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2005 Research Papers

171. Chiarella, C. and Hsiao, C.Y., "The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method", November 2005
Format: PDF, Size: 250 Kb

170. Christensen, M and Platen, E., "Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps", November 2005
Format: PDF, Size: 325 Kb

169. He, C., Silvennoinen, A. and Teräsvirta, T., "Parameterizing Unconditional Skewness in Models for Financial Time Series", October 2005 (Updated December 2005)
Format: PDF, Size: 650 Kb

168. Silvennoinen, A. and Teräsvirta, T., "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations", October 2005
Format: PDF, Size: 340 Kb

167. Chiarella, C., Nikitopoulos, C. and Schlögl, E., "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps", September 2005
Format: PDF, Size: 350 Kb

166. Chiarella, C., Dieci, R. and He, X., "Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework", September 2005
Format: PDF, Size: 485 Kb

165. Andres Gonzalez, Timo Teräsvirta, T. and Dick van Dijk, "Panel Smooth Transition Regression Models", August 2005
Format: PDF, Size: 700 Kb

164. Bruti-Liberati, N. and Platen, E., "On the Strong Approximation of Pure Jump Processes", July 2005
Format: PDF, Size: 175 Kb

163. Platen, E., "Investments for the Short and Long Run", August 2005
Format: PDF, Size: 400 Kb

162. Dieci, R., Foroni, I., Gardini, L. and He, X., "Market Mood, Adaptive Beliefs and Asset Price Dynamics", August 2005
Format: PDF, Size: 400 Kb

161. Bateman, H. and Thorp, S., "Decentralised portfolio management: analysis of Australian accumulation funds.", July 2005
Format: PDF, Size: 700 Kb

160. Thorp, S. and Milunovich, G., "Asymmetric Risk and International Portfolio Choice", July 2005
Format: PDF, Size: 1 Mb

159. Menzies, G. and Zizzo, D J., "Inferential Expectations", May 2005
Format: PDF, Size: 710 Kb

158. Corron, N.,He, X. and Westerhoff, F., "Butter Mountains, Milk Lakes and Optimal Price Limiters", May 2005
Format: PDF, Size: 1.25 Mb

157. Bruti-Liberati, N. and Platen, E., "On the Strong Approximation of Jump-Diffusion Processes", April 2005
Format: PDF, Size: 385 Kb

156. Bruti-Liberati, N., Martini, F., Piccardi, M. and Platen, E., "A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation", April 2005
Format: PDF, Size: 250 Kb

155. Hulley, H., Miller, S. and Platen, E., "Benchmarking and Fair Pricing Applied to Two Market Models", March 2005
Format: PDF, Size: 300 Kb

154. Heath, D. and Platen, E., "Currency Derivatives under a Minimal Market Model with Random Scaling", March 2005
Format: PDF, Size: 500 Kb

153. Fergusson, K. and Platen, E., "On the Distributional Characterization of Log-returns of a World Stock Index", March 2005
Format: PDF, Size: 400 Kb

152. Chiarella, C. and Iori, G., "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows", February 2005
Format: PDF, Size: 470 Kb

151. Chiarella, C., Hung, H. and To, T., "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach", January 2005
Format: PDF, Size: 255 Kb

150. Chiarella, C. and To, T., "The Multifactor Nature of the Volatility of the Eurodollar Futures Market", January 2005
Format: PDF, Size: 135 Kb

148. He, X. and Li, Y., "Long Memory, Heterogeneity and Trend Chasing", January 2005
Format: PDF, Size: 576 Kb

147. He, X. and Li, Y., "Heterogeneity, Profitability and Autocorrelations", January 2005
Format: PDF, Size: 1.4 Mb

146. McCulloch, J., "Relative Volume as a Doubly Stochastic Binomial Point Process" (Update), October 2005
Format: PDF, Size: 2 Mb

145. Chiarella, C. and Ziogas, A., "Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions", January 2005
Format: PDF, Size 377 Kb

144. Platen, E., "On the Role of the Growth Optimal Portfolio in Finance", January 2005
Format: PDF, Size: 240 Kb