 | Up a level |
Abbassi, P., Iyer, R., Peydró, J.L. and Tous, F.R. (2016). Securities trading by banks and credit supply: Micro-evidence from the crisis. Journal of Financial Economics, 121(3), pp. 569-594. doi: 10.1016/j.jfineco.2016.05.005
Acar, O. A. 
ORCID: 0000-0003-1993-0921 and Deichmann, D.
Does Crowdsourcing Need a Cash Prize to Work?.
Harvard Business Review,
Accominotti, O., Cen, J., Chambers, D. and Marsh, I. W. ORCID: 0000-0002-0483-8658 (2019).
Currency regimes and the carry trade.
Journal of Financial and Quantitative Analysis,
doi: 10.1017/S002210901900019X
Acharya, V., Pagano, M. and Volpin, P. (2016). Seeking Alpha: Excess risk taking and competition for managerial talent. The Review of Financial Studies, 29(10), pp. 2565-2599. doi: 10.1093/rfs/hhw036
Acharya, V. V. and Volpin, P. (2010). Corporate Governance Externalities. Review of Finance, 14(1), pp. 1-33. doi: 10.1093/rof/rfp002
Acosta, P. and Montes-Rojas, G. (2014). Informal Jobs and Trade Liberalisation in Argentina. Journal of Development Studies, doi: 10.1080/00220388.2014.919381
Adekanye, F.A.Z. (1993). Commercial bank performance in a developing country : a case study of Nigeria. (Unpublished Doctoral thesis, City University London)
Adland, R. and Alizadeh-Masoodian, A. ORCID: 0000-0003-1588-6214 (2018).
Explaining price differences between physical and derivative freight contracts.
Transportation Research Part E: Logistics and Transportation Review, 118,
pp. 20-33.
doi: 10.1016/j.tre.2018.07.002
Afshar, A.K. (1994). The effect of corporate divestment on shareholder wealth: the UK experience. (Unpublished Doctoral thesis, City University London)
Aftab, M., Ahmad, R., Ismail, I. and Phylaktis, K. ORCID: 0000-0001-9392-1682 (2020).
Economic Integration and the Currency and Equity Markets Nexus.
International Journal of Finance and Economics,
Aggarwal, A., Beck, M. B., Cann, M., Ford, T., Georgescu, D., Morjaria, N., Smith, A., Taylor, Y., Tsanakas, A., Witts, L. and Ye, I. (2016). Model risk – daring to open up the black box. British Actuarial Journal, 21(2), pp. 229-296. doi: 10.1017/S1357321715000276
Agyei-Ampomah, S., Clare, A., Mason, A. and Thomas, S. (2015). On luck versus skill when performance benchmarks are style-consistent. Journal of Banking & Finance, 59, pp. 127-145. doi: 10.1016/j.jbankfin.2015.05.013
Ahoniemi, K., Fuertes, A. and Olmo, J. (2016). Overnight News and Daily Equity Trading Risk Limits. Journal of Financial Econometrics, 14(3), pp. 525-551. doi: 10.1093/jjfinec/nbu032
Aksoy, Y. and Melina, G. (2011). U.S. fiscal indicators, inflation and output. North American Journal of Economics and Finance, 22(3), pp. 221-236. doi: 10.1016/j.najef.2011.02.001
Aksoy, Y. and Melina, G. (2012). An empirical investigation of US fiscal expenditures and macroeconomic outcomes. Economics Letters, 114(1), pp. 64-68. doi: 10.1016/j.econlet.2011.09.017
Albanis, G.T. (2001). Financial prediction using non linear classification techniques. (Unpublished Doctoral thesis, City University London)
Albuquerque, R. and Schroth, E. (2015). The Value of Control and the Costs of Illiquidity. Journal of Finance, 70(4), pp. 1405-1455. doi: 10.1111/jofi.12207
Alexeev, V., Urga, G. and Yao, W. (2019). Asymmetric jump beta estimation with implications for portfolio risk management. International Review of Economics and Finance, 62, doi: 10.1016/j.iref.2019.02.014
Alfarno, S., Banal-Estanol, A., Camacho, E., Iori, G. ORCID: 0000-0001-9443-9353 and Kapar, B. (2019).
Centralized vs Decentralized Markets in the Laboratory: The Role of Connectivity.
City, University of London.
Ali, S.A.H. (1995). The impact of computer technology on accounting and auditing in the Middle East with special emphasis on Arabisation, transfer of technology and training. (Unpublished Doctoral thesis, City University London)
Alitab, D., Bormetti, G., Corsi, F. ORCID: 0000-0003-2683-4479 and Majewski, A. A. (2019).
A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing.
Journal of Financial Econometrics,
doi: 10.1093/jjfinec/nbz001
Alitab, D., Bormetti, G., Corsi, F. and Majewski, A. A. (2019). A realized volatility approach to option pricing with continuous and jump variance components. Decisions in Economics and Finance, doi: 10.1007/s10203-019-00241-2
Alizadeh-Masoodian, A. (2001). An Econometric Analysis of the Dry Bulk Shipping Industry; Seasonality, Market Efficiency and Risk Premia. (Unpublished Doctoral thesis, City University London)
Alizadeh-Masoodian, A., Strandenes, S.P. and Thanopoulou, H. (2016). Capacity retirement in the dry bulk market: A vessel based logit model. Transportation Research Part E: Logistics and Transportation Review, 92, pp. 28-42. doi: 10.1016/j.tre.2016.03.005
Alizadeh-Masoodian, A. and Talley, W.K. (2010). Dynamics of the Forward Curve and Volatility of Energy Futures Prices. London: SSRN.
Allen, H.L. (1990). Chartism in the foreign exchange market. (Unpublished Doctoral thesis, City University London)
Anastassopoulou, N. (2006). Credit risk measurement and modelling. (Unpublished Doctoral thesis, City University London)
Andrada-Felix, J., Fernandez-Rodriguez, F. and Fuertes, A. (2016). Combining Nearest Neighbor Predictions and Model-Based Predictions of Realized Variance: Does it Pay?. International Journal of Forecasting, 32(3), pp. 695-715. doi: 10.1016/j.ijforecast.2015.10.004
Andriesz, E., Asteriou, D. and Pilbeam, K. (2003). The linkage between financial liberalization and economic development: empirical evidence from Poland (03/03). London, UK: Department of Economics, City University London.
Andrikopoulos, A. and Dassiou, X. (2016). Market Structure and Exchange Rate Exposure: The Case of Consumable Goods (16/12). London, UK: Department of Economics, City, University of London.
Andrikopoulos, A., Dassiou, X. ORCID: 0000-0001-5535-7793 and Tsionas, M. G. (2019).
Product Durability and Exchange Rate Exposure in International Triopolies (19/16).
London, UK: Department of Economics, City, University of London.
Andrikopoulos, A., Dassiou, X. ORCID: 0000-0001-5535-7793 and Zheng, M. (2020).
Exchange-rate Exposure and Brexit: The case of FTSE, DAX and IBEX.
International Review of Financial Analysis, 68,
101437..
doi: 10.1016/j.irfa.2019.101437
Andriosopoulos, D. and Lasfer, M. (2014). The Market Valuation of Share Repurchases in Europe. Journal of Banking and Finance, 55, pp. 327-339. doi: 10.1016/j.jbankfin.2014.04.017
Andriosopoulos, K., Chan, Ka Kei, Dontis-Charitos, P. and Staikouras, S. (2016). Wealth and risk implications of the Dodd-Frank Act on the U.S. financial intermediaries. Journal of Financial Stability, doi: 10.1016/j.jfs.2016.09.006
Anim-Odame, W.K. (2008). Residential Real Estate Investment in Emerging Economies: The Case of Ghana. (Unpublished Doctoral thesis, City University London)
Appadu, N., Faelten, A., Moeller, S. and Vitkova, V. (2014). Assessing market attractiveness for mergers and acquisitions: the M&A Attractiveness Index Score. European Journal of Finance, 22(8-9), pp. 732-755. doi: 10.1080/1351847X.2014.888362
Arauner, A.H. (1996). The impact of international cross-listing on the cost of capital. (Unpublished Doctoral thesis, City University London)
Arezki, R., Beck, T., DeYoung, R., Duca, J. V., Loungani, P. and Murphy, A. (2015). Conference on Housing, Stability, and the Macroeconomy: International Perspectives. Journal of Money, Credit and Banking, 47(S1), pp. 1-11. doi: 10.1111/jmcb.12185
Argimón, I., Arque, G. and Rodriguez Tous, F. (2012). Does the Intensity of Prudential Regulation Affect Banks? Evidence from the 2007-2009 Crises. Journal of Governance and Regulation, 1(3), pp. 14-26. doi: 10.22495/jgr_v1_i3_p2
Aristidou, A. (2007). Market microstructure issues related to the Greek capital market. (Unpublished Doctoral thesis, City University London)
Arping, S. and Falconieri, S. (2010). Strategic versus financial investors: the role of strategic objectives in financial contracting. Oxford Economic Papers, 62(4), pp. 691-714. doi: 10.1093/oep/gpp038
Asanga, S., Asimit, A.V., Badescu, A. and Haberman, S. (2014). Portfolio Optimization under Solvency Constraints: A Dynamical Approach. North American Actuarial Journal, 18(3), pp. 394-416. doi: 10.1080/10920277.2014.910127
Asimit, A.V. and Badescu, A. (2010). Extremes on the discounted aggregate claims in a time dependent risk model. Scandinavian Actuarial Journal(2), pp. 93-104. doi: 10.1080/03461230802700897
Asimit, A.V., Chi, Y. and Hu, J. (2015). Optimal non-life reinsurance under Solvency II Regime. Insurance: Mathematics and Economics, 65, pp. 627-637. doi: 10.1016/j.insmatheco.2015.09.006
Asimit, A.V., Furman, E., Tang, Q. and Vernic, R. (2011). Asymptotics for risk capital allocations based on Conditional Tail Expectation. Insurance: Mathematics and Economics, 49(3), pp. 310-324. doi: 10.1016/j.insmatheco.2011.05.002
Asimit, A.V. ORCID: 0000-0002-7706-0066, Gao, T., Hu, J. and Kim, E. (2018).
Optimal Risk Transfer: A Numerical Optimisation Approach.
North American Actuarial Journal, 22(3),
pp. 341-364.
doi: 10.1080/10920277.2017.1421472
Asimit, A.V., Gerrard, R. J. G., Yanxi, H. and Peng, L. (2016). Tail Dependence Measure for Examining Financial Extreme Co-movements. Journal of Econometrics, 194(2), pp. 330-348. doi: 10.1016/j.jeconom.2016.05.011
Asimit, A.V. ORCID: 0000-0002-7706-0066, Hu, J. and Xie, Y. (2019).
Optimal Robust Insurance with a Finite Uncertainty Set.
Insurance: Mathematics and Economics, 87,
pp. 67-81.
doi: 10.1016/j.insmatheco.2019.03.009
Asimit, A.V. and Jones, B. (2008). Asymptotic tail probabilities for large claims reinsurance of a portfolio of dependent risks. ASTIN Bulletin, 38(1), pp. 147-159. doi: 10.2143/AST.38.1.2030407
Asimit, A.V. and Jones, B. (2008). Dependence and the asymptotic behavior of large claims reinsurance. Insurance: Mathematics and Economics, 43(3), pp. 407-411. doi: 10.1016/j.insmatheco.2008.08.007
Asimit, A.V. and Jones, B. (2007). Extreme behavior of bivariate elliptical distributions. Insurance: Mathematics and Economics, 41(1), pp. 53-61. doi: 10.1016/j.insmatheco.2006.09.002
Asimit, A.V. and Jones, B. (2007). Extreme behavior of multivariate phase-type distributions. Insurance: Mathematics and Economics, 41(2), pp. 223-233. doi: 10.1016/j.insmatheco.2006.10.016
Asimit, A.V. and Li, J. (2016). Extremes for coherent risk measures. Insurance: Mathematics and Economics, 71, pp. 332-341. doi: 10.1016/j.insmatheco.2016.10.003
Asimit, A.V. ORCID: 0000-0002-7706-0066, Peng, L., Wang, R. and Yu, A. (2019).
An efficient approach to quantile capital allocation and sensitivity analysis.
Mathematical Finance,
Asteriou, D., Masatci, K. and Pilbeam, K. (2016). Exchange rate volatility and international trade: International evidence from the MINT countries. Economic Modelling, 58, pp. 133-140. doi: 10.1016/j.econmod.2016.05.006
Asteriou, D., Pilbeam, K. ORCID: 0000-0002-5609-8620 and Pratiwi, C. (2020).
Public Debt and Economic Growth: Panel Data Evidence for Asian Countries.
Journal of Economics and Finance,
Audzeyeva, A. and Fuertes, A. ORCID: 0000-0001-6468-9845 (2018).
On the predictability of emerging market sovereign credit spreads.
Journal of International Money and Finance, 88,
pp. 140-157.
doi: 10.1016/j.jimonfin.2018.07.005
Aversa, P., Haefliger, S., Rossi, A. and Baden-Fuller, C. (2015). From Business Model to Business Modelling: Modularity and Manipulation. Business Models and Modelling, 33, pp. 151-185. doi: 10.1108/S0742-332220150000033022
Ayadi, R., Naceur, S., Casu, B. and Quinn, B. (2016). Does Basel compliance matter for bank performance?. Journal of Financial Stability, 23, pp. 15-32. doi: 10.1016/j.jfs.2015.12.007
Ayyagari, M., Beck, T. ORCID: 0000-0001-8382-2066 and Hoseini, M. (2019).
Finance, Law and Poverty: Evidence from India.
Journal of Corporate Finance,
101515..
doi: 10.1016/j.jcorpfin.2019.101515
Bacinello, A. R., Chen, A. and Millossovich, P. ORCID: 0000-0001-8269-7507 (2018).
The impact of longevity and investment risk on a portfolio of life insurance liabilities.
European Actuarial Journal,
doi: 10.1007/s13385-018-0175-5
Bacinello, A. R., Millossovich, P. and Montealegre, A. (2014). The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours. Scandiavian Actuarial Journal, 2016(5), pp. 446-465. doi: 10.1080/03461238.2014.954608
Bacon, N. ORCID: 0000-0002-1031-1246, Hoque, K. and Wright, M. (2018).
Is job insecurity higher in leveraged buyouts?.
British Journal of Industrial Relations,
doi: 10.1111/bjir.12447
Baden-Fuller, C., Ferriani, S., Mengoli, S. and Torlo, V. J. (2011). The Dark Side of Alternative Asset Markets: Networks, Performance and Risk Taking. SSRN.
Baeckström, Y. (2018). Wealthy investors and financial advisors perceptual variations, portfolio recommendations and gender differences. (Unpublished Doctoral thesis, City, University of London)
Bai, Y., Girma, S. and Riaño, A. ORCID: 0000-0002-8824-4055 (2020).
Corporate Acquisitions and Firm-level Uncertainty: Domestic versus Cross-Border Deals (20/09).
London, UK: Department of Economics, City, University of London.
Baines, J. and Hager, S. B. ORCID: 0000-0002-1205-3623 (2019).
Financial Crisis, Inequality, and Capitalist Diversity: A Critique of the Capital as Power Model of the Stock Market.
New Political Economy,
doi: 10.1080/13563467.2018.1562434
Balabanis, G. and Siamagka, N.T. (2017). The Behavioural Effects of Consumer Ethnocentrism: The moderating role of product category, brand and country of origin. International Marketing Review, 34(2), pp. 166-182. doi: 10.1108/IMR-03-2015-0057
Balasuriya, J.W. (2012). An Empirical Analysis of Financial Optimism and Portfolio Choice. (Unpublished Doctoral thesis, City University London)
Ballester, L., Casu, B. and González-Urteaga, A. (2016). Bank fragility and contagion: Evidence from the bank CDS market. Journal of Empirical Finance, 38(A), pp. 394-416. doi: 10.1016/j.jempfin.2016.01.011
Ballotta, L. (2004). Alternative framework for the fair valuation of participating life insurance contracts (Actuarial Research Paper No. 157). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Ballotta, L. (2010). Efficient pricing of ratchet equity-indexed annuities in a variance-gamma economy. North American Actuarial Journal, 14(3), pp. 355-368. doi: 10.1080/10920277.2010.10597639
Ballotta, L. (2005). A Levy process-based framework for the fair valuation of participating life insurance contracts. Insurance: Mathematics and Economics, 37(2), pp. 173-196. doi: 10.1016/j.insmatheco.2004.10.001
Ballotta, L. (2009). Pricing and capital requirements for with profit contracts: modelling considerations. Quantitative Finance, 9(7), pp. 803-817. doi: 10.1080/14697680802452068
Ballotta, L. (2002). α-quantile option in a jump-diffusion economy. Financial Engineering, E-commerce and Supply Chain, 70, pp. 75-87. doi: 10.1007/978-1-4757-5226-7_5
Ballotta, L. and Bonfiglioli, E. (2016). Multivariate Asset Models Using Levy Processes and Applications. The European Journal of Finance, 22(13), doi: 10.1080/1351847X.2013.870917
Ballotta, L., Deelstra, G. and Rayée, G. (2017). Multivariate FX models with jumps: triangles, Quantos and implied correlation. European Journal of Operational Research, 260(3), pp. 1181-1199. doi: 10.1016/j.ejor.2017.02.018
Ballotta, L., Deelstra, G. and Rayée, G. (2015). Quanto Implied Correlation in a Multi-Lévy Framework. London: SSRN.
Ballotta, L. ORCID: 0000-0002-2059-6281, Eberlein, E., Schmidt, T. and Zeineddine, R. (2019).
Variable annuities in a Lévy-based hybrid model with surrender risk.
Quantitative Finance,
doi: 10.1080/14697688.2019.1687929
Ballotta, L., Esposito, G. and Haberman, S. (2006). The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements. Insurance: Mathematics and Economics, 39(3), pp. 356-375. doi: 10.1016/j.insmatheco.2006.04.004
Ballotta, L., Esposito, G. and Haberman, S. (2006). Modelling the fair value of annuities contracts: the impact of interest rate risk and mortality risk (Actuarial Research Paper No. 176). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Ballotta, L. ORCID: 0000-0002-2059-6281 and Fusai, G. ORCID: 0000-0001-9215-2586 (2017).
A Gentle Introduction to Value at Risk (10.2139/ssrn.2942138).
SSRN Working Paper Series.
Ballotta, L. ORCID: 0000-0002-2059-6281 and Fusai, G. ORCID: 0000-0001-9215-2586 (2018).
Tools from Stochastic Analysis for Mathematical Finance: A Gentle Introduction (10.2139/ssrn.3183712).
SSRN Working Paper Series.
Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586 and Marazzina, D. (2018).
Integrated Structural Approach to Credit Value Adjustment.
European Journal of Operational Research,
doi: 10.1016/j.ejor.2018.07.026
Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586 and Marena, M. (2016).
A Gentle Introduction to Default Risk and Counterparty Credit Modelling (10.2139/ssrn.2816355).
SSRN Working Paper Series.
Ballotta, L., Gerrard, R. J. G. and Kyriakou, I. (2017). Hedging of Asian options under exponential Lévy models: computation and performance. The European Journal of Finance, 23(4), pp. 297-323. doi: 10.1080/1351847X.2015.1066694
Ballotta, L. and Haberman, S. (2009). Investment Strategies and Risk Management for Participating Life Insurance Contracts. London: SSRN.
Ballotta, L. and Haberman, S. (2003). Pricing of guaranteed annuity conversion options.. INSURANCE MATHEMATICS & ECONOMICS, 33(1), pp. 87-108.
Ballotta, L. and Haberman, S. (2003). Valuation of guaranteed annuity conversion options. Insurance: Mathematics and Economics, 33(1), pp. 87-108. doi: 10.1016/S0167-6687(03)00146-X
Ballotta, L. and Haberman, S. (2006). The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case. Insurance: Mathematics and Economics, 38(1), pp. 195-214. doi: 10.1016/j.insmatheco.2005.10.002
Ballotta, L., Haberman, S. and Wang, N. (2006). Guarantees in with-profit and unitized with-profit life insurance contracts: Fair valuation problem in presence of the default option. Journal of Risk and Insurance, 73(1), pp. 97-121. doi: 10.1111/j.1539-6975.2006.00167.x
Ballotta, L. and Kyprianou, A.E. (2000). A note on α-quantile option (Actuarial Research Paper No. 128). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Ballotta, L. and Kyriakou, I. (2014). Convertible bond valuation in a jump diffusion setting with stochastic interest rates. Quantitative Finance, doi: 10.1080/14697688.2014.935464
Ballotta, L. and Kyriakou, I. (2014). Monte carlo simulation of the CGMY process and option pricing. Journal of Futures Markets, doi: 10.1002/fut.21647
Ballotta, L., Loregian, A. and Fusai, G. (2015). Multivariate Lévy Models by Linear Combination: Estimation. London: SSRN.
Baltagi, B. H., Kao, C. and Wang, F. (2017). Identification and estimation of a large factor model with structural instability. Journal of Econometrics, 197(1), pp. 87-100. doi: 10.1016/j.jeconom.2016.10.007
Banerjee, S. B. and Jackson, L. (2017). Microfinance and the business of poverty reduction: Critical perspectives from rural Bangladesh. Human Relations, 70(1), pp. 63-91. doi: 10.1177/0018726716640865
Banti, C. and Phylaktis, K. (2019). Global liquidity, house prices and policy responses. Journal of Financial Stability, 43, pp. 79-96. doi: 10.1016/j.jfs.2019.05.015
Banti, C., Phylaktis, K. and Sarno, L. (2012). Global liquidity risk in the foreign exchange market. Journal of International Money and Finance, 31(2), pp. 267-291. doi: 10.1016/j.jimonfin.2011.11.010
Banti, Chiara (2013). Essays in FX market microstructure. (Unpublished Doctoral thesis, City University London)
Bar-Yoseph, Benjamin A. (1997). Ideology, culture change, and mnagement patterns in the Israeli Kibbutz. (Unpublished Doctoral thesis, City University London)
Barakat, A., Ashby, S., Fenn, P. and Bryce, C. ORCID: 0000-0002-9856-7851 (2018).
