8. George Christodoulakis, Generating Composite Volatility Forecasts with Random Factor
Betas, WP02-05
9. Claudia Riveiro and Nick Webber, Valuing Path Dependent Options in the Variance-Gamma
Model by Monte Carlo with a Gamma Bridge, WP02-04
10. Christian Pedersen and Soosung Hwang, On Empirical Risk Measurement with Asymmetric
Returns Data, WP02-03
11. Roy Batchelor and Ismail Orgakcioglu, Event-related GARCH: the impact of stock dividends
in Turkey, WP02-02
12. George Albanis and Roy Batchelor, Combining Heterogeneous Classifiers for Stock Selection,
WP02-01
2001
1. Soosung Hwang and Steve Satchell , GARCH Model with Cross-sectional Volatility; GARCHX
Models, WP01-16
2. Soosung Hwang and Steve Satchell, Tracking Error: Ex-Ante versus Ex-Post Measures,
WP01-15
3. Soosung Hwang and Steve Satchell, The Asset Allocation Decision in a Loss Aversion World,
WP01-14
4. Soosung Hwang and Mark Salmon, An Analysis of Performance Measures Using Copulae,
WP01-13
5. Soosung Hwang and Mark Salmon, A New Measure of Herding and Empirical Evidence,
WP01-12
6. Richard Lewin and Steve Satchell, The Derivation of New Model of Equity Duration, WP01-
11
7. Massimiliano Marcellino and Mark Salmon, Robust Decision Theory and the Lucas Critique,
WP01-10
8. Jerry Coakley, Ana-Maria Fuertes and Maria-Teresa Perez, Numerical Issues in Threshold
Autoregressive Modelling of Time Series, WP01-09
9. Jerry Coakley, Ana-Maria Fuertes and Ron Smith, Small Sample Properties of Panel Time-
series Estimators with I(1) Errors, WP01-08
10. Jerry Coakley and Ana-Maria Fuertes, The Felsdtein-Horioka Puzzle is Not as Bad as You
Think, WP01-07
11. Jerry Coakley and Ana-Maria Fuertes, Rethinking the Forward Premium Puzzle in a Non-
linear Framework, WP01-06
12. George Christodoulakis, Co-Volatility and Correlation Clustering: A Multivariate Correlated
ARCH Framework, WP01-05
13. Frank Critchley, Paul Marriott and Mark Salmon, On Preferred Point Geometry in Statistics,
WP01-04
14. Eric Bouyé and Nicolas Gaussel and Mark Salmon, Investigating Dynamic Dependence Using
Copulae, WP01-03
15. Eric Bouyé, Multivariate Extremes at Work for Portfolio Risk Measurement, WP01-02
16. Erick Bouyé, Vado Durrleman, Ashkan Nikeghbali, Gael Riboulet and Thierry Roncalli,
Copulas: an Open Field for Risk Management, WP01-01
2000
1. Soosung Hwang and Steve Satchell , Valuing Information Using Utility Functions, WP00-06
2. Soosung Hwang, Properties of Cross-sectional Volatility, WP00-05
3. Soosung Hwang and Steve Satchell, Calculating the Miss-specification in Beta from Using a
Proxy for the Market Portfolio, WP00-04
4. Laun Middleton and Stephen Satchell, Deriving the APT when the Number of Factors is
Unknown, WP00-03
5. George A. Christodoulakis and Steve Satchell, Evolving Systems of Financial Returns: Auto-
Regressive Conditional Beta, WP00-02
6. Christian S. Pedersen and Stephen Satchell, Evaluating the Performance of Nearest
Neighbour Algorithms when Forecasting US Industry Returns, WP00-01
1999
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