A selection of publications connected to the Centre's research priorities are available below. Our Centre members have published work in the top journals in Economics and Finance and secured research grants from a variety of bodies such as the ESRC, Leverhulme Trust, British Council and FWF. 

Please visit the webpages of members of the Centre for a complete list.

  

2018

Journal article

The estimation and decomposition of tourism productivity
Assaf, A.G., Tsionas, M. expected in 2018 In: Tourism Management. 65, p. 131-142. 12 p.
Journal article

The time has come: Toward Bayesian SEM estimation in tourism research
Assaf, A.G., Tsionas, M., Oh, H. expected in 2018 In: Tourism Management. 64, p. 98-109. 12 p.
Journal article

Density forecast comparisons for stock prices, obtained from high-frequency returns and daily option prices
Fan, R., Taylor, S.J., Sandri, M. expected in 2018 In: Journal of Futures Markets. 38, 1, p. 83-103. 21 p.
Journal article

Production of output and ideas: efficiency and growth patterns in the United States
Drivas, K., Economidou, C., Tsionas, E. expected in 2018 In: Regional Studies. 52, 1, p. 105-118. 14 p.
Journal article

2017

Working paper

Foreign Monetary Policy and Firms' Default Risk
Groba, J., Serrano, P. 10/10/2017 Lancaster : Lancaster University, Department of Accounting and Finance, 86 p.
Working paper

Mind the Gap: An Early Empirical Analysis of SEC's “Tick Size Pilot Program”
Hansen, P., Li, Y., Lunde, A., Patton, A. 2017
Working paper

Journal article

Forecasting Using Alternative Measures of Model-Free Option-Implied Volatility
Yao, X., Izzeldin, M. 2/10/2017 In: Journal of Futures Markets.
Journal article

Did the financial crisis affect the market valuation of large systemic U.S. banks?
Bertsatos, G., Sakellaris, P., Tsionas, M.G. 10/2017 In: Journal of Financial Stability. 32, p. 115-123. 9 p.
Journal article

Liquidity Creation Through Efficient M&As: A Viable Solution for Vulnerable Banking Systems? Evidence From a Stress Test Under a Panel VAR methodology
Baltas, K.N., Kapetanios, G., Tsionas, E., Izzeldin, M. 10/2017 In: Journal of Banking and Finance. 83, p. 36-56. 21 p.
Journal article

Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system
Tsionas, M., Michaelides, P.G. 15/09/2017 In: Physica A: Statistical Mechanics and its Applications. 482, p. 95-107. 13 p.
Journal article

Capital and Earnings Management: Evidence from Alternative Banking Business Models
El Nahass, M., Izzeldin, M., Steele, G.R. 26/07/2017 In: The International Journal of Accounting.
Journal article

The Spurious Effect of ARCH Errors on Linearity Tests: A Theoretical Note and an Alternative Maximum Likelihood Approach
Pavlidis, E., Tsionas, E. 21/07/2017 In: Studies in Nonlinear Dynamics and Econometrics.
Journal article

A non-iterative (trivial) method for posterior inference in stochastic volatility models
Tsionas, M.G. 1/07/2017 In: Statistics and Probability Letters. 126, p. 83-87. 5 p.
Journal article

Endogenous bank risk and efficiency
Delis, M.D., Iosifidi, M., Tsionas, E. 1/07/2017 In: European Journal of Operational Research. 260, 1, p. 376-387. 12 p.
Journal article

A structural vector autoregressive model of technical efficiency and delays with an application to Chinese airlines
Tsionas, M.G., Chen, Z., Wanke, P. 07/2017 In: Transportation Research Part A: Policy and Practice. 101, p. 1-10. 10 p.
Journal article

Note on Posterior Inference for the Bingham Distribution
Tsionas, E. 30/06/2017 In: Communications in Statistics - Theory and Methods.
Journal article

A Bayesian approach to find Pareto optima in multiobjective programming problems using Sequential Monte Carlo algorithms
Tsionas, E. 3/06/2017 In: Omega: The International Journal of Management Science.
Journal article

Destination characteristics that drive hotel performance: a state-of-the-art global analysis
George Assaf, A., Josiassen, A., Woo, L., Agbola, F.W., Tsionas, M. 06/2017 In: Tourism Management. 60, p. 270-279. 10 p.
Journal article

Microfoundations for stochastic frontiers
Tsionas, E. 1/05/2017 In: European Journal of Operational Research. 258, 3, p. 1165-1170. 6 p.
Journal article

Diversifying away the risk of war and cross-border political crisis
Omar, A., Wisniewski, T., Nolte, S. 05/2017 In: Energy Economics. 64, p. 494-510. 17 p.
Journal article

Fiscal stabilization vs. passivity
Bai, Y., Leeper, E. 05/2017 In: Economics Letters. 154, p. 105-108. 4 p.
Journal article

Nominal targeting in an economy with government debt
Bai, Y., Kirsanova, T., Leith, C. 05/2017 In: European Economic Review. 94, p. 103-125. 23 p.
Journal article

System stress testing of bank liquidity risk
Pagratis, S., Topaloglou, N., Tsionas, M. 05/2017 In: Journal of International Money and Finance. 73, Part A, p. 22-40. 19 p.
Journal article

Wagering on more than one outcome in an event in Cumulative Prospect Theory and Rank Dependent Utility
Peel, D.A. 05/2017 In: Economics Letters. 154, p. 45-47. 3 p.
Journal article

Foreigners vs. natives: bank lending technologies and loan pricing
Beck, T., Ioannidou, V., Schäfer , L. 19/04/2017 In: Management Science.
Journal article

Bayesian estimation of agent-based models
Grazzini, J., Richiardi, M., Tsionas, E. 04/2017 In: Journal of Economic Dynamics and Control. 77, p. 26-47. 22 p.
Journal article

Loss aversion and ruinous optimal wagers in cumulative prospect theory
Peel, D.A., Law, D. 22/02/2017 In: Economics Bulletin. 37, 1, p. 352-360. 9 p.
Journal article

Higher-order risk vulnerability
Huang, X., Stapleton, R.C. 02/2017 In: Economic Theory. 63, 2, p. 387-406. 20 p.
Journal article

The profit function system with output- and input-specific technical efficiency
Tsionas, M.G. 02/2017 In: Economics Letters. 151, p. 111-114. 4 p.
Journal article

Asymmetric price adjustment in the US gasoline industry: evidence from Bayesian threshold dynamic panel data models
Polemis, M.L., Tsionas, M.G. 01/2017 In: International Journal of the Economics of Business. 24, 1, p. 91-128. 38 p.
Journal article

The long-run causal relationship between exports and economic growth in the Euro area
Konstantakopoulou, I., Tsionas, E. 2017 In: Applied Economics Letters. 24, 8, p. 536-539. 4 p.
Journal article

