Working or Discussion Paper

Bouyé, Eric, Durrleman, Vado, Nikeghbali, Ashkan, Riboulet, Gael and Roncalli, Thierry (2001) Copulas : an open field for risk management. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.2001 (No.1).

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).

Christodoulakis, George (2001) Co-volatility and correlation clustering : a multivariate correlated ARCH framework. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre.

Christodoulakis, George and Satchell, S. (Stephen) (2001) On the evolution of global style factors in the MSCI universe of assets. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.02-).

Coakley, Jerry and Fuertes, Ana-Maria (2001) Rethinking the forward premium puzzle in a non-linear framework. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.2001 (No.6).

Coakley, Jerry, Fuertes, Ana-Maria and Pérez, Maria-Teresa (2001) Numerical issues in threshold autoregressive modelling of time series. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.2001 (No.9).

Coakley, Jerry, Fuertes, Ana-Maria and Smith, Ron, Ph. D. (2001) Small sample properties of panel time-series estimators with I(1) errors. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.2001 (No.8).

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).

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-).

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-).

Hwang, Soosung and Satchell, S. (Stephen) (2001) GARCH model with cross-sectional volatility; GARCHX models. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.01-).

Hwang, Soosung and Satchell, S. (Stephen) (2001) Tracking error: ex-ante versus ex-post measures. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.01-).

Hwang, Soosung and Satchell, S. (Stephen) (2001) The asset allocation decision in a loss aversion world. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.01-).

Lewin, Richard A. and Satchell, S. (Stephen) (2001) The derivation of new model of equity duration. 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-).

Zaffaroni, Paolo (2001) Aggregation and memory of models of changing volatility. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.02-).