Items where Division is "Financial Markets Group" and Year is 2002

A

Abdelkhalek, Ahmed, Bilas, Angelos and Michaelides, Alexander (2002) Parallelization and performance of portfolio choice models. In: Ni, Lionel M. and Valero, Mateo, (eds.) Proceedings of the 2001 International Conference on Parallel Processing. IEEE Computer Society, Valencia, Spain, pp. 277-286. ISBN 0769512577

Abreu, Dilip and Brunnermeier, Markus K. (2002) Bubbles and crashes. Financial Markets Group Discussion Papers (401). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Acker, Daniella, Stalker, Mathew and Tonks, Ian (2002) Daily closing inside spreads and trading volumes around earnings announcements. Financial Markets Group Discussion Papers (404). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Al-Najjar, Nabil, Anderlini, Luca and Felli, Leonardo (2002) Unforeseen contingencies. . Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Al-Najjar, Nabil, Anderlini, Luca and Felli, Leonardo (2002) Unforeseen contingencies. . Centre for Economic Policy Research (Great Britain), London, UK.

Amato, Jeffery D., Morris, Stephen and Shin, Hyun Song (2002) Communication and monetary policy. Oxford Review of Economic Policy, 18 (4). pp. 495-503. ISSN 0266-903X

B

Blake, David (2002) The impact of wealth on consumption and retirement behaviour in the UK. Financial Markets Group Discussion Papers (429). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Blake, David, Lehmann, Bruce N. and Timmermann, Allan (2002) Performance clustering and incentives in the UK pension fund industry. UBS Pensions Series (003). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Blake, David and Timmermann, Allan (2002) International asset allocation with time-varying investment opportunities. Financial Markets Group Discussion Papers (424). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Blake, David and Timmermann, Allan (2002) Returns from active management in international equity markets: evidence from a panel of UK pension funds. Financial Markets Group Discussion Papers (426). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Bray, Margaret and Goodhart, Charles (2002) You might as well be hung for a sheep as a lamb: the loss function of an agent. Financial Markets Group Discussion Papers (418). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Bruche, Max (2002) A structural model of corporate bond pricing with co-ordination failure. Financial Markets Group Discussion Papers (410). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Brunnermeier, Markus K. and Parker, Jonathan A. (2002) Optimal expectations. Financial Markets Group Discussion Papers (434). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Burkart, Mike ORCID: 0000-0002-0954-4499 and Ellingsen, Tore (2002) In-kind finance. Financial Markets Group Discussion Papers (421). Financial Markets Group, The London School of Economics and Political Science, London, UK.

C

Carroll, Raymond J, Linton, Oliver, Mammen, Enno and Xiao, Zhijie (2002) More efficient kernel estimation in nonparametric regression with autocorrelated errors. Econometrics; EM/2002/435 (EM/02/435). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Cerasi, Vittoria and Daltung, Sonja (2002) Diversification and delegation in firms. Financial Markets Group Discussion Papers (403). Financial Markets Group, The London School of Economics and Political Science, London, UK.

D

Danielsson, Jon ORCID: 0009-0006-9844-7960, Jorgensen, Bjorn N. and de Vries, Casper G. (2002) Incentives for effective risk management. Journal of Banking and Finance, 26 (7). pp. 1407-1425. ISSN 0378-4266

Dasgupta, Amil ORCID: 0000-0001-8474-9470 (2002) Coordination, learning, and delay. Financial Markets Group Discussion Papers (435). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Dasgupta, Amil ORCID: 0000-0001-8474-9470 (2002) Financial contagion through capital connections: a model of the origin and spread of bank panics. Financial Markets Group Discussion Papers (436). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Décamps, Jean-Paul and Faure-Grimaud, Antoine (2002) Excessive continuation and dynamic agency costs of debt. European Economic Review, 46 (9). 1623 - 1644. ISSN 0014-2921

F

Faure-Grimaud, Antoine (2002) Using stock price information to regulate firms. Review of Economic Studies, 69 (1). pp. 169-190. ISSN 0034-6527

Felli, Leonardo and Merlo, Antonio (2002) Endogenous lobbying. . Centre for Economic Policy Research (Great Britain), London, UK.

Felli, Leonardo and Roberts, Kevin W. S. (2002) Does competition solve the hold-up problem? . Centre for Economic Policy Research (Great Britain), London, UK.

