The Library
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Number of items: 25.
A
Anagnostopoulos, Alexis, CΓ‘rceles-Poveda , Eva and Lin, Danmo (2012) Dividend and capital gains taxation under incomplete markets. Journal of Monetary Economics, 59 (7). pp. 599-611. doi:10.1016/j.jmoneco.2012.06.007 ISSN 0304-3932.
B
Bartram, SΓΆhnke M. and Bodnar, Gordon M. (2012) Crossing the lines : the conditional relation between exchange rate exposure and stock returns in emerging and developed markets. Journal of International Money and Finance, Vol.31 (No.4). pp. 766-792. doi:10.1016/j.jimonfin.2012.01.011 ISSN 0261-5606.
Bartram, SΓΆhnke M., Brown, Gregory W. and Stulz, Rene M. (2012) Why are U.S. stocks more volatile? Journal of Finance, 67 (4). pp. 1329-1370. doi:10.1111/j.1540-6261.2012.01749.x ISSN 0022-1082.
C
Chernov, Mikhail and Mueller, Philippe (2012) The term structure of inflation expectations. Journal of Financial Economics, 106 (2). pp. 367-394. doi:10.1016/j.jfineco.2012.06.004 ISSN 0304-405X.
D
DanΓelsson, JΓ³n and Payne, Richard (2012) Liquidity determination in an order-driven market. The European Journal of Finance, Vol. 18 (No. 9). pp. 799-821. doi:10.1080/1351847X.2011.601654 ISSN 1351-847X.
Della Corte, Pasquale, Sarno, Lucio and Sestieri, Giulia (2012) The predictive information content of external imbalances for exchange rate returns : how much is it worth? Review of Economics and Statistics, Vol.94 (No.1). pp. 100-115. doi:10.1162/REST_a_00157 ISSN 0034-6535.
Della Corte, Pasquale and Tsiakas, Ilias (2012) Statistical and economic methods for evaluating exchange rate predictability. In: James, J. and Sarno, Lucio and Marsh, I.W., (eds.) Handbook of exchange rates. Wiley Handbooks in Financial Engineering and Econometrics (Chapter 8). Wiley-Blackwell Publishing Ltd., pp. 239-283. ISBN 978-0-470-76883-9
E
Eshraghi, Arman and Taffler, Richard J. (2012) Hedge funds and unconscious fantasy. Accounting, Auditing & Accountability Journal, 25 (8). pp. 1244-1265. doi:10.1108/09513571211275461 ISSN 0951-3574.
F
Feng, L., Li, B., Podobnik, B., Preis, Tobias and Stanley, H. Eugene (2012) Linking agent-based models and stochastic models of financial markets. Proceedings of the National Academy of Sciences, Vol.109 (No.22). pp. 8388-8393. doi:10.1073/pnas.1205013109 ISSN 0027-8424.
Fidrmuc, Jana P., Roosenboom, P., Paap, Richard and Teunissen, Tim (2012) One size does not fit all : selling firms to private equity versus strategic acquirers. Journal of Corporate Finance, 18 (4). pp. 828-848. doi:10.1016/j.jcorpfin.2012.06.006 ISSN 0929-1199.
Fotak, Veljko , Raman, Vikas and Yadav, Pradeep K. (2012) Fails-to-deliver, short selling, and market quality. Working Paper. Coventry, UK: University of Warwick. WBS Working Paper . (Unpublished)
H
Hobson, David (David G.) and Neuberger, Anthony (2012) Robust bounds for forward start options. Mathematical Finance, Vol.22 (No.1). pp. 31-56. doi:10.1111/j.1467-9965.2010.00473.x ISSN 0960-1627.
J
Jin, Xing and Zhang, A. X. (2012) Decomposition of optimal portfolio weight in a jump-diffusion model and its applications. Review of Financial Studies, Vol.25 (No.9). pp. 2877-2919. doi:10.1093/rfs/hhs083 ISSN 0893-9454.
K
Kim, Gi Hyun, Li, Haitao and Zhang, Weina (2012) The economic impact of credit default swap on credit markets. Working Paper. University of Warwick, Coventry, UK: Working paper . (Unpublished)
Kim, Hyeyoen and Taylor, Mark P. (2012) Large datasets, factor-augmented and factor-only vector autoregressive models, and the economic consequences of Mrs Thatcher. Economica, Volume 79 (Number 314). pp. 378-410. doi:10.1111/j.1468-0335.2011.00879.x ISSN 0013-0427.
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.
M
Moore, Michael J. and Roche, Maurice J. (2012) When does uncovered interest parity hold? Journal of International Money and Finance, Volume 31 (Number 4). pp. 865-879. doi:10.1016/j.jimonfin.2012.01.005 ISSN 02615606.
N
Neuberger, Anthony (2012) Realized skewness. Review of Financial Studies, Vol.25 (No.11). pp. 3423-3455. doi:10.1093/rfs/hhs101 ISSN 0893-9454.
Nolte, Ingmar, Payne, Richard and Vasios, Michalis (2012) Can investors benefit from market transparency? : an asset allocation perspective. Working Paper. Unpublished. Working Paper Series .
Nolte, Ingmar and Voev, Valeri (2012) Least squares inference on integrated volatility and the relationship between efficient prices and noise. Journal of Business & Economic Statistics , Vol.30 (No.1). pp. 94-108. doi:10.1080/10473289.2011.637876 ISSN 0735-0015.
P
Preis, Tobias, Moat, Helen Susannah, Stanley, H. Eugene and Bishop, Steven R. (2012) Quantifying the advantage of looking forward. Scientific Reports, Vol.2 . Article no. 350. doi:10.1038/srep00350 ISSN 2045-2322.
S
Sarno, Lucio, Schneider, Paul and Wagner, Christian (2012) Properties of foreign exchange risk premiums. Journal of Financial Economics, Vol.105 (No.2). pp. 279-310. doi:10.1016/j.jfineco.2012.01.005 ISSN 0304-405X.
Subrahmanyam, Marti G., Tang, Dragon Yongjun and Wang, Sarah Qian (2012) βDoes the tail wag the dog? The effect of credit default swaps on credit riskβ. Working Paper. Coventry, UK: University of Warwick, WBS. WBS Working Paper . (Unpublished)
T
Thanassoulis, John (2012) The case for intervening in bankersβ pay. The Journal of Finance , Volume 67 (Number 3). pp. 849-895. doi:10.1111/j.1540-6261.2012.01736.x ISSN 0022-1082.
Tuckett, David and Taffler, Richard J. (2012) Fund management : an emotional finance perspective. Research Foundation of CFA Institute. ISBN 9781934667491