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Number of items: 21.
2012
Kozhan, Roman and Salmon, Mark H. (2012) The information content of a limit order book : the case of an FX market. Journal of Financial Markets , Vol.15 (No.1). pp. 1-28. doi:10.1016/j.finmar.2011.07.002 ISSN 1386-4181.
2009
Kozhan, Roman and Salmon, Mark (2009) Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation. In: Workshop on Complexity in Economics and Finance, Leiden, Netherlands, OCT 22-27, 2007. Published in: Journal of Economic Dynamics and Control, Vol.33 (No.5 Sp. Iss. SI). pp. 1106-1122. doi:10.1016/j.jedc.2008.11.008 ISSN 0165-1889.
Bouyé, Eric and Salmon, Mark (2009) Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets. European Journal of Finance, Vol.15 (No.7-8). pp. 721-750. doi:10.1080/13518470902853491 ISSN 1351-847X.
2008
Kozhan, Roman and Salmon, Mark H. (2008) On uncertainty, market timing and the predictability of tick by tick exchange rates. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.08-).
Kozhan, Roman and Salmon, Mark H. (2008) Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation. Journal of Economic Dynamics and Control, Vol.33 (No.5). pp. 1106-1122. doi:10.1016/j.jedc.2008.11.008 ISSN 0165-1889.
2006
Salmon, Mark H. and Schleicher, Christoph (2006) Pricing multivariate currency options with copulas. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.06-).
2005
Gemmill, Gordon, Hwang, Soosung and Salmon, Mark H. (2005) Performance measurement with loss aversion. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.517).
Salmon, Mark H., Gemmill, Gordon and Hwang, Soosung (2005) Performance measurement with loss aversion. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.05/16).
Gemmill, Gordon, Hwang, Soosung and Salmon, Mark H. (2005) Performance measurement with loss aversion. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.05/08).
Hurd, Matthew, Salmon, Mark H. and Schleicher, Christoph (2005) Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.511).
Hurd, Matthew, Salmon, Mark H. and Schleicher, Christoph (2005) Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index (revised). Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.05-).
2004
Hwang, Soosung and Salmon, Mark H. (2004) Market stress and herding. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.434).
2001
Hwang, Soosung and Salmon, Mark H. (2001) A new measure of herding and empirical evidence. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.01-).
Marcellino, Massimiliano and Salmon, Mark H. (2001) Robust decision theory and the Lucas critique. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.01-).
Hwang, Soosung and Salmon, Mark H. (2001) An analysis of performance measures using copulae. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.01-).
Bouyé, Eric, Gaussel, Nicolas and Salmon, Mark H. (2001) Investigating dynamic dependence using copulae. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.2001 (No.3).
Critchley, Frank, Marriott, Paul and Salmon, Mark H. (2001) On preferred point geometry in statistics. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.2001 (No.4).
2000
Marriott, Paul and Salmon, Mark H. (2000) An introduction to differential geometry in econometrics. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.1999 (No.10).
1999
Hillman, Robert and Salmon, Mark H. (1999) From market micro-structure to macro fundamentals : is there predictability in the dollar-Deutsche Mark exchange rate? Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.1999 (No.12).
Avesani, Renzo G., Gallo, Giampiero M. and Salmon, Mark H. (1999) On the evolution of credibility and flexible exchange rate target zones. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.1999 (No.11).
Critchley, Frank, Marriott, Paul and Salmon, Mark H. (1999) An elementary account of Amari's expected geometry. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.1999 (No.6).
This list was generated on Fri Mar 29 05:28:16 2024 GMT.