Financial
Econometrics
Research Centre
WORKING PAPERS SERIES
List of other working papers:
2004
1. Xiaohong Chen, Yanqin Fan and Andrew Patton, Simple Tests for Models of Dependence
Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and
Exchange Rates, WP04-19
2. Valentina Corradi and Walter Distaso, Testing for One-Factor Models versus Stochastic
Volatility Models, WP04-18
3. Valentina Corradi and Walter Distaso, Estimating and Testing Sochastic Volatility Models
using Realized Measures, WP04-17
4. Valentina Corradi and Norman Swanson, Predictive Density Accuracy Tests, WP04-16
5. Roel Oomen, Properties of Bias Corrected Realized Variance Under Alternative Sampling
Schemes, WP04-15
6. Roel Oomen, Properties of Realized Variance for a Pure Jump Process: Calendar Time
Sampling versus Business Time Sampling, WP04-14
7. Richard Clarida, Lucio Sarno, Mark Taylor and Giorgio Valente, The Role of Asymmetries and
Regime Shifts in the Term Structure of Interest Rates, WP04-13
8. Lucio Sarno, Daniel Thornton and Giorgio Valente, Federal Funds Rate Prediction, WP04-12
9. Lucio Sarno and Giorgio Valente, Modeling and Forecasting Stock Returns: Exploiting the
Futures Market, Regime Shifts and International Spillovers, WP04-11
10. Lucio Sarno and Giorgio Valente, Empirical Exchange Rate Models and Currency Risk: Some
Evidence from Density Forecasts, WP04-10
11. Ilias Tsiakas, Periodic Stochastic Volatility and Fat Tails, WP04-09
12. Ilias Tsiakas, Is Seasonal Heteroscedasticity Real? An International Perspective, WP04-08
13. Damin Challet, Andrea De Martino, Matteo Marsili and Isaac Castillo, Minority games with
finite score memory, WP04-07
14. Basel Awartani, Valentina Corradi and Walter Distaso, Testing and Modelling Market
Microstructure Effects with an Application to the Dow Jones Industrial Average, WP04-06
15. Andrew Patton and Allan Timmermann, Properties of Optimal Forecasts under Asymmetric
Loss and Nonlinearity, WP04-05
16. Andrew Patton, Modelling Asymmetric Exchange Rate Dependence, WP04-04
17. Alessio Sancetta, Decoupling and Convergence to Independence with Applications to
Functional Limit Theorems, WP04-03
18. Alessio Sancetta, Copula Based Monte Carlo Integration in Financial Problems, WP04-02
19. Abhay Abhayankar, Lucio Sarno and Giorgio Valente, Exchange Rates and Fundamentals:
Evidence on the Economic Value of Predictability, WP04-01
2002
1. Paolo Zaffaroni, Gaussian inference on Certain Long-Range Dependent Volatility Models,
WP02-12
2. Paolo Zaffaroni, Aggregation and Memory of Models of Changing Volatility, WP02-11
3. Jerry Coakley, Ana-Maria Fuertes and Andrew Wood, Reinterpreting the Real Exchange Rate
- Yield Diffential Nexus, WP02-10
4. Gordon Gemmill and Dylan Thomas , Noise Training, Costly Arbitrage and Asset Prices:
evidence from closed-end funds, WP02-09
5. Gordon Gemmill, Testing Merton's Model for Credit Spreads on Zero-Coupon Bonds, WP02-
08
6. George Christodoulakis and Steve Satchell, On th Evolution of Global Style Factors in the
MSCI Universe of Assets, WP02-07
7. George Christodoulakis, Sharp Style Analysis in the MSCI Sector Portfolios: A Monte Caro
Integration Approach, WP02-06