Journal Article

Adam-Müller, Axel F.A. and Nolte, Ingmar. (2011) Cross hedging under multiplicative basis risk. Journal of Banking & Finance, Vol.35 (No.11). pp. 2956-2964. ISSN 0378-4266

Agarwal, Vineet, Taffler, Richard J. and Brown, Mike. (2011) Is management quality value relevant? Journal of Business Finance & Accounting, 38 (9-10). pp. 1184-1208. ISSN 0306-686X

Aretz, Kevin, Bartram, Söhnke M. and Pope, Peter F.. (2011) Asymmetric loss functions and the rationality of expected stock returns. International Journal of Forecasting, Vol.27 (No.2). pp. 413-437. ISSN 0169-2070

Bartram, Söhnke M., Brown, Gregory W. and Conrad, Jennifer. (2011) The effects of derivatives on firm risk and value. Journal of Financial and Quantitative Analysis, Vol.46 (No.4). pp. 967-999. ISSN 0022-1090

Britten-Jones, Mark, Neuberger, Anthony and Nolte, Ingmar. (2011) Improved inference and estimation in regression with overlapping observations. Journal of Business Finance & Accounting, Vol.38 (No.5-6). pp. 657-683. ISSN 0306-686X

Chu, Ba M. and Kozhan, Roman. (2011) Spurious regressions of stationary AR(p) processes with structural breaks. Studies in Nonlinear Dynamics & Econometrics, Vol.15 (No.1). ISSN 1558-3708

Della Corte, Pasquale, Sarno, Lucio and Tsiakas, Ilias. (2011) Spot and forward volatility in foreign exchange. Journal of Financial Economics, Vol.100 (No.3). pp. 496-513. ISSN 0304-405X

Dorfleitner, Gregor, Schneider, Paul and Veža, Tanja. (2011) Flexing the default barrier. Quantitative Finance, Vol.11 (No.12). pp. 1729-1743. ISSN 1469-7688

Fanone, Enzo, Gamba, Andrea and Prokopczuk, Marcel. (2011) The case of negative day-ahead electricity prices. Energy Economics . ISSN 0140-9883 (In Press)

Favero, Carlo A., Gozluklu, Arie E. and Tamoni, Andrea. (2011) Demographic Trends, the Dividend-Price Ratio, and the Predictability of Long-Run Stock Market Returns. Journal of Financial and Quantitative Analysis, Vol.46 (No.5). pp. 1493-1520. ISSN 0022-1090

Kelsey, David, Professor, Kozhan, Roman and Pang, Wei. (2011) Asymmetric momentum effects under uncertainty. Review of Finance, Vol.15 (No.3). pp. 603-631. ISSN 1572-3097

Kozhan, Roman. (2011) Non-additive anonymous games. International Journal of Game Theory, Volume 40 (Number 2). pp. 215-230. ISSN 0020-7276

Nolte, I. and Voev, V.. (2011) Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach. Journal of Financial Econometrics, Vol.9 (No.4). pp. 685-716. ISSN 1479-8409

Nolte, Ingmar. (2011) A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach. European Journal of Finance, Vol. 18 (No. 10). pp. 1-35. ISSN 1351-847X

Nolte, Ingmar and Nolte, Sandra. (2011) How do individual investors trade? European Journal of Finance, Vol. 18 (No. 10). pp. 921-947. ISSN 1351-847X

Park, F. C., Chun, C. M., Han, C. W. and Webber, Nick. (2011) Interest rate models on lie groups. Quantitative Finance, Vol.11 (No.4). pp. 559-572. ISSN 1469-7688

Preis, Tobias, Schneider, J. J. and Stanley, H. E.. (2011) Switching processes in financial markets. Proceedings of the National Academy of Sciences of the United States of America, Vol.108 (No.19). pp. 7674-7678. ISSN 0027-8424

Reitz, Stefan, Ruelke, Jan C. and Taylor, Mark P.. (2011) On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates. Economic Record, Vol.87 (No.278). pp. 465-479. ISSN 0013-0249

Reitz, Stefan, Schmidt, Markus A. and Taylor, Mark P.. (2011) End-user order flow and exchange rate dynamics – a dealer's perspective. European Journal of Finance, Vol.17 (No.2). pp. 153-168. ISSN 1351-847X

Renneboog, Luc, Ter Horst, Jenke and Zhang, Chendi. (2011) Is ethical money financially smart? Nonfinancial attributes and money flows of socially responsible investment funds. Journal of Financial Intermediation, Vol.20 (No.4). pp. 562-588. ISSN 10429573

Whalley, A. Elizabeth. (2011) Optimal R&D investment for a risk-averse entrepreneur. Journal of Economic Dynamics and Control, Volume 35 (Number 4). pp. 413-429. ISSN 0165-1889

Whalley, A. Elizabeth. (2011) Optimal partial hedging of options with small transaction costs. Journal of Futures Markets, Vol.31 (No.9). pp. 855-897. ISSN 0270-7314

Working or Discussion Paper

Kozhan, Roman, Neuberger, Anthony and Schneider, Paul (2011) Understanding the skew in option prices. Working Paper. United States: American Finance Association. (AFA 2011 Denver Meetings Paper .

Whalley, A. Elizabeth (2011) Covered warrant valuation: a costly hedging model. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre.. (Unpublished)

Book

Taylor, Mark P. (2011) Perspectives on Econometrics and Applied Economics: A Tribute to Sir Clive Granger. London, UK: Routledge. ISBN 978-0-415-69308-0

Webber, Nick (2011) Implementing models of financial derivatives : object oriented applications with VBA. Chichester ; Hoboken, NJ: Wiley. ISBN 9780470712207

Webber, Nick (2011) Implementing models of financial derivatives: object oriented applications with VBA. Hoboken, N.J: Wiley-Blackwell Publishing Ltd.. ISBN 978-0-470-71220-7

Journal Item

Taylor, Mark P., 1958- (2011) The applied economics of trade : introduction and overview. Applied Economics, Volume 43 (Number 13). pp. 1565-1566. ISSN 0003-6846