Doctoral Thesis

Empirical essays on inferring information from options and other financial derivatives
Zhang, J. 2017 Lancaster University. 256 p.
Doctoral Thesis

Essays on financial econometrics: variance and covariance estimation using price durations
Zhao, X. 2017 Lancaster University. 179 p.
Doctoral Thesis

Three essays on the predictive content and predictability of the nominal exchange rates in a changing world
Promponas, P. 2017 Lancaster University. 135 p.
Doctoral Thesis

Chapter

New empirical evidence on the Tote-SP anomaly and its implications for models of risky choice in gambling markets
Peel, D.A., Simmons, R., Buraimo, B. 2017 In: The Economics of Sports Betting. Cheltenham : Edward Elgar p. 92-104. 13 p. ISBN: 9781785364549.
Chapter

2016

Journal article

Examining the relationship between default risk and efficiency in Islamic and conventional banks
Saeed, M., Izzeldin, M. 12/2016 In: Journal of Economic Behavior and Organization. 132, Supplement, p. 127-154. 28 p.
Journal article

On the non-exclusivity of loan contracts: an empirical investigation
Degryse, H., Ioannidou, V., von Schedvin, E. 12/2016 In: Management Science. 62, 12, p. 3510-3533. 24 p.
Journal article

A cost system approach to the stochastic directional technology distance function with undesirable outputs: the case of U.S. banks in 2001-2010
Malikov, E., Kumbhakar, S., Tsionas, E. 11/2016 In: Journal of Applied Econometrics. 31, 7, p. 1407-1429. 23 p.
Journal article

Asymmetric effects of volatility risk on stock returns: evidence from VIX and VIX futures
Fu, X., Sandri, M., Shackleton, M.B. 11/2016 In: Journal of Futures Markets. 36, 11, p. 1029-1056. 28 p.
Journal article

Disagreement versus uncertainty: evidence from distribution forecasts
Krueger, F., Nolte, I. 11/2016 In: Journal of Banking and Finance. 72, Suppl., p. 172-186. 15 p.
Journal article

Episodes of exuberance in housing markets: in search of the smoking gun
Pavlidis, E., Yusupova, A., Paya, I., Peel, D., Martínez-García, E., Mack, A., Grossman, V. 11/2016 In: Journal of Real Estate Finance and Economics. 53, 4, p. 419-449. 31 p.
Journal article

Pure higher-order effects in the portfolio choice model
Niguez, T., Paya, I., Peel, D.A. 11/2016 In: Finance Research Letters. 19, p. 255-260. 6 p.
Journal article

Macroprudential regulation, credit spreads and the role of monetary policy
Tayler, W.J., Zilberman, R. 10/2016 In: Journal of Financial Stability. 26, C, p. 144-158. 15 p.
Journal article

On the estimation of zero-inefficiency stochastic frontier models with endogenous regressors
Tran, K.C., Tsionas, E. 10/2016 In: Economics Letters. 147, p. 19-22. 4 p.
Journal article

Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages
Wojakowski, R., Ebrahim, S., Shackleton, M.B. 10/2016 In: Journal of Banking and Finance. 71, p. 62-74. 13 p.
Journal article

On the positive expected utility of combination wagers
Buraimo, B., Peel, D., Simmons, R. 09/2016 In: Decision Analysis. 13, 3, p. 209-212. 4 p.
Journal article

Wealth fluctuations and investment in risky assets: the UK micro evidence on households asset allocation
Paya, I., Wang, P. 09/2016 In: Journal of Empirical Finance. 38, Part A, p. 221-235. 15 p.
Journal article

Series estimation of functional-coefficient partially linear regression model
Tran, K.C., Tsionas, E. 10/08/2016 In: Communications in Statistics - Theory and Methods. 46, 15, p. 7593-7602. 10 p.
Journal article

Option implied volatility measures and stock return predictability
Fu, X., Arisoy, Y.E., Shackleton, M.B., Umutlu, M. 08/2016 In: Journal of Derivatives. 24, 1, p. 58-78. 21 p.
Journal article

A spatial stochastic frontier model with spillovers: evidence for Italian regions
Tsionas, E., Michaelides, P.G. 07/2016 In: Scottish Journal of Political Economy. 63, 3, p. 243-257. 15 p.
Journal article

Unobserved heterogeneity in hospitality and tourism research
Assaf, A.G., Oh, H., Tsionas, E. 07/2016 In: Journal of Travel Research. 55, 6, p. 774-788. 15 p.
Journal article

Will the crisis “tear us apart”?: evidence from the EU
Pappas, V., Ingham, H., Izzeldin, M., Steele, G. 07/2016 In: International Review of Financial Analysis. 46, p. 346-360. 15 p.
Journal article

A nonlinear analysis of the real exchange rate - consumption relationship
Pavlidis, E., Paya, I., Peel, D.A. 20/06/2016 In: Macroeconomic Dynamics.
Journal article

Testing for speculative bubbles using spot and forward prices
Pavlidis, E., Paya, I., Peel, D.A. 6/06/2016 In: International Economic Review.
Journal article

Business cycle determinants and fiscal policy: a panel ARDL approach for EMU
Papageorgiou, T., Michaelides, P.G., Tsionas, E. 06/2016 In: Journal of Economic Asymmetries. 13, p. 57-68. 12 p.
Journal article

Non-linearities in financial bubbles: theory and Bayesian evidence from S&P500
Michaelides, P.G., Tsionas, E., Konstantakis, K.N. 06/2016 In: Journal of Financial Stability. 24, p. 61-70. 10 p.
Journal article

The interaction of volatility, volume and skewness: empirical evidence from REITs
Akimov, A., Hutson, E., Stevenson, S. 06/2016 In: Journal of Real Estate Portfolio Management. 22, 1, p. 1-17. 17 p.
Journal article

Foreign direct investment determinants in OECD and developing countries
Economou, F., Hassapis, C., Philippas, N., Tsionas, E. 26/05/2016 In: Review of Development Economics. 16 p.
Journal article

An alternative semiparametric approach to the modelling of asymmetric gasoline price adjustment
Polemis, M.L., Tsionas, E. 05/2016 In: Energy Economics. 56, p. 384-388. 5 p.
Journal article

Bayesian GVAR with k-endogenous dominants & input–output weights: financial and trade channels in crisis transmission for BRICs
Tsionas, E., Konstantakis, K.N., Michaelides, P.G. 05/2016 In: Journal of International Financial Markets, Institutions and Money. 42, p. 1-26. 26 p.
Journal article

Changes in the global oil market
Bataa, E., Izzeldin, M., Osborn, D. 05/2016 In: Energy Economics. 56, p. 161-176. 16 p.
Journal article

Equity style allocation: a nonparametric approach
Subbiah, M., Fabozzi, F.J. 05/2016 In: Journal of Asset Management. 17, 3, p. 141-164. 24 p.
Journal article

