Working or Discussion Paper

Abhyankar, Abhay, Basu, Devraj and Stremme, Alexander (2004) Portfolio efficiency and discount factor bounds with conditioning information: a unified approach. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.05-).

Abhyankar, Abhay, Sarno, Lucio and Valente, Giorgio (2004) Exchange rates and fundamentals: evidence on the economic value of predictability. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).

Awartani, Basel, Corradi, Valentina and Distaso, Walter (2004) Testing and modelling market microstructure effects with an application to the Dow Jones industrial average. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).

Challet, Damien, De Martino, Andrea, Marsili, Matteo and Castillo, Isaac Pérez (2004) Minority games with finite score memory. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).

Chen, Xiaohong, Fan, Yanqin and Patton, Andrew J. (2004) Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).

Constantinides, George M., Jackwerth, Jens Carsten and Perrakis, Stylianos (2004) Mispricing of S&P 500 index options. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.05-).

Corradi, Valentina and Distaso, Walter (2004) Estimating and testing stochastic volatility models using realized measures. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).

Corradi, Valentina and Distaso, Walter (2004) Testing for one-factor models versus stochastic volatility models. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).

Corradi, Valentina and Swanson, Norman R. (2004) Predictive density accuracy tests. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).

Hodder, James E. and Jackwerth, Jens Carsten (2004) Incentive contracts and hedge fund management. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.05-).

Oomen, Roel C. A. (2004) Properties of realized variance for a pure jump process: calendar time sampling versus business time sampling. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).

Patton, Andrew J. (2004) Modelling asymmetric exchange rate dependence. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).

Patton, Andrew J. and Timmermann, Allan (2004) Properties of optimal forecasts under asymmetric loss and nonlinearity. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).

Sancetta, Alessio (2004) Copula based Monte Carlo integration in financial problems. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).

Sancetta, Alessio (2004) Decoupling and convergence to independence with applications to functional limit theorems. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).

Sarno, Lucio and Valente, Giorgio (2004) Empirical exchange rate models and currency risk: some evidence from density forecasts. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).

Tsiakas, Ilias (2004) Is seasonal heteroscedasticity real? An international perspective. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).

Tsiakas, Ilias (2004) Periodic stochastic volatility and fat tails. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).