Operational Risk and Reputation in Financial Institutions: Does Media Tone Make a Difference?.
Journal of Banking and Finance, 98,
pp. 1-24.
doi: 10.1016/j.jbankfin.2018.10.007
Barrios, A., De Valck, K., Shultz, C., Sibai, O., Husemann, K. C., Maxwell-Smith, M. and Luedicke, M. K. (2016). Marketing as a means to transformative social conflict resolution: lessons from transitioning war economies and the Colombian coffee marketing system. Journal of Public Policy and Marketing, doi: 10.1509/jppm.15.151
Bartl, M. and Krummaker, S. ORCID: 0000-0003-2471-8175 (2020).
Prediction of claims in export credit finance: a comparison of four machine learning techniques.
Risks, 8(1),
22..
doi: 10.3390/risks8010022
Bas, Tugba (2012). Capital structure and debt maturity choices of firms in developing countries. (Unpublished Doctoral thesis, City University London)
Batchelor, R. (2010). Worst-Case Scenarios in Forecasting: How Bad Can Things Get?. Foresight: The International Journal of Applied Forecasting, 18, pp. 27-32.
Batchelor, R. and Zarkesh, F. (2000). Variance rationality: a direct test. In: Gardes, F. and Prat, G. (Eds.), Price Expectations in Goods and Financial Markets. (pp. 156-271). London and New York: Edward Elgar. ISBN 978 1 84064 322 0
Batchelor, R.A. and Ramyar, R. (2006). Magic numbers in the Dow. London: Cass Business School, City of London.
Bathia, D., Bredin, D. and Nitzsche, D. (2016). International Sentiment Spillovers in Equity Returns. International Journal of Finance and Economics, 21(4), pp. 332-359. doi: 10.1002/ijfe.1549
Battaglia, F. and Gallo, A. (2017). Strong boards, ownership concentration and EU banks' systemic risk-taking: Evidence from the financial crisis. Journal of International Financial Markets, Institutions and Money, 46, pp. 128-146. doi: 10.1016/j.intfin.2016.08.002
Baudot, L., Demek, K. and Huang, Z. (2017). The Accounting Profession’s Engagement with Accounting Standards: Conceptualizing Accounting Complexity through Big 4 Comment Letters. Auditing: A Journal of Practice and Theory, doi: 10.2308/ajpt-51898
Beber, A., Driessen, J., Neuberger, A. ORCID: 0000-0002-5344-1083 and Tuijp, P. (2020).
Pricing Liquidity Risk with Heterogeneous Investment Horizons.
Journal of Financial and Quantitative Analysis,
pp. 1-67.
doi: 10.1017/S0022109020000137
Beck, T. (2015). Cross-border banking and financial deepening: The African experience. Journal of African Economies, 24(Sup 1), i32-i45. doi: 10.1093/jae/eju028
Beck, T. (2013). Finance, growth and fragility: The role of government. International Journal of Banking, Accounting and Finance, 5(1-2), pp. 49-77. doi: 10.1504/IJBAAF.2013.058088
Beck, T. (2015). Macroprudential Policies and Housing Prices: A New Database and Empirical Evidence for Central, Eastern, and Southeastern Europe Discussion of Vandenbussche, Vogel, and Detragiache. Journal of Money, Credit and Banking, 47(S1), pp. 379-381. doi: 10.1111/jmcb.12207
Beck, T. (2016). Regulatory Cooperation on Cross-Border Banking – Progress and Challenges After the Crisis. National Institute Economic Review, 235(1), R40-R49. doi: 10.1177/002795011623500114
Beck, T. and Behr, P. (2017). Individual versus Village Lending: Evidence from Montenegro. Review of Development Economics, doi: 10.1111/rode.12308
Beck, T., Behr, P. and Guettler, A. (2013). Gender and Banking: Are Women Better Loan Officers?. Review of Finance, 17(4), pp. 1279-1321. doi: 10.1093/rof/rfs028
Beck, T. and Brown, M. (2015). Foreign bank ownership and household credit. Journal of Financial Intermediation, 24(4), pp. 466-486. doi: 10.1016/j.jfi.2013.10.002
Beck, T., Chen, T., Lin, C. and Song, F. M. (2016). Financial innovation: The bright and the dark sides. Journal of Banking and Finance, 72, pp. 28-51. doi: 10.1016/j.jbankfin.2016.06.012
Beck, T., Colciago, A. and Pfajfar, D. (2014). The role of financial intermediaries in monetary policy transmission. Journal of Economic Dynamics and Control, 43, pp. 1-11. doi: 10.1016/j.jedc.2014.04.010
Beck, T. and Cull, R. (2014). SME Finance in Africa. Journal of African Economies, 23(5), pp. 583-613. doi: 10.1093/jae/eju016
Beck, T., De Jonghe, O. and Schepens, G. (2013). Bank competition and stability: Cross-country heterogeneity. Journal of Financial Intermediation, 22(2), pp. 218-244. doi: 10.1016/j.jfi.2012.07.001
Beck, T., Degryse, H., De Haas, R. and Van Horen, N. (2018). When Arm’s Length Is Too Far. Relationship Banking over the Credit Cycle. Journal of Financial Economics, 127(1), pp. 174-196. doi: 10.1016/j.jfineco.2017.11.007
Beck, T., Degryse, H. and Kneer, C. (2014). Is more finance better? Disentangling intermediation and size effects of financial systems. Journal of Financial Stability, 10, pp. 50-64. doi: 10.1016/j.jfs.2013.03.005
Beck, T., Demirguc-Kunt, A., Laeven, L. and Levine, R. (2008). Finance, Firm Size, and Growth. Journal of Money, Credit and Banking, 40(7), pp. 1379-1405. doi: 10.1111/j.1538-4616.2008.00164.x
Beck, T., Demirguc-Kunt, A. and Maksimovic, V. (2008). Financing patterns around the world: Are small firms different?. Journal of Financial Economics, 89(3), pp. 467-487. doi: 10.1016/j.jfineco.2007.10.005
Beck, T., Demirguc-Kunt, A. and Merrouche, O. (2013). Islamic vs. conventional banking: Business model, efficiency and stability. Journal of Banking & Finance, 37(2), pp. 433-447. doi: 10.1016/j.jbankfin.2012.09.016
Beck, T. ORCID: 0000-0001-8382-2066 and Gambacorta, L. (2019).
New evidence on the effectiveness of macroprudential policies.
Journal of Financial Intermediation,
doi: 10.1016/j.jfi.2019.100834
Beck, T. ORCID: 0000-0001-8382-2066, Homanen, M. and Uras, B. R. (2018).
Finance and Demand for Skill: Evidence from Uganda.
Journal of Development Studies,
doi: 10.1080/00220388.2018.1539477
Beck, T. ORCID: 0000-0001-8382-2066, Hoseini, M. and Uras, B. R. (2020).
Trade Credit and Access to Finance: Evidence from Ethiopian Retailers.
Journal of African Economies, 29(2),
pp. 146-172.
doi: 10.1093/jae/ejz018
Beck, T., Ioannidou, V. and Schaefer, L. (2017). Foreigners vs. Natives: Bank Lending Technologies and Loan Pricing. Management Science, doi: 10.1287/mnsc.2016.2706
Beck, T., Levine, R. and Levkov, A. (2010). Big Bad Banks? The Winners and Losers from Bank Deregulation in the United States. The Journal of Finance, 65(5), pp. 1637-1667. doi: 10.1111/j.1540-6261.2010.01589.x
Beck, T., Lin, C. and Ma, Y. (2014). Why Do Firms Evade Taxes? The Role of Information Sharing and Financial Sector Outreach. The Journal Of Finance, 69(2), pp. 763-817. doi: 10.1111/jofi.12123
Beck, T., Liping, L. and Yang, R. (2015). Finance and Growth for Microenterprises: Evidence from Rural China. World Development, 67, pp. 38-56. doi: 10.1016/j.worlddev.2014.10.008
Beck, T. ORCID: 0000-0001-8382-2066, Ongena, S. and Şendeniz-Yüncü, İ. (2018).
Keep walking? Geographical proximity, religion, and relationship banking.
Journal of Corporate Finance,
doi: 10.1016/j.jcorpfin.2018.07.005
Beck, T., Pamuk, H. and Uras, B.R. (2017). Entrepreneurial Saving Practices and Reinvestment: Theory and Evidence. Review of Development Economics, doi: 10.1111/rode.12300
Beck, T. ORCID: 0000-0001-8382-2066, Silva, A. and Da-Rocha-Lopes, S. (2020).
Sharing the Pain? Credit Supply and Real Effects of Bank Bail-ins.
The Review of Financial Studies,
Beck, T. and Wagner, W. (2016). Supranational Supervision - How Much and for Whom?. International Journal of Central Banking, 12(2), pp. 221-268.
Beckmann, J., Czudaj, R. and Pilbeam, K. (2015). Causality and volatility patterns between gold prices and exchange rates. The North American Journal of Economics and Finance, 34, pp. 292-300. doi: 10.1016/j.najef.2015.09.015
Bednarek, R., Burke, G., Jarzabkowski, P. and Smets, M. (2016). Dynamic Client Portfolios as Sources of Ambidexterity: Exploration and Exploitation Within and Across Client Relationships. Long Range Planning, 49(3), pp. 324-341. doi: 10.1016/j.lrp.2015.12.003
Bell, R. G., Filatotchev, I. and Rasheed, A. A. (2012). The liability of foreignness in capital markets: Sources and remedies. Journal of International Business Studies, 43(2), pp. 107-122. doi: 10.1057/jibs.2011.55
Bellavitis, C., Filatotchev, I., Kamuriwo, D. S. and Vanacker, T. (2017). Entrepreneurial finance: new frontiers of research and practice: Editorial for the special issue Embracing entrepreneurial funding innovations. Venture Capital, 19(1-2), pp. 1-16. doi: 10.1080/13691066.2016.1259733
Bellavitis, C., Filatotchev, I. and Souitaris, V. (2016). The Impact of Investment Networks on Venture Capital Firm Performance: A Contingency Framework. British Journal of Management, doi: 10.1111/1467-8551.12162
Bellavitis, C., Hommel, U. and Kamuriwo, D. S. (2018). Mitigation of Moral Hazard and Adverse Selection in Venture Capital Financing: The Influence of the Country’s Institutional Setting. Journal of Small Business Management,
Belvisi, M, Pianeti, R and Urga, G. (2016). Modelling financial markets comovements during crises: A dynamic multi-factor approach. Advances in Econometrics, 35, pp. 317-360. doi: 10.1108/S0731-905320150000035008
Ben-Gad, M. ORCID: 0000-0001-8641-4199, Ben-Haim, Y. and Peled, D. (2019).
Allocating Security Expenditures under Knightian Uncertainty: an Info-Gap Approach.
Defence and Peace Economics,
doi: 10.1080/10242694.2019.1625518
Bengtsson, E. (2013). Fund Management and Systemic Risk - Lessons from the Global Financial Crisis (2013-06). London, UK: City Political Economy Research Centre (CITYPERC) Working Papers, Department of International Politics, City University London.
Bennouri, M. and Falconieri, S. (2008). The Optimality of Uniform Pricing in IPOs: An Optimal Auction Approach. Review of Finance, 12(4), pp. 673-700. doi: 10.1093/rof/rfn006
Benos, E., Payne, R. and Vasios, M. (2018). Centralized Trading, Transparency, and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd-Frank Act. Journal of Financial and Quantitative Analysis, doi: 10.1017/S0022109018001527
Benos, E., Payne, R. and Vasios, M. (2016). Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act. UK: Bank of England, ISSN 1749-9135.
Benton, A. L. (2013). Partisan policy promises and sector-specific stock-market performance: evidence from Mexico's 2006 presidential campaign. Business and Politics, 15(2), pp. 187-215. doi: 10.1515/bap-2012-0037
Benton, A. L. (2017). Violent Crime and Capital Market Punishment: How Violent Crime Affects the Supply of Debt to Municipal Mexico. Studies in Comparative International Development, 52(4), pp. 483-509. doi: 10.1007/s12116-017-9256-8
Benton, A. L. ORCID: 0000-0002-2685-4114 and Phillips, A. (2020).
Does the @realDonaldTrump Really Matter to Financial Markets?.
American Journal of Political Science, 64(1),
pp. 169-190.
doi: 10.1111/ajps.12491
Beqiri, Z. (2016). Essays on banking in developing countries. (Unpublished Doctoral thesis, City, University of London)
Bergamelli, M., Bianchi, A., Khalaf, L. and Urga, G. (2019). Combining P-values to Test for Multiple Structural Breaks in Cointegrated Regressions. Journal of Econometrics, 211(2), pp. 461-482. doi: 10.1016/j.jeconom.2019.01.013
Bergamelli, M., Novotny, J. and Urga, G. (2015). MAXIMUM NON-EXTENSIVE ENTROPY BLOCK BOOTSTRAP FOR NON-STATIONARY PROCESSES. L'Actualité Economique, 91(1-2), pp. 115-139.
Bergamelli, Michele (2015). Structural breaks and outliers detection in time-series econometrics: Methods and applications. (Unpublished Doctoral thesis, City University London)
Bertolini, Lorenzo (2011). Trading foreign exchange carry portfolios. (Unpublished Doctoral thesis, City University London)
Besar, Dwityapoetra Soeyasa (2011). Essays on Indonesian Banking: Competition, Efficiency, and its Role in Monetary Policy Transmission. (Unpublished Doctoral thesis, City University London)
Bessler, W., Blake, D., Lückoff, P. and Tonks, I. (2017). Fund Flows, Manager Changes, and Performance Persistence*. Review of Finance, doi: 10.1093/rof/rfx017
Bessler, W., Blake, D., Lückoff, P. and Tonks, I. (2014). Why Does Mutual Fund Performance Not Persist? The impact and interaction of fund flows and manager changes (PI-1009). London, UK: Pensions Institute.
Beunza, D. ORCID: 0000-0003-0164-7095 (2018).
Noise: Living and Trading in Electronic Finance.
Contemporary Sociology, 47(6),
pp. 744-746.
doi: 10.1177/0094306118805422kk
Beverungen, A., Hoedemaekers, C. and Veldman, J. (2014). Charity and finance in the university. Critical Perspectives on Accounting, 25(1), pp. 58-66. doi: 10.1016/j.cpa.2012.10.005
Bezerianos, George (2013). 2-Factor Models in Credit and Energy Markets. (Unpublished Doctoral thesis, City University London)
Biagini, S. and Černý, A. (2011). Admissible strategies in semimartingale portfolio selection. SIAM Journal on Control and Optimization, 49(1), pp. 42-72. doi: 10.1137/090774458
Biagini, S. and Černý, A. ORCID: 0000-0001-5583-6516 (2018).
Convex duality and Orlicz spaces in expected utility maximization.
Mathematical Finance,
Biais, B. and Mariotti, T. (2009). Credit, wages, and bankruptcy laws. Journal of the European Economic Association, 7(5), pp. 939-973. doi: 10.1162/JEEA.2009.7.5.939
Biais, B., Mariotti, T., Rochet, J.C. and Villeneuve, S. (2010). Large risks, limited liability, and dynamic moral hazard. Econometrica, 78(1), pp. 73-118. doi: 10.3982/ECTA7261
Biffis, E. and Blake, D. (2013). Informed intermediation of longevity exposures. Journal of Risk and Insurance, 80(3), pp. 559-584. doi: 10.1111/j.1539-6975.2013.01524.x
Biffis, E. and Blake, D. (2014). Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers (PI - 1207). London, UK: Pensions Institute, ISSN 1367-580X.
Biffis, E. and Blake, D. (2014). Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers. North American Actuarial Journal, 18(1), pp. 14-21. doi: 10.1080/10920277.2013.872552
Biffis, E. and Denuit, M. (2005). Lee-Carter goes risk-neutral: an application to the Italian annuity market (Actuarial Research Paper No. 166). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Bignozzi, V. and Tsanakas, A. (2016). Parameter uncertainty and residual estimation risk. Journal of Risk and Insurance, 83(4), pp. 949-978. doi: 10.1111/jori.12075
Bignozzi, Valeria (2012). Contributions to solvency risk measurement. (Unpublished Doctoral thesis, City University London)
Bilinski, P. (2014). Do analysts disclose cash flow forecasts with earnings estimates when earnings quality is low?. Journal of Business Finance and Accounting, 41(3/4), pp. 401-434. doi: 10.1111/jbfa.12056
Bilinski, P. ORCID: 0000-0002-0499-6429, Cumming, D, Hass, L., Stathopoulos, K. and Walker, M. (2018).
Strategic distortions in analyst forecasts in the presence of short-term institutional investors.
Accounting and Business Research,
doi: 10.1080/00014788.2018.1510303
Bilinski, P., Liu, W. and Strong, N. (2012). Does liquidity risk explain low firm performance following seasoned equity offerings?. Journal of Banking and Finance, 36(10), pp. 2770-2785. doi: 10.1016/j.jbankfin.2012.07.009
Bilinski, P. ORCID: 0000-0002-0499-6429 and Lyssimachou, D. (2018).
Dividend Guidance to Manage Analyst Dividend Expectations.
International Review of Financial Analysis,
doi: 10.1016/j.irfa.2018.08.013
Bilinski, P. and Lyssimachou, D. (2014). Risk Interpretation of the CAPM's Beta: Evidence from a New Research Method. Abacus, 50(2), pp. 203-226. doi: 10.1111/abac.12028
Bilinski, P. ORCID: 0000-0002-0499-6429 and Michael, E. (2018).
Analyst Revenue Forecast Reporting and the Quality of Revenues and Expenses.
Journal of Business Finance and Accounting,
doi: 10.1111/jbfa.12355
Bilinski, P. and Mohamed, A. (2015). The Signaling Effect of Durations between Equity and Debt Issues. Financial Markets, Institutions, & Instruments, 24(2-3), pp. 159-190. doi: 10.1111/fmii.12027
Bilinski, P. and Strong, N. (2013). Managers' private information, investor underreaction and long-run SEO performance. European Financial Management, 19(5), pp. 956-990. doi: 10.1111/j.1468-036X.2011.00616.x
Biondi, Y. and Zhou, F. (2018). Interbank credit and the money manufacturing process: a systemic perspective on financial stability. Journal of Economic Interaction and Coordination, doi: 10.1007/s11403-018-0230-y
Bischofberger, S., Hiabu, M., Mammen, E. and Nielsen, J. P. ORCID: 0000-0002-2798-0817 (2019).
A comparison of in-sample forecasting methods.
Computational Statistics and Data Analysis, 137,
pp. 133-154.
doi: 10.1016/j.csda.2019.02.009
Bjorkwall, S., Hossjer, O., Ohlsson, E. and Verrall, R. J. (2011). A generalized linear model with smoothing effects for claims reserving. Insurance: Mathematics and Economics, 49(1), pp. 27-37. doi: 10.1016/j.insmatheco.2011.01.012
Blake, D. ORCID: 0000-0002-2453-2090 (2016).
Chapter 1: Introduction from “We Need a National Narrative: Building a Consensus around Retirement Income”, the Report of the Independent Review of Retirement Income.
In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.),
We Need a National Narrative: Building a Consensus around Retirement Income.
(pp. 29-60). London, UK: Independent Review of Retirement Income.
ISBN 978-0-9935615-1-1
Blake, D. ORCID: 0000-0002-2453-2090 (2016).
Chapter 2: How to ensure that savers can get the best products in retirement.
In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.),
We Need a National Narrative: Building a Consensus around Retirement Income.
(pp. 61-198). London, UK: Independent Review of Retirement Income.
ISBN 978-0-9935615-1-1
Blake, D. ORCID: 0000-0002-2453-2090 (2016).
Chapter 3: Supporting savers to make the right choice at retirement for them and their family and how to build on the lessons of auto-enrolment.
In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.),
We Need a National Narrative: Building a Consensus around Retirement Income.
(pp. 199-436). London, UK: Independent Review of Retirement Income.
ISBN 978-0-9935615-1-1
Blake, D. ORCID: 0000-0002-2453-2090 (2016).
Chapter 4: Helping savers to manage longevity risk.
In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.),
We Need a National Narrative: Building a Consensus around Retirement Income.
(pp. 437-468). London, UK: Independent Review of Retirement Income.
ISBN 978-0-9935615-1-1
Blake, D. ORCID: 0000-0002-2453-2090 (2016).
Chapter 5: The role of the National Employment Savings Trust in helping savers to access good quality retirement products.
In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.),
We Need a National Narrative: Building a Consensus around Retirement Income.
(pp. 469-490). London, UK: Independent Review of Retirement Income.
ISBN 978-0-9935615-1-1
Blake, D. ORCID: 0000-0002-2453-2090 (2016).
Chapter 6: The role of collective pension schemes and how these could be introduced in the UK.
In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.),
We Need a National Narrative: Building a Consensus around Retirement Income.
(pp. 491-538). London, UK: Independent Review of Retirement Income.
ISBN 978-0-9935615-1-1
Blake, D. ORCID: 0000-0002-2453-2090 (2016).
Chapter 7: Conclusion: Developing a National Narrative.
In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.),
We Need a National Narrative: Building a Consensus around Retirement Income.
(pp. 539-595). London, UK: Independent Review of Retirement Income.
ISBN 978-0-9935615-1-1
Blake, D. ORCID: 0000-0002-2453-2090 (1999).
Financial System Requirements for Successful Pension Reform (PI-9906).
Lodnon, UK: Pensions Institute.
Blake, D. ORCID: 0000-0002-2453-2090 (2020).
How bright are the prospects for UK trade and prosperity post-Brexit?.
Journal of Self-Governance and Management Economics, 8(1),
pp. 7-99.
doi: 10.22381/JSME8120201
Blake, D. (2016). Independent Review of Retirement Income Report: We Need a National Narrative: Building a Consensus around Retirement Income. UK: Independent Review of Retirement Income.