Hedge fund allocation: evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques
Subbiah, M., Fabozzi, F.J. 05/2016 In: International Review of Financial Analysis. 45, p. 189-201. 13 p.
Journal article

Loss Aversion and Ruinous Optimal Wagering in the Markowitz Model of Non-Expected Utility
Peel, D.A., Law, D. 14/04/2016 In: Economics Bulletin. 36, 2, p. 688-695. 8 p.
Journal article

Parameters measuring bank risk and their estimation
Tsionas, E. 1/04/2016 In: European Journal of Operational Research. 250, 1, p. 291-304. 14 p.
Journal article

Reexamining the empirical relation between loan risk and collateral: the roles of collateral liquidity and types
Berger, A.N., Frame, W.S., Ioannidou, V. 04/2016 In: Journal of Financial Intermediation. 26, p. 28-46. 19 p.
Journal article

Zero-inefficiency stochastic frontier models with varying mixing proportion: a semiparametric approach
Tran, K.C., Tsionas, E. 16/03/2016 In: European Journal of Operational Research. 249, 3, p. 1113-1123. 11 p.
Journal article

Notes on technical efficiency estimation with multiple inputs and outputs
Tsionas, E. 1/03/2016 In: European Journal of Operational Research. 249, 2, p. 784-788. 5 p.
Journal article

A survival analysis of Islamic and conventional banks
Pappas, V., Ongena, S., Izzeldin, M., Fuertes, A. 12/02/2016 In: Journal of Financial Services Research. 51, 2, p. 221-256. 36 p.
Journal article

Directional distance functions: optimal endogenous directions
Atkinson, S., Tsionas, E. 02/2016 In: Journal of Econometrics. 190, 2, p. 301-314. 14 p.
Journal article

The good, the bad and the technology: endogeneity in environmental production models
Kumbhakar, S.C., Tsionas, E.G. 02/2016 In: Journal of Econometrics. 190, 2, p. 315-327. 13 p.
Journal article

Bayesian analysis of multivariate stable distributions using one-dimensional projections
Tsionas, E. 01/2016 In: Journal of Multivariate Analysis. 143, p. 185-193. 9 p.
Journal article

The information content of retail investors' order flow
Nolte, I., Nolte, S. 2016 In: European Journal of Finance. 22, 2, p. 80-104. 25 p.
Journal article

Working paper

Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K.
Promponas, P., Peel, D.A. 12/2016 Lancaster : Lancaster University, Department of Economics
Working paper

High-frequency volatility modelling: a Markov-switching autoregressive conditional intensity model
Li, Y., Nolte, I., Nolte, S. 27/05/2016 , 46 p.
Working paper

More accurate volatility estimation and forecasts using price durations
Zhao, X., Taylor, S.J., Nolte, I. 2016 , 41 p.
Working paper

2015

Journal article

Fiscal policy effects in a heterogeneous-agent OLG economy with an aging population
Nishiyama, S. 12/2015 In: Journal of Economic Dynamics and Control. 61, p. 114-132. 19 p.
Journal article

How are market preferences shaped?: the case of sovereign debt of stressed euro-area countries
Mamatzakis, E., Tsionas, E. 12/2015 In: Journal of Banking and Finance. 61, p. 106-116. 11 p.
Journal article

Loan loss provisioning rules, procyclicality and financial volatility
Agénor, P., Zilberman, R. 12/2015 In: Journal of Banking and Finance. 61, C, p. 301-315. 15 p.
Journal article

Parameter uncertainty in multiperiod portfolio optimization with transaction costs
DeMiguel, V., Martin Utrera, A., Nogales, F.J. 12/2015 In: Journal of Financial and Quantitative Analysis. 50, 6, p. 1443-1471. 29 p.
Journal article

System estimation of GVAR with two dominants and network theory: evidence for BRICs
Konstantakis, K.N., Michaelides, P.G., Tsionas, E., Minou, C. 12/2015 In: Economic Modelling. 51, p. 604-616. 13 p.
Journal article

The economic value of volatility timing with realized jumps
Nolte, I., Xu, Q. 12/2015 In: Journal of Empirical Finance. 34, p. 45-59. 15 p.
Journal article

Public real estate and the term structure of interest rates: a cross-country study
Akimov, A., Stevenson, S., Zagonov, M. 11/2015 In: Journal of Real Estate Finance and Economics. 51, 4, p. 503-540. 38 p.
Journal article

Banks’ risk endogenous to strategic management choices
Delis, M.D., Hasan, I., Tsionas, M. 10/2015 In: British Journal of Management. 26, 4, p. 637-656. 20 p.
Journal article

Stock-return volatility and daily equity trading by investor groups in Korea
Umutlu, M., Shackleton, M. 1/09/2015 In: Pacific-Basin Finance Journal. 34, p. 43-70. 28 p.
Journal article

The utility premium of Friedman and Savage, comparative risk aversion, and comparative prudence
Huang, J., Stapleton, R. 09/2015 In: Economics Letters. 134, p. 34-36. 3 p.
Journal article

Endogeneity in stochastic frontier models: copula approach without external instruments
Tran, K.C., Tsionas, E.G. 08/2015 In: Economics Letters. 133, p. 85-88. 4 p.
Journal article

Incorporating destination quality into the measurement of tourism performance: a Bayesian approach
Assaf, A.G., Tsionas, E. 08/2015 In: Tourism Management. 49, p. 58-71. 14 p.
Journal article

Synchronisation and commonalities in metropolitan housing market cycles
Akimov, A., Stevenson, S., Young, J. 07/2015 In: Urban Studies. 52, 9, p. 1665-1682. 18 p.
Journal article

Testing for linear and nonlinear Granger Causality in the real exchange rate-consumption relation
Pavlidis, E., Paya, I., Peel, D. 07/2015 In: Economics Letters. 132, p. 13-17. 5 p.
Journal article

Dimensions and location of high-involvement management: fresh evidence from the UK Commission's 2011 Employer Skills Survey
Wood, S., Nolte, S., Burridge, M., Rudloff, D., Green, W. 04/2015 In: Human Resource Management Journal. 25, 2, p. 166-183. 18 p.
Journal article

Dynamic technical and allocative efficiencies in European banking
Tsionas, E.G., Assaf, A.G., Matousek, R. 03/2015 In: Journal of Banking and Finance. 52, p. 130-139. 10 p.
Journal article

Money targeting, heterogeneous agents, and dynamic instability
Motta, G., Tirelli, P. 03/2015 In: Macroeconomic Dynamics. 19, 2, p. 288-310. 23 p.
Journal article

Likelihood-based inference in s-distributions
Tsionas, E. 2015 In: Communications in Statistics - Theory and Methods. 44, 1, p. 153-158. 6 p.
Journal article

