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02-121 Russel Grimwood and Stewart Hodges
The Valuation of Convertible Bonds: A Study of Alternative Pricing Models

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02-120 Nikolaos Panigirtzoglou and George Skiadopoulos
A New Approach to Modelling the Dynamics of Implied Distributions: Theory and Evidence from the S&P 500.
In: Journal of Banking & Finance Volume 28, Issue 7, July 2004, Pages 1499–1520.

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02-119 Gordon Gemmill and Dylan Thomas
Noise Training, Costly Arbitrage and Asset Prices: evidence from closed-end funds

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02-118 Gordon Gemmill
Testing Merton's Model for Credit Spreads on Zero-Coupon Bonds

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02-117 George A. Christodoulakis
Generating Composite Volatility Forecasts with Random Factor Betas
Chapter 18 In: Satchell, S and Knight, J. (3 ed.) Forecasting Volatility in the Financial Markets. Oxford: Butterworth–Heinemann.

02-116 Albanis G. A. and R. A. Batchelor
Combining Heterogeneous Classifiers for Stock Selection

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02-115 Batchelor, R. A. and I. Orgakcioglu
Event-related GARCH: the impact of stock dividends in Turkey

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02-114 Claudia Riveiro and Nick Webber
Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge

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02-113 Christian S. Pedersen and Soosung Hwang
On Empirical Risk Measurement with Asymmetric Returns Data

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02-112 George A. Christodoulakis
Sharp Style Analysis in the MSCI Sector Portfolios: A Monte Caro Integration Approach

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02-111 George A. Christodoulakis and Steve E. Satchell
On th Evolution of Global Style Factors in the MSCI Universe of Assets

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02-110 Jerry Coakley, Ana-Maria Fuertes and Andrew Wood
Reinterpreting the Real Exchange Rate - Yield Diffential Nexus

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02-109 Paolo Zaffaroni
Gaussian inference on Certain Long-Range Dependent Volatility Models

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02-108 Paolo Zaffaroni
Aggregation and Memory of Models of Changing Volatility

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02-107 Alessio Sancetta and Steve Satchell
The Bernstein Copula and its Applications to Modelling and Approximations of Multivariate Distributions

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