City Research Online

Article

Kaishev, V. K., Dimitrova, D. S. & Haberman, S. (2007). Modelling the joint distribution of competing risks survival times using copula functions. Insurance: Mathematics and Economics, 41(3), pp. 339-361. doi: 10.1016/j.insmatheco.2006.11.006

Lazarova, S., Trapani, L. & Urga, G. (2007). Common stochastic trends and aggregation in heterogeneous panels. Econometric Theory, 23(01), pp. 89-105. doi: 10.1017/s0266466607070041

Černý, A. (2007). Optimal continuous-time hedging with leptokurtic returns. Mathematical Finance, 17(2), pp. 175-203. doi: 10.1111/j.1467-9965.2007.00299.x

Černý, A. & Kallsen, J. (2007). On the structure of general mean-variance hedging strategies. Annals of Probability, 35(4), pp. 1479-1531. doi: 10.1214/009117906000000872

Report

Byrne, A., Harrison, D. & Blake, D. ORCID: 0000-0002-2453-2090 (2007). Dealing With the Reluctant Investor: Innovation and governance in DC pension investment. London, UK: The Pensions Institute; Cass Business School, ISSN 1367-580X.

Thesis

Aristidou, A. (2007). Market microstructure issues related to the Greek capital market. (Unpublished Doctoral thesis, City University London)

Cajigas, J.P. (2007). A multivariate GARCH model for the non-normal behaviour of financial assets. (Unpublished Doctoral thesis, City University London)

Chen, L. (2007). Price discovery in the foreign exchange market. (Unpublished Doctoral thesis, City University London)

Dimou, P. (2007). Models of Corporate and Bank Default and Credit Migration. (Unpublished Doctoral thesis, City University London)

Kam, A. (2007). Corporate distress in an emerging market : the case of China. (Unpublished Doctoral thesis, City University London)

Palaro, H.P. (2007). Essays in hedge fund replication, evaluation and synthetic funds. (Unpublished Doctoral thesis, City University London)

Sivaprasad, S. (2007). The value effects of capital structure : essays on leverage and its impact on stock returns</. (Unpublished Doctoral thesis, City University London)

Soldatos, O. (2007). Modelling electricity price risk for the valuation of power contingent claims : the case of Nord Pool. (Unpublished Doctoral thesis, City University London)

Working Paper

Cuthbertson, K., O'Sullivan, N. & Nitzsche, D. (2007). The Market Timing Ability of UK Equity Mutual Funds. SSRN.

Della Corte, P., Sarno, L. & Thornton, D. L. (2007). The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value (6445). Centre for Economic Policy Research.