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Items where Division is "ICMA Centre" and Year is 2004

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Number of items: 22.

Article

Alexander, C. (2004) Normal mixture diffusion with uncertain volatility: modelling short- and long-term smile effects. Journal of Banking & Finance, 28 (12). pp. 2957-2980. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2003.10.017

Alexander, C. and Dimitriu, A. (2004) Equity indexing: optimize your passive investments. Quantitative Finance, 4 (3). C30-C33. ISSN 1469-7696 doi: https://doi.org/10.1088/1469-7688/4/3/F01

Alexander, C. and Scourse, A. (2004) Bivariate normal mixture spread option valuation. Quantitative Finance, 4 (6). pp. 637-648. ISSN 1469-7696 doi: https://doi.org/10.1080/14697680400016174

Bell, A. R. ORCID: https://orcid.org/0000-0003-4531-0072, Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153 and Dryburgh, P. (2004) Modern finance in the Middle Ages? Advance contracts with Cistercian abbeys for the supply of wool c. 1270-1330: a summary of findings. Cîteaux: Commentarii cistercienses, 55 (3-4). pp. 339-343. ISSN 0009-7497

Bennell, J. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2004) Black-Scholes versus artificial neural networks in pricing FTSE 100 options. International Journal of Finance & Economics, 12 (4). pp. 243-260. ISSN 1099-1158 doi: https://doi.org/10.1002/isaf.254

Clements, M. ORCID: https://orcid.org/0000-0001-6329-1341 and Krolzig, H.-M. (2004) Can regime switching models reproduce the business cycle features of US aggregate consumption, investment and output? International Journal of Finance & Economics, 9 (1). pp. 1-14. ISSN 1099-1158 doi: https://doi.org/10.1002/ijfe.231

Clements, M. P. ORCID: https://orcid.org/0000-0001-6329-1341 (2004) Evaluating the Bank of England density forecasts of inflation. The Economic Journal, 114 (498). pp. 844-866. ISSN 1468-0297 doi: https://doi.org/10.1111/j.1468-0297.2004.00246.x

Clements, M. P. ORCID: https://orcid.org/0000-0001-6329-1341 and Galvao, A. B. (2004) A comparison of tests of non-linear cointegration with an application to the predictability of US interest rates using the term structure. International Journal of Forecasting, 20 (2). pp. 219-236. ISSN 0169-2070 doi: https://doi.org/10.1016/j.ijforecast.2003.09.001

Clements, M. P. ORCID: https://orcid.org/0000-0001-6329-1341, Franses, P. H. and Swanson, N. R. (2004) Forecasting economic and financial time series with non-linear models. International Journal of Forecasting, 20 (2). pp. 169-183. ISSN 0169-2070 doi: https://doi.org/10.1016/j.ijforecast.2003.10.004

Hendry, D. F. and Clements, M. P. ORCID: https://orcid.org/0000-0001-6329-1341 (2004) Pooling of forecasts. Econometrics Journal, 7 (1). pp. 1-31. ISSN 1368-423X doi: https://doi.org/10.1111/j.1368-423X.2004.00119.x

McCann, P. and Ward, C. (2004) Real estate rental payments: application of stock-inventory modeling. Journal of Real Estate Finance and Economics, 28 (2/3). pp. 273-292. ISSN 1573-045X doi: https://doi.org/10.1023/B:REAL.0000011157.78122.6c

Mills, R. (2004) Behavioural finance. Henley Manager Update, 15 (4). pp. 35-46. ISSN 1745-7866

Mills, R. (2004) Euro zone and the development of the corporate debt market. Henley Manager Update, 16 (2). pp. 5-13. ISSN 1745-7866

Mills, R. (2004) Shares or bonds for long-term returns? Henley Manager Update, 16 (1). pp. 2-11. ISSN 1745-7866

Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2004) Pension scheme asset allocation with taxation arbitrage, risk sharing and default insurance. British Actuarial Journal, 10 (5). pp. 1111-1131. ISSN 1357-3217

Book or Report Section

Alexander, C. (2004) Correlation in crude oil and natural gas markets. In: Kaminsky, V. (ed.) Managing Energy Price Risk: The New Challenges and Solutions. Third Edition. Risk Books, pp. 573-606. ISBN 9781904339199

Alexander, C. and Dimitriu, A. (2004) The art of investing in hedge funds: fund selection and optimal allocations. In: Schachter, B. (ed.) Intelligent hedge fund investing. Risk Books. ISBN 9781904339229

Report

Board, J., Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X and Wells, S., (2004) Distortion or distraction: US restrictions on EU exchange trading screens. City Research Series. 3. Report. Corporation of London

Conference or Workshop Item

Alexander, C. and Nogueira, L. (2004) Stochastic local volatility. In: Second international IASTED conference on financial engineering and applications, 8-10 November, 2004, Massachusetts Institute of Technology, Cambridge, USA.

Alexander, C. and Lazar, E. ORCID: https://orcid.org/0000-0002-8761-0754 (2004) Time aggregation of normal mixture GARCH models. In: Second international IASTED conference on financial engineering and applications, 8-10 November, 2004, Massachusetts Institute of Technology, Cambridge, USA.

Book

Bell, A. R. ORCID: https://orcid.org/0000-0003-4531-0072 (2004) War and the soldier in the fourteenth century. Warfare in history. Boydell & Brewer, Woodbridge, pp256. ISBN 9781843831037

Canivet, G., Andenas, M. and Fairgrieve, D., eds. (2004) Comparative law before the courts. British Institute of International and Comparative Law, pp356. ISBN 9780903067621

This list was generated on Wed Dec 25 08:08:13 2024 UTC.

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