Blake, D. (2019). L13: Longevity Risk and Capital Markets: The 2017-18 Update. North American Actuarial Journal,
Blake, D. ORCID: 0000-0002-2453-2090 (2020).
Longevity Risk and Capital Markets: The 2018-19 Update.
Annals of Actuarial Science,
Blake, D. (2018). Longevity: A New Asset Class. Journal of Asset Management, doi: 10.1057/s41260-018-0084-9
Blake, D. ORCID: 0000-0002-2453-2090 (2018).
Longevity: A New Asset Class (PI-1805).
London, UK: Pensions Institute.
Blake, D. (2019). Modelling Socio-Economic Differences in Mortality Using a New Affluence Index. ASTIN Bulletin - The Journal of the International Actuarial Association, pp. 555-590. doi: 10.1017/asb.2019.14
Blake, D. (2014). On the Disclosure of the Cost of Investment Management (PI-1407). London, UK: Pensions Institute.
Blake, D. ORCID: 0000-0002-2453-2090 (1998).
The Simple Economics of Funded and Unfunded Pension Systems (PI-9802).
London, UK: Pensions Institute.
Blake, D. ORCID: 0000-0002-2453-2090 (2020).
The UK is the Eurozone's Dumping Ground.
City, University of London.
Blake, D. (2014). The consequences of not having to buy an annuity (PI-1409). London, UK: Pensions Institute.
Blake, D. and Boardman, T. (2013). Spend more today safely: Using behavioral economics to improve retirement expenditure decisions with SPEEDOMETER plans. Risk Management and Insurance Review, 17(1), pp. 83-112. doi: 10.1111/rmir.12007
Blake, D., Boardman, T. and Cairns, A. J. G. (2014). Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds. North American Actuarial Journal, 18(1), pp. 258-277. doi: 10.1080/10920277.2014.883229
Blake, D., Byrne, A. and Mannion, G. (2010). Pension Plan Decisions. Review of Behavioural Finance, 2(1), pp. 19-36. doi: 10.1108/19405979201000002
Blake, D. ORCID: 0000-0002-2453-2090, Cairns, A., Dowd, K. and Kessler, A.R. (2018).
Still Living with Mortality: The Longevity Risk Transfer Market after One Decade (PI-1804).
London, UK: Pensions Institute.
Blake, D., Cairns, A. J. G., Dowd, K. and Kessler, A.R. (2019). Still living with mortality: The longevity risk transfer market after one decade. British Actuarial Journal, 24, e1. doi: 10.1017/S1357321718000314
Blake, D., Cairns, A.J.G., Coughlan, G. D., Dowd, K. and MacMinn, R. (2013). The New Life Market. Journal of Risk and Insurance, 80(3), pp. 501-558. doi: 10.1111/j.1539-6975.2012.01514.x
Blake, D. ORCID: 0000-0002-2453-2090, Canon, E. and Wright, I. D. (2019).
Quantifyng Loss Aversion: Evidence from a UK Population Survey (PI-1912).
London, UK: Pensions Institute.
Blake, D., Caulfield, T., Ioannidis, C. and Tonks, I. (2014). Improved inference in the evaluation of mutual fund performance using panel bootstrap methods. Journal of Econometrics, 183(2), pp. 202-210. doi: 10.1016/j.jeconom.2014.05.010
Blake, D., Caulfield, T., Ioannidis, C. and Tonks, I. (2017). New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods (PI - 1404). London, UK: Pension Institute, ISSN 1367 - 580X.
Blake, D., Caulfield, T., Ioannidis, C. and Tonks, I. (2017). New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods. Journal of Financial and Quantitative Analysis, pp. 1-21. doi: 10.1017/S0022109017000229
Blake, D., Courbage, C., MacMinn, R. and Sherris, M. (2011). Longevity Risk and Capital Markets: The 2010-2011 Update. The Geneva Papers On Risk And Insurance: Issues And Practice, 36(4), doi: 10.1057/gpp.2011.27
Blake, D. ORCID: 0000-0002-2453-2090, Duffield, M., Tonks, I., Haig, A., Blower, D. and MacPhee, L. (2020).
Grouping Individual Investment Preferences in Retirement Savings: A Cluster Analysis of a USS Members Risk Attitude Survey (PI-2003).
London, UK: Pensions Institute.
Blake, D. ORCID: 0000-0002-2453-2090, Duffield, M., Tonks, I., Haig, A., Blower, D. and MacPhee, L. (2020).
One size fits all: How many default funds does a pension scheme need?.
London, UK: Pensions Institute.
Blake, D. and Haig, A. (2014). How do savers think about and respond to risk? Evidence from a population survey and lessons for the investment industry. London: Cass Business School, ISSN 1367-580X.
Blake, D. and Hunt, A. (2016). Basis Risk and Pension Schemes: A Relative Modelling Approach (PI-1601). London, UK: Pensions Institute.
Blake, D. ORCID: 0000-0002-2453-2090, Kallestrup-Lamb, M., Kjaergaard, S. and Rosenkjold, C. (2020).
Insight into Stagnating Life Expectancy: Analysing Cause of Death Patterns across Socio-economic Groups (PI-2001).
London, UK: Pensions Institute.
Blake, D. and MacMinn, R. (2019). Longevity Risk and Capital Markets: The 2016-17 Update. North American Actuarial Journal,
Blake, D. and Morales, M. (2017). Longevity Risk and Capital Markets: The 2014-15 Update. Journal Of Risk And Insurance, 84, pp. 279-297. doi: 10.1111/jori.12213
Blake, D., Rossi, A., Timmermann, T., Tonks, I. and Wermers, R. (2015). Decentralization in Pension Fund Management. Journal of Investment Management, 13(3),
Blake, D., Rossi, A.G., Timmermann, A., Tonks, I. and Wermers, R. (2013). Decentralized Investment Management: Evidence from the Pension Fund Industry. Journal of Finance, 68(3), pp. 1133-1178. doi: 10.1111/jofi.12024
Blake, D. and Turner, J.A. (2014). Longevity Insurance Annuities. Benefits Quarterly, 30(1), pp. 39-47.
Blake, D., Wright, I. D. and Zhang, Y. (2014). Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners. Journal of Economic Dynamics and Control, 38(1), pp. 105-124. doi: 10.1016/j.jedc.2013.11.001
Blake, D., Wright, I. D. and Zhang, Y. (2008). Optimal funding and investment strategies in defined contribution pension plans under Epstein-Zin utility (Actuarial Research Paper No. 186). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Blake, D., Wright, I. D. and Zhang, Y. (2013). Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion. Journal of Economic Dynamics and Control, 37(1), pp. 195-209. doi: 10.1016/j.jedc.2012.08.001
Blouin, J., Fich, E. M., Rice, E. and Tran, A. ORCID: 0000-0001-7090-8063 (2020).
Corporate Tax Cuts, Merger Activity, and Shareholder Wealth.
Journal of Accounting and Economics,
101315..
doi: 10.1016/j.jacceco.2020.101315
Blyth, W., Bunn, D., Chronopoulos, M. and Munoz, J. (2016). Systematic analysis of the evolution of electricity and carbon markets under deep decarbonization. Journal of Energy Markets, 9(3), pp. 59-94. doi: 10.21314/JEM.2016.150
Boado-Penas, C., Godínez-Olivares, H., Haberman, S. ORCID: 0000-0003-2269-9759 and Serrano, P. (2020).
Automatic Balancing Mechanisms for Mixed Pension Systems under Different Investment Strategies.
European Journal of Finance, 26(2-3),
pp. 277-294.
doi: 10.1080/1351847X.2019.1647260
Boffelli, S. and Urga, G. (2015). Macroannouncements, Bond Auctions and Rating Actions in the European Government Bond Spreads. Journal of International Money and Finance, 53, pp. 148-173. doi: 10.1016/j.jimonfin.2015.01.004
Boonen, T. J., Tsanakas, A. and Wuethrich, M. V. (2017). Capital allocation for portfolios with non-linear risk aggregation. Insurance: Mathematics and Economics, 72, pp. 95-106. doi: 10.1016/j.insmatheco.2016.11.003
Booth, P. M. (2010). UK State Pension Reform in a Public Choice Framework (Actuarial Research Paper No. 194). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Booth, P. M. (1997). The analysis of actuarial investment risk (Actuarial Research Paper No. 93). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Booth, P. M. and Cooper, D. R. (2000). The tax treatment of pensions (Actuarial Research Paper No. 122). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Booth, P. M. and Walsh, D. (1998). The application of financial theory to the pricing of upward only rent reviews (Actuarial Research Paper No. 117). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Booth, P. M. and Yakoubov, Y. H. (1998). Investment policy for defined contribution pension scheme members close to retirement (Actuarial Research Paper No. 110). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Booth, P.M. (2004). The analysis of real estate in a finance and actuarial framework. (Unpublished Doctoral thesis, City University London)
Borghi, R. W. (2018). Essays on liquidity commonality in equity markets. (Unpublished Doctoral thesis, City, University of London)
Boubaker, S., Derouiche, I. and Lasfer, M. (2015). Geographic Location, Excess Control Rights, and Cash Holdings. International Review of Financial Analysis, 42, pp. 24-37. doi: 10.1016/j.irfa.2014.07.008
Boutin, X., Cestone, G., Fumagalli, C., Pica, G. and Serrano-Velarde, N. (2013). The deep-pocket effect of internal capital markets. Journal of Financial Economics, 109(1), pp. 122-145. doi: 10.1016/j.jfineco.2013.02.003
Bouye, E. (2003). Some applications of copulae to finance. (Unpublished Doctoral thesis, City University London)
Boyer, M. M. and Owadally, I. (2015). Underwriting Apophenia and Cryptids: Are Cycles Statistical Figments of our Imagination?. The Geneva Papers on Risk and Insurance - Issues and Practice, 40(2), pp. 232-255. doi: 10.1057/gpp.2014.12
Bozcuk, A. and Lasfer, M. (2005). The information content of institutional trades on the London Stock Exchange. Journal of Financial and Quantitative Analysis, 40(3), pp. 621-644. doi: 10.1017/S0022109000001897
Breton, G. (1993). UK investment analyst reaction to window dressing of financial statements: a laboratory experiment. (Unpublished Doctoral thesis, City University London)
Britten-Jones, M., Neuberger, A. and Nolte, I. (2011). Improved Inference in Regression with Overlapping Observations. Journal of Business Finance & Accounting, 38(5-6), pp. 657-683. doi: 10.1111/j.1468-5957.2011.02244.x
Bruche, M. (2011). Creditor coordination, liquidation timing, and debt valuation. Journal of Financial and Quantitative Analysis, 46(5), pp. 1407-1436. doi: 10.1017/S0022109011000330
Bruche, M. and Gonzalez-Aguado, C. (2010). Recovery rates, default probabilities, and the credit cycle. Journal of Banking & Finance, 34(4), pp. 754-764. doi: 10.1016/j.jbankfin.2009.04.009
Bruche, M. and Llobet, G (2013). Preventing Zombie Lending. The Review of Financial Studies, doi: 10.1093/rfs/hht064
Bruche, M. and Naqvi, H. (2010). A structural model of debt pricing with creditor-determined liquidation. Journal of Economic Dynamics and Control, 34(5), pp. 951-967. doi: 10.1016/j.jedc.2010.01.005
Bruche, M. and Segura, A. (2017). Debt Maturity and the Liquidity of Secondary Debt Markets. Journal of Financial Economics, 124(3), pp. 599-613. doi: 10.1016/j.jfineco.2017.04.002
Bruche, M. and Suarez, J. (2010). Deposit insurance and money market freezes. Journal of Monetary Economics, 57(1), pp. 45-61. doi: 10.1016/j.jmoneco.2009.11.007
Brun-Aguerre, R., Fuertes, A. and Greenwood-Nimmo, M. (2016). Heads I Win, Tails You Lose: Asymmetry in Exchange Rate Pass-Through into Import Prices. Journal of the Royal Statistical Society Series A: Statistics in Society, doi: 10.1111/rssa.12213
Brun-Aguerre, R., Fuertes, A. and Phylaktis, K. (2012). Exchange rate pass-through into import prices revisited: What drives it?. Journal of International Money and Finance, 31(4), pp. 818-844. doi: 10.1016/j.jimonfin.2012.01.009
Brunovsky, P., Černý, A. and Komadel, J. (2018). Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions. European Journal of Operational Research, 264(3), pp. 1159-1171. doi: 10.1016/j.ejor.2017.07.054
Brunovsky, P., Černý, A. and Winkler, M. (2017). Erratum to: A Singular Differential Equation Stemming from an Optimal Control Problem in Financial Economics. Applied Mathematics and Optimization, 75(1), p. 149. doi: 10.1007/s00245-016-9398-5
Bruyland, E., Lasfer, M. ORCID: 0000-0003-2338-672X, De Maeseneire, W. and Song, W. (2019).
The Performance of Acquisitions by High Default Risk Bidders.
Journal of Banking and Finance, 101,
pp. 37-58.
doi: 10.1016/j.jbankfin.2019.01.019
Bryce, C. ORCID: 0000-0002-9856-7851, Dadoukis, A., Hall, M., Nguyen, L. and Simper, R. (2015).
An analysis of loan loss provisioning behaviour in Vietnamese banking.
Finance Research Letters, 14,
pp. 69-75.
doi: 10.1016/j.frl.2015.05.014
Bräutigam, M., Guillén, M. and Nielsen, J. P. (2017). Facing Up to Longevity with Old Actuarial Methods: A Comparison of Pooled Funds and Income Tontines. Geneva Papers on Risk and Insurance: Issues and Practice, 42(3), pp. 406-422. doi: 10.1057/s41288-017-0056-1
Buccheri, G., Bormetti, G., Corsi, F. ORCID: 0000-0003-2683-4479 and Lillo, F. (2019).
Comment on: Price Discovery in High Resolution.
Journal of Financial Econometrics,
doi: 10.1093/jjfinec/nbz008
Buccheri, G. and Corsi, F. ORCID: 0000-0003-2683-4479 (2019).
HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies.
Journal of Financial Econometrics,
doi: 10.1093/jjfinec/nbz025
Buccheri, G., Corsi, F. ORCID: 0000-0003-2683-4479 and Peluso, S. (2020).
High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model.
Journal of Business & Economic Statistics,
doi: 10.1080/07350015.2019.1697699
Buchuk, D., Larrain, B., Prem, M. and Urzúa, F. ORCID: 0000-0003-4681-7684 (2019).
How Do Internal Capital Markets Work? Evidence from the Great Recession.
Review of Finance,
doi: 10.1093/rof/rfz022
Bussiere, M. and Phylaktis, K. (2016). Emerging markets finance: Issues of international capital flows - Overview of the special issue. Journal of International Money and Finance, 60, pp. 1-7. doi: 10.1016/j.jimonfin.2015.09.007
Butt, Z. and Haberman, S. (2002). Application of frality-based mortality models to insurance data (Actuarial Research Paper No. 142). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Butt, Z. and Haberman, S. (2010). A comparative study of parametric mortality projection models (Actuarial Research Paper No. 196). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Butt, Z. and Haberman, S. (2009). llc: a collection of R functions for fitting a class of Lee-Carter mortality models using iterative fitting algorithms (Actuarial Research Paper No. 190). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Butt, Z., Haberman, S., Verrall, R. J. and Wass, V. (2008). Calculating compensation for loss of future earnings: estimating and using work life expectancy. Journal of the Royal Statistical Society: Series A (Statistics in Society), 171(4), pp. 763-805. doi: 10.1111/j.1467-985X.2007.00539.x
Byrne, P., Jackson, C. and Lee, S. (2013). Bias or rationality? The case of UK commercial real estate investment. Journal of European Real Estate Research, 6(1), pp. 6-33. doi: 10.1108/17539261311312960
Cairns, A. J. G., Dowd, K., Blake, D. and Coughlan, G. D. (2014). Longevity hedge effectiveness: A decomposition. Quantitative Finance, 14(2), pp. 217-235. doi: 10.1080/14697688.2012.748986
Cairns, A.J.G., Blake, D., Dowd, K. and Kessler, A.R. (2016). Phantoms never die: Living with unreliable population data. Journal of the Royal Statistical Society. Series A: Statistics in Society, 179(4), pp. 975-1005. doi: 10.1111/rssa.12159
Cajigas, J.P. (2007). A multivariate GARCH model for the non-normal behaviour of financial assets. (Unpublished Doctoral thesis, City University London)
Calcagno, R. and Falconieri, S. (2014). Competition and the Dynamics of Takeover Contests. Journal of Corporate Finance, 26, pp. 36-56. doi: 10.1016/j.jcorpfin.2014.02.003
Caldana, R., Cheang, G.H.L., Chiarella, C. and Fusai, G. (2015). Correction: Exchange Option under Jump-diffusion Dynamics. Applied Mathematical Finance, 22(1), doi: 10.1080/1350486X.2014.937564
Caldana, R. and Fusai, G. (2013). A general closed-form spread option pricing formula. Journal of Banking & Finance, 37(12), pp. 4893-4906. doi: 10.1016/j.jbankfin.2013.08.016
Caldana, R., Fusai, G., Gnoatto, A. and Grasselli, M. (2016). General closed-form basket option pricing bounds. Quantitative Finance, 16(4), pp. 535-554. doi: 10.1080/14697688.2015.1073854
Cannon, E. (2016). Independent Review of Retirement Income: Consultation. UK: Independent Review of Retirement Income.
Cantore, C. M., Levine, P., Melina, G. and Yang, B. (2012). A fiscal stimulus with deep habits and optimal monetary policy. Economics Letters, 117(1), pp. 348-353. doi: 10.1016/j.econlet.2012.05.051
Carapeto, M., Moeller, S., Faelten, A., Vitkova, V. and Bortolotto, L. (2011). Distress classification measures in the banking sector. Risk governance and control: financial markets & institutions, 1(4), pp. 19-30.
Carapeto, M., Moeller, S., Faelten, A., Vitkova, V. and Bortolotto, L. (2010). Distress resolution strategies in the banking sector: Implications for global financial crises. International Finance Review, 11, pp. 335-360. doi: 10.1108/S1569-3767(2010)0000011015
Cartea, A., Payne, R., Penalva, J. and Tapia, M. (2018). Ultra-Fast Activity and Intraday Market Quality. Journal of Banking and Finance, doi: 10.1016/j.jbankfin.2018.12.003
Castagnetti, C., Rossi, E. and Trapani, L. (2015). Inference on factor structures in heterogeneous panels. Journal of Econometrics, 184(1), pp. 145-157. doi: 10.1016/j.jeconom.2014.08.004
Castelle, M., Millo, Y., Beunza, D. ORCID: 0000-0003-0164-7095 and Lubin, D. C. (2016).
Where do electronic markets come from? Regulation and the transformation of financial exchanges.
Economy and Society, 45(2),
pp. 166-200.
doi: 10.1080/03085147.2016.1213985
Casu, B. ORCID: 0000-0003-3586-328X (2019).
Board Diversity Reforms: Do they Matter for EU Bank Performance?.
European Financial Management,
doi: 10.1111/eufm.12238
Casu, B., Dontis-Charitos, P., Staikouras, S. and Williams, J. (2016). Diversification, Size and Risk: the Case of Bank Acquisitions of Nonbank Financial Firms. European Financial Management, 22(2), pp. 235-275. doi: 10.1111/eufm.12061
Casu, B., Ferrari, A., Girardone, C. and Wilson, J. O. S. (2016). Integration, productivity and technological spillovers: Evidence for eurozone banking industries. European Journal of Operational Research, 255(3), pp. 971-983. doi: 10.1016/j.ejor.2016.06.007
Casu, B. and Sarkisyan, A. (2013). Retained Interests in Securitisations and Implications for Bank Solvency (ECB Working Paper No. 1538). European Central Bank, ISSN 1725-2806.
Casu, B. ORCID: 0000-0003-3586-328X, di Pietro, F. and Trujillo-Ponce, A. (2018).
Liquidity Creation and Bank Capital.
Journal of Financial Services Research,
doi: 10.1007/s10693-018-0304-y
Cavezzali, Elisa (2012). Essays on sell-side analyst industry. (Unpublished Doctoral thesis, City University London)
Celik, L. ORCID: 0000-0002-7668-6358 and Anderson, S. (2020).
Opaque Selling (10.2139/ssrn.3521450).
.
Cen, Jiaming (2015). Essays on international finance. (Unpublished Doctoral thesis, City University London)
Cenedese, G., Payne, R., Sarno, L. and Valente, G. (2016). What Do Stock Markets Tell Us about Exchange Rates?. Review of Finance, 20(3), pp. 1045-1080. doi: 10.1093/rof/rfv032
Cenedese, G., Sarno, L. and Tsiakas, I. (2014). Foreign exchange risk and the predictability of carry trade returns. Journal of Banking & Finance, 42, pp. 302-313. doi: 10.1016/j.jbankfin.2014.01.040
Cespa, G. and Foucault, T. (2014). Illiquidity Contagion and Liquidity Crashes. Review of Financial Studies, 27(6), pp. 1615-1660. doi: 10.1093/rfs/hhu016
Cespa, G. and Foucault, T. (2014). Sale of price information by exchanges: Does it promote price discovery?. Management Science, 60(1), pp. 148-165. doi: 10.1287/mnsc.2013.1735
Cespa, G. and Vives, X. (2015). The Beauty Contest and Short-Term Trading. The Journal of Finance, 70(5), pp. 2099-2154. doi: 10.1111/jofi.12279
Cespa, G. and Vives, X. (2012). Dynamic trading and asset prices: Keynes vs. Hayek. Review of Economic Studies, 79(2), pp. 539-580. doi: 10.1093/restud/rdr040
Cestone, G. (2014). Venture Capital Meets Contract Theory: Risky Claims or Formal Control?. Review of Finance, 18(3), pp. 1097-1137. doi: 10.1093/rof/rft021
Chadburn, R. G. (1996). Use of parametric risk measure in assessing risk based capital and insolvency constraints for with profits life insurance (Actuarial Research Paper No. 83). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Chadburn, R. G. (1998). A genetic approach to the modelling of sickness rates, with application to life insurance risk classification (Actuarial Research Paper No. 111). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Chadburn, R. G. and Wright, I. D. (1999). The sensitivity of life office simulation outcomes to differences in asset model structure (Actuarial Research Paper No. 120). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Chakhlevitch, K. and Glass, C. (2008). Scheduling reentrant jobs on parallel machines with a remote server (Statistical Research Paper No. 30). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Chan, Ka Kei (2012). Theoretical essays on bank risk-taking and financial stability. (Unpublished Doctoral thesis, City University London)
Chen, A., Haberman, S. ORCID: 0000-0003-2269-9759 and Thomas, S. ORCID: 0000-0001-5438-4263 (2019).
