The Library
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Number of items: 31.
Journal Article
Acharya, Viral V. and Skeie, David (2011) A model of liquidity hoarding and term premia in inter-bank markets. Journal of Monetary Economics, 58 (5). pp. 436-447. doi:10.1016/j.jmoneco.2011.05.006 ISSN 0304-3932.
Adam-MΓΌller, Axel F.A. and Nolte, Ingmar (2011) Cross hedging under multiplicative basis risk. Journal of Banking & Finance, Vol.35 (No.11). pp. 2956-2964. doi:10.1016/j.jbankfin.2011.03.022 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. doi:10.1111/j.1468-5957.2011.02267.x ISSN 0306-686X.
Aretz, Kevin, Bartram, SΓΆhnke 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. doi:10.1016/j.ijforecast.2009.10.008 ISSN 0169-2070.
Ashcraft, Adam, McAndrews, James and Skeie, David (2011) Precautionary reserves and the interbank market. Journal of Money, Credit and Banking, 43 (s2). pp. 311-348. doi:10.1111/j.1538-4616.2011.00438.x ISSN 0022-2879.
Bartram, SΓΆhnke 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. doi:10.1017/S0022109011000275 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. doi:10.1111/j.1468-5957.2011.02244.x ISSN 0306-686X.
Chinn, Menzie David and Moore, Michael J. (2011) Order flow and the monetary model of exchange rates: evidence from a novel data set. Journal of Money, Credit and Banking, Volume 43 (Number 8). pp. 1599-1624. doi:10.1111/j.1538-4616.2011.00460.x ISSN 00222879.
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). doi:10.2202/1558-3708.1781 ISSN 1558-3708.
Della Corte, Pasquale, Sarno, Lucio and Tsiakas, Ilias (2011) Spot and forward volatility in foreign exchange. Journal of Financial Economics, Volume 100 (Number 3). pp. 496-513. doi:10.1016/j.jfineco.2011.01.007 ISSN 0304-405X.
Dorfleitner, Gregor, Schneider, Paul and VeΕΎa, Tanja (2011) Flexing the default barrier. Quantitative Finance, Vol.11 (No.12). pp. 1729-1743. doi:10.1080/14697688.2010.481633 ISSN 1469-7688.
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. doi:10.1017/S0022109011000329 ISSN 0022-1090.
Freixas, Xavier, Martin, Antoine and Skeie, David (2011) Bank liquidity, interbank markets, and monetary policy. Review of Financial Studies, 24 (8). pp. 2656-2692. doi:10.1093/rfs/hhr018 ISSN 0893-9454.
Kelsey, David, Professor, Kozhan, Roman and Pang, Wei (2011) Asymmetric momentum effects under uncertainty. Review of Finance, Vol.15 (No.3). pp. 603-631. doi:10.1093/rof/rfq021 ISSN 1572-3097.
Kozhan, Roman (2011) Non-additive anonymous games. International Journal of Game Theory, Volume 40 (Number 2). pp. 215-230. doi:10.1007/s00182-010-0235-9 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. doi:10.1093/jjfinec/nbq033 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. doi:10.1080/1351847X.2011.601635 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. doi:10.1080/1351847X.2011.601647 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. doi:10.1080/14697680903468963 ISSN 1469-7688.
Preis, Tobias, Schneider, Johannes J. and Stanley, H. Eugene (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. doi:10.1073/pnas.1019484108 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. doi:10.1111/j.1475-4932.2011.00723.x ISSN 0013-0249.
Reitz, Stefan, Schmidt, Markus A. and Taylor, Mark P. (2011) End-user order flow and exchange rate dynamics β a dealer's perspective. European Journal of Finance, Vol.17 (No.2). pp. 153-168. doi:10.1080/13518471003651925 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. doi:10.1016/j.jfi.2010.12.003 ISSN 10429573.
Thanassoulis, John (2011) Is multimedia convergence to be welcomed? The Journal of Industrial Economics, Volume 59 (Number 2). pp. 225-253. doi:10.1111/j.1467-6451.2011.00451.x ISSN 00221821.
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. doi:10.1016/j.jedc.2009.11.009 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. doi:10.1002/fut.20498 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
Journal Item
Taylor, Mark P. (2011) The applied economics of trade : introduction and overview. Applied Economics, Volume 43 (Number 13). pp. 1565-1566. ISSN 0003-6846 doi:10.1080/00036846.2011.587304