Monetary policy, risk taking, and pricing: evidence from a quasi-natural experiment
Ioannidou, V., Ongena, S., Peydró, J.L. 2015 In: Review of Finance. 19, 1, p. 95-144. 50 p.
Journal article

Working paper

High-frequency volatility estimation and the relative importance of market microstructure variables: an autoregressive conditional intensity approach
Li, Y., Nolte, I., Nolte, S. 25/09/2015 , 50 p.
Working paper

2014

Journal article

Sell-side analysts' career concerns during banking stresses
Nolte, I., Nolte, S., Vasios, M. 12/2014 In: Journal of Banking and Finance. 49, p. 424-441. 18 p.
Journal article

Convex and decreasing absolute risk aversion is proper
Huang, J. 10/2014 In: Economics Letters. 125, 1, p. 123-125. 3 p.
Journal article

Financing old age dependency
Nishiyama, S., Smetters, K. 08/2014 In: Annual Review of Economics. 6, p. 53-76. 24 p.
Journal article

A comparison of performance of Islamic and conventional banks 2004 to 2009
Johnes, J., Izzeldin, M., Pappas, V. 07/2014 In: Journal of Economic Behavior and Organization. 103, Supplement, p. S93-S107. 15 p.
Journal article

Loan loss provisions, bank valuations and discretion: a comparative study between conventional and Islamic banks
El Nahass, M., Izzeldin, M., AbdElsalam, O. 07/2014 In: Journal of Economic Behavior and Organization. 103, Supplement, p. S160-S173. 14 p.
Journal article

On the estimation of marginal cost
Delis, M.D., Iosifidi, M., Tsionas, M. 29/04/2014 In: Operations Research. 62, 3, p. 543-556. 14 p.
Journal article

The option and decision to repurchase stock
Sonika, R., Carline, N., Shackleton, M. 17/02/2014 In: Financial Management. 43, 4, p. 833-855. 21 p.
Journal article

Firm-heterogeneity, persistent and transient technical inefficiency: a generalized true random effects model
Tsionas, M., Kumbhakar, S.C. 01/2014 In: Journal of Applied Econometrics. 29, 1, p. 110-132. 23 p.
Journal article

Bankruptcy probabilities inferred from option prices
Taylor, S.J., Tzeng, C., Widdicks, M. 2014 In: Journal of Derivatives. 22, 2, p. 8-31. 24 p.
Journal article

Cautiousness, skewness preference, and demand for options
Huang, J., Stapleton, R. 2014 In: Review of Finance. 18, 6, p. 2375-2395. 21 p.
Journal article

Cojumps in stock prices: empirical evidence
Gilder, D., Shackleton, M., Taylor, S.J. 2014 In: Journal of Banking and Finance. 40, p. 443-459. 17 p.
Journal article

Concordance in global office market cycles
Stevenson, S., Akimov, A., Hutson, E., Krystalogianni, A. 2014 In: Regional Studies. 48, 3, p. 456-470. 15 p.
Journal article

Option-implied volatilities and stock returns: evidence from industry-neutral portfolios
Shackleton, M., Liu, X., Zhang, Y., Pong, S. 2014 In: Journal of Portfolio Management. 41, 1, p. 65-77. 13 p.
Journal article

2013

Journal article

Investigating the information content of the model-free volatility expectation by Monte Carlo methods
Zhang, Y., Taylor, S.J., Wang, L. 11/2013 In: Journal of Futures Markets. 33, 11, p. 1071-1095. 25 p.
Journal article

An example of an optimal forecast exhibiting decreasing bias with increasing forecast horizon
Aretz, K., Peel, D. 10/2013 In: Bulletin of Economic Research. 65, 4, p. 362-371. 10 p.
Journal article

What drives corporate default risk premia?: evidence from the CDS market
Diaz, A., Groba, J., Serrano, P. 10/2013 In: Journal of International Money and Finance. 37, p. 529-563. 35 p.
Journal article

Size matters: optimal calibration of shrinkage estimators for portfolio selection
DeMiguel, V., Martin Utrera, A., Nogales, F.J. 08/2013 In: Journal of Banking and Finance. 37, 8, p. 3018-3034. 17 p.
Journal article

The impact of distressed economies on the EU sovereign market
Groba, J., Lafuente, J.A., Serrano, P. 07/2013 In: Journal of Banking and Finance. 37, 7, p. 2520-2532. 13 p.
Journal article

Heterogeneous agents and the implications of the Markowitz model of utility for multi-prize lottery tickets
Peel, D. 06/2013 In: Economics Letters. 119, 3, p. 264-267. 4 p.
Journal article

Hedging efficiency in the Greek options market before and after the financial crisis of 2008
Shackleton, M., Voukelatos, N. 04/2013 In: Journal of Multinational Financial Management. 23, 1-2, p. 1-18. 18 p.
Journal article

Corporate risk management and hedge accounting
Panaretou, A., Shackleton, M.B., Taylor, P.A. 03/2013 In: Contemporary Accounting Research. 30, 1, p. 116-139. 24 p.
Journal article

Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study
Pavlidis, E., Paya, I., Peel, D. 02/2013 In: Studies in Nonlinear Dynamics and Econometrics. 17, 3, p. 297-312. 16 p.
Journal article

Mitigating financial fragility with Continuous Workout Mortgages
Shiller, R.J., Wojakowski, R., Ebrahim, S., Shackleton, M. 01/2013 In: Journal of Economic Behavior and Organization. 85, p. 269-285. 17 p.
Journal article

Some new results on when extra risk strictly increases an option's value
Huang, J., Zhang, D. 01/2013 In: Journal of Futures Markets. 33, 1, p. 44-54. 11 p.
Journal article

Nonlinear dynamics in economics and finance and unit root testing
Pavlidis, E., Paya, I., Peel, D., Siriopoulos, C. 2013 In: European Journal of Finance. 19, 6, p. 572-588. 17 p.
Journal article

2012

Journal article

Are analysts' loss functions asymmetric?
Peel, D., Pope, P.F., Clatworthy, M. 12/2012 In: Journal of Forecasting. 31, 8, p. 736-756. 21 p.
Journal article

Bayesian analysis of extreme value regression
Papadakis, E.N., Tsionas, M. 11/2012 In: Applied Economics Letters. 19, 17, p. 1707-1710. 4 p.
Journal article

Momentum, contrarian, and the January seasonality
Yao, Y. 10/2012 In: Journal of Banking and Finance. 36, 10, p. 2757-2769. 13 p.
Journal article

Optimal Simple Monetary and Fiscal Rules under Limited Asset Market Participation
Motta, G., Tirelli, P. 10/2012 In: Journal of Money, Credit and Banking. 44, 7, p. 1351–1374. 24 p.
Journal article

Evaluating natural resource investments under different model dynamics: managerial insights
Tsekrekos, A.E., Shackleton, M.B., Wojakowski, R.M. 09/2012 In: European Financial Management. 18, 4, p. 543-575. 33 p.
Journal article

