Birkbeck College, Institute for Financial Research
Label
Birkbeck College, Institute for Financial Research
Name
Birkbeck College
Subordinate unit
Institute for Financial Research
Actions
Incoming Resources
- Modelling exchange rates in continuous time, estimation and option pricing
- Challenging an established vehicle, can the euro displace the US dollar?
- Monetary regimes and labour market reform
- Interest rate distributions, yield curve modelling and monetary policy
- Market allocation and the impossibiblity of provision of costly information
- Time to default in the UK mortgage market
- Mortgage default and repossession
- Creditor races and contingent claims
- Information, liquidity and capital structure
- Modelling volatility and correlation for tick-by-tick returns data using rading information and buy/sell signals
- Portfolio substitution and exchange rate volatility
- Predicting emerging market currency crashes
- A theory of treasury auctions
- UDROP, a small contribution to the new international financial architecture
- Informed trading, investment and welfare
- A data matrix to investigate independence, overreaction and/or shock persistence in financial data
- The birth and death processes of mutual funds
- The simulation of option prices with application to LIFFE options on futures
- Securities fraud
- Quantities rather than prices, market allocation, informational free-rides and the value of inside information
- Financial innovation and delegation of control
- Demography, pensions and welfare, fertility shocks and the Finnish economy
- Inflation and sovereign default
- Pension systems in Europe, a general equilibrium study
- Tax policy and financial structure
- Reserve and exchange rate cycles
- Value at risk for derivatives
- Lower partial moment capital asset pricing models, a re-examination
- Correlated ARCH(CorrARCH), a new model for the time-varying conditional correlation between financial asset returns
- House price predictability
- Transition issues for the European Monetary Union
- Preferencing, internalization, best execution and dealer profits
- The impact of IMF programmes
- Lenders who must borrow, underinvestment in aggregate equilibrium and the role of trade credit
- Monetary integration and economic convergence
- Hashing GARCH, a re-assessment of volatility forecasting performance
- Strategic trading by market makers on the London Stock Exchange
- The timing of reform
- Yield curves with jump short rates
- Multi-unit auctions under propriety information, informational free rides and revenue banking
- Information revelation and market incompleteness
- Do inventories matter in dealership markets?, evidence from the London Stock Exchange
- Intertemporal substitution, time preference and portfolio hedging behaviour in a continuous time stochastic model of the economy
- Market transparency, immediacy and financial intermediation
- Interest rate setting in floating rate mortgage markets
- Pricing derivatives written on assets with arbitrary skewness and Kurtosis
- Further results on Bayesian inference in asset pricing tests
- Real options and preemption
- Renegotiation and corporate financing policy
- Capital requirements and value-at-risk analysis
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