Friederich, Sylvain and Payne, Richard (2002) Dealer liquidity in an auction market: evidence fom the London Stock Exchange. Financial Markets Group Discussion Papers (427). Financial Markets Group, The London School of Economics and Political Science, London, UK.

G

Goodhart, Charles (2002) Basel and pro-cyclicality. In: Hilton, Andrew, (ed.) Bumps on the Road to Basel. Centre for the Study of Financial Innovation (CSFI), London, UK. ISBN 0954314450

Goodhart, Charles (2002) From moderate to low inflation. In: Poland's Future Policies Conference, 2002-01-01, Warsaw, Poland, POL. (Submitted)

Goodhart, Charles (2002) Recent developments in central banking. In: Dickinson, David and Allen, William, (eds.) Monetary Policy, Capital Flows and Exchange Rates: Essays in Honour of Maxwell Fry. International studies in money and banking. Routledge, London, UK, pp. 65-77. ISBN 9780415251358

Goodhart, Charles (2002) The operational risk issue. In: Bumps on the Road to Basel: an Anthology on Basel 2. Centre for the Study of Financial Innovation (CSFI), London. ISBN 0954314450

Goodhart, Charles and Illing, Gerhard (2002) Introduction: Financial crises, contagion and the lender of last resort. In: Goodhart, Charles and Illing, Gerhard, (eds.) Financial Crises, Contagion and the Lender of Last Resort. Oxford University Press, Oxford, UK, pp. 1-26. ISBN 9780199247202

Goodhart, Charles, Love, Ryan, Payne, Richard and Rime, Dagfinn (2002) Analysis of spreads in the dollar/euro and Deutsche Mark/dollar foreign exchange markets. Financial Markets Group Discussion Papers (467). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Goodhart, Charles and Meade, Ellen E. (2002) Central banks and supreme courts: a comparison of monetary and judicial processes and transparency. In: Conference in Honour of Charles Freedman, 2002-01-01, Toronto, Canada, CAN. (Submitted)

Grant, Charles, Koulovantianos, Christos, Michaelides, Alexander and Padula, Mario (2002) Redistributive policies through taxation: theory and evidence. In: New Developments in Fiscal Policy Analysis, 2002-05-20 - 2002-05-21, Barcelona, Spain, ESP. (Submitted)

Grant, Charles, Koulovantianos, Christos, Michaelides, Alexander and Padula, Mario (2002) Redistributive policies through taxation: theory and evidence. In: Dynamic Aspects of Policy Reforms, 2002-09-27 - 2002-09-29, Vienna, Austria, AUT. (Submitted)

H

Haliassos, Michael and Michaelides, Alexander (2002) Calibration and computation of household portfolio models. In: Guiso, Luiji, Haliassos, Michael and Jappelli, Tullio, (eds.) Household Portfolios. MIT Press, Cambridge, Mass., USA, pp. 55-102. ISBN 0262072211

Heinemann, Frank, Nagel, Rosemarie and Ockenfels, Peter (2002) Speculative attacks and financial architecture: experimental analysis of coordination games with public and private information. Financial Markets Group Discussion Papers (416). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Hon, Mark T. and Tonks, Ian (2002) Momentum in the UK stock market. Financial Markets Group Discussion Papers (405). Financial Markets Group, The London School of Economics and Political Science, London, UK.

I

Iacoviello, Matteo and Ortalo-Magné, François (2002) Hedging housing risk in London. Discussion paper (415). Financial Markets Group, The London School of Economics and Political Science, London, UK. (Submitted)

Inderst, Roman and Müller, Holger M. (2002) Venture capital contracts and market structure. Financial Markets Group Discussion Papers (411). Financial Markets Group, The London School of Economics and Political Science, London, UK.

J

Jobst, Andreas A. (2002) Loan securitisation: default term structure and asset pricing based on loss prioritisation. Financial Markets Group Discussion Papers (422). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Julliard, Christian ORCID: 0000-0001-8177-7441 (2002) The international diversification puzzle is not worse than you think. . Christian Julliard, London, UK.

Jurczenko, Emmanuel, Maillet, Bertrand and Negrea, Bogdan (2002) Revisited multi-moment approximate option pricing models: a general comparison (Part 1). Financial Markets Group Discussion Papers (430). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Jurczenko, Emmanuel, Maillet, Bertrand and Negrea, Bogdan (2002) Skewness and kurtosis implied by option prices: a second comment. Financial Markets Group Discussion Papers (419). Financial Markets Group, The London School of Economics and Political Science, London, UK.

