2004
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| 04-223 | Lucio Sarno and Giorgio Valente Modeling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers In: Jounal of Applied Econometrics, 20, March 2005, pp. 345-376. |
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| 04-222 | Abhay Abhyankar, Lucio Sarno and Giorgio Valente Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability In: Journal of International Economics, 66 (2), July 2005, Pages 325–348. |
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| 04-221 | Lucio Sarno, Giorgio Valente Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts In: Journal of International Money and Finance, 24 (2), March 2005, Pages 363–385. |
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| 04-220 | Lucio Sarno, Daniel L. Thornton and Giorgio Valente Federal Funds Rate Prediction |
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| 04-219 | Richard H. Clarida, Lucio Sarno, Mark P. Taylor and Giorgio Valente The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates In: Journal of Business, 2006, 79(3). |
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| 04-218 | George Skiadopoulos The Greek Implied Volatility Index: Construction and Properties In: Applied Financial Economics, Volume 14, Number 16, pages 1187-1196 |
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| 04-217 | Dimitris Psychoyios and George Skiadopoulos Volatility Options: Hedging Effectiveness, Pricing and Model Error In: Journal of Futures Markets, 26 (1), January 2006, pp. 1–31. |
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| 04-216 | Mascia Bedendo and Stewart Hodges A Parsimonious Continuous Time Model of Equity Index Returns (Inferred From High Frequency Data) In: International Journal of Theoretical and Applied Finance, 7(8), December 2004. |
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| 04-215 | Stewart D. Hodges The Value of a Storage Facility |
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| 04-214 | Etienne Hofstetter and Michaël J. P. Selby The Logistic Function and Implied Volatility: Quadratic Approxmination and Beyond |
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| 04-213 | Grace Kuan and Nick Webber Valuing Discrete Barrier Options on a Dirichlet Lattice |
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| 04-212 | Evis Këllezi and Nick Webber Valuing Bermudan Options When Asset Returns are Lévy Processes In: Quantitative Finance, 4(1), 2004. |
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| 04-211 | Claudia Ribeiro and Nick Webber Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes In: Applied Mathematical Finance, 13(4), 2006. |
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| 04-210 | Massimo Morini and Nick Webber An EZI method to reduce the rank of a correlation matrix. In: Applied Mathematical Finance, 13(4), 2006. |
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| 04-209 | Claudia Ribeiro and Nick Webber Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge. |
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| 04-208 | Grace Kuan and Nick Webber Valuing Continuous Barrier Options on a Lattice Solution for a Stochastic Dirichlet Problem. |
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| 04-207 | Ana Bermudez and Nick Webber An Asset Based Model of Defaultable Convertible Bonds with Endogenised Recovery |
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| 04-206 | Claudia Ribeiro and Nick Webber A Monte Carlo Method for the Normal Inverse Gaussian Option Valuation Model using an Inverse Gaussian Bridge |
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| 04-205 | Diana R. Ribeiro and Stewart D. Hodges A Two-Factor Model for Commodity Prices and Futures Valuation |
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| 04-204 | Diana R. Ribeiro and Stewart D. Hodges A Contango-Constrained Model for Storable Commodities In: Journal of Futures Markets, 25(11), pp. 1025–1044, November 2005. |
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| 04-203 | Diana R. Ribeiro and Stewart D. Hodges Equilibrium Model for Commodity Prices: Competitive and Monopolistic Markets. |
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| 04-202 | Charles R. Johnson and Peter Weigel Term Structure Models via Matrix Completion |
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| 04-201 | Valentina Corradi and Walter Distaso Testing for One-Factor Models versus Stochastic Volatility Models |
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| 04-200 | Valentina Corradi and Walter Distaso Estimating and Testing Stochastic Volatility Models using Realized Measures |
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| 04-199 | Alessio Sancetta Copula Based Monte Carlo Integration in Financial Problems* |
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| 04-198 | Alessio Sancetta Decoupling and Convergence to Independence with Applications to Functional Limit Theorems |
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| 04-197 | Ilias Tsiakas Periodic Stochastic Volatility and Fat Tails |
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| 04-196 | Ilias Tsiakas Is Seasonal Heteroscedasticity Real? An International Perspective |
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| 04-195 | Valentina Corradi and Norman Swanson Predictive Density Accuracy Tests |
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| 04-194 | Basel Awartani, Valentina Corradi and Walter Distaso Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average |
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| 04-193 | Xiaohong Chen, Yanqin Fan and Andrew Patton Simple Tests for Models of Dependence Betweeen Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates |
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| 04-192 | Andrew Patton and Allan Timmermann Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity |
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| 04-191 | Andrew Patton Modelling Asymmetric Exchange Rate Dependence |
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| 04-190 | Roel Oomen Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes |
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| 04-189 | Roel Oomen Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling |
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