Maximum likelihood estimation of stochastic frontier models by the Fourier transform
Tsionas, M. 09/2012 In: Journal of Econometrics. 170, 1, p. 234-248. 15 p.
Journal article

Measurement of excess bidding in auctions
Ferona, A., Tsionas, M. 09/2012 In: Economics Letters. 116, 3, p. 377-380. 4 p.
Journal article

On the potential for observational equivalence in experiments on risky choice when a power utility function is assumed
Peel, D., Zhang, J. 07/2012 In: Economics Letters. 116, 1, p. 8-10. 3 p.
Journal article

Bayesian estimation approaches to first-price auctions
Kumbhakar, S.C., Parmeter, C.F., Tsionas, M. 05/2012 In: Journal of Econometrics. 168, 1, p. 47-59. 13 p.
Journal article

On the stability of the constant relative risk aversion (CRRA) under high degrees of uncertainty
Niguez, T., Paya, I., Peel, D., Perote, J. 05/2012 In: Economics Letters. 115, 2, p. 244-248. 5 p.
Journal article

Forecasting Monetary Policy Rules in South Africa
Naraidoo, R., Paya, I. 04/2012 In: International Journal of Forecasting. 28, 2, p. 446-455. 10 p.
Journal article

Quantifying and explaining parameter heterogeneity in the capital regulation-bank risk nexus
Delis, M.D., Tran, K.C., Tsionas, M. 04/2012 In: Journal of Financial Stability. 8, 2, p. 57-68. 12 p.
Journal article

A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach
Nolte, I. 2012 In: European Journal of Finance. 18, 10, p. 885-919. 35 p.
Journal article

Forecast evaluation of nonlinear models: the case of long-span real exchange rates
Pavlidis, E., Paya, I., Peel, D. 2012 In: Journal of Forecasting. 31, 7, p. 580-595. 16 p.
Journal article

How do individual investors trade?
Nolte, I., Nolte, S. 2012 In: European Journal of Finance. 18, 10, p. 921-947. 27 p.
Journal article

Least Squares inference on integrated volatility and the relationship between efficient Prices and noise
Nolte, I., Voev, V. 2012 In: Journal of Business and Economic Statistics. 30, 1, p. 94-108. 15 p.
Journal article

Working paper

A class of linearly constrained nonlinear optimization problems with corner point optimal solutions and applications in finance
Huang, J. 2012 Lancaster : Lancaster University, 29 p.
Working paper

Are we extracting the true risk neutral density from option prices?: a question with no easy answer
Huang, J. 2012 Lancaster : Lancaster University, 40 p.
Working paper

Cautiousness in the small and in the large
Huang, J., Stapleton, R. 2012 Lancaster : Lancaster University, 37 p.
Working paper

Changes in risk and valuation of options: a unified approach to option pricing bounds
Huang, J. 2012 Lancaster : Lancaster University, 37 p.
Working paper

Necessary and sufficient conditions on Gorman aggregation in securities markets with heterogeneous beliefs
Huang, J., Adam-Mueller, A. 2012 Lancaster : Lancaster University, 11 p.
Working paper

Should you buy a stock or a corporate bond? Another characterization of cautiousness
Huang, J., Stapleton, R. 2012 , 11 p.
Working paper

The relationship between relative prudence and relative risk aversion
Huang, J., Zhang, Z. 2012 Lancaster : Lancaster University, 34 p.
Working paper

The relationship between risk aversion and cautiousness
Huang, J. 2012 Lancaster : Lancaster University, 38 p.
Working paper

What can the option-implied risk aversion really tell us?
Huang, J. 2012 Lancaster : Lancaster University, 36 p.
Working paper

2011

Journal article

Stylized facts of money and credit over the business cycles
Kollintzas, T., Konstantakopoulou, I., Tsionas, M. 12/2011 In: Applied Financial Economics. 21, 23, p. 1735-1755. 21 p.
Journal article

Cross hedging under multiplicative basis risk
Adam-Müller, A., Nolte, I. 11/2011 In: Journal of Banking and Finance. 35, 11, p. 2956-2964. 9 p.
Journal article

Participating mortgages and the efficiency of financial intermediation
Ebrahim, S., Shackleton, M.B., Wojakowski, R.M. 11/2011 In: Journal of Banking and Finance. 35, 11, p. 3042-3054. 13 p.
Journal article

The Impact of ECB and FED announcements on the Euro interest rates
Monticini, A., Peel, D., Vaciago, G. 11/2011 In: Economics Letters. 113, 2, p. 139-142. 4 p.
Journal article

The business cycle in Eurozone economies (1960 to 2009)
Konstantakopoulou, I., Tsionas, M. 10/2011 In: Applied Financial Economics. 21, 20, p. 1495-1513. 19 p.
Journal article

The budgetary and welfare effects of tax-deferred retirement saving accounts
Nishiyama, S. 7/08/2011 In: Journal of Public Economics. 95, 11-12, p. 1561-1578. 18 p.
Journal article

An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics
Bien, K., Nolte, I., Pohlmeier, W. 06/2011 In: Journal of Applied Econometrics. 26, 4, p. 669-707. 39 p.
Journal article

Improved inference in regression with overlapping observations
Britten-Jones, M., Neuberger, A., Nolte, I. 06/2011 In: Journal of Business Finance and Accounting. 38, 5-6, p. 657-683. 27 p.
Journal article

Continuous Workout Mortgages
Shiller, R.J., Wojakowski, R., Ebrahim, S., Shackleton, M. 05/2011 In: NBER Working Papers. 41 p.
Journal article

Rail infrastructure charging in Hellenic railways
Tsionas, M., Baltas, N.C., Chionis, D.P. 05/2011 In: Journal of Policy Modeling. 33, 3, p. 370-380. 11 p.
Journal article

Tests of ex ante versus ex post theories of collateral using private and public information
Berger, A.N., Scott Frame, W., Ioannidou, V. 1/04/2011 In: Journal of Financial Economics. 100, 1, p. 85-97. 13 p.
Journal article

Stochastic error specification in primal and dual production systems
Kumbhakar, S.C., Tsionas, M. 03/2011 In: Journal of Applied Econometrics. 26, 2, p. 270-297. 28 p.
Journal article

Systematic sampling of nonlinear models: evidence on speed of adjustment in index futures markets
Paya, I., Peel, D. 02/2011 In: Journal of Futures Markets. 31, 2, p. 192-203. 12 p.
Journal article

Effects of background risks on cautiousness with an application to a portfolio choice problem
Hara, C., Huang, J., Kuzmics, C. 01/2011 In: Journal of Economic Theory. 146, 1, p. 346-358. 13 p.
Journal article

