Kean Ow-Yong & Martin Reynolds
2000, Volume 6, Issue 4
- 311-331 Credit agency regulation and the impact of credit ratings in the international bond market
by David Brookfield & Phillip Ormrod - 332-352 Intraday data and hedging efficiency in interest spread trading
by Christian Dunis & Pierre Lequeux - 353-369 Structural effects of asset-backed securitization
by Simon Wolfe
2000, Volume 6, Issue 3
- 259-279 The selection of multinational equity portfolios: forecasting models and estimation risk
by Nigel Meade & Gerry Salkin - 280-297 Stock returns and economic activity: the UK case
by David Lovatt & Ashok Parikh - 298-310 Forecasting the returns on UK investment trusts: a comparison
by L. Copeland & Ping Wang
2000, Volume 6, Issue 2
- 93-112 Switching regime models in the Spanish inter-bank market
by Arielle Beyaert & Juan rez-Castej - 113-125 Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives
by Ramaprasad Bhar & Carl Chiarella - 126-145 Combining forecasts: some results on exchange and interest rates
by Monica Billio & Domenico Sartore & Carlo Toffano - 146-162 Managing funds in the US market: how to distinguish between transitory distortions and structural changes in the stock prices?
by Catherine Bruneau & Ch. Duval-Kieffer & J. P. Nicolai - 163-175 The effects of trading activity on market volatility
by Giampiero Gallo & Barbara Pacini - 176-195 Bayesian approach to yield curve modelling with application to the simulation of EMU environments: generating scenarios by modelling yield curve movements
by Melendres Howe - 196-224 Further insights on the puzzle of technical analysis profitability
by Bertrand Maillet & Thierry Michel - 225-239 Testing densities with financial data: an empirical comparison of the Edgeworth-Sargan density to the Student's t
by Ignacio Mauleon & Javier Perote - 240-258 Analysing long memory and asymmetries
by Matti Vir
2000, Volume 6, Issue 1
- 1-17 The performance of covered calls
by J. Board & C. Sutcliffe & E. Patrinos - 18-38 On the volatility of measures of financial risk: an investigation using returns from European markets
by Babak Eftekhari & Christian Pedersen & Stephen Satchell - 39-69 Stock index and price dynamics in the UK and the US: new evidence from a trading rule and statistical analysis
by Stephen Taylor - 70-91 Time-varying risk in the German stock market
by Martin Scheicher
1999, Volume 5, Issue 4
- 299-314 Dynamic futures hedging in currency markets
by Atreya Chakraborty & John Barkoulas - 331-341 Modelling normal returns in event studies: a model-selection approach and pilot study
by J. Cable & K. Holland - 342-365 Persistence in Portuguese mutual fund performance
by Maria Do Ceu Ribeiro Cortez & Dean Paxson & Manuel Jose Da Rocha Armada
1999, Volume 5, Issue 3
- 165-180 An introduction to security returns
by Adrian Buckley - 181-185 Excess returns and international diversification: The Scandinavian view
by G. G. Booth & T. Martikainen - 186-201 Equity returns, bond returns, and the equity premium in the German capital market
by Wolfgang Bessler - 202-212 Is beta still alive? Conclusive evidence from the Swiss stock market
by Dusan Isakov - 213-224 Beta lives - some statistical perspectives on the capital asset pricing model
by C. J. Adcock & E. A. Clark - 225-235 A three-dimensional risk-return relationship based upon the inefficiency of a portfolio: derivation and implications
by G. P. Diacogiannis - 236-246 Estimating the equity premium
by M. C. Freeman & I. R. Davidson - 247-255 The cost of capital- the practitioners view
by Alan Clements - 256-275 Valuation differences between quoted and unquoted companies- empirical evidence from the UK
by Herbert Rijken & Menno Booij & Adrian Buckley - 276-297 An overview of returns in Europe
by Hans Eijgenhuijsen & Adrian Buckley
1999, Volume 5, Issue 2
- 95-107 The investment policy and the pricing of equity in a levered firm: a re-examination of the 'contingent claims' valuation approach
by M. Chesney & R. Gibson-Asner - 109-122 Estimation of the effective bid-ask spread on high frequency Danish bond data
by K. Nyholm - 123-139 LIFFE cycles: intraday evidence from the FTSE-100 Stock Index futures market
by A. Abhyankar & L. S. Copeland & W. Wong - 141-164 International capital structure differences among the G7 nations: a current empirical view
by Kenneth Mcclure & Ronnie Clayton & Richard Hofler
1999, Volume 5, Issue 1
- 1-1 Editorial
by Chris Adcock - 3-28 Exchange rate fluctuations and management control in UK-based MNCs: an examination of the theory and practice
by Istemi. Demirag & Cristina De Fuentes - 29-50 Insider trading and portfolio structure in experimental asset markets with a long-lived asset
by J. P. Krahnen & C. Rieck & E. Theissen - 51-71 Market structure and bid-ask spreads: IBIS vs Nasdaq
by G. G. Booth & P. Iversen & S. K. Sarkar & H. Schmidt & A. Young - 73-94 Volatility forecasting in the framework of the option expiry cycle
by Owain Ap Gwilym & Mike Buckle
1998, Volume 4, Issue 4
