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1999


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99-100 Gianluca Fusai and A. Tagliani
Pricing of Occupation Time Derivatives: Continuous and Discrete Monitoring
In: Journal of Computational Finance, Vol. 5, No. 1, Fall 001, Page 1-37.

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99-99 Gianluca Fusai
Corridor Options and Arc-Sine Law

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99-98 Joao Pedro Vidal Nunes
Interest Rate Derivatives in a Durrle and Kan Model with Stochastic Volatility: an Arrow-Debreu Pricing Approach

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99-97 Simon H. Babbs
Conditional Gaussian Models of the Term Structure of Interest Rates

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99-96 Robert Hillman and Mark Salmon
From Market Micro-structure to Macro Fundamentals: is there Predictability in the Dollar-Deutsche Mark Exchange Rate?

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99-95 Soosung Hwang and Steve Satchell
Improved Testing for the Efficiency of Asset Pricing Theories in Linear Factor Models

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99-94 A. Hall, Soosung Hwang and Stephen E. Satchell
Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models

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99-93 Frank Critchley, Paul Marriott and Mark Salmon
An Elementary Account of Amari's Expected Geometry

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99-92 Renzo G. Avesani, Giampiero M. Gallo and Mark Salmon
On the Evolution of Credibility and Flexible Exchange Rate Target Zones

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99-91 Paul Marriott and Mark Salmon
Technical Analysis and Central Bank Intervention

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99-90 Christopher Neely and Paul Weller
On the Evolution of Credibility and Flexible Exchange Rate Target Zones
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99-89 Christopher Neely and Paul Weller
Intraday Technical Trading in the Foreign Exchange Market

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99-88 Soosung Hwang and Stephen E. Satchell
Modelling Emerging Market Risk Premia Using Higher Moments

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99-87 Soosung Hwang and Stephen E. Satchell
Market Risk and the Concept of Fundamental Volatility: Measuring Volatility Across Asset and Derivative Markets and Testing for the Impact of Derivatives Markets on Financial Markets

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99-86 Yin-Wong Cheung, Menzie D. Chinn and Ian W. Marsh
How do UK-Based Foreign Exchange Dealers Think Their Market Operates?

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99-85 Ronald MacDonald and Ian W. Marsh
Currency Spillovers and Tri-Polarity: a Simultaneous Model of the US Dollar, German Mark and Japanese Yen

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99-84 Ian W. Marsh
An Analysis of the Performance of European Foreign Exchange Forecasters

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99-83 Ian W. Marsh and David Power
A Panel-Based Investigation into the Relationship Between Stock Prices and Dividends

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99-82 Soosung Hwang, John Knight and Stephen E. Satchell
Forecasting Volatility using LINEX Loss Functions

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99-81 Soosung Hwang and Stephen E. Satchell
The Disappearance of Style in the US Equity Market

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99-80 Soosung Hwang
The Effects of Systematic Sampling and Temporal Aggregation on Discrete Time Long Memory Processes and their Finite Sample Properties

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99-79 Christopher Neely and Paul Weller
Predictability in International Asset Returns: A Re-examination

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99-78 Demos Tambakis and Anne-Sophie Van Royen
Bootstrap Predictability of Daily Exchange Rates in ARMA Models

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99-77 Robert J. T. Hillman
Forecasting Inflation with a Non-linear Output Gap Model
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99-76 Mark J. Dixon, Anthony W. Ledford and Paul K. Marriott
Finite Sample Inference for Extreme Value Distributions

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