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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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