K

Kalashnikov, Vladimir and Norberg, Ragnar (2002) Power tailed ruin probabilities in the presence of risky investments. Stochastic Processes and Their Applications, 98 (2). pp. 211-228. ISSN 0304-4149

Koufopoulos, Kostas (2002) Asymmetric information, heterogeneity in risk perceptions and insurance: an explanation to a puzzle. Financial Markets Group Discussion Papers (402). Financial Markets Group, The London School of Economics and Political Science, London, UK.

L

Linton, Oliver (2002) Comment on "an adaptive estimation of dimension reduction space" by Y. Xia, H. Tong, and W.K. Li. Journal of the Royal Statistical Society. Series B: Statistical Methodology, 64 (3). p. 400. ISSN 1369-7412

Linton, Oliver, Maasoumi, Esfandiar and Whang, Yoon-Jae (2002) Consistent testing for stochastic dominance : a subsampling approach. Econometrics; EM/2002/433 (EM/02/433). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Linton, Oliver, Maasoumi, Esfandiar and Whang, Yoon-Jae (2002) Consistent testing for stochastic dominance: a subsampling approach. Financial Markets Group Discussion Papers (407). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Linton, Oliver and Whang, Yoon-Jae (2002) Nonparametric estimation with aggregated data. Econometric Theory, 18 (2). pp. 420-468. ISSN 1469-4360

Loss, Frederic (2002) Optimal hedging strategies and interactions between firms. Financial Markets Group Discussion Papers (399). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Loss, Frederic and Renucci, Antoine (2002) The fallacy of new business creation as a disciplining device for managers. Financial Markets Group Discussion Papers (398). Financial Markets Group, The London School of Economics and Political Science, London, UK.

M

Maillet, Bertrand and Michel, Thierry (2002) How deep was the September 2001 stock market crisis?: putting recent events on the American and French markets into perspective with an index of market shocks. Financial Markets Group Discussion Papers (417). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Muermann, Alexander (2002) Pricing catastrophe insurance derivatives. Financial Markets Group Discussion Papers (400). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Mukerji, Sujoy and Shin, Hyun Song (2002) Equilibrium departures from common knowledge in games with non-additive expected utility. Advances in Theoretical Economics, 2 (1, Art). ISSN 1534-5963

Myatt, David P., Shin, Hyun Song and Wallace, Chris (2002) The assessment: games and coordination. Oxford Review of Economic Policy, 18 (4). pp. 397-417. ISSN 0266-903X

O

Ortalo-Magné, François and Rady, Sven (2002) Homeownership: low household mobility, volatile housing prices, high income dispersion. Financial Markets Group Discussion Papers (432). Financial Markets Group, The London School of Economics and Political Science, London, UK.

P

Patton, Andrew J. (2002) On the out-of-sample importance of skewness and asymetric dependence for asset allocation. Financial Markets Group Discussion Papers (431). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Pesaran, M. Hashem and Timmermann, Allan (2002) Market timing and return prediction under model instability. Financial Markets Group Discussion Papers (412). Financial Markets Group, The London School of Economics and Political Science, London, UK.

R

Rochet, Jean-Charles and Triole, Jean (2002) Platform competition in two sided markets. Financial Markets Group Discussion Papers (409). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Rochet, Jean-Charles and Vives, Xavier (2002) Coordination failures and the lender of last resort: was Bagehot right after all? Financial Markets Group Discussion Papers (408). Financial Markets Group, The London School of Economics and Political Science, London, UK.

S

Segoviano, Miguel A. and Lowe, Philip (2002) Internal ratings, the business cycle and capital requirements: some evidence from an emerging market economy. Financial Markets Group Discussion Papers (428). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Shintani, Mototsugu and Linton, Oliver (2002) Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos. Econometrics; EM/2002/434 (EM/02/434). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Shleifer, Andrei, Panunzi, Fausto and Burkart, Mike ORCID: 0000-0002-0954-4499 (2002) Family firms. Financial Markets Group Discussion Papers (406). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Sunirand, Pojanart (2002) The role of bank capital and the transmission mechanism of monetary policy. Financial Markets Group Discussion Papers (433). Financial Markets Group, The London School of Economics and Political Science, London, UK.

T

Tonks, Ian (2002) Performance persistence of pension fund managers. Financial Markets Group Discussion Papers (43). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Z

Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2002) Rational asset pricing implications from realistic trading frictions. Discussion paper (414). Financial Markets Group, The London School of Economics and Political Science, London, UK.