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Altissimo, Filippo and Mele, Antonio (2004) Simulated nonparametric estimation of continuous time models of asset prices and returns. Discussion paper (476). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Anderlini, Luca and Felli, Leonardo (2004) Book review: economics and language: five essays by Ariel Rubinstein, Cambridge University Press, Cambridge, 2000. Economica, 71 (281). pp. 169-171. ISSN 0013-0427
Anderlini, Luca and Felli, Leonardo (2004) Bounded rationality and incomplete contracts. Research in Economics, 58 (1). pp. 3-30. ISSN 1090-9443
Anderlini, Luca, Felli, Leonardo and Postlewaite, Andrew (2004) Should courts always enforce what contracting parties write? CEPR Discussion Papers (DP4197). Center for Economic Policy Research, London, UK.
Barry, Steve, Linton, Oliver B. and Pakes, Ariel (2004) Limit theorems for estimating the parameters of differentiated product demand systems. The Review of Economic Studies, 71 (3). pp. 613-654. ISSN 0034-6527
Byrne, Alistair, Harrison, Debbie and Blake, David (2004) Barriers to pension scheme participation in small and medium sized enterprises. Financial Markets Group Discussion Papers (523). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Cairns, Andrew J. G., Blake, David and Dowd, Kevin (2004) Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans. Financial Markets Group Discussion Papers (443). Financial Markets Group, The London School of Economics and Political Science, London, UK. (Submitted)
Carletti, Elena, Cerasi, Vittoria and Daltung, Sonja (2004) Multiple-bank lending: diversification and free-riding in monitoring. Financial Markets Group Discussion Papers (490). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Chen, Xiaohong, Fan, Yanqin and Patton, Andrew J. (2004) Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates. Financial Markets Group Discussion Papers (483). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Connor, Gregory and Woo, Mason (2004) An Introduction to hedge funds. Discussion paper (477). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Ellul, Andrew, Shin, Hyun Song and Tonks, Ian (2004) Opening and closing the market: evidence from the London Stock Exchange. Financial Markets Group Discussion Papers (506). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Esho, Neil, Kollo, Michael G. and Sharpe, Ian G. (2004) Eurobond underwriter spreads. Financial Markets Group Discussion Papers (503). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Faure-Grimaud, Antoine (2004) Public trading and private incentives. Review of Financial Studies, 17 (4). pp. 985-1014. ISSN 0893-9454
Faure-Grimaud, Antoine and Inderst, Roman (2004) Conglomerate entrenchment under optimal financial contracting. Financial Markets Group Discussion Papers (521). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Foldes, Lucien (2004) Continuous time optimal stochastic growth: local martingales, transversality and existence. Financial Markets Group Discussion Papers (479). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Gomes, Francisco and Michaelides, Alexander (2004) Aggregate implications of defined benefit and defined contribution systems. In: Society for Economic Dynamics 2004 Annual Meeting, 2004-07-01 - 2004-07-03, Florence, Italy, ITA. (Submitted)
Gomes, Francisco and Michaelides, Alexander (2004) A human capital explanation for an asset allocation puzzle? Financial Markets Group Discussion Papers (491). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Gomes, Francisco, Michaelides, Alexander and Polkovnichenko, Valery (2004) Portfolio choice and wealth accumulation with taxable and tax-deferred accounts. Financial Markets Group Discussion Papers (519). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Gondat-Larralde, Celine and James, Kevin R. (2004) Block-booking and IPO share allocation: the importance of being ignorant. Financial Markets Group Discussion Papers (480). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Goodhart, Charles (2004) The Monetary Policy Committee's reaction function: an exercise in estimation. Financial Markets Group Discussion Papers (495). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Goodhart, Charles (2004) The interaction between the Bank of England's forecasts and policy, and the outturn. Financial Markets Group Discussion Papers (496). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Goodhart, Charles and Segoviano, Miguel A. (2004) Basel and procyclicality: a comparison of the standardised and IRB approaches to an improved credit risk method. Financial Markets Group Discussion Papers (524). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Goodhart, Charles, Sunirand, Pojanart and Tsomocos, Dimitrios P. (2004) A model to analyse financial fragility. Financial Markets Group Discussion Papers (492). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Goodhart, Charles, Sunirand, Pojanart and Tsomocos, Dimitrios P. (2004) A model to analyse financial fragility: applications. Financial Markets Group Discussion Papers (482). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Goodhart, Charles, Sunirand, Pojanart and Tsomocos, Dimitrios P. (2004) A risk assessment model for banks. Financial Markets Group Discussion Papers (504). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Goodhart, Charles, Sunirand, Pojanart and Tsomocos, Dimitrios P. (2004) A time series analysis of financial fragility in the UK banking system. Financial Markets Group Discussion Papers (517). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Gregory, Alan and Tonks, Ian (2004) Performance of personal pension schemes in the UK. Financial Markets Group Discussion Papers (486). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Hattori, Masazumi (2004) A theory of sovereign debt roll-over crisis. Financial Markets Group Discussion Papers (488). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Inderst, Roman and Muller, Holger M. (2004) The effect of capital market characteristics on the value of start-up firms. Journal of Financial Economics, 72 (2). pp. 319-356. ISSN 0304-405X
Inkmann, Joachim and Blake, David (2004) Liability valuation and optimal asset allocation. Financial Markets Group Discussion Papers (507). Financial Markets Group, The London School of Economics and Political Science, London, UK.
