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.

  

2017

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

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

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

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

Density forecast comparisons for stock prices, obtained from high-frequency returns and daily option prices
Fan, R., Taylor, S.J., Sandri, M. 6/04/2017 In: Journal of Futures Markets.
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

Production of output and ideas: efficiency and growth patterns in the United States
Drivas, K., Economidou, C., Tsionas, E. 22/03/2017 In: Regional Studies. 14 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

Working paper

The value of growth: changes in profitability and future stock returns
Sotes-Paladino, J., Wang, J., Yao, Y. 2017
Working paper

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.
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

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

Diversifying away the risk of war and cross-border political crisis
Omar, A., Wisniewski, T., Nolte, S. 4/03/2016 In: Energy Economics.
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

2015

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

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

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

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

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

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

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

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

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

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

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

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

2012

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

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

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

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

2011

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

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

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

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

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

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

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

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

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

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

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

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

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

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

2007

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

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

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

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

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

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

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

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

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

1994

Journal article

Modelling stochastic volatility: a review and comparative study
Taylor, S.J. 04/1994 In: Mathematical Finance. 4, 2, p. 183-204. 22 p.
Journal article