Hysteresis effects under stochastic interest rates
Shackleton, M.B., Dias, J.C. 2011 In: European Journal of Operational Research. 211, p. 594-600. 7 p.
Journal article

Omitted debt risk, financial distress and the cross-section of expected equity returns
Aretz, K., Shackleton, M.B. 2011 In: Journal of Banking and Finance. 35, 5, p. 1213-1227. 15 p.
Journal article

Real Exchange Rates and Time-Varying Trade Costs
Pavlidis, E., Paya, I., Peel, D. 2011 In: Journal of International Money and Finance. 30, 6, p. 1157-1179. 23 p.
Journal article

Trading dynamics in the foreign exchange market: a latent factor panel intensity approach
Nolte, I., Voev, V. 2011 In: Journal of Financial Econometrics. 9, 4, p. 685-716. 32 p.
Journal article

2010

Journal article

Testing for the generalized normal-Laplace distribution with applications
Meintanis, S.G., Tsionas, M. 1/12/2010 In: Computational Statistics and Data Analysis. 54, 12, p. 3174-3180. 7 p.
Journal article

On lottery sales, jackpot sizes and irrationality: A cautionary note
Peel, D. 12/2010 In: Economics Letters. 109, 3, p. 161-163. 3 p.
Journal article

A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices
Shackleton, M.B., Taylor, S.J., Yu, P. 11/2010 In: Journal of Banking and Finance. 34, 11, p. 2678-2693. 16 p.
Journal article

A Bayesian approach to statistical inference in stochastic DEA
Tsionas, M., Papadakis, E.N. 10/2010 In: Omega: The International Journal of Management Science. 38, 5, p. 309-314. 6 p.
Journal article

Globally flexible functional forms: the neural distance function
Michaelides, P.G., Vouldis, A.T., Tsionas, M. 10/2010 In: European Journal of Operational Research. 206, 2, p. 456-469. 14 p.
Journal article

Habit and long memory in UK lottery sale
McHale, I., Peel, D. 10/2010 In: Economics Letters. 109, 1, p. 7-10. 4 p.
Journal article

Technical and allocative efficiency in European banking
Brissimis, S.N., Delis, M.D., Tsionas, M. 1/07/2010 In: European Journal of Operational Research. 204, 1, p. 153-163. 11 p.
Journal article

Recovering the moments of information flow and normality of asset returns
Izzeldin, M., Murphy, A. 21/05/2010 In: Applied Financial Economics. 20, 10, p. 761-769. 8 p.
Journal article

Bayesian analysis of Poisson regression with lognormal unobserved heterogeneity: with an application to the patent-R&D relationship
Tsionas, M. 05/2010 In: Communications in Statistics - Theory and Methods. 39, 10, p. 1689-1706. 18 p.
Journal article

Estimating semi-parametric output distance functions with neural-based reduced form equations using LIML
Vouldis, A.T., Michaelides, P.G., Tsionas, M. 05/2010 In: Economic Modelling. 27, 3, p. 697-704. 8 p.
Journal article

Estimation of production risk and risk preference function: a nonparametric approach
Kumbhakar, S.C., Tsionas, M. 04/2010 In: Annals of Operations Research. 176, 1, p. 369-378. 10 p.
Journal article

Multivariate Pareto distributions: inference and financial applications
Papadakis, E.N., Tsionas, M. 4/03/2010 In: Communications in Statistics - Theory and Methods. 39, 6, p. 1013-1025. 13 p.
Journal article

Deposit insurance and bank risk-taking: evidence from internal loan ratings
Ioannidou, V.P., Penas, M.F. 01/2010 In: Journal of Financial Intermediation. 19, 1, p. 95-115. 21 p.
Journal article

Efficient quadrature and node positioning for exotic option valuation
Chung, S.L., Ko, K., Shackleton, M.B., Yeh, C.T. 2010 In: Journal of Futures Markets. 30, 11, p. 1026-1057. 32 p.
Journal article

Harvesting and recovery decisions under uncertainty
Shackleton, M.B., Sodal, S. 2010 In: Journal of Economic Dynamics and Control. 34, 12, p. 2533-2546. 14 p.
Journal article

Inflation dynamics in the US: global but not local mean reversion
Paya, I., Nobay, A., Peel, D. 2010 In: Journal of Money, Credit and Banking. 42, 1, p. 135-150. 16 p.
Journal article

Option prices and risk-neutral densities for currency cross-rates
Taylor, S.J., Wang, Y. 2010 In: Journal of Futures Markets. 30, p. 324-360. 37 p.
Journal article

Specifying smooth transition regression models in the presence of conditional heteroskedasticity of unknown form
Pavlidis, E., Paya, I., Peel, D. 2010 In: Studies in Nonlinear Dynamics and Econometrics. 14, 3, p. 1-38. 38 p.
Journal article

Spreads vs professional forecasters as predictors of future output change
Aretz, K., Peel, D. 2010 In: Journal of Forecasting. 29, 6, p. 517-522. 6 p.
Journal article

The forward premium puzzle in the interwar period and deviations from covered interest parity
Paya, I., Peel, D., Spiru, A.M. 2010 In: Economics Letters. 108, 1, p. 55-57. 3 p.
Journal article

The information content of implied volatilities and model-free volatility expectations: evidence from options written on individual stocks
Taylor, S.J., Yadav, P.K., Zhang, Y. 2010 In: Journal of Banking and Finance. 34, p. 871-881. 11 p.
Journal article

Time for a change: loan conditions and bank behavior when firms switch banks
Ioannidou, V., Ongena, S. 2010 In: Journal of Finance. 65, 5, p. 1847–1877. 31 p.
Journal article

2009

Journal article

Local GMM estimation of semiparametric panel data with smooth coefficient models
Tran, K.C., Tsionas, M. 11/2009 In: Econometric Reviews. 29, 1, p. 39-61. 23 p.
Journal article

Stylized facts of prices and interest rates over the business cycle
Konstantakopoulou, I., Tsionas, M., Kollintzas, T. 19/10/2009 In: Economics Bulletin. 29, 4, p. 2613-2627. 15 p.
Journal article

The joint estimation of bank-level market power and efficiency
Delis, M.D., Tsionas, M. 10/2009 In: Journal of Banking and Finance. 33, 10, p. 1842-1850. 9 p.
Journal article

Estimation of nonparametric inefficiency effects stochastic frontier models with an application to British manufacturing
Tran, K.C., Tsionas, M. 09/2009 In: Economic Modelling. 26, 5, p. 904-909. 6 p.
Journal article

Joint estimation of technology choice and technical efficiency: an application to organic and conventional dairy farming
Kumbhakar, S.C., Tsionas, M., Sipiläinen, T. 06/2009 In: Journal of Productivity Analysis. 31, 3, p. 151-161. 11 p.
Journal article