James, Kevin R. (2004) IPO underpricing during the boom: a block-booking explanation. Financial Markets Group Discussion Papers (481). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Kim, Woocheol and Linton, Oliver (2004) A local instrumental variable estimation method for generalized additive volatility models. Financial Markets Group Discussion Papers (509). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Kim, Woocheol and Linton, Oliver B. (2004) The live method for generalized additive volatility models. Econometric Theory, 20 (6). pp. 1094-1139. ISSN 1469-4360
Kristensen, Dennis (2004) Estimation in two classes of semiparametric diffusion models. Financial Markets Group Discussion Papers (500). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Kristensen, Dennis (2004) Estimation of partial differential equations with applications in finance. Financial Markets Group Discussion Papers (499). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Kristensen, Dennis (2004) A semiparametric single-factor model of the term structure. Financial Markets Group Discussion Papers (501). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Linton, Oliver (2004) Estimation of linear regression models by a spread-tolerant estimator. Financial Markets Group Discussion Papers (512). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Linton, Oliver (2004) Nonparametric inference for unbalanced time series data. Econometrics; EM/2004/474 (EM/04/474). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Linton, Oliver and Mammen, Enno (2004) Estimating semiparametric ARCH (∞) models by kernel smoothing methods. Financial Markets Group Discussion Papers (511). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Linton, Oliver, Mammen, Enno, Nielsen, J. and Taanggard, C. (2004) Yield curve estimation by kernel smoothing. Financial Markets Group Discussion Papers (515). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Mele, Antonio (2004) General properties of rational stock-market fluctuations. Financial Markets Group Discussion Papers (489). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Mencia, Javier F. and Sentana, Enrique (2004) Estimation and testing of dynamic models with generalised hyperbolic innovations. Financial Markets Group Discussion Papers (502). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Muñoz, Sònia (2004) Real effects of regional house prices: dynamic panel estimation with heterogeneity. Financial Markets Group Discussion Papers (493). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Norberg, Ragnar (2004) Vasicek beyond the normal. Mathematical Finance, 14 (4). pp. 585-604. ISSN 0960-1627
Pagratis, Spyros (2004) Co-ordination failure and the role of banks in the resolution of financial distress. Financial Markets Group Discussion Papers (420). Financial Markets Group, The London School of Economics and Political Science, London, UK. (Submitted)
Patton, Andrew J. (2004) Are "market neutral" hedge funds really market neutral? Financial Markets Group Discussion Papers (522). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Peñaranda, Francisco and Sentana, Enrique (2004) Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach. Financial Markets Group Discussion Papers (497). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Prat, Andrea (2004) The wrong kind of transparency. Financial Markets Group Discussion Papers (498). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Sabbatini, Michael and Linton, Oliver (2004) A GARCH model of the implied volatility of the Swiss Market Index from options prices. Financial Markets Group Discussion Papers (516). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Smith, Sarah (2004) Stopping short?: evidence on contributions to long-term savings from aggregate and micro data. Financial Markets Group Discussion Papers (485). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Tong, Jian and Xu, Cheng-Gang (2004) Financial institutions and the wealth of nations: tales of development. Financial Markets Group Discussion Papers (484). Financial Markets Group, The London School of Economics and Political Science, London, UK.