- 311-330 A dynamic index for managed currencies funds using CME currency contracts
by P. Lequeux & E. Acar - 331-343 Transmission of movements in stock markets
by Amado Peiro & Javier Quesada & Ezequiel Uriel - 345-355 The hedging effectiveness of DAX futures
by G. Lypny & M. Powalla - 357-367 Investment opportunities and Irish equity offerings
by Carole Corby & Mark Hoven Stohs
1998, Volume 4, Issue 3
- 195-211 Boards of Directors' short-term perceptions and evidence of managerial short-termism in the UK
by Istemi Demirag - 212-232 Determinants of shareholders' short-term pressures: empirical evidence from Dutch companies
by Tom Groot - 233-256 A survey of corporate perceptions of short-termism among analysts and fund managers
by C. L. Marston & B. M. Craven - 257-278 Fund managers' attitudes to risk and time horizons: the effect of performance benchmarking
by Mae Baker - 279-290 Comparisons of dividend per share behaviour of large UK and German companies over the period 1980-1995: preliminary findings
by J. B. Coates & E. W. Davis & P. A. Golder - 291-304 Board size and corporate performance: evidence from European countries
by Martin Conyon & Simon Peck - 305-309 The influence of earnings per share on capital issues: some evidence from UK companies
by Ian Davidson & Chris Mallin
1998, Volume 4, Issue 2
- 93-111 A study on the efficiency of the market for Dutch long-term call options
by F. De Roon & C. Veld & J. Wei - 113-127 Interest rate changes and common stock returns of financial institutions: evidence from the UK
by E. Dinenis & S. K. Staikouras - 129-155 Financial institutions, private acquisition of corporate information, and fund management
by J. B. Holland & P. Doran - 157-183 Pecking order as a dynamic leverage theory
by C. N. Bagley & D. K. Ghosh & U. Yaari
1998, Volume 4, Issue 1
- 1-28 The liquidity premium in equity pricing under a continuous auction system
by Gonzalo Rubio & Mikel Tapia - 29-59 Seasoned equity offers and rights issues: a review of the evidence
by Seth Armitage - 61-74 Volatility and autocorrelation in major European stock markets
by G. Geoffrey Booth & Gregory Koutmos - 75-83 Financial effects of an uncertain change in VAT rates in the EU
by John Pointon & Derek Spratley - 85-92 The effect of the establishment of an organized exchange on weak form efficiency: the case of Istanbul Gold Exchange
by Gulnur Muradoglu & Nese Akkaya & Jamel Chafra
1997, Volume 3, Issue 4
- 277-289 Dividend yield strategies in the British stock market
by Greg Filbeck & Sue Visscher - 291-309 The numeraire portfolio: a new perspective on financial theory
by I. Bajeux-Besnainou & R. Portait - 311-324 Could nonlinear dynamics contribute to intra-day risk management?
by Georges Darbellay & Marco Finardi - 325-347 Incomplete markets, transaction costs and liquidity effects
by E. Jouini & P. -F. Koehl & N. Touzi - 349-361 Arbitrage with hedging by forward contracts: exploited and exploitable profits
by D. K. Ghosh
1997, Volume 3, Issue 3
- 183-202 Feedforward neural networks in the classification of financial information
by Carlos Serrano-Cinca - 203-224 Comment
by D. J. E. Baestaens - 225-230 Rejoinder
by C. Serrano-Cinca - 231-242 Consistent estimation to determine the embedding dimension in financial data; with an application to the dollar/deutschmark exchange rate
by Dominique Guegan & Guillaume Leorat - 243-259 Time series and cross-section parameter stability in the market model: the implications for event studies
by J. Andrew Coutts & Terence Mills & Jennifer Roberts - 261-275 Information asymmetry, long-run relationship and price discovery in property investment markets
by Peijie Wang & Colin Lizieri & George Matysiak
1997, Volume 3, Issue 2
- 107-136 Interest rates, banking spreads and credit supply: the real effects
by F. Barran & V. Coudert & B. Mojon - 137-157 Modelling market volatilities: the neural network perspective
by F. Gonzalez Miranda & N. Burgess - 159-182 Non-linear characteristics of the sterling/European Currency Unit exchange rate: 1984-1992
by David Chappell & Robert Eldridge
March 1997, Volume 3, Issue 1
- 1-26 Transformation of Heath?Jarrow?Morton models to Markovian systems
by R. Bhar & C. Chiarella - 27-47 Risk management in venture capital investor-investee relations
by G. C. Reid & N. G Terry & J. A. Smith - 49-72 Option prices as predictors of stock prices: intraday adjustments to information releases
by P. L. Varson & M. J. P. Selby - 73-85 Implied volatility skews and stock return skewness and kurtosis implied by stock option prices
by C. J. Corrado & Tie Su - 87-106 An investigation of the stability of returns in Western European equity markets
by C. D. Sinclair & D. M. Power & A. A. Lonie & C. V. Helliar
1996, Volume 2, Issue 4
- 305-317 An investigation of the short- and long-term relationships between Turkish financial markets
by A. Yuce & C. Simga-Mugan - 319-331 Misspecification testing and robust estimation of the market model: estimating betas for the FT-SE industry baskets
by Terence Mills & J. Andrew Coutts