Bootstrapping long memory tests: Some Monte Carlo results
Izzeldin, M., Murphy, A. 15/04/2009 In: Computational Statistics and Data Analysis. 53, 6, p. 2325-2334. 10 p.
Journal article

Bayesian inference using artificial augmenting regressions
Tsionas, M. 04/2009 In: Communications in Statistics - Theory and Methods. 38, 9, p. 1361-1370. 10 p.
Journal article

Electoral motives, partisan motives and dynamic optimality with many taxes: an international investigation
Christopoulos, D.K., Loizides, J., Tsionas, M. 02/2009 In: Scottish Journal of Political Economy. 56, 1, p. 94-113. 20 p.
Journal article

On forecasting daily stock volatility: the role of intraday information and market conditions
Fuertes, A., Izzeldin, M., Kalotychou, E. 6/01/2009 In: International Journal of Forecasting. 25, 2, p. 259-281. 23 p.
Journal article

A more general non-expected utility model as an explanation of gambling outcomes for individuals and markets
Peel, D., Law, D. 2009 In: Economica. 76, 302, p. 251-263. 13 p.
Journal article

Cross-sectional analysis of risk-neutral skewness
Taylor, S.J., Yadav, P.K., Zhang, Y. 2009 In: Journal of Derivatives. 16, 4, p. 38-52. 15 p.
Journal article

Durable vs disposable equipment choice under interest rate uncertainty
Shackleton, M.B., Dias, J.C. 2009 In: European Journal of Finance. 15, 2, p. 157-167. 11 p.
Journal article

Linkages between Shanghai and Hong Kong stock indices
Paya, I., Zhang, S., Peel, D. 2009 In: Applied Financial Economics. 19, 23, p. 1847-1857. 11 p.
Journal article

On skewness of return and buying more than one ticket in a lottery
Peel, D., Law, D. 2009 In: Applied Economics Letters. 16, 10, p. 1350-4851. 3502 p.
Journal article

Testing for central bank independence and inflation using the wild bootstrap
Peel, D., Monticini, A. 2009 In: Economics Bulletin. 29, 3, p. 1602-1607. 6 p.
Journal article

The central bank inflation bias in the presence of asymmetric preferences and non-normal shocks
Peel, D., Christodoulakis, G. 2009 In: Economics Bulletin. 29, 3, p. 1608-1620. 13 p.
Journal article

The expo-power value function as a candidate for the work-horse specification in parametric versions of cumulative prospect theory
Peel, D., Zhang, J. 2009 In: Economics Letters. 105, 3, p. 326-329. 4 p.
Journal article

Chapter

Nonparametric estimation of production risk and risk preference functions
Tsionas, M., Kumbhakar, S.C. 2009 In: Nonparametric Econometric Methods. Bingley : Emerald Group Publishing Ltd p. 223-260. 38 p. ISBN: 9781849506236.
Chapter

2008

Journal article

Make assurance double sure: combination of two disclosure limitation methods and estimation of general regression models
Nolte, S., Flossmann, A. 12/2008 In: AStA Advances in Statistical Analysis. 92, 4, p. 405-422. 18 p.
Journal article

Perturbation by multiplicative noise and the Simulation Extrapolation method
Biewen, E., Nolte, S., Rosemann, M. 12/2008 In: AStA Advances in Statistical Analysis. 92, 4, p. 375-389. 15 p.
Journal article

Does public sector efficiency matter?: revisiting the relation between fiscal size and economic growth in a world sample
Angelopoulos, K., Philippopoulos, A., Tsionas, M. 1/10/2008 In: Public Choice. 137, 1-2, p. 245-278. 33 p.
Journal article

Scale and efficiency measurement using a semiparametric stochastic frontier model: evidence from the U.S. commercial banks
Kumbhakar, S.C., Tsionas, M. 1/06/2008 In: Empirical Economics. 34, 3, p. 585-602. 18 p.
Journal article

Cost structure, efficiency and productivity in Hellenic Railways
Tsionas, M., Baltas, N.C., Chionis, D.P. 06/2008 In: Journal of Economic Asymmetries. 5, 1, p. 39-52. 14 p.
Journal article

Prometheus bound: polarization is possible in the neoclassical growth model
Tsionas, M., Theocharis, L. 05/2008 In: Metroeconomica. 59, 2, p. 203-211. 9 p.
Journal article

Do high interest rates defend currencies during speculative attacks?: new evidence
Goderis, B., Ioannidou, V.P. 01/2008 In: Journal of International Economics. 74, 1, p. 158-169. 12 p.
Journal article

Estimation of input-oriented technical efficiency using a nonhomogeneous stochastic production frontier model
Kumbhakar, S.C., Tsionas, M. 01/2008 In: Agricultural Economics. 38, 1, p. 99-108. 10 p.
Journal article

Bayesian inference in generalized error and generalized student-t regression models
Tsionas, M. 2008 In: Communications in Statistics - Theory and Methods. 37, 3, p. 388-407. 20 p.
Journal article

Bounded cumulative prospect theory: some implications for gambling outcomes
Peel, D., Cain, M., Law, D. 2008 In: Applied Economics. 40, 1, p. 5-15. 11 p.
Journal article

Distinguishing short and long memory volatility specifications
Pong, S., Shackleton, M.B., Taylor, S.J. 2008 In: The Econometrics Journal. 11, 3, p. 617-637. 21 p.
Journal article

Estimation of cost vs profit systems with and without technical inefficiency
Tsionas, M., Kumbhakar, S.C. 2008 In: Academia Economic Papers. 36, 2, p. 145-166. 22 p.
Journal article

Modeling a multivariate transaction process
Nolte, I. 2008 In: Journal of Financial Econometrics. 6, 1, p. 143-170. 28 p.
Journal article

New evidence on stylized facts of the business cycle: an international investigation (1960-2004)
Tsionas, M., Kollintzas, T., Konstantakopoulou, I. 2008 In: Economics Bulletin. 28, 16
Journal article

Subjective skewness of return as an explanation of the optimal choice between gambles in cumulative prospect theory
Peel, D., Law, D. 2008 In: Journal of Gambling Business and Economics. 2, 2, p. 97-107. 11 p.
Journal article

Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits
Hwang, S., Keswani, A., Shackleton, M.B. 2008 In: Journal of Banking and Finance. 32, 5, p. 643-653. 11 p.
Journal article

The Markowitz model of utility supplemented with a small degree of probablility distortion as an explanation of outcomes of allais experiments over large and small payoffs and gambling on unlikely outcomes
Peel, D., Zhang, J., Law, D. 2008 In: Applied Economics. 40, 1, p. 17-26. 10 p.
Journal article

Chapter

Bayesian analysis of the consumption CAPM
Arakelian, V., Tsionas, M. 2008 In: Bayesian econometrics . Bingley : Emerald Group Publishing Ltd p. 619-643. 25 p. ISBN: 978-1-84855-308-8. Electronic ISBN: 978-1-84855-309-5.
Chapter

2007

Journal article

Does social security privatization produce efficiency gains?
Nishiyama, S., Smetters, K. 11/2007 In: The Quarterly Journal of Economics. 122, 4, p. 1677-1719. 43 p.
Journal article

Some implications of a quartic loss function
Aretz, K., Peel, D. 20/08/2007 In: Economics Bulletin. 7, 13, p. 1-7. 7 p.
Journal article

Bicameral Conflict Resolution in the European Union: An Empirical Analysis of Conciliation Committee Bargains
Koenig, T., Lindberg, B., Nolte (Lechner), S., Pohlmeier, W. 04/2007 In: British Journal of Political Science. 37, 2, p. 281–312. 31 p.
Journal article

Using forecasts of forecasters to forecast
Nolte, I., Pohlmeier, W. 01/2007 In: International Journal of Forecasting. 23, 1, p. 15-28. 14 p.
Journal article

Betting on odds on favorites as an optimal choice in cumulative prospect theory
Peel, D., Law, D. 2007 In: Economics Bulletin. 4, 26, p. 1-10. 10 p.
Journal article

Closed-form transformations from risk-neutral to real-world distributions
Liu, X., Shackleton, M.B., Taylor, S.J., Xu, X. 2007 In: Journal of Banking and Finance. 31, 5, p. 1501-1520. 20 p.
Journal article

Deterministic impulse response in a nonlinear model: an analytical expression
Venetis, I.A., Paya, I., Peel, D. 2007 In: Economics Letters. 95, 3, p. 315-319. 5 p.
Journal article

Evaluating the properties of analysts' forecasts: a bootstrap approach
Clatworthy, M.A., Peel, D., Pope, P.F. 2007 In: British Accounting Review. 39, 1, p. 3-13. 11 p.
Journal article

Finite maturity caps and floors on continuous flows
Shackleton, M.B., Wojakowski, R.M. 2007 In: Journal of Economic Dynamics and Control. 31, 12, p. 3843-3859. 17 p.
Journal article

Gambling and nonexpected utility: the perils of the power function
Law, D., Peel, D. 2007 In: Applied Economics Letters. 14, 2, p. 79-82. 4 p.
Journal article

Generalised Geske-Johnson interpolation of option prices
Chung, S.L., Shackleton, M.B. 2007 In: Journal of Business Finance and Accounting. 34, 5-6, p. 976-1001. 26 p.
Journal article

Habit, aggregation and long memory: evidence from television audience data
Byers, D., Peel, D.A., Thomas, D.A. 2007 In: Applied Economics. 39, 3, p. 321-327. 7 p.
Journal article

Implementing the wild bootstrap using a two-point distribution
Davidson, J., Monticini, A., Peel, D. 2007 In: Economics Letters. 93, 3, p. 309-315. 7 p.
Journal article

On the equality of real interest rates across borders in integrated capital markets
Minford, P., Peel, D. 2007 In: Open Economies Review. 18, 1, p. 119-125. 7 p.
Journal article

On the relationship between inflation persistence and temporal aggregation
Paya, I., Duarte, A., Holden, K. 2007 In: Journal of Money, Credit and Banking. 39, 6, p. 1521-1531. 11 p.
Journal article

On the relationship between nominal exchange rates and domestic and foreign prices
Paya, I., Peel, D.A. 2007 In: Applied Financial Economics. 17, 2, p. 105 - 117. 13 p.
Journal article

Representative consumer’s risk aversion and efficient risk-sharing rules
Hara, C., Huang, J., Kuzmics, C. 2007 In: Journal of Economic Theory. 137, 1, p. 652-672. 21 p.
Journal article

Simulating stock returns under switching regimes- a new test of market efficiency
Meenagh, D., Minford, P., Peel, D. 2007 In: Economics Letters. 94, 2, p. 235-239. 5 p.
Journal article

The Euro and European financial market dependence
Bartram, S., Taylor, S.J., Wang, Y. 2007 In: Journal of Banking and Finance. 51, 5, p. 1461-1481. 21 p.
Journal article

The long memory model of political support: some further results
Byers, D., Davidson, J., Peel, D. 2007 In: Applied Economics. 39, 20, p. 2547-2552. 6 p.
Journal article

Two-dimensional risk neutral valuation relationships for the pricing of options
Huang, J., Franke, G., Stapleton, R.C. 2007 In: Review of Derivatives Research. 9, p. 213-237. 25 p.
Journal article

2006

Journal article

Extremal financial risk models and portfolio evaluation
Zhang, Z., Huang, J. 15/12/2006 In: Computational Statistics and Data Analysis. 51, 4, p. 2313-2338. 26 p.
Journal article

Modelling financial transaction price movements: a dynamic integer count data model
Liesenfeld, R., Nolte, I., Pohlmeier, W. 01/2006 In: Empirical Economics. 30, 4, p. 795-825. 31 p.
Journal article

A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994
Peel, D., Paya, I. 2006 In: Journal of Money, Credit and Banking. 38, 8, p. 1971-1990. 20 p.
Journal article

Expected stock returns, aggregate consumption and wealth: some further empirical evidence
Ioannides, C., Peel, D., Matthews, K. 2006 In: Journal of Macroeconomics. 28, 2, p. 439-445. 7 p.
Journal article

How real option disinvestment flexibility augments project NPV
Keswani, A., Shackleton, M.B. 2006 In: European Journal of Operational Research. 168, 1, p. 240-252. 13 p.
Journal article

On the speed of adjustment in ESTAR models when allowance is made for bias in estimation
Paya, I., Peel, D. 2006 In: Economics Letters. 90, 2, p. 272-277. 6 p.
Journal article

Support for Governments and leaders: fractional cointegration analysis of poll evidence from the UK, 1960-2004
Davidson, J., Peel, D., Byers, D. 2006 In: Studies in Nonlinear Dynamics and Econometrics. 10, 1, p. Article 3.
Journal article

Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment
Paya, I., Peel, D. 2006 In: Journal of Applied Econometrics. 21, 5, p. 655-668. 14 p.
Journal article

The relationship between expected utility and higher moments for distributions captured by the Gram-Charlier class
Peel, D., Christodoulakis, G. 2006 In: Finance Research Letters. 3, 4, p. 273-276. 4 p.
Journal article

The relationships between sentiment, returns and volatility
Wang, Y., Keswani, A., Taylor, S.J. 2006 In: International Journal of Forecasting. 22, p. 109-123. 15 p.
Journal article

2005

Journal article

Data Masking by Noise Addition and the Estimation of Nonlinear Regression Models
Nolte (Lechner), S., Pohlmeier, W. 1/10/2005 In: Jahrbuecher fuer Nationaloekonomie und Statistik. 225, 5, p. 517-528. 12 p.
Journal article