The implication of the hyperbolic discount model for annuitisation decisions.
Journal of Pension Economics and Finance,
doi: 10.1017/S1474747218000343
Chen, L. (2007). Price discovery in the foreign exchange market. (Unpublished Doctoral thesis, City University London)
Chen, R. and Millossovich, P. (2018). Sex-specific mortality forecasting for UK countries: a coherent approach. European Actuarial Journal, 8(1), pp. 69-95. doi: 10.1007/s13385-017-0164-0
Chen, S., Härdle, W.K. and Wang, W. (2016). Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach (16/06). London, UK: Department of Economics, City, University of London.
Chen, Y. (2009). Essays on the Role of Informed Trading in Stock Markets. (Unpublished Doctoral thesis, City University London)
Chia, K.G. (1982). Merchant banks and corporate acquisitions. (Unpublished Doctoral thesis, City University London)
Chiaramonte, L. and Casu, B. (2012). The determinants of bank CDS spreads: Evidence from the financial crisis. The European Journal of Finance, 19(9), pp. 861-887. doi: 10.1080/1351847X.2011.636832
Chiarella, C., Iori, G. and Perello, J. (2008). The impact of heterogeneous trading rules on the limit order book and order flows. Journal Of Economic Dynamics & Control, 33(3), pp. 525-537. doi: 10.1016/j.jedc.2008.08.001
Childs, P.A. (1981). A study of industrial relations in the insurance industry. (Unpublished Doctoral thesis, City University London)
Chowdhury, R. and Willmott, H. ORCID: 0000-0003-1321-7041 (2018).
Microcredit, the corporatization of nongovernmental organizations, and academic activism: The example of Professor Anu Muhammad.
Organization,
doi: 10.1177/1350508418768002
Chronopoulos, M., Hagspiel, V. and Fleten, S-K. (2016). Stepwise Green Investment under Policy Uncertainty. Energy Journal, 37(4), pp. 87-108. doi: 10.5547/01956574.37.4.mchr
Chronopoulos, M., Hagspiel, V. and Fleten, S-K. (2017). Stepwise investment and capacity sizing under uncertainty. OR Spectrum, 39(2), pp. 447-472. doi: 10.1007/s00291-016-0460-0
Chronopoulos, M., Panaousis, E. and Grossklags, J. (2018). An Options Approach to Cybersecurity Investment. IEEE Access, 6, pp. 12175-12186. doi: 10.1109/ACCESS.2017.2773366
Chrystal, A. (2012). Debt and monetary policy: comments on Jagjit S Chadha, Luisa Corrado and Jack Meaning's paper "Reserves, liquidity and money: an assessment of balance sheet policies", and further thoughts. In: Are central bank balance sheets in Asia too large? BIS Papers No 66. . Bank for International Settlements.
Citron, D.B. (1995). Positive accounting theory and the study of corporate control: the role of loan covenants and the going concern qualification. (Unpublished Doctoral thesis, City University London)
Clare, A. (2017). The performance of long-serving fund managers. International Review of Financial Analysis, 52(2017), pp. 152-159. doi: 10.1016/j.irfa.2017.07.001
Clare, A. ORCID: 0000-0002-4180-6778 and Clare, M. (2019).
An examination of ex ante fund performance: Identifying indicators of future performance.
Journal of Asset Management, 20(3),
pp. 175-195.
doi: 10.1057/s41260-019-00118-4
Clare, A., Duygun, M., Gulamhussen, M. and Pozzolo, A. (2016). Bank business models, regulation, and the role of financial market participants in the global financial crisis. Journal of Banking and Finance, 72, S1-S5. doi: 10.1016/j.jbankfin.2016.10.007
Clare, A. and Motson, N. (2010). Do UK Retail Investors Buy at the Top and Sell at the Bottom?. London: Cass Business School, City University London.
Clare, A. and Motson, N. (2008). How Many Alternative Eggs Should You Put in Your Investment Basket?. London: Cass Business School, City University London.
Clare, A., Motson, N., Payne, R. and Thomas, S. (2014). Heads We Win, Tails You Lose. Why Don't More Fund Managers Offer Symmetric Performance Fees?. London: Cass Business School, City University, London.
Clare, A., Motson, N., Sapuric, S. and Todorovic, N. (2014). What impact does a change of fund manager have on mutual fund performance?. International Review of Financial Analysis, 35, pp. 167-177. doi: 10.1016/j.irfa.2014.08.005
Clare, A., Motson, N. and Thomas, S. (2013). An Evaluation of Alternative Equity Indices - Part 1: Heuristic and Optimised Weighting Schemes. London: SSRN.
Clare, A., O'Sullivan, N., Sherman, M. and Thomas, S. (2016). Multi-asset class mutual funds: Can they time the market? Evidence from the US, UK and Canada. Research in International Business and Finance, 36, pp. 212-221. doi: 10.1016/j.ribaf.2015.09.011
Clare, A. ORCID: 0000-0002-4180-6778, O’Sullivan, N., Sherman, M. and Zhu, S. (2018).
The Performance of US Bond Mutual Funds.
International Review of Financial Analysis,
doi: 10.1016/j.irfa.2018.12.001
Clare, A., Sapuric, S. and Todorovic, N. (2010). Quantitative or momentum-based multi-style rotation? UK experience. Journal of Asset Management, 10(6), pp. 370-381. doi: 10.1057/jam.2009.19
Clare, A., Seaton, J., Smith, P. N. and Thomas, S. (2014). Trend following, risk parity and momentum in commodity futures. International Review of Financial Analysis, 31, pp. 1-12. doi: 10.1016/j.irfa.2013.10.001
Clare, A., Seaton, J., Smith, P. N. and Thomas, S. (2016). The trend is our friend: Risk parity, momentum and trend following in global asset allocation. Journal of Behavioral and Experimental Finance, 9, pp. 63-80. doi: 10.1016/j.jbef.2016.01.002
Clare, A. ORCID: 0000-0002-4180-6778, Seaton, J., Smith, P. N. and Thomas, S. H. (2019).
Can Sustainable Withdrawal Rates Be Enhanced by Trend Following?.
International Journal of Finance and Economics,
doi: 10.1002/ijfe.1774
Clayton, N. A. (2013). An overview on the inconsistencies of approach in regulating the capital position of banks: Will the United Kingdom step out of line with Europe?. Journal of Banking Regulation, 14, pp. 107-133. doi: 10.1057/jbr.2013.2
Cocco, J. F. and Volpin, P. (2013). Corporate pension plans as takeover deterrents. Journal of Financial and Quantitative Analysis, 48(4), pp. 1119-1144. doi: 10.1017/S0022109013000355
Cohen, Hertzel (1995). The audit of expert systems. (Unpublished Doctoral thesis, The City University Business School)
Colacito, R., Riddiough, S. J. and Sarno, L. ORCID: 0000-0003-1279-9748 (2019).
Business Cycles and Currency Returns.
Journal of Financial Economics,
Collins, D. A. ORCID: 0000-0002-5517-6949
Book Review: A Guide to State Succession in International Investment Law, by Patrick Dumberry.
Journal of International Banking Law and Regulation,
Collins, D. A. ORCID: 0000-0002-5517-6949 (2019).
Book Review: Proportionality, Reasonableness and Standards of Review in International Investment Law and Arbitration.
International Trade Law and Regulation, 25(1),
Collins, D. A. ORCID: 0000-0002-5517-6949 (2019).
Book Review: The Impact of Investment Treaty Law on Host States by Malvuda Sattorova.
International Trade Law and Regulation, 25(3),
pp. 198-201.
Collins, D. A. ORCID: 0000-0002-5517-6949 (2020).
Deploying WTO Trade Remedies to Combat the Eurozone’s Unfairness.
Journal of International Banking Law and Regulation, 35(8),
pp. 295-308.
Collins, D. A. ORCID: 0000-0002-5517-6949 (2019).
Performance Requirements in International Investment Law.
In: Chaisse, J., Choukroune, L. and Jusoh, S. (Eds.),
Handbook of International Investment Law and Policy.
. Singapore: Springer.
ISBN 9789811336140
Collins, D. A. ORCID: 0000-0002-5517-6949 (2019).
Public Participation in Environmental Impact Assessments for Foreign Investment Projects: A Canadian Perspective.
In: Kent, A., De Brabandere, E. and Gazzini, T. (Eds.),
Public Participation and Foreign Investment Law.
. Brill.
Cooper, D. R. (2000). Security for the members of defined benefit pension schemes (Actuarial Research Paper No. 126). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Cooper, D. R. (1998). A re-appraisal of the revalued career average benefit design for occupational pension schemes (Actuarial Research Paper No. 107). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Cooper, G. (2015). Give us your ****ing money" A Critical Appraisal of TV and the Cash Nexus. In: Cooper, G. and Cottle, S. (Eds.), Humanitarianism, Communications and Change: 19 (Global Crises and the Media). (pp. 67-77). Peter Lang. ISBN 9781433125263
Corsaro, S., Kyriakou, I. ORCID: 0000-0001-9592-596X, Marazzina, D. and Marino, Z. (2018).
A general framework for pricing Asian options under stochastic volatility on parallel architectures.
European Journal of Operational Research,
doi: 10.1016/j.ejor.2018.07.017
Corsi, F., Lillo, F., Pirino, D. and Trapin, L. (2018). Measuring the propagation of financial distress with Granger-causality tail risk networks. Journal of Financial Stability, 38, pp. 18-36. doi: 10.1016/j.jfs.2018.06.003
Corte, P. D., Sarno, L. and Sestieri, G. (2012). The predictive information content of external imbalances for exchange rate returns: How much is it worth?. Review of Economics and Statistics, 94(1), pp. 100-115. doi: 10.1162/REST_a_00157
Corte-Real, M. (2017). The risk management within European equity asset managers. (Unpublished Doctoral thesis, City, University of London)
Corvino, R. (2018). Dynamic Ownership, Private Benefits, and Stock Prices. .
Corvino, R. (2019). Essays in asset pricing and corporate finance. (Unpublished Doctoral thesis, City, University of London)
Corvino, R. and Francesco, R. (2018). The Relative Pricing of Sovereign Credit Risk After the Eurozone Crisis. .
Corvino, R. and Fusai, G. (2018). Default risk premium in credit and equity markets. .
Costa-Font, J., McGuire, A. and Serra-Sastre, V. (2012). The "Weisbrod Quadrilemma" Revisited: Insurance Incentives on New Health Technologies. The Geneva Papers on Risk and Insurance - Issues and Practice, 37(4), pp. 678-695. doi: 10.1057/gpp.2012.37
Costantini, M., Fragetta, M. and Melina, G. (2013). Determinants of Sovereign Bond Yield Spreads in the EMU. An Optimal Currency Area Perspective (13/15). London, UK: Department of Economics, City University London.
Costantini, M., Fragetta, M. and Melina, G. (2014). Determinants of sovereign bond yield spreads in the EMU: An optimal currency area perspective. European Economic Review, 70, pp. 337-349. doi: 10.1016/j.euroecorev.2014.06.004
Cowell, R. (2009). Exploration of a novel bootstrap technique for estimating the distribution of outstanding claims reserves in general insurance (Actuarial Research Paper No. 192). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Cowell, R. (2001). FINEX: Forensic Identification by Network Expert Systems (Statistical Research Paper No. 22). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Cowell, R. (1997). Sampling without replacement in junction trees (Statistical Research Paper No. 15). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Cowell, R. (2001). When learning Bayesian networks from data, using conditional independence tests is equivalent to a scoring metric (Statistical Research Paper No. 23). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Cowell, R., Lauritzen, S. L. and Mortera, J. (2004). Identification and separation of DNA mixtures using peak area information (Statistical Research Paper No. 25). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Cowell, R., Lauritzen, S. L. and Mortera, J. (2006). Identification and separation of DNA mixtures using peak area information (Updated version of Statistical Research Paper No. 25) (Statistical Research Paper No. 27). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Cowell, R., Lauritzen, S. L. and Mortera, J. (2009). Probabilistic expert systems for handling artifacts in complex DNA mixtures (Statistical Research Paper No. 31). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Cucinelli, D., Di Battista, M. L., Marchese, M. and Nieri, L. (2018). Credit risk in European banks: The bright side of the internal ratings based approach. Journal of Banking & Finance, 93, pp. 213-229. doi: 10.1016/j.jbankfin.2018.06.014
Cumming, D. J., Filatotchev, I., Reinecke, J. and Wood, G. (2019). New Investor Categories, Agility and HRM: The Case of Sovereign Wealth Funds. Human Resource Management Review, doi: 10.1016/j.hrmr.2019.100694
Cummins, J. and Bawden, D. (2010). Accounting for information: Information and knowledge in the annual reports of FTSE 100 companies. Journal of Information Science, 36(3), pp. 283-305. doi: 10.1177/0165551510361429
Curcio, D., De Simone, A. and Gallo, A. (2017). Financial crisis and international supervision: New evidence on the discretionary use of loan loss provisions at Euro Area commercial banks. The British Accounting Review, 49(2), pp. 181-193. doi: 10.1016/j.bar.2016.09.001
Cuthbertson, K., Hayley, S., Motson, N. and Nitzsche, D. (2016). What Does Rebalancing Really Achieve?. International Journal of Finance & Economics, 21(3), pp. 224-240. doi: 10.1002/ijfe.1545
Cuthbertson, K., Kyriakou, I. ORCID: 0000-0001-9592-596X, Sermpinis, G. and Pantelous, A. A. (2019).
Special issue of the International Journal of Finance and Economics innovations in finance, economics, risk management, and policy.
International Journal of Finance & Economics,
doi: 10.1002/ijfe.1738
Cuthbertson, K. and Nitzsche, D. (2013). Performance, Stock Selection and Market Timing of the German Equity Mutual Fund Industry. Journal of Empirical Finance, 21, pp. 86-101. doi: 10.1016/j.jempfin.2012.12.002
Cuthbertson, K. and Nitzsche, D. (2013). Winners and losers: German equity mutual funds. European Journal of Finance, 19(10), pp. 951-968. doi: 10.1080/1351847X.2012.684098
Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2008). False Discoveries: Winners and Losers in Mutual Fund Performance. London: SSRN.
Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2010). Mutual fund performance: Measurement and evidence. Financial Markets, Institutions and Instruments, 19(2), pp. 95-187. doi: 10.1111/j.1468-0416.2010.00156.x
Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2016). A review of behavioural and management effects in mutual fund performance. International Review of Financial Analysis, 44, pp. 162-176. doi: 10.1016/j.irfa.2016.01.016
Cuthbertson, K., O'Sullivan, N. and Nitzsche, D. (2007). The Market Timing Ability of UK Equity Mutual Funds. SSRN.
D'Amato, A. and Gallo, A. ORCID: 0000-0002-8355-1689 (2019).
Bank institutional setting and risk-taking: The missing role of directors’ education and turnover.
Corporate Governance, 19(4),
pp. 774-805.
doi: 10.1108/CG-01-2019-0013
D'Amato, A. and Gallo, A. (2017). Does Bank Institutional Setting Affect Board Effectiveness? Evidence from Cooperative and Joint-Stock Banks. Corporate Governance, 25(2), pp. 78-99. doi: 10.1111/corg.12185
D'Amato, V., Haberman, S. and Piscopo, G. (2017). The dependency premium based on a multifactor model for dependent mortality data. Communications in Statistics - Theory and Methods, doi: 10.1080/03610926.2017.1366523
D'Amato, V., Haberman, S., Piscopo, G., Russolillo, M. and Trapani, L. (2014). Detecting Common Longevity Trends by a Multiple Population Approach. North American Actuarial Journal, 18(1), pp. 139-149. doi: 10.1080/10920277.2013.875884
D'Amato, V., Haberman, S., Piscopo, G., Russolillo, M. and Trapani, L. (2016). Multiple mortality modeling in Poisson Lee-Carter framework. Communications in Statistics - Theory and Methods, 45(6), pp. 1723-1732. doi: 10.1080/03610926.2014.960580
D'Amato, V., di Lorenzo, E., Haberman, S., Russolillo, M. and Sibillo, M. (2011). The Poisson Log-Bilinear Lee-Carter Model: Applications Of efficient bootstrap methods to annuity analyses. North American Actuarial Journal, 15(2), pp. 315-333. doi: 10.1080/10920277.2011.10597623
D'Silva, K. (1992). External auditor independence: selected group perceptions. (Unpublished Doctoral thesis, City University London)
Danesi, I. L., Haberman, S. and Millossovich, P. (2015). Forecasting mortality in subpopulations using Lee-Carter type models: A comparison. Insurance: Mathematics and Economics, 62, pp. 151-161. doi: 10.1016/j.insmatheco.2015.03.010
Dargenidou, C., McLeay, S. and Raonic, I. (2011). Accruals, Disclosure and the Pricing of Future Earnings in the European Market. Journal of Business Finance & Accounting, 38(5-6), pp. 473-504. doi: 10.1111/j.1468-5957.2011.02245.x
Dawson, P., Dowd, K., Cairns, A.J.G. and Blake, D. (2010). Survivor Derivatives: A Consistent Pricing Framework. Journal Of Risk And Insurance, 77(3), pp. 579-596. doi: 10.1111/j.1539-6975.2010.01356.x
De Domenico, M. and Baronchelli, A. ORCID: 0000-0002-0255-0829 (2019).
The fragility of decentralised trustless socio-technical systems.
EPJ Data Science, 8,
2..
doi: 10.1140/epjds/s13688-018-0180-6
De Pinho, P.J.J.S, (1994). Essays on banking. (Unpublished Doctoral thesis, City University London)
Defever, F. ORCID: 0000-0001-6462-0522, Reyes, J-D., Riaño, A. ORCID: 0000-0002-8824-4055 and Varela, G. (2020).
All These Worlds are Yours, Except India: The Effectiveness of Cash Subsidies to Export in Nepal.
European Economic Review, 128,
103494..
doi: 10.1016/j.euroecorev.2020.103494
Defever, F. and Riaño, A. (2015). Gone for Good? Subsidies with Export Share Requirements in China: 2002–13. The World Bank Economic Review, 29(supl_1), S135-S144. doi: 10.1093/wber/lhv020
Delaney, L. and Kovaleva, P. (2017). The Dampening Effect of Iceberg Orders on Small Traders' Welfare. Annals of Finance, doi: 10.1007/s10436-017-0304-1
Della Corte, P., Kozhan, R. and Neuberger, A. ORCID: 0000-0002-5344-1083 (2020).
The Cross-Section of Currency Volatility Premia.
Journal of Financial Economics,
Della Corte, P., Ramadorai, T. and Sarno, L. (2016). Volatility Risk Premia and Exchange Rate Predictability. Journal of Financial Economics, 120(1), pp. 21-40. doi: 10.1016/j.jfineco.2016.02.015
Della Corte, P., Riddiough, S. J. and Sarno, L. (2016). Currency Premia and Global Imbalances. Review of Financial Studies, 29(8), pp. 2161-2193. doi: 10.1093/rfs/hhw038
Della Corte, P., Sarno, L., Schmeling, M. and Wagner, C. (2013). Exchange Rates and Sovereign Risk. SSRN.
Della Corte, P., Sarno, L. and Tsiakas, I. (2011). Spot and forward volatility in foreign exchange. Journal of Financial Economics, 100(3), pp. 496-513. doi: 10.1016/j.jfineco.2011.01.007
Della Corte, P., Sarno, L. and Tsiakas, I. (2012). Volatility and Correlation Timing in Active Currency Management. In: James, J., Marsh, I. W. and Sarno, L. (Eds.), Handbook of Exchange Rates. (pp. 421-447). New Jersey, USA: Wiley. ISBN 9780470768839
Denuit, M., Haberman, S. and Renshaw, A. E. (2010). Comonotonic approximations to quantiles of life annuity conditional expected present values: extensions to general arima models and comparison with the bootstrap. ASTIN Bulletin, 40(1), pp. 331-349. doi: 10.2143/AST.40.1.2049232
Denuit, M., Haberman, S. and Renshaw, A. E. (2015). Longevity-contingent deferred life annuities. Journal of Pension Economics and Finance, 14(3), pp. 315-327. doi: 10.1017/S147474721400050X
Denuit, M., Haberman, S. and Renshaw, A. E. (2011). Longevity-indexed annuities. North American Actuarial Journal, 15(1), pp. 97-111. doi: 10.1080/10920277.2011.10597611
Dessaint, O., Golubov, A. and Volpin, P. (2017). Employment Protection and Takeovers. Journal of Financial Economics, 125(2), pp. 369-388.
Dick, C. D., Schmeling, M. and Schrimpf, A. (2013). Macro-expectations, aggregate uncertainty, and expected term premia. European Economic Review, 58, pp. 58-80. doi: 10.1016/j.euroecorev.2012.11.005
Dimitrova, D. S. ORCID: 0000-0003-3169-2735, Ignatov, Z., Kaishev, V. K. and Tan, S. (2019).
On Double-Boundary Non-Crossing Probability for a Class of Compound Processes with Applications.
