Journal Article

Bartram, Söhnke 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. ISSN 0261-5606

Bartram, Söhnke M., Brown, Gregory W. and Stulz, Rene M.. (2012) Why are U.S. stocks more volatile? Journal of Finance, 67 (4). pp. 1329-1370. ISSN 0022-1082

Daníelsson, Jón and Payne, R.. (2012) Liquidity determination in an order-driven market. The European Journal of Finance, Vol. 18 (No. 9). pp. 799-821. 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. ISSN 0034-6535

Eshraghi, Arman and Taffler, Richard J.. (2012) Hedge funds and unconscious fantasy. Accounting, Auditing & Accountability Journal, 25 (8). pp. 1244-1265. ISSN 0951-3574

Feng, L., Li, B., Podobnik, B., Preis, Tobias and Stanley, H. E.. (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. 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. ISSN 0929-1199

Hobson, David (David G.) and Neuberger, Anthony. (2012) Robust bounds for forward start options. Mathematical Finance, Vol.22 (No.1). pp. 31-56. ISSN 0960-1627

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. ISSN 0893-9454

Kozhan, Roman and Salmon, Mark H. (Mark Howard), 1949-. (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. ISSN 1386-4181

Neuberger, Anthony. (2012) Realized skewness. Review of Financial Studies, Vol.25 (No.11). pp. 3423-3455. ISSN 0893-9454

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. ISSN 0735-0015

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. ISSN 2045-2322

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. ISSN 0304-405X

Book Item

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

Working or Discussion Paper

Nolte, Ingmar, Payne, R. and Vasios, Michalis (2012) Can Investors Benefit from Market Transparency? An Asset Allocation Perspective. Working Paper. Unpublished. (Working Paper Series.