European Journal of Operational Research,
doi: 10.1016/j.ejor.2019.09.058
Dimitrova, D. S. and Kaishev, V. K. (2010). Optimal joint survival reinsurance: An efficient frontier approach. INSURANCE MATHEMATICS & ECONOMICS, 47(1), doi: 10.1016/j.insmatheco.2010.03.006
Dimitrova, D. S., Kaishev, V. K. and Penev, S. (2007). GeD spline estimation of multivariate Archimedean copulas (Actuarial Research Paper No. 179). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Dimitrova, D. S., Kaishev, V. K. and Penev, S. (2008). GeD spline estimation of multivariate Archimedean copulas. Computational Statistics & Data Analysis, 52(7), pp. 3570-3582. doi: 10.1016/j.csda.2007.11.010
Dimitrova, D. S., Kaishev, V. K. and Zhao, S. (2015). Modeling Finite-Time Failure Probabilities in Risk Analysis Applications. Risk Analysis, 35(10), pp. 1919-1939. doi: 10.1111/risa.12384
Dimitrova, D. S., Kaishev, V. K. and Zhao, S. (2015). On finite-time ruin probabilities in a generalized dual risk model with dependence. European Journal of Operational Research, 242(1), pp. 134-148. doi: 10.1016/j.ejor.2014.10.007
Dimou, P. (2007). Models of Corporate and Bank Default and Credit Migration. (Unpublished Doctoral thesis, City University London)
Dontis-Charitos, Panagiotis (2011). Bank-insurance M&A Deals: An Empirical Investigation of the Risk-return Effects on Acquiring Firms and On the Financial Industry. (Unpublished Doctoral thesis, City University London)
Dowd, K. and Blake, D. (2013). Good Practice Principles in Modelling Defined Contribution Pension Plans (PI-1302). UK: Pensions Institute.
Dowd, K. and Blake, D. ORCID: 0000-0002-2453-2090 (2019).
On the Projection of Mortality Rates to Extreme Old Age (PI-1909).
London, UK: Pensions Institute.
Dowd, K., Blake, D. ORCID: 0000-0002-2453-2090, Buckner, D. and Fry, J. (2019).
The Valuation of No-Negative Equity Guarantees and Equity Release Mortgages (PI-1911).
London, UK: Pensions Institute.
Dowd, K., Cairns, A. J. G. and Blake, D. (2019). Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model. North American Actuarial Journal, doi: 10.1080/10920277.2019.1652102
Dowd, K., Cairns, J. G. and Blake, D. ORCID: 0000-0002-2453-2090 (2020).
CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family (PI-2002).
London, UK: Pensions Institute.
Dowd, K., Cairns, J. G. and Blake, D. ORCID: 0000-0002-2453-2090 (2019).
A Simple Approach to Project Extreme Old Age Mortality Rates and Value Mortality-Related Financial Instruments (PI-1907).
London, UK: Pensions Institute.
Driver, C., Trapani, L. and Urga, G. (2013). On the use of cross-sectional measures of forecast uncertainty. International Journal of Forecasting, 29(3), pp. 367-377. doi: 10.1016/j.ijforecast.2012.11.005
Duffuor, K. (2010). Order flow and exchange rate dynamics in emerging economies: The case of Ghana. (Unpublished Doctoral thesis, City University London)
Duffuor, K., Marsh, I. W. and Phylaktis, K. (2012). Order flow and exchange rate dynamics: an application to emerging markets. International Journal of Finance and Economics, 17(3), pp. 290-304. doi: 10.1002/ijfe.451
Dumitru, A-M. and Urga, G. (2012). Identifying jumps in financial assets: A comparison between nonparametric jump tests. Journal of Business and Economic Statistics, 30(2), pp. 242-255. doi: 10.1080/07350015.2012.663250
de Menezes, L. M., Russo, M. and Urga, G. (2016). Identifying Drivers of Liquidity in the NBP Month-ahead Market. Paper presented at the EcoMod2016, 06 Jul 2016 - 08 Jul 2016, Lisbon, Portugal.
de Menezes, L. M. ORCID: 0000-0001-9155-5850, Russo, M. and Urga, G. (2019).
Measuring and Assessing the Evolution of Liquidity in Forward Natural Gas Markets: the Case of the UK National Balancing Point.
The Energy Journal, 40(1),
pp. 143-169.
doi: 10.5547/01956574.40.1
Eichengreen, B., Mody, A., Nedeljkovic, M. and Sarno, L. (2012). How the Subprime Crisis went global: Evidence from bank credit default swap spreads. Journal of International Money and Finance, 31(5), pp. 1299-1318. doi: 10.1016/j.jimonfin.2012.02.002
El Said, A., Emara, N. and Pearlman, J. ORCID: 0000-0001-6301-3966 (2020).
On the Impact of Financial Inclusion on Financial Stability and Inequality: The Role of Macroprudential Policies (20/06).
London, UK: Department of Economics, City, University of London.
El-Kheir Mohamed, E.K.A. (1997). A conceptual framework for internal auditing : an empirical examination of the perception and practice of internal auditing - Egypt as a field of study. (Unpublished Doctoral thesis, City University London)
ElBahrawy, A., Alessandretti, L. and Baronchelli, A. ORCID: 0000-0002-0255-0829 (2019).
Wikipedia and Digital Currencies: Interplay Between Collective Attention and Market Performance.
Frontiers in Blockchain,
doi: 10.3389/fbloc.2019.00012
ElBahrawy, A., Alessandretti, L., Rusnac, L., Goldsmith, D., Teytelboym, A. and Baronchelli, A. ORCID: 0000-0002-0255-0829 (2019).
Collective Dynamics of Dark Web Marketplaces.
City, Univeristy of London.
Elyasiani, E., Hasan, I., Kalotychou, E., Pouliasis, P. K. ORCID: 0000-0002-7389-3722 and Staikouras, S. (2020).
Banks’ equity performance and the term structure of interest rates.
Financial Markets, Institutions And Instruments,
doi: 10.1111/fmii.12125
Elyasiani, E., Kalotychou, E., Staikouras, S. and Zhao, G. (2015). Return and Volatility Spillover among Banks and Insurers: Evidence from Pre-Crisis and Crisis Periods. Journal of Financial Services Research, 48(1), pp. 21-52. doi: 10.1007/s10693-014-0200-z
Elyasiani, E., Staikouras, S. and Dontis-Charitos, P. (2016). Cross-Industry Product Diversification and Contagion in Risk and Return: The case of Bank-Insurance and Insurance-Bank Takeovers. Journal Of Risk And Insurance, 83(3), pp. 681-718. doi: 10.1111/jori.12066
Emms, P. (2006). Dynamic pricing of general insurance in a competitive market (Actuarial Research Paper No. 172). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Emms, P. (2006). Pricing general insurance with constraints (Actuarial Research Paper No. 173). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Emms, P. and Haberman, S. (2005). Asymptotic and numerical analysis of the optimal investment strategy for an insurer (Actuarial Research Paper No. 163). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Emms, P. and Haberman, S. (2008). Income drawdown schemes for a defined-contribution pension plan. Journal Of Risk And Insurance, 75(3), pp. 739-761. doi: 10.1111/j.1539-6975.2008.00282.x
Emms, P. and Haberman, S. (2009). Optimal management of an insurer's exposure in a competitive general insurance market. North American Actuarial Journal, 13(1), pp. 77-105. doi: 10.1080/10920277.2009.10597541
Emms, P., Haberman, S. and Savoulli, I. (2006). Optimal strategies for pricing general insurance (Actuarial Research Paper No. 171). London, UK: Faculty of Actuarial Science & Insurance, City University London.
England, P. D. (2001). Addendum to "Analytic and bootstrap estimates of prediction errors in claims reserving" (Actuarial Research Paper No. 138). London, UK: Faculty of Actuarial Science & Insurance, City University London.
England, P. D., Verrall, R. J. and Wüthrich, M. V. (2012). Bayesian Overdispersed Poisson Model and the Bornhuetter-Ferguson Claim Reserving Method. Annals of Actuarial Science, 6(2), pp. 258-283. doi: 10.1017/S1748499512000012
England, P. D., Verrall, R. J. ORCID: 0000-0003-4098-9792 and Wüthrich, M. V. (2019).
On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins.
Insurance: Mathematics and Economics,
doi: 10.1016/j.insmatheco.2018.12.002
Fabbri, D. (2010). Law Enforcement and Firm Financing: Theory and Evidence. Journal of the European Economic Association, 8(4), pp. 776-816. doi: 10.1111/j.1542-4774.2010.tb00540.x
Fabbri, D. and Klapper, L.F. (2016). Bargaining power and trade credit. Journal of Corporate Finance, 41, pp. 66-80. doi: 10.1016/j.jcorpfin.2016.07.001
Fabbri, D. and Menichini, A.M.C. (2016). The commitment problem of secured lending. Journal of Financial Economics, 120(3), pp. 561-584. doi: 10.1016/j.jfineco.2016.02.009
Fabrizi, M. and Parbonetti, A. (2013). Privatized Returns and Socialized Risks: CEO Incentives, Securitization Accounting and the Financial Crisis (2013-08). London, UK: City Political Economy Research Centre (CITYPERC), Department of International Politics, City University London.
Faelten, A., Gietzmann, M. and Vitkova, V. (2013). Learning from your investors: can the geographical composition of institutional investors affect the chance of success in international M&A deals?. Journal of Management and Governance, 19(1), pp. 47-69. doi: 10.1007/s10997-013-9268-3
Faelten, A., Gietzmann, M. and Vitkova, V. (2014). Naked M&A Transactions: How the Lack of Local Expertise in Cross-Border Deals Can Negatively Affect Acquirer Performance - and How Informed Institutional Investors can Mitigate This Effect. Journal of Business Finance and Accounting, 41(3-4), pp. 469-506. doi: 10.1111/jbfa.12049
Falconieri, S. and Bennouri, M. (2015). Single versus multiple banking: lessons from initial public offerings. The European Journal of Finance, doi: 10.1080/1351847X.2015.1053149
Falconieri, S., Murphy, A. and Weaver, D. (2009). Underpricing and Ex Post Value Uncertainty. Financial Management, 38(2), pp. 285-300. doi: 10.1111/j.1755-053X.2009.01036.x
Falconieri, S. and Tastan, M. (2018). The Role of Admission Documents on the Pricing of UK Fixed Priced IPOs. Economics Letters, doi: 10.1016/j.econlet.2018.09.007
Fan, J. H., Fernandez-Perez, A., Fuertes, A-M. ORCID: 0000-0001-6468-9845 and Miffre, J. (2019).
Speculative Pressure.
Journal of Futures Markets,
doi: 10.1002/fut.22085
Fang, B., Hope, O-K., Huang, Z. ORCID: 0000-0003-2280-3149 and Moldovan, R. (2020).
The Effects of MiFID II on Sell-Side Analysts, Buy-Side Analysts, and Firms.
Review of Accounting Studies,
Fang, L., Cheng, J. and Su, F. (2019). Interconnectedness and Systemic Risk: A Comparative Study Based on Systemically Important Regions. Pacific-Basin Finance Journal, 54, pp. 147-158. doi: 10.1016/j.pacfin.2019.02.007
Favara, G., Morellec, E., Schroth, E. and Valta, P. (2016). Debt Enforcement, Investment, and Risk Taking Across Countries. Journal of Financial Economics, doi: 10.1016/j.jfineco.2016.09.002
Favara, G., Schroth, E. and Valta, P. (2012). Strategic Default and Equity Risk Across Countries. The Journal of Finance, 67(6), pp. 2051-2095. doi: 10.1111/j.1540-6261.2012.01781.x
Fei, F., Fuertes, A. and Kalotychou, E. (2017). Dependence in Credit Default Swap and Equity Markets: Dynamic Copula with Markov Switching. International Journal of Forecasting, 33(3), pp. 662-678. doi: 10.1016/j.ijforecast.2017.01.006
Fei, Fei (2013). Essays on Quantitative Risk Management. (Unpublished Doctoral thesis, City University London)
Fernandes, F. N. (1998). Total reward - an actuarial perspective (Actuarial Research Paper No. 116). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Fernandez-Perez, A, Fuertes, A-M and Miffre, J (2016). Is idiosyncratic volatility priced in commodity futures markets?. International Review of Financial Analysis, 46, pp. 219-226. doi: 10.1016/j.irfa.2016.06.002
Fernandez-Perez, A., Frijns, B., Fuertes, A. and Miffre, J. (2018). The Skewness of Commodity Futures Returns. Journal of Banking and Finance, 86, pp. 143-158. doi: 10.1016/j.jbankfin.2017.06.015
Fernandez-Perez, A., Fuertes, A. and Miffre, J. (2016). Commodity Markets, Long-Run Predictability and Intertemporal Pricing. Review of Finance, doi: 10.1093/rof/rfw034
Fernandez-Perez, A., Fuertes, A. ORCID: 0000-0001-6468-9845 and Miffre, J. (2019).
A Comprehensive Appraisal of Style-Integration Methods.
Journal of Banking and Finance, 105,
pp. 134-150.
doi: 10.1016/j.jbankfin.2019.05.016
Ferrantino, M., Riaño, A. ORCID: 0000-0002-8824-4055, Defever, F. ORCID: 0000-0001-6462-0522, Engel, J., Arenas, G. C., Ahdiyyih, S. and Mirabal, J. (2017).
Special Economic Zones, Global Value Chains, and the Degree of Economic Linkages in the Dominican Republic.
Washinton D.C., USA: The World Bank Group.
Ferreira, D., Ferreira, M. and Mariano, B. (2018). Creditor Control Rights and Board Independence. Journal of Finance, doi: 10.1111/jofi.12692
Ferreira, M., Keswani, A. ORCID: 0000-0001-9096-7677, Miguel, A. F. and Ramos, S. (2019).
What Determines Fund Performance Persistence? International Evidence.
Financial Review,
doi: 10.1111/fire.12202
Ferreira, M., Keswani, A., Ramos, S. and Miguel, A. F. (2013). The Determinants of Mutual Fund Performance: A Cross-Country Study. Review of Finance, 17(2), pp. 483-525. doi: 10.1093/rof/rfs013
Ferreira, M. A., Keswani, A., Miguel, A. F. and Ramos, S. (2012). The flow-performance relationship around the world. Journal of Banking & Finance, 36(6), pp. 1759-1780. doi: 10.1016/j.jbankfin.2012.01.019
Fich, E. M., Harford, J. and Tran, A. (2015). Motivated monitors: the importance of institutional investors’ portfolio weights. Journal of Financial Economics, 118(1), pp. 21-48. doi: 10.1016/j.jfineco.2015.06.014
Filatotchev, I., Bell, R. G. and Rasheed, A. A. (2016). Globalization of Capital Markets: Implications for Firm Strategies. Journal of International Management, 22(3), pp. 211-221. doi: 10.1016/j.intman.2016.04.001
Filip, A., Huang, Z. ORCID: 0000-0003-2280-3149 and Lui, D. (2018).
Cross-listing and Corporate Malfeasance: Evidence from P-chip Firms.
Journal of Corporate Finance,
doi: 10.1016/j.jcorpfin.2017.07.003
Flamouris, D. (2001). The use of implied methodologies in mathematical finance. (Unpublished Doctoral thesis, City University London)
Forth, J. ORCID: 0000-0001-7963-2817 (2019).
How have total rewards developed?
Employee Benefits. *
Fragetta, M. and Melina, G. (2013). Identification of monetary policy in SVAR models: A data-oriented perspective. Empirical Economics, 45(2), pp. 831-844. doi: 10.1007/s00181-012-0632-y
Fragetta, M. and Melina, G. (2011). The effects of fiscal policy shocks in svar models: A graphical modelling approach. Scottish Journal of Political Economy, 58(4), pp. 537-566. doi: 10.1111/j.1467-9485.2011.00558.x
Franks, J., Mayer, C., Volpin, P. and Wagner, H. F. (2012). The life cycle of family ownership: International evidence. Review of Financial Studies, 25(6), pp. 1675-1712. doi: 10.1093/rfs/hhr135
Fratzscher, M., Juvenal, L. and Sarno, L. (2010). Asset prices, exchange rates and the current account. European Economic Review, 54(5), pp. 643-658. doi: 10.1016/j.euroecorev.2009.12.005
Fratzscher, M., Rime, D., Sarno, L. and Zinna, G. (2015). The scapegoat theory of exchange rates: the first tests. Journal of Monetary Economics, 70, pp. 1-21. doi: 10.1016/j.jmoneco.2014.09.001
Friederich, S. and Payne, R. (2015). Order-to-trade ratios and market liquidity. Journal of Banking & Finance, 50, pp. 214-223. doi: 10.1016/j.jbankfin.2014.10.005
Friederich, S. and Payne, R. (2014). Trading anonymity and order anticipation. Journal of Financial Markets, 21, pp. 1-24. doi: 10.1016/j.finmar.2014.07.002
Fu, R., Kraft, A. ORCID: 0000-0003-1641-1982, Tian, X., Zhang, H. and Zuo, L. (2020).
Financial Reporting Frequency and Corporate Innovation.
The Journal of Law and Economics,
Fuertes, A-M. ORCID: 0000-0001-6468-9845, Phylaktis, K. ORCID: 0000-0001-9392-1682 and Yan, C. (2019).
Uncovered Equity “Disparity” in Emerging Markets.
Journal of International Money and Finance,
doi: 10.1016/j.jimonfin.2019.102066
Fuertes, A. (2012). Country and Time Variation in Exchange Rate Pass Through: What Drives it?. Journal of International Money and Finance, 31(4), pp. 818-844. doi: 10.1016/j.jimonfin.2012.01.009
Fuertes, A. (2014). Performance of Idiosyncratic Volatility Strategies in Commodity Markets: Delusion or Reality?. Investment and Pensions Europe, 2014(Summer), pp. 14-17.
Fuertes, A. (2008). Sieve bootstrap t-tests on long-run average parameters. Computational Statistics & Data Analysis, 52(7), pp. 3354-3370. doi: 10.1016/j.csda.2007.11.014
Fuertes, A., Izzeldin, M. and Kalotychou, E. (2009). On forecasting daily stock volatility: The role of intraday information and market conditions. International Journal of Forecasting, 25(2), pp. 259-281. doi: 10.1016/j.ijforecast.2009.01.006
Fuertes, A., Kalotychou, E. and Saka, O. (2015). How did the ECB save the Eurozone without spending a single euro?. VOX, CEPR’s Policy Portal,
Fuertes, A., Kalotychou, E. and Todorovic, N. (2015). Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy?. Review of Quantitative Finance and Accounting, 45(2), pp. 251-278. doi: 10.1007/s11156-014-0436-6
Fuertes, A., Miffre, J. and Fernandez-Perez, A. (2015). Commodity strategies based on momentum, term structure, and idiosyncratic volatility. Journal of Futures Markets, 35(3), pp. 274-297. doi: 10.1002/fut.21656
Fuertes, A., Miffre, J. and Rallis, G. (2010). Tactical allocation in commodity futures markets: Combining momentum and term structure signals. Journal of Banking & Finance, 34(10), pp. 2530-2548. doi: 10.1016/j.jbankfin.2010.04.009
Fuertes, A., Muradoglu, G. and Ozturkkal, B. (2014). A behavioral analysis of investor diversification. The European Journal of Finance, 20(6), pp. 499-523. doi: 10.1080/1351847X.2012.719829
Fuertes, A. and Olmo, J. (2016). On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?. Journal of Risk and Financial Management, 9(3), 10.. doi: 10.3390/jrfm9030010
Fuertes, A. and Olmo, J. (2013). Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction. International Journal of Forecasting, 29(1), pp. 28-42. doi: 10.1016/j.ijforecast.2012.05.005
Fuertes, A., Phylaktis, K. and Yan, C. (2014). Hot money in bank credit flows to emerging markets during the banking globalization era. Journal of International Money and Finance, 60, pp. 29-52. doi: 10.1016/j.jimonfin.2014.10.002
Fusai, G. (2000). Corridor options and arc-sine law. ANNALS OF APPLIED PROBABILITY, 10(2), pp. 634-663.
Fusai, G., Caldana, R. and Roncoroni, A. (2017). Electricity Forward Curves with Thin Granularity: Theory and Empirical Evidence in the Hourly EPEX Spot Market. European Journal of Operational Research, doi: 10.1016/j.ejor.2017.02.016
Fusai, G., Gambaro, A. and Casalini, R. (2017). Approximate Pricing of Swaptions in Affine and Quadratic Models. Quantitative Finance, doi: 10.1080/14697688.2017.1292043
Fusai, G. and Kyriakou, I. (2016). General optimized lower and upper bounds for discrete and continuous arithmetic Asian options. Mathematics of Operations Research, 41(2), pp. 531-559. doi: 10.1287/moor.2015.0739
Fusai, G., Marazzina, D. and Marena, M. (2011). Pricing Discretely Monitored Asian Options by Maturity Randomization. SIAM Journal on Financial Mathematics, 2(1), pp. 383-403. doi: 10.1137/09076115X
Fusai, G., Marena, M. and Roncoroni, A. (2008). Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets. Journal of Banking & Finance, 32(10), pp. 2033-2045. doi: 10.1016/j.jbankfin.2007.12.024
Fusai, G. and Meucci, A. (2008). Pricing discretely monitored Asian options under Levy processes. Journal of Banking & Finance, 32(10), pp. 2076-2088. doi: 10.1016/j.jbankfin.2007.12.027
Gabrielsen, Alexandros (2010). Modelling the Dynamics of Credit Spreads of European Corporate Bond Indices. (Unpublished Doctoral thesis, City University London)
Galanis, S. ORCID: 0000-0003-4286-7449 and Kotronis, S. (2019).
Updating Awareness and Information Aggregation (19/03).
London, UK: Department of Economics, City, University of London.
Galanis, S. ORCID: 0000-0003-4286-7449 and Kotronis, S. (2020).
Updating Awareness and Information Aggregation.
The B.E. Journal of Theoretical Economics,
Gallagher, M.A. (1992). Bank capital: definition, adequacy and issue announcement effects. (Unpublished Doctoral thesis, City University London)
Gambaro, A. M., Casalini, R., Fusai, G. ORCID: 0000-0001-9215-2586 and Ghilarducci, A. (2019).
A market-consistent framework for the fair evaluation of insurance contracts under Solvency II.
Decisions in Economics and Finance,
doi: 10.1007/s10203-019-00242-1
Gandrud, C. and Hallerberg, M. (2017). Interpreting Fiscal Accounting Rules in the European Union. Journal of European Public Policy, 24(6), pp. 832-851. doi: 10.1080/13501763.2017.1300182
Gandrud, C. and O'Keeffe, M. (2016). Information and Financial Crisis Policymaking. Journal of European Public Policy, doi: 10.1080/13501763.2016.1149205
Gavranovic, Nedim (2011). Optimal asset allocation and annuitisation in a defined contribution pension scheme. (Unpublished Doctoral thesis, City University London)
Georgievska, A., Georgievska, L., Stojanovic, A. and Todorovic, N. (2008). Sovereign rescheduling probabilities in emerging markets: A comparison with credit rating agencies' ratings. Journal of Applied Statistics, 35(9), pp. 1031-1051. doi: 10.1080/02664760802193112
Gerrard, R. J. G., Guillén, M., Nielsen, J. P. and Pérez-Marín, A. M. (2014). Long-run savings and investment strategy optimization. The Scientific World Journal, 2014, 510531 - ?. doi: 10.1155/2014/510531
Gerrard, R. J. G., Haberman, S. and Vigna, E. (2005). The management of de-cumulation risks in a defined contribution environment (Actuarial Research Paper No. 161). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Gerrard, R. J. G. ORCID: 0000-0002-8932-8752, Hiabu, M., Kyriakou, I. ORCID: 0000-0001-9592-596X and Nielsen, J. P. ORCID: 0000-0002-2798-0817 (2018).
Communication and personal selection of pension saver's financial risk.
European Journal of Operational Research,
doi: 10.1016/j.ejor.2018.10.038
Gerrard, R. J. G. ORCID: 0000-0002-8932-8752, Hiabu, M., Kyriakou, I. ORCID: 0000-0001-9592-596X and Nielsen, J. P. ORCID: 0000-0002-2798-0817 (2018).
Self-selection and risk sharing in a modern world of life-long annuities.
British Actuarial Journal, 23,
doi: 10.1017/s135732171800020x
Gerrard, R. J. G. ORCID: 0000-0002-8932-8752, Hiabu, M., Kyriakou, I. ORCID: 0000-0001-9592-596X and Nielsen, J. P. ORCID: 0000-0002-2798-0817 (2018).
Self-selection and risk sharing in a modern world of lifelong annuities - Abstract of the London Discussion.
British Actuarial Journal, 23(e29),
doi: 10.1017/S1357321718000272
Ghalanos, Alexios (2012). Higher moment models for risk and portfolio management. (Unpublished Doctoral thesis, City University London)
Giamouzi, M. (2017). Essays on the empirical analysis of ship chartering strategies. (Unpublished Doctoral thesis, City, University of London)
Giamporcaro, S., Gond, J-P. ORCID: 0000-0002-9331-6957 and O'Sullivan, N. (2020).
Orchestrating governmental corporate social responsibility interventions through financial markets: The case of French socially responsible investment.
Business Ethics Quarterly,
doi: 10.1017/beq.2019.40
Gietzmann, M. and Raonic, I. (2013). Thinly Traded Growth Stocks: A Joint Examination of Transparency in Communication and the Trading Platform. European Accounting Review, 23(2), pp. 257-289. doi: 10.1080/09638180.2013.768802
Giordano, G., Haberman, S. ORCID: 0000-0003-2269-9759 and Russolillo, M. (2019).
Coherent modeling of mortality patterns for age-specific subgroups.
Decisions in Economics and Finance,
doi: 10.1007/s10203-019-00245-y
Gkinis, S. (2003). Modelling energy markets and pricing energy derivatives. (Unpublished Doctoral thesis, City University London)
Godínez-Olivares, H., Boado-Penas, M. D. C. and Haberman, S. (2016). Optimal strategies for pay-as-you-go pension finance: A sustainability framework. Insurance: Mathematics and Economics, 69, pp. 117-126. doi: 10.1016/j.insmatheco.2016.05.001
Golubov, A. and Konstantinidi, T. (2019). Where Is the Risk in Value? Evidence From a Market-to-Book Decomposition. The Journal of Finance, doi: 10.1111/jofi.12836
Gond, J-P., Spicer, A., Patel, K., Fleming, P., Mosonyi, S., Benoit, C. and Parker, S. (2014). A Report on the Culture of British Retail Banking. New City Agenda; Cass Business School (City, University of London).
Gormez, Y. (2000). Topics in electronic money. (Unpublished Doctoral thesis, City University London)
Gounopoulos, D., Molyneux, P., Staikouras, S., Wilson, J. O. S. and Zhao, G. (2013). Exchange rate risk and the equity performance of financial intermediaries. International Review of Financial Analysis, 29, pp. 271-282. doi: 10.1016/j.irfa.2012.04.001
Grant, Robert Morris (1983). Aspects of pricing behaviour and long-run competitive adjustment in industrial markets with implications for competition policy. (Unpublished Doctoral thesis, The City University)
Green, R., Fusai, G. and Abrahams, I. D. (2010). The wiener-hopf technique and discretely monitored path-dependent option pricing. Mathematical Finance, 20(2), pp. 259-288. doi: 10.1111/j.1467-9965.2010.00397.x
Guillen, M., Nielsen, J. P. ORCID: 0000-0002-2798-0817, Pérez-Marín, A. and Elpidorou, V. (2019).
Can automobile insurance telematics predict the risk of near-miss events?.
North American Actuarial Journal,
doi: 10.1080/10920277.2019.1627221
Guillén, M., Jarner, S. F., Nielsen, J. P. and Pérez-Marín, A. M. (2014). Risk-adjusted impact of administrative costs on the distribution of terminal wealth for long-term investment. Scientific World Journal, 2014, 521074 - ?. doi: 10.1155/2014/521074
Guillén, M., Nielsen, J. P. ORCID: 0000-0002-2798-0817, Ayuso, M. and Perez-Marin, A. M. (2019).
The use of telematics devices to improve automobile insurance rates.
Risk Analysis, 39(3),
pp. 662-672.
doi: 10.1111/risa.13172
Guter-Sandu, Andrei (2018). Leveraging social value: multiple valuation logics in the field of social finance. (Unpublished Doctoral thesis, City, University of London)
Gámiz Pérez, M. L., Martinez-Miranda, M. D. and Nielsen, J. P. ORCID: 0000-0002-2798-0817 (2018).
Multiplicative local linear hazard estimation and best one-sided cross-validation.
Journal of Machine Learning, 19,
pp. 1-29.
Haberman, S. (1996). Landmarks in the history of actuarial science (up to 1919) (Actuarial Research Paper No. 84). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Haberman, S. (1998). Stochastic modelling of pension scheme dynamics (Actuarial Research Paper No. 106). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Haberman, S., Ballotta, L. and Wang, N. (2003). Modelling and valuation of guarantees in with-profit and unitised with-profit life insurance contracts (Actuarial Research Paper No. 146). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Haberman, S., Butt, Z. and Rickayzen, B. D. (2001). Multiple state models, simulation and insurer insolvency (Actuarial Research Paper No. 136). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Haberman, S., Khalaf-Allah, M.A.E. and Verrall, R. J. (2011). Entropy, longevity and the cost of annuities. Insurance: Mathematics and Economics, 48(2), pp. 197-204. doi: 10.1016/j.insmatheco.2010.10.005
Haberman, S. and Piscopo, G. (2008). Mortality risk and the valuation of annuities with guaranteed minimum death benefit options: application to the Italian population (Actuarial Research Paper No. 187). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Haberman, S. and Piscopo, G. (2010). Surplus analysis for variable annuities with a GMDB option (Actuarial Research Paper No. 193). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Haberman, S. and Renshaw, A. E. (2013). Modelling and projecting mortality improvement rates using a cohort perspective. Insurance: Mathematics and Economics, 53(1), pp. 150-168. doi: 10.1016/j.insmatheco.2013.04.006
Haberman, S. and Russolillo, M. (2005). Lee Carter mortality forecasting: application to the Italian population (Actuarial Research Paper No. 167). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Haberman, S. and Smith, D. (1997). Stochastic investment modelling and pension funding: a simulation based analysis (Actuarial Research Paper No. 102). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Haberman, S. and Zimbidis, A. (2002). An Investigation of the Pay-As-You-Go Financing Method Using a Contingency Fund and Optimal Control Techniques. North American Actuarial Journal, 6(2), pp. 60-75. doi: 10.1080/10920277.2002.10596044
Hager, S. B. ORCID: 0000-0002-1205-3623 (2018).
Varieties of Top Incomes?.
Socio-Economic Review,
doi: 10.1093/ser/mwy036
Haibu, M., Margraf, C., Miranda, M. D. M. and Nielsen, J. P. (2016). Cash flow generalisations of non-life insurance expert systems estimating outstanding liabilities. Expert Systems with Applications, 45, pp. 400-409. doi: 10.1016/j.eswa.2015.09.021
Haibu, M., Margraf, C., Miranda, M. D. M. and Nielsen, J. P. (2016). The Link Between Classical Reserving and Granular Reserving Through Double Chain Ladder and its Extensions. British Actuarial Journal, 21(1), pp. 97-116. doi: 10.1017/S1357321715000288
Hallouche, H. (2006). Modelling natural gas and LNG trade in the Mediterranean. (Unpublished Doctoral thesis, City University London)
Hanke, B., Keswani, A. ORCID: 0000-0001-9096-7677, Quigley, G., Stolin, D. and Zagonov, M. (2019).
The equal-weight tilt in managed portfolios.
Economics Letters, 182,
pp. 59-63.
doi: 10.1016/j.econlet.2019.06.003
Harland, Z. (2010). Forecasting financial markets using linear, nonlinear & model combination methods. (Unpublished Doctoral thesis, Cass Business School)
Harper, G. and Mayhew, L. (2012). Re-thinking households - using administrative data to count and classify households with some application (Actuarial Research Paper No. 198). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Harrison, D, Blake, D. and Key, T. (2013). Returning to the Core - Rediscovering a Role for Real Estate in Defined Contribution Pension Schemes. London, UK: Investment Property Forum, ISSN 1367-580X.
Harrison, D. and Blake, D. (2014). The Future of Retirement Income. London: Cass Business School.
Harrison, D., Blake, D. and Dowd, K. (2014). VfM: Assessing value for money in defined contribution default funds. London: Cass Business School, ISSN 1367-580X.
Haslip, G. G. and Kaishev, V. K. (2010). Pricing of reinsurance contracts in the presence of catastrophe bonds. ASTIN Bulletin, 40(1), pp. 307-329. doi: 10.2143/AST.40.1.2049231
Hatgioannides, J., Karanassou, M and Sala, H (2018). The Legacy of a Fractured Eurozone: The Greek Dra(ch)ma. Geoforum, 93, pp. 11-21. doi: 10.1016/j.geoforum.2018.04.019
Hatgioannides, J. and Karanassou, M. (2017). Warrant Economics, Call-Put Policy Options and the Great Recession. Review of Political Economy,
Hatzopoulos, P. and Haberman, S. (2011). A dynamic parameterization modeling for age-period-cohort mortality. Insurance: Mathematics and Economics, 49(2), pp. 155-174. doi: 10.1016/j.insmatheco.2011.02.007
Hatzopoulos, P. and Haberman, S. (2009). A parameterized approach to modeling and forecasting mortality. Insurance: Mathematics and Economics, 44(1), pp. 103-123. doi: 10.1016/j.insmatheco.2008.10.008
Hayley, S. (2015). Cognitive error in the measurement of investment returns. (Unpublished Doctoral thesis, City University London)
Hayley, S. (2015). Diversification returns, rebalancing returns and volatility pumping. .
Hayley, S. (2010). Dollar Cost Averaging - The Role of Cognitive Error. .
Hayley, S. (2014). Hindsight Effects in Dollar-Weighted Returns. Journal of Financial and Quantitative Analysis, 49(1), pp. 249-269. doi: 10.1017/S0022109014000155
Hayley, S. (2010). Value Averaging and the Automated Bias of Performance Measures. .
Hayley, S. and Marsh, I. W. (2016). What do retail FX traders learn?. Journal of International Money and Finance, 64, pp. 16-38. doi: 10.1016/j.jimonfin.2016.02.001
Hayley, S., Nitzsche, D. and Cuthbertson, K. (2016). Market and Style Timing: German Equity and Bond Funds. European Financial Management, 22(4), pp. 667-696. doi: 10.1111/eufm.12080
Hearn, B., Phylaktis, K. and Piesse, J. (2017). Expropriation risk by block holders, institutional quality and expected stock returns. Journal of Corporate Finance, 45, pp. 122-149. doi: 10.1016/j.jcorpfin.2017.04.016
Herrera, H. and Schroth, E. (2011). Advantageous Innovation in the Underwriting Market for Corporate Securities. Journal of Banking and Finance, 35(5), pp. 1097-1113. doi: 10.1016/j.jbankfin.2010.09.019
Hiabu, M., Miranda, M. D. M., Nielsen, J. P., Spreeuw, J., Tanggaard, C. and Villegas, A. (2015). Global Polynomial Kernel Hazard Estimation. Revista Colombiana de Estadística, 38(2), pp. 399-411. doi: 10.15446/rce.v38n2.51668
Hobson, D.E. and Neuberger, A. (2017). Model uncertainty and the pricing of American options. Finance and Stochastics, 21(1), pp. 285-329. doi: 10.1007/s00780-016-0314-2
Hobson, D.E. and Neuberger, A. (2012). Robust bounds for forward start options. Mathematical Finance, 22(1), pp. 31-56. doi: 10.1111/j.1467-9965.2010.00473.x
Homanen, M. (2019). Conscious Capital. (Unpublished Doctoral thesis, City, University of London)
Horváth, L. and Trapani, L. (2016). Statistical inference in a random coefficient panel model. Journal of Econometrics, 193(1), pp. 54-75. doi: 10.1016/j.jeconom.2016.01.006
Houllier, M. (2014). Integration of Liberalised European Electricity Markets. (Unpublished Doctoral thesis, City University London)
Hsu, S., Li, J. and Qin, Y. (2013). Shadow Banking and Systemic Risk in Europe and China (2013-02). London, UK: City Political Economy Research Centre (CITYPERC), Department of International Politics, City University London.
Hu, J. (2018). Theoretical and empirical study on optimal insurance and reinsurance design. (Unpublished Doctoral thesis, City, University of London)
Huang, C.-Y. (2017). An Econometric Analysis of the TOCOM Energy Futures: Volatility, Trading Activity & Market Microstructure. (Unpublished Doctoral thesis, City, University of London)
Huang, R., Pilbeam, K. ORCID: 0000-0002-5609-8620 and Pouliot, W (2019).
Do Actively Managed US Mutual Funds Produce Positive Alpha?.
Journal of Economic Behavior and Organization,
doi: 10.1016/j.jebo.2019.03.006
Huang, Tori Yu-wen (2012). Intuition and emotion: examining two non-rational approaches in complex decision making. (Unpublished Doctoral thesis, City University London)
Huber, P. P. (1995). A review of Wilkie's stochastic investment model (Actuarial Research Paper No. 70). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Huber, P. P. and Verrall, R. J. (1998). The need for theory in actuarial economic models (Actuarial Research Paper No. 109). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Hunt, A. (2015). Mortality modelling and longevity risk management. (Unpublished Doctoral thesis, City University London)
Hunt, A. and Blake, D. (2020). A Bayesian approach to modelling and projecting cohort effects. North American Actuarial Journal, doi: 10.1080/10920277.2019.1649157
Hunt, A. and Blake, D. (2014). A General Procedure for Constructing Mortality Models. North American Actuarial Journal, 18(1), pp. 116-138. doi: 10.1080/10920277.2013.852963
Hunt, A. and Blake, D. (2017). Modelling Mortality for Pension Schemes. ASTIN Bulletin, doi: 10.1017/asb.2016.40
Hunt, A. and Blake, D. (2015). Modelling longevity bonds: Analysing the Swiss Re Kortis bond. Insurance: Mathematics and Economics, 63, pp. 12-29. doi: 10.1016/j.insmatheco.2015.03.017
Hunt, A. and Blake, D. (2020). On the Structure and Classification of Mortality Models. North American Actuarial Journal, doi: 10.1080/10920277.2019.1649156
Ignatov, Z. G., Kaishev, V. K. and Krachunov, R. (2003). Optimal retention levels, given the joint survival of cedent and reinsurer (Actuarial Research Paper No. 147). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Inkmann, J., Blake, D. and Shi, Z. (2015). Managing Financially Distressed Pension Plans in the Interest of Beneficiaries. Journal of Risk and Insurance, doi: 10.1111/jori.12090
Iori, G. (2001). Scaling and multiscaling in financial markets. AIP Conference Proceedings, 553, pp. 297-302. doi: 10.1063/1.1358199
Iori, G. (2002). A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions. Journal of Economic Behavior & Organization, 49(2), pp. 269-285. doi: 10.1016/S0167-2681(01)00164-0
Iori, G., Kapar, B. and Olmo, J. (2015). Bank characteristics and the interbank money market: a distributional approach. Studies In Nonlinear Dynamics And Econometrics, 19(3), pp. 249-283. doi: 10.1515/snde-2014-0030
Iori, G., Kapar, B. and Olmo, J. (2012). The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation (12/03). London, UK: Department of Economics, City University London.
Iori, G., Politi, M., Germano, G. and Gabbi, G. (2015). Banks’ strategies and cost of money: Effects of the financial crisis on the European electronic overnight interbank market. The Journal of Financial Management, Markets and Institutions, 3(2), pp. 179-202. doi: 10.12831/82212
Iori, G. and Porter, J. (2012). Agent-Based Modelling for Financial Markets (12/08). London, UK: Department of Economics, City University London.
Ipatova, E. and Trapani, L. (2013). First-differenced inference for panel factor series. Economics Letters, 118(2), pp. 364-366. doi: 10.1016/j.econlet.2012.11.026
Ipatova, Ekaterina (2014). Essays on Factor Models, Application to the Energy Markets. (Unpublished Doctoral thesis, City University London)
Iwatsubo, K. and Marsh, I. W. (2014). Order flows, fundamentals and exchange rates. International Journal of Finance and Economics, 19(4), pp. 251-266. doi: 10.1002/ijfe.1490
Iyer, S. (2003). Application of stochastic methods in the valuation of social security pension schemes (Actuarial Research Paper No. 151). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Jackson, T., Shields, M. D., Heaney, L. G., Kendall, M., Pearce, C. J. ORCID: 0000-0002-7393-191X, Hui, C. Y. and Pinnock, H. (2017).
The impact of financial incentives on the implementation of asthma or diabetes self-management: A systematic review.
PLOS ONE, 12(11),
e0187478.
doi: 10.1371/journal.pone.0187478
Jafri, J. (2019). Bifurcated banking: the political economy of inclusive finance in Pakistan. (Unpublished Doctoral thesis, City, University of London)
Jafri, J. ORCID: 0000-0002-4457-5098 (2019).
Shadow financial citizenship and the contradictions of financial inclusion in Pakistan.
In: Grandi, S., Sellar, C. and Jafri, J. ORCID: 0000-0002-4457-5098 (Eds.),
Geofinance between Political and Financial Geographies: A Focus on the Semi-Periphery of the Global Financial System.
(pp. 213-242). Cheltenham, Gloucester: Edward Elgar Publishing.
ISBN 1789903858
Jafri, J. ORCID: 0000-0002-4457-5098 (2019).
When Billions Meet Trillions: Impact Investing and Shadow Banking in Pakistan.
Review of International Political Economy, 26(3),
pp. 520-544.
doi: 10.1080/09692290.2019.1608842
Jain, N. (2016). Financing and Mode of Entry in Foreign Markets (15/16). London, UK: Department of Economics, City University London.
Jain, N. and Imai, S. (2015). Dynamic Costly State Verification with Repeated Loans: a two-period analysis. London, UK: Department of Economics, City University London.
Jam, R. (1995). Small company financial reporting (SCFR): an update based on recent developments and selected group perceptions. (Unpublished Doctoral thesis, City University London)
Jarkasy, Samer (2005). Valuation bias in the stock market. (Unpublished Doctoral thesis, City University, London)
Jarzabkowski, P., Bednarek, G., Burke, G. and Cabantous, L. (2012). Beyond Borders: Charting the Changing Global Reinsurance Landscape. Cass Business School, City University London.
Jarzabkowski, P. and Bednarek, R. (2018). Toward a Social Practice Theory of Relational Competing. Strategic Management Journal, 39(3), pp. 794-829. doi: 10.1002/smj.2724
Jarzabkowski, P., Bednarek, R. and Cabantous, L. (2014). Changing competitive dynamics in the reinsurance industry: implications of changes in buyer behavior for reinsurance executives. The Journal of Financial Perspectives, 2(1), pp. 27-38.
Jeffers, E. and Baicu, C. (2013). The Interconnections Between the Shadow Banking System and the Regular Banking System. Evidence from the Euro Area (2013-07). London, UK: City Political Economy Research Centre (CITYPERC), Department of International Politics, City University London.
Jho, J.H. (2008). Heavy tails and dependence with applications in insurance. (Unpublished Doctoral thesis, City, University of London)
Jia, H. (2006). Market Conditions and the Functioning of Metal Futures Markets. (Unpublished Doctoral thesis, City University London)
Jin, XiaoYe (2013). Essays on the empirical analysis of volatility transmission in petroleum markets. (Unpublished Doctoral thesis, City University London)
Jokipii, T.K. (2009). Bank Capital Management. (Unpublished Doctoral thesis, City University London)
Jona, Jonathan (2013). Essays on the effects of home legal institutions and the Sarbanes-Oxley Act on foreign IPOs in the US. (Unpublished Doctoral thesis, City University London)
Jones, A. (2009). Proximity and Power within Investment Relationships: the case of the UK Private Equity industry. Geoforum, 40(5), pp. 809-819. doi: 10.1016/j.geoforum.2009.09.002
Jung, J. H. ORCID: 0000-0002-1993-9419, Kumar, A., Lim, S. S. and Yoo, C-Y. (2019).
An Analyst by Any Other Surname: Surname Favorability and Market Reaction to Analyst Forecasts.
Journal of Accounting and Economics,
doi: 10.1016/j.jacceco.2019.02.002
Jung, J. H., Lim, S.S., Pae, J. and Yoo, C.Y. (2017). Do Analysts Who Understand Accounting Conservatism Exhibit Better Forecasting Performance?. Journal of Business Finance and Accounting, 44(7-8), pp. 953-985. doi: 10.1111/jbfa.12254
Kaishev, V. K. (2013). Lévy processes induced by Dirichlet (B-) splines: modelling multivariate asset price dynamics. Mathematical Finance, 23(2), pp. 217-247. doi: 10.1111/j.1467-9965.2011.00504.x
Kaishev, V. K. (2010). Stochastic processes induced by Dirichlet (B-) splines: modelling multivariate asset price dynamics (Actuarial Research Paper No. 195). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Kaishev, V. K. and Dimitrova, D. S. (2005). Excess of loss reinsurance under joint survival optimality (Actuarial Research Paper No. 165). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Kaishev, V. K. and Dimitrova, D. S. (2006). Excess of loss reinsurance under joint survival optimality. Insurance: Mathematics and Economics, 39(3), pp. 376-389. doi: 10.1016/j.insmatheco.2006.05.005
Kaishev, V. K., Dimitrova, D. S. and 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
Kaishev, V. K., Dimitrova, D. S., Haberman, S. and Verrall, R. J. (2004). Automatic, computer aided geometric design of free-knot, regression splines (Statistical Research Paper No. 24). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Kaishev, V. K., Dimitrova, D. S., Haberman, S. and Verrall, R. J. (2006). Geometrically Designed, Variable Knot Regression Splines: Asymptotics and Inference (Statistical Research Paper No. 28). Cass Business School, City University, London.
Kaishev, V. K., Dimitrova, D. S., Haberman, S. and Verrall, R. J. (2006). Geometrically designed, variable knot regression splines: variation diminish optimality of knots (Statistical Research Paper No. 29). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Kaishev, V. K., Dimitrova, D. S., Haberman, S. and Verrall, R. J. (2006). Geometrically designed, variable know regression splines: asymptotics and inference (Statistical Research Paper No. 28). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Kaishev, V. K., Dimitrova, D. S. and Ignatov, Z. G. (2008). Operational risk and insurance: a ruin probabilistic reserving approach. JOURNAL OF OPERATIONAL RISK, 3(3),
Kaishev, V. K., Haberman, S. and Dimitrova, D. S. (2005). Modelling the joint distribution of competing risks survival times using copula functions (Actuarial Research Paper No. 164). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Kaishev, V. K., Nielsen, J. P. and Thuring, F. (2013). Optimal customer customer selection for cross-selling of financial services products. Expert Systems with Applications, 40(5), pp. 1748-1757. doi: 10.1016/j.eswa.2012.09.026
Kalotychou, E. (2004). Modeling and forecasting international credit risk : the case of sovereign loans. (Unpublished Doctoral thesis, City University London)
Kalotychou, E., Staikouras, S. and Zhao, G. (2014). The role of correlation dynamics in sector allocation. Journal of Banking & Finance, 48, pp. 1-12. doi: 10.1016/j.jbankfin.2014.06.025
Kam, A. (2007). Corporate distress in an emerging market : the case of China. (Unpublished Doctoral thesis, City University London)
Kamara, J., Jofre-Bonet, M. ORCID: 0000-0002-2055-2166 and Mesnard, A. ORCID: 0000-0001-6899-9138 (2018).
A Discrete Choice Experiment to Elicit the Willingness to Pay for Health Insurance by the Informal Sector Workers in Sierra Leone.
International Journal of Health Economics and Policy, 3(1),
Kao, C., Trapani, L. and Urga, G. (2012). Asymptotics for Panel Models with Common Shocks. Econometric Reviews, 31(4), pp. 390-439. doi: 10.1080/07474938.2011.607991
Kapar, B., Iori, G. ORCID: 0000-0001-9443-9353, Gabbi, G. and Germano, G. (2020).
Market microstructure, banks’ behaviour and interbank spreads: evidence after the crisis.
Journal of Economic Interaction and Coordination, 15(1),
pp. 283-331.
doi: 10.1007/s11403-019-00248-3
Karimalis, E. and Nomikos, N. (2017). Measuring Systemic Risk in the European Banking Sector: A copula CoVar approach. European Journal of Finance, doi: 10.1080/1351847X.2017.1366350
Karimalis, Emmanouil (2015). Essays in Multivariate Modelling in Finance. (Unpublished Doctoral thesis, City University London)
Karlsson, M., Klohn, F. and Rickayzen, B. D. (2012). Are the dimensions of private information more multiple than expected? Information asymmetries in the market of supplementary private health insurance in England (Actuarial Research Paper No. 197). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Karlsson, M., Mayhew, L. and Rickayzen, B. D. (2007). In sickness and in Health? Dynamics of health and cohabitation in the United Kingdom (Actuarial Research Paper No. 178). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Karlsson, M., Mayhew, L. and Rickayzen, B. D. (2006). Investigating the market potential for customised long term care insurance products (Actuarial Research Paper No. 174). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Karouzakis, N., Hatgioannides, J. and Andriosopoulos, C. (2017). Convexity Adjustment for Constant maturity Swaps in a Multi-Curve Framework. Annals of Operations Research, doi: 10.1007/s10479-017-2430-6
Kashefi Pour, Eilnaz (2012). Leverage and Debt Maturity: The Implication of Size and Market Quotation. (Unpublished Doctoral thesis, City University London)
Kashefi-Pour, E. and Lasfer, M. (2013). Why Do Companies Delist Voluntarily from the Stock Market?. Journal of Banking and Finance, 37(12), pp. 4850-4860. doi: 10.1016/j.jbankfin.2013.08.022
Kassimatis, Y. (1994). An application of recently developed time series analysis to black market real exchange rates in the Pacific Basin countries. (Unpublished Doctoral thesis, City University London)
Kastl, E (2014). The Competitive Implications of Intra-industry Diversification, the Firm-Investor Network, and Resource Acquisition Across the Firm Boundary: Evidence From The Hedge Fund Industry. (Unpublished Doctoral thesis, City, University of London)
Keay, A. R. and Iqbal, T. ORCID: 0000-0003-0263-4675 (2019).
The Impact of Enlightened Shareholder Value.
The Journal of Business Law, 2019(4),
pp. 304-327.
Keswani, A. and Stolin, D. (2012). Investor reaction to Mutual fund performance: Evidence from UK distribution channels. Journal of Financial Research, 35(3), pp. 425-450. doi: 10.1111/j.1475-6803.2012.01323.x
Keswani, A., Stolin, D. and Tran, A. (2016). Frenemies: how do financial firms vote on their own kind?. Management Science, 63(3), pp. 587-900. doi: 10.1287/mnsc.2015.2314
Keswani, A. ORCID: 0000-0001-9096-7677, Tran, A. ORCID: 0000-0001-7090-8063 and Volpin, P. ORCID: 0000-0002-9287-0972 (2020).
Institutional Debt Holdings and Governance.
Journal of Financial and Quantitative Analysis,
Khalaf, L. and Urga, G. (2014). Identification robust inference in cointegrating regressions. Journal of Econometrics, 182(2), pp. 385-396. doi: 10.1016/j.jeconom.2014.06.001
Khorasanee, M. Z. (1996). Annuity choices for pensioners (Actuarial Research Paper No. 90). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Khorasanee, M. Z. (1995). Simulation of investment returns for a money purchase fund (Actuarial Research Paper No. 74). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Khorasanee, M. Z. (2001). A cash-flow approach to pension funding (Actuarial Research Paper No. 137). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Kim, K-M., Kim, G. and Tsolacos, S. (2018). How does liquidity in the financial market affect the real estate market yields?. Journal of Property Investment & Finance, doi: 10.1108/JPIF-03-2018-0020
Koh, S.S. (1989). The Korean stock market: structure, behaviour and test of market efficiency. (Unpublished Doctoral thesis, City University London)
Konstantinidi, T., Kraft, A. and Pope, P. (2016). Asymmetric persistence and the market pricing of accruals and cash flows. Abacus, 52(1), pp. 140-165. doi: 10.1111/abac.12072
Konstantinidi, T. and Pope, P. (2016). Forecasting risk in earnings. Contemporary Accounting Research, 33(2), pp. 487-525. doi: 10.1111/1911-3846.12158
Kos, H. and Todorovic, N. (2008). S&P Global Sector survivals: Momentum effects in sector indices underlying iShares. Quarterly Review of Economics and Finance, 48(3), pp. 520-540. doi: 10.1016/j.qref.2007.12.001
Koulafetis, P. (2000). Asset pricing in UK. (Unpublished Doctoral thesis, City University London)
Koutrakos, P. ORCID: 0000-0002-2346-4057 (2019).
The autonomy of EU law and international investment arbitration.
Nordic Journal of International Law, 88(1),
pp. 41-64.
doi: 10.1163/15718107-088010003
Kovras, I. ORCID: 0000-0003-2787-2389 and Pagliari, S. ORCID: 0000-0003-0612-5296 (2020).
Crisis and Punishment? Explaining Politicians’ Appetite for Retribution in Post-Crisis Europe.
Comparative Politics,
Kozhan, R., Neuberger, A. and Schneider, P. (2013). The Skew Risk Premium in the Equity Index Market. The Review of Financial Studies, 26(9), pp. 2174-2203. doi: 10.1093/rfs/hht039
Kraft, A., Vashishtha, R. and Venkatachalam, M. (2018). Frequent Financial Reporting and Managerial Myopia. Accounting Review, 93(2), pp. 279-275. doi: 10.2308/accr-51838
Krishnan, Ormala (2006). Value versus growth in the Asian equity markets. (Unpublished Doctoral thesis, City University London)
Kroencke, T.M., Schmeling, M. and Schrimpf, A. (2015). Global Asset Allocation Shifts (BIS Working Papers No 497). Bank for International Settlements.
Krummaker, S. ORCID: 0000-0003-2471-8175 (2019).
Firm's Demand for Insurance: An Explorative Approach.
Risk Management and Insurance Review,
doi: 10.1111/rmir.12128
Krummaker, S. ORCID: 0000-0003-2471-8175 and Thomann, C. (2018).
Aspekte der Versicherung von Unternehmen.
In: Schulenburg, J. (Ed.),
Festschrift for Prof. dr. J.-Matthias Graf von der Schulenburg.
(pp. 95-127). Karlsruhe: Verlag Versicherungswissenschaft.
ISBN 978-3-96329-039-8
Kyriacou, M. (2009). Foreign Exchange Market Microstructure and Forecasting. (Unpublished Doctoral thesis, City University London)
Kyriakou, I. ORCID: 0000-0001-9592-596X, Mousavi, P., Nielsen, J. P. and Scholz, M. (2019).
Forecasting benchmarks of long-term stock returns via machine learning.
Annals of Operations Research,
doi: 10.1007/s10479-019-03338-4
Kyriakou, I. ORCID: 0000-0001-9592-596X, Mousavi, P., Nielsen, J. P. ORCID: 0000-0002-2798-0817 and Scholz, M. (2020).
Longer-Term Forecasting of Excess Stock Returns—The Five-Year Case.
Mathematics, 8(6),
927..
doi: 10.3390/math8060927
Kyriakou, I., Nomikos, N., Pouliasis, P. K. and Papapostolou, N. C. (2016). Affine-Structure Models and the Pricing of Energy Commodity Derivatives. European Financial Management, 22(5), pp. 853-881. doi: 10.1111/eufm.12071
Kyriakou, I. ORCID: 0000-0001-9592-596X, Pantelous, A. A., Sermpinis, G. and Zenios, S. A. (2019).
Preface: application of operations research to financial markets.
Annals of Operations Research,
doi: 10.1007/s10479-019-03400-1
Kyriakou, I., Pouliasis, P. K. and Papapostolou, N. C. (2016). Jumps and stochastic volatility in crude oil prices and advances in average option pricing. Quantitative Finance, doi: 10.1080/14697688.2016.1211798
Kyriakou, I., Pouliasis, P. K., Papapostolou, N. C. and Andriosopoulos, K. (2017). Freight Derivatives Pricing for Decoupled Mean-Reverting Diffusion and Jumps. Transportation Research Part E: Logistics and Transportation Review, 108, pp. 80-96. doi: 10.1016/j.tre.2017.09.002
Kyriakou, I., Pouliasis, P. K., Papapostolou, N. C. and Nomikos, N. (2017). Income Uncertainty and the Decision to Invest in Bulk Shipping. European Financial Management, doi: 10.1111/eufm.12132
Laliotis, I. ORCID: 0000-0002-8206-044X, Mujaheed, S., Stavropoulou, C. ORCID: 0000-0003-4307-1848 and Dimitrios, K. (2019).
Retirement and Household Expenditure in Turbulent Times (GreeSE Paper No. 137).
London: LSE GreeSE paper series.
Laliotis, I. ORCID: 0000-0002-8206-044X and Stavropoulou, C. ORCID: 0000-0003-4307-1848 (2018).
Crises and mortality: Does the level of unemployment matter?.
Social Science and Medicine, 214,
pp. 99-109.
doi: 10.1016/j.socscimed.2018.08.016
Lam, K. H. (2004). Essays on the Modelling of S&P 500 Volatility. (Unpublished Doctoral thesis, City University London)
Lando, D., Medhat, M., Nielsen, M. S. and Nielsen, S. F. (2013). Additive Intensity Regression Models in Corporate Default Analysis. Journal of Financial Econometrics, 11(3), pp. 443-485. doi: 10.1093/jjfinec/nbs018
Larrain, B., Sertsios, G. and Urzúa, F. ORCID: 0000-0003-4681-7684 (2018).
The Effects of Losing a Business Group Affiliation.
The Review of Financial Studies,
doi: 10.1093/rfs/hhy120
Larrain, B., Tapia, M. and Urzúa, F. ORCID: 0000-0003-4681-7684 (2017).
Investor protection and corporate control.
Journal of Corporate Finance, 47,
pp. 174-190.
doi: 10.1016/j.jcorpfin.2017.09.002
Lasfer, M. ORCID: 0000-0003-2338-672X, Golubov, A. and Vitkova, V. (2020).
Active catering to dividend clienteles: Evidence from takeovers.
Journal of Financial Economics,
doi: 10.1016/j.jfineco.2020.04.002
Lasfer, M. and Hoque, H. (2015). Directors' Dealing and Post-IPO Performance. European Financial Management, 21(1), pp. 178-204. doi: 10.1111/j.1468-036X.2013.12013.x
Lasfer, M. ORCID: 0000-0003-2338-672X and Kashefi Pour, E. (2018).
Taxes, Governance, and Debt Maturity Structure: International Evidence.
Journal of International Financial Markets, Institutions and Money,
doi: 10.1016/j.intfin.2018.09.011
Lausberg, C., Lee, S. ORCID: 0000-0003-1606-0625, Müller, M., Oertel, C. and Schultheiß, T. (2019).
Risk measures for direct real estate investments with non-normal or unknown return distributions.
Zeitschrift für Immobilienökonomie,
doi: 10.1365/s41056-019-00028-x
Laušev, J., Stojanovic, A. and Todorovic, N. (2011). Determinants of debt rescheduling in Eastern European countries. Economic Annals, 56(188), pp. 7-31. doi: 10.2298/EKA1188007L
Lazarova, S., Trapani, L. and Urga, G. (2007). Common stochastic trends and aggregation in heterogeneous panels. Econometric Theory, 23(1), pp. 89-105. doi: 10.1017/S0266466607070041
Leccadito, A, Tunaru, RS and Urga, G. (2015). Trading strategies with implied forward credit default swap spreads. Journal of Banking &Finance, 58, pp. 361-375. doi: 10.1016/j.jbankfin.2015.04.018
Leccadito, A., Boffelli, S. and Urga, G. (2014). Evaluating the Accuracy of Value-at-Risk Forecasts: New Multilevel Tests. International Journal of Forecasting, 30(2), pp. 206-216. doi: 10.1016/j.ijforecast.2013.07.014
Leccadito, A., Rachedi, O. and Urga, G. (2015). True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison. Econometric Reviews, 34(4), pp. 452-479. doi: 10.1080/07474938.2013.808462
Lee, S. (2014). The Contribution Risk of REITs in the Blended Public and Private Real Estate Portfolio. Real Estate Finance, 30(5), pp. 50-55.
Lee, S. (2017). Convergence in the UK Direct Real Estate Market. Journal of Property Investment & Finance, 35(4), pp. 382-396. doi: 10.1108/JPIF-06-2016-0043
Lee, S. (2016). Distance and diversification. Journal of European Real Estate Research, 9(2), pp. 183-192. doi: 10.1108/JERER-02-2016-0010
Lee, S. (2016). REITs and the Taper Tantrum. Journal of Property Investment and Finance, 34(5), pp. 457-464. doi: 10.1108/JPIF-03-2016-0020
Lee, S. and Jadevicius, A. (2017). UK REITs don’t like Mondays. Journal of Property Investment & Finance, 35(1), pp. 58-74. doi: 10.1108/JPIF-03-2016-0021
Lee, S. and Morri, G. (2015). Real estate fund active management. Journal of Property Investment and Finance, 33(6), pp. 494-516. doi: 10.1108/JPIF-06-2014-0043
Lee, Y. K., Mammen, E., Nielsen, J. P. ORCID: 0000-0002-2798-0817 and Park, B. U. (2019).
Generalised additive dependency inflated models including aggregated covariates.
Electronic Journal of Statistics, 13(1),
pp. 67-93.
doi: 10.1214/18-EJS1515
Li, J., Li, J., Zhu, X., Yao, Y. and Casu, B. ORCID: 0000-0003-3586-328X (2020).
Risk spillovers between FinTech and traditional financial institutions: Evidence from the U.S..
International Review of Financial Analysis,
Li, X. (2008). The impact of time-varying idiosyncratic risk and trading costs on momentum and value strategies. (Unpublished Doctoral thesis, City University London)
Lim, K. G., Nomikos, N. ORCID: 0000-0003-1621-2991 and Yap, N. (2019).
Understanding the fundamentals of freight markets volatility.
Transportation Research Part E: Logistics and Transportation Review, 130,
pp. 1-15.
doi: 10.1016/j.tre.2019.08.003
Lin, S.X. (2002). Information transmission in energy futures markets. (Unpublished Doctoral thesis, City University London)
Lins, K. V., Volpin, P. and Wagner, H. F. (2013). Does family control matter? International evidence from the 2008-2009 financial crisis. Review of Financial Studies, 26(10), pp. 2583-2619. doi: 10.1093/rfs/hht044
Litsios, I. and Pilbeam, K. ORCID: 0000-0002-5609-8620 (2018).
The Role of National Debts in the Determination of the Yen-Dollar Exchange Rate.
Economic Inquiry,
doi: 10.1111/ecin.12735
Liu, H. and Verrall, R. J. (2009). A Bootstrap Estimate of the Predictive Distribution of Outstanding Claims for the Schnieper Model. ASTIN Bulletin, 39(2), pp. 677-689. doi: 10.2143/AST.39.2.2044653
Liu, H. and Verrall, R. J. (2010). Bootstrap Estimation of the Predictive Distributions of Reserves Using Paid and Incurred Claims. Variance, 4, pp. 121-135.
Liu, W. (2012). Essays on economic value of intraday covariation estimators for risk prediction. (Unpublished Doctoral thesis, City University London)
Liu, Wei (2012). Essays on the economic value of intraday covariation estimators for risk prediction. (Unpublished Doctoral thesis, City University London)
Liu, Y. (2010). Modelling portfolios of credit securities. (Unpublished Doctoral thesis, City University London)
Liu, Y., Huang, Z. ORCID: 0000-0003-2280-3149, Jiang, L. and Williamson, M. (2019).
Are Investors Warned by Disclosure of Conflicts of Interest? The Moderating Effect of Investment Horizon.
The Accounting Review,
doi: 10.2308/tar-2017-0284
Long, Robert James (1997). A structural analysis of Lloyd's of London. (Unpublished Doctoral thesis, City, University of London)
Loregian, A., Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586 and Perez, M. F. (2018).
Estimation of Multivariate Asset Models with Jumps.
Journal of Financial and Quantitative Analysis,
doi: 10.1017/S0022109018001321
Lu, C. (2009). Essays on Cross-Sectional Asset Pricing. (Unpublished Doctoral thesis, Cass Business School)
Lu, Y. (2014). Essays on the Equity Pricing and Capital Structure of Financial Intermediaries. (Unpublished Doctoral thesis, City, University of London)
Luciano, E., Spreeuw, J. and Vigna, E. (2012). Evolution of coupled lives' dependency across generations and pricing impact (Actuarial Research Paper No. 199). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Luciano, E., Spreeuw, J. and Vigna, E. (2006). Modelling stochastic bivariate mortality (Actuarial Research Paper No. 170). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Ma, Tao (2012). Corporate dividend decisions. (Unpublished Doctoral thesis, City University London)
Mahate, A.A. (1999). Acquirer type, agency monitoring and post-acquisition performance: an empirical investigation. (Unpublished Doctoral thesis, City University London)
Maini, Vincenzo (2012). Price and liquidity discovery, jumps and co-jumps using high frequency data from the foreign exchange markets. (Unpublished Doctoral thesis, City University London)
Majewski, A. A., Bormetti, G. and Corsi, F. (2013). Smile from the Past: A general option pricing framework with multiple volatility and leverage components (13/11). London, UK: Department of Economics, City University London.
Makinen, T., Sarno, L. ORCID: 0000-0003-1279-9748 and Zinna, G. (2019).
Risky Bank Guarantees.
Journal of Financial Economics,
doi: 10.1016/j.jfineco.2019.10.005
Mammen, E., Nielsen, J. P. ORCID: 0000-0002-2798-0817, Scholz, M. and Sperlich, S. (2019).
Conditional variance forecasts for long-term stock returns.
Risks, 7(4),
113..
doi: 10.3390/risks7040113
Manzoni, K. (2002). Modelling, forecasting and riding credit risk in the Sterling Eurobond market. (Unpublished Doctoral thesis, City University London)
Marcato, G. (2005). Real estate performance measurement in markets with thin information. (Unpublished Doctoral thesis, City University London)
Marchese, M., Kyriakou, I. ORCID: 0000-0001-9592-596X, Tamvakis, M. ORCID: 0000-0002-5056-0159 and Di Iorio, F. (2020).
Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models.
Energy Economics,
104757..
doi: 10.1016/j.eneco.2020.104757
Marena, M., Roncoroni, A. and Fusai, G. (2013). Asian options with jumps: A closed form formula. Argo Newsletter: New Frontiers in Practical Risk Management,, 1(1), pp. 47-56.
Margraf, C. (2017). On the use of micro models for claims reversing based on aggregate data. (Unpublished Doctoral thesis, City, University of London)
Mariano, B. (2012). Market power and reputational concerns in the ratings industry. Journal of Banking & Finance, 36(6), pp. 1616-1626. doi: 10.1016/j.jbankfin.2012.01.012
Mariano, B. and Tribó Giné, J.A. (2015). Creditor Intervention, Investment, and Growth Opportunities. Journal of Financial Services Research, 47(2), pp. 203-228. doi: 10.1007/s10693-013-0188-9
Markovska, Anna (2004). Economic crime and its impact on the development of financial markets: the case study of Ukraine.. (Unpublished Doctoral thesis, City University, London)
Marsh, I. W. (2011). Order flow and central bank intervention: An empirical analysis of recent Bank of Japan actions in the foreign exchange market. Journal of International Money and Finance, 30(2), pp. 377-392. doi: 10.1016/j.jimonfin.2010.10.001
Marsh, I. W. (2002). What central banks can learn about default risk from credit markets. In: Market functioning and central bank policy (BIS Papers No 12). . Basel, Switzerland: Bank for International Settlements. ISBN 92-9131-636-9
Marsh, I. W. and Miao, T. (2012). High-frequency information content in end-user foreign exchange order flows. The European Journal of Finance, 18(9), pp. 865-884. doi: 10.1080/1351847X.2011.601652
Marsh, I. W. and Payne, R. (2012). Banning short sales and market quality: The UK's experience. Journal of Banking and Finance, 36(7), pp. 1975-1986. doi: 10.1016/j.jbankfin.2012.03.005
Martinez-Miranda, M. D., Nielsen, B., Nielsen, J. P. and Verrall, R. J. (2011). Cash flow simulation for a model of outstanding liabilities based on claim amounts and claim numbers. ASTIN Bulletin, 41(1), pp. 107-129.
Martinez-Miranda, M. D., Nielsen, J. P., Sperlich, S. and Verrall, R. J. (2013). Continuous Chain Ladder: Reformulating and generalizing a classical insurance problem. Expert Systems with Applications, 40(14), pp. 5588-5603. doi: 10.1016/j.eswa.2013.04.006
Martinez-Miranda, M. D., Nielsen, J. P. and Verrall, R. J. (2012). Double Chain Ladder. ASTIN Bulletin, 42(1), pp. 59-76.
Martinez-Miranda, M. D., Nielsen, J. P. and Verrall, R. J. (2013). Double Chain Ladder and Bornhuetter-Ferguson. North American Actuarial Journal, 17(2), pp. 101-113. doi: 10.1080/10920277.2013.793158
Matanova, N. (2015). Private Equity and Venture Capital Investors' Involvement in Firms Post Initial Public Offering. (Unpublished Doctoral thesis, City University London)
Mateus, C., Todorovic, N. and Chinthalapati, R. (2015). Alphas in Disguise: A New Approach to Uncovering Them.
Mateus, I., Mateus, C. and Todorovic, N. ORCID: 0000-0003-4875-623X (2019).
Use of Active Peer Benchmarks in assessing UK mutual fund performance and performance persistence.
The European Journal of Finance,
doi: 10.1080/1351847X.2019.1581639
Mateus, I. B., Mateus, C. and Todorovic, N. ORCID: 0000-0003-4875-623X (2019).
Benchmark-adjusted performance of US equity mutual funds and the issue of prospectus benchmarks.
Journal of Asset Management,
doi: 10.1057/s41260-018-0101-z
Mateus, I. B., Mateus, C. and Todorovic, N. ORCID: 0000-0003-4875-623X (2018).
Review of new trends in the literature on factor models and mutual fund performance.
International Review of Financial Analysis,
doi: 10.1016/j.irfa.2018.12.012
Mateus, I. B., Mateus, C. and Todorovic, N. (2016). UK equity mutual fund alphas make a comeback. International Review of Financial Analysis, 44, pp. 98-110. doi: 10.1016/j.irfa.2016.01.004
Maxim, Z., Garrett, Q., Bernd, H. and Keswani, A. ORCID: 0000-0001-9096-7677 (2018).
Survivorship bias and comparability of UK open-ended fund databases.
Economics Letters, 172,
pp. 110-114.
doi: 10.1016/j.econlet.2018.08.027
Mayhew, L. (2001). Japan's Longevity Revolution and the Implications for Health Care Finance and Long-term Care (Interim Report) (IR-01-010/February). International Institute for Applied Systems Analysis (IIASA).
Mayhew, L. ORCID: 0000-0002-0380-1757 (2019).
The Last-Time Buyer: housing and finance for an ageing society (130).
London, UK: CSFI.
Mayhew, L. (2009). The market potential for privately financed long term care products in the UK (Actuarial Research Paper No. 188). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Mayhew, L. (2002). The neighbourhood health economy (Actuarial Research Paper No. 144). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Mayhew, L., Karlsson, M. and Rickayzen, B. D. (2010). The Role of Private Finance in Paying for Long Term Care. Economic Journal, 120(548), F478-F504. doi: 10.1111/j.1468-0297.2010.02388.x
Mayhew, L. ORCID: 0000-0002-0380-1757 and Smith, D. ORCID: 0000-0001-6642-8884 (2020).
The 100-year family Longer lives, fewer children.
London: International Longevity Centre UK.
Mayhew, L. and Smith, D. (2012). Gender convergence in human survival and the postponement of death (Actuarial Research Paper No. 200). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Mayhew, L. and Smith, D. (2014). Personal Care Savings Bonds: A New Way of Saving Towards Social Care in Later Life. The Geneva Papers On Risk And Insurance: Issues And Practice, 39(4), pp. 668-692. doi: 10.1057/gpp.2014.30
Mayhew, L. and Smith, D. (2014). The UK Equity Bank - Towards income security in old age. The International Longevity Centre - UK (ILC-UK).
Mayhew, L. and Smith, D. (2006). Using queuing theory to analyse completion times in accident and emergency departments in the light of the government 4-hour target (Actuarial Research Paper No. 177). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Mayhew, L. and Smith, D. (2009). Whither human survival and longevity or the shape of things to come (Actuarial Research Paper No. 189). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Mayhew, L., Smith, D. and O’Leary, D. (2017). Paying for Care Costs in Later Life Using the Value in People’s Homes. The Geneva Papers on Risk and Insurance - Issues and Practice, 42(1), pp. 129-151. doi: 10.1057/gpp.2015.34
Mayhew, L., Smith, D. and Wright, I. D. (2015). Pension pots and how to survive them. London: International Longevity Centre (ILC-UK).
Mazzola, P., Ravasi, D. and Gabbioneta, C. (2006). How to Build Reputation in Financial Markets. Long Range Planning, 39(4), pp. 385-407. doi: 10.1016/j.lrp.2006.09.001
Megaloudi, C. and Haberman, S. (1998). Contribution and solvency risk in a defined benefit pension scheme (Actuarial Research Paper No. 114). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Melville, Robert (2002). Re-engineering internal audit: strategy and control, control models and control self assessment. (Unpublished Doctoral thesis, City University)
Mena, S. (2016). Book Review: Samuel F. Mansell Capitalism, Corporations and the Social Contract: A Critique of Stakeholder Theory. Organization Studies, 37(5), pp. 735-738. doi: 10.1177/0170840616631716
Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2012). Carry trades and global foreign exchange volatility. The Journal Of Finance, 67(2), pp. 681-718. doi: 10.1111/j.1540-6261.2012.01728.x
Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2016). Currency Value. The Review of Financial Studies, 30(2), pp. 416-441. doi: 10.1093/rfs/hhw067
Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2012). Currency momentum strategies. Journal of Financial Economics, 106(3), pp. 660-684. doi: 10.1016/j.jfineco.2012.06.009
Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2016). Information flows in foreign exchange markets: Dissecting customer currency trades. Journal of Finance, 71(2), pp. 601-634. doi: 10.1111/jofi.12378
Mesomeris, S. (2004). Three essays on stock returns predictability and trading strategies to exploit it. (Unpublished Doctoral thesis, City University London)
Michailides, C. (2000). Timing of initial public offerings, seasoned equity offerings and takeover bids financed with equity: UK evidence. (Unpublished Doctoral thesis, City University London)
Mikkelsen, J. G., Hillebrand, E. and Urga, G. (2019). Consistent Estimation of Time-Varying Loadings in High-Dimensional Factor Models. Journal of Econometrics, 208(2), pp. 535-562. doi: 10.1016/j.jeconom.2018.09.020
Miles, D. and Černý, A. (2006). Risk, return and portfolio allocation under alternative pension systems with incomplete and imperfect financial markets. Economic Journal, 116(511), pp. 529-557. doi: 10.1111/j.1468-0297.2006.01091.x
Millossovich, P., Villegas, A.M. and Kaishev, V. K. (2018). StMoMo: An R Package for Stochastic Mortality Modelling. Journal of Statistical Software, 84(3), doi: 10.18637/jss.v084.i03
Mitchell, John A. (1988). The derivation of a computer system to aid the internal audit planning process in large internal audit departments. (Unpublished Doctoral thesis, City University)
Moeller, S. and Appadu, N. (2016). M&A Attractiveness Index 2015. London: Mergers & Acquisitions Research Centre (MARC), Cass Business School, City, University of London.
Moeller, S. and Appadu, N. (2017). M&A Attractiveness Index 2016. London, UK: Mergers & Acquisitions Research Centre (MARC), Cass Business School, City, University of London.
Moeller, S. ORCID: 0000-0001-5136-0004 and Appadu, N. (2017).
M&A Attractiveness Index 2017.
MARC Working Paper Series 2017.
Moeller, S., Appadu, N. and Kallum, M. (2016). Deal closure is the starting point not the end point. London, UK: Mergers & Acquisitions Research Centre (MARC), Cass Business School, City, University of London.
Moeller, S., Appadu, N. and Sudarsanam, S. (2017). Pensions: Now something more to worry about (for dealmakers). London: Mergers & Acquisitions Research Centre (MARC), Cass Business School, City, University of London.
Moeller, S., King, D. and Ahmed El-Kady, A.H.A. (2016). Let's Keep this Private: The Growing Weight of Evidence Behind Improving M&A Returns. London, UK: Mergers & Acquisitions Research Centre (MARC), Cass Business School, City, University of London.
Moeller, S. and Lawson, J.T. (2016). For the Buck or for the Future. London: Mergers & Acquisitions Research Centre (MARC), Cass Business School, City, University of London.
Moeller, S. ORCID: 0000-0001-5136-0004 and Skourikhine, S. (2017).
M&A Attractiveness Index 2017: Russia: Count the Roubles Not the Politics.
MARC Working Paper Series 2017.
Moeller, S., Vitkova, V., Markey, D. and Novikova, A. (2015). The New Normal: The Resurgence of Activist Investing Since the End of the Financial Crisis. London, UK: Mergers & Acquisitions Research Centre (MARC), Cass Business School, City, University of London.
Moeller, S., Vitkova, V. and Sudarsanam, S. (2017). 'Hedge Funds: Stock Pickers or Managers?. London, UK: M&A Research Centre, Cass Business School, City, University of London.
Moeller, S. and Zhu, L. An Analysis of Short-Term Performance of UK Cross-Border Mergers and Acquisitions by Chinese Listed Companies. .
Monnet, É., Pagliari, S. ORCID: 0000-0003-0612-5296 and Vallée, S. (2019).
Beyond financial repression and regulatory capture.
The recomposition of European financial ecosystems after the crisis.
Actes de la recherche en sciences sociales, 229(4),
pp. 14-33.
doi: 10.3917/arss.229.0014
Montes-Rojas, G. and Galvao Jr, A. F. (2014). Bayesian endogeneity bias modeling. Economics Letters, 122(1), pp. 36-39. doi: 10.1016/j.econlet.2013.10.034
Morrell, D. (2010). An In-depth study into behavioural auditing - its use in giving indication of potential fraud. (Unpublished Doctoral thesis, City University London)
Mosonyi, S. (2016). United we stand, divided we fall: Building successful relationships in Corporate Responsibility and Sustainability. London, UK: Cass Business School.
Moss, A., Clare, A., Thomas, S. and Seaton, J. (2016). The Blended Approach to Real Estate Allocations: Performance Implications of Combining an Exposure to German Spezialfonds with Global Listed Real Estate Securities. Alternative Investment Analysts' Review, 4(4), pp. 17-23.
Mostad, P. F., Egeland, T., Cowell, R., Bosnes, V. and Braaten, O. (2005). The quest for a donor: probability based methods offer help (Statistical Research Paper No. 26). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Motson, N. (2009). Essays on hedge fund risk, return and incentives. (Unpublished Doctoral thesis, City University London)
Moutzouris, I. (2017). Asset valuation in dry bulk shipping. (Unpublished Doctoral thesis, City, University of London)
Moutzouris, I. and Nomikos, N. ORCID: 0000-0003-1621-2991 (2019).
Asset Pricing with Mean reversion: The Case of Ships.
Journal of Banking and Finance, 111,
105708..
doi: 10.1016/j.jbankfin.2019.105708
Moutzouris, I. and Nomikos, N. ORCID: 0000-0003-1621-2991 (2019).
Earnings Yield and Predictability in the Dry Bulk Shipping Industry.
Transportation Research Part E: Logistics and Transportation Review, 125,
pp. 140-159.
doi: 10.1016/j.tre.2019.03.009
Munira, S. (2009). Momentum return: is it a compensation for risk?. (Unpublished Doctoral thesis, City, University of London)
Muradoglu, Y.G., Onay, C. and Phylaktis, K. (2014). European integration and corporate financing. International Review of Financial Analysis, 33, pp. 138-157. doi: 10.1016/j.irfa.2014.02.002
Murphy, R. ORCID: 0000-0003-4103-9369 (2019).
‘Corporate tax avoidance: is tax transparency the solution?’: a practitioner view.
Accounting and Business Research, 49(5),
pp. 584-586.
doi: 10.1080/00014788.2019.1611728
Murphy, R. (2011). The Cost of Tax Abuse. A Briefing Paper on the Cost of Tax Evasion Worldwide. Chesham: Tax Justice Network.
Murphy, R. ORCID: 0000-0003-4103-9369 (2019).
Tax and modern monetary theory.
Real World Economic Review, 89(89),
pp. 138-147.
Murphy, R. ORCID: 0000-0003-4103-9369 (2019).
Tax justice and the challenges of measuring illicit financial flows.
In: Evans, J., Ruane, S. and Southall, H. (Eds.),
Data in society: Challenging statistics in an age of globalisatoin.
(pp. 103-114). Bristol: Policy Press.
ISBN 978-1447348221
Murphy, R. ORCID: 0000-0003-4103-9369, Janský, P. and Shah, A. (2019).
BEPS Policy Failure—The Case of EU Country-By-Country Reporting1.
Nordic Tax Journal,
doi: 10.1515/ntaxj-2019-0005
Murphy, R. ORCID: 0000-0003-4103-9369, Moreno-Dodson, B. and Zolt, E. M. (2017).
Wealth Taxes in Developing Countries.
In: Moreno-Dodson, B., Alepin, B. and Otis, L. (Eds.),
Winning the Tax Wars: Tax Competition and Cooperation.
Series on International Taxation, 62.
. Kluwer Law International.
ISBN 9041194606
Murphy, R. ORCID: 0000-0003-4103-9369 and Seabrooke, L. (2019).
The case for building climate reporting into financial accounting.
Samfundsøkonomen, 2019(4),
pp. 95-101.
Murphy, R. ORCID: 0000-0003-4103-9369, Seabrooke, L. and Stausholm, S. N. (2019).
A Tax Map of Global Professional Service Firms: Where Expert Services are Located and Why.
Denmark: Copenhagen Business School.
Natsis, T, (1993). 'Ex-ante' asset allocation strategies for global index portfolios. (Unpublished Doctoral thesis, City University London)
Nesvetailova, A. (2008). Ponzi Finance and Global Liquidity Meltdown: Lessons from Minsky (CUTP/002). London, UK: Department of International Politics, City University London, ISSN 2052-1898.
Nesvetailova, A. and Palan, R. (2013). Sabotage in the financial system: Lessons from Veblen. Business Horizons, 56(6), pp. 723-732. doi: 10.1016/j.bushor.2013.07.009
Neuberger, A. (2012). Realized Skewness. The Review of Financial Studies, 25(11), pp. 3423-3455. doi: 10.1093/rfs/hhs101
Neuberger, A. ORCID: 0000-0002-5344-1083 and Payne, R. G. (2020).
The Skewness of the Stock Market at Long Horizons.
The Review of Financial Studies,
doi: 10.1093/rfs/hhaa048
Nightingale, P, Murray, G, Cowling, M., Baden-Fuller, C., Mason, C, Siepel, J, Hopkins, M and Dannreuther, C (2009). From funding gaps to thin markets.UK Government support for early-stage venture capital. NESTA.
Nikandrova, A. and Pancs, R. (2018). Dynamic project selection. Theoretical Economics, 13(1), pp. 115-143. doi: 10.3982/TE2379
Nomikos, N., Kyriakou, I., Papapostolou, N. C. and Pouliasis, P. K. (2013). Freight options: Price modelling and empirical analysis. Transportation Research Part E: Logistics and Transportation Review, 51(May), pp. 82-94. doi: 10.1016/j.tre.2012.12.001
Nomikos, N. ORCID: 0000-0003-1621-2991 and Moutzouris, I. (2018).
The Formation of FFA Rates in Dry Bulk Shipping: Spot Rates, Risk Premia and Heterogeneous Expectations.
Journal of Futures Markets,
doi: 10.1002/fut.21980
Novotny, J., Petrov, D. and Urga, G. (2015). Trading Price Jump Clusters in Foreign Exchange Markets. Journal of Financial Markets, 24, pp. 66-92. doi: 10.1016/j.finmar.2015.03.002
Nurullah, Mohamed (2000). Interface of insurance and banking in European countries. (Unpublished Doctoral thesis, City University, London)
O' Sullivan, N.M. (2006). UK mutual fund performance. (Unpublished Doctoral thesis, City University London)
O'Neil, B. S. (1991). The losses suffered by creditors in bankruptcy in the UK and Germany. (Unpublished Doctoral thesis, City University London)
Ogden, E.M. (1988). The development of the role of the Bank of England as a Lender of Last Resort, 1870-1914. (Unpublished Doctoral thesis, City University London)
Ogunranti, G., Ceryan, O. ORCID: 0000-0002-7298-9781 and Banerjee, A. ORCID: 0000-0001-8961-7223 (2020).
Buyer-Supplier Currency Exchange Rate Flexibility Contracts in Global Supply Chains.
European Journal of Operational Research,
Onorato, M. (2005). Essays on credit risk, risk adjusted performance and economic capital in financial institutions. (Unpublished Doctoral thesis, City University London)
Osborne, M., Fuertes, A. and Milne, A. (2016). In Good Times and in Bad: Bank Capital Ratios and Lending Rates. International Review of Financial Analysis, doi: 10.1016/j.irfa.2016.02.005
Osborne, Matthew (2013). Essays on bank capital and balance sheet adjustment in the UK and US, and implications for regulatory policy. (Unpublished Doctoral thesis, City University London)
Otto, C.A. and Volpin, P. (2017). Marking to Market and Inefficient Investment Decisions. Management Science, doi: 10.1287/mnsc.2016.2696
Owadally, I. (2014). Tail risk in pension funds: An analysis using ARCH models and bilinear processes. Review of Quantitative Finance and Accounting, 43(2), pp. 301-331. doi: 10.1007/s11156-013-0373-9
Owadally, I., Haberman, S. and Gomez, D. (2011). A Savings Plan with Targeted Contributions. Journal of Risk and Insurance, 80(4), pp. 975-1000. doi: 10.1111/j.1539-6975.2012.01485.x
Owadally, M. I (2003). Efficient asset valuation methods for pension plans (Actuarial Research Paper No. 148). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Owadally, M. I (2012). How to get the most from your piggy bank. InBusiness, 17, p. 34.
Owadally, M. I (2003). Pension funding and the actuarial assumption concerning investment returns (Actuarial Research Paper No. 149). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Owadally, M. I (2003). Pension funding and the actuarial assumption concerning investment returns. ASTIN Bulletin: Journal of the International Actuarial Association, 33(2), pp. 289-312. doi: 10.1017/S0515036100013477
Owadally, M. I and Haberman, S. (2000). Asset valuation and amortization of asset gains and losses defined benefit pension plans (Actuarial Research Paper No. 132). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Owadally, M. I and Haberman, S. (2000). Asset valuation and the dynamics of pension funding with random investment returns (Actuarial Research Paper No. 131). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Owadally, M. I and Haberman, S. (2000). Efficient amortization of Actuarial gains/losses and optimal funding in pension plans (Actuarial Research Paper No. 133). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Owadally, M. I and Haberman, S. (2003). Exponential smoothing methods in pension funding. IMA Journal of Management Mathematics, 14(2), pp. 129-143. doi: 10.1093/imaman/14.2.129
Owadally, M. I and Haberman, S. (2004). Reply to discussion on "Efficient gain and loss amortization and optimal funding in pension plans". North American Actuarial Journal, 8(2), pp. 124-125. doi: 10.1080/10920277.2004.10596149
Owadally, M. I and Haberman, S. (2004). The treatment of assets in pension funding. ASTIN Bulletin: Journal of the International Actuarial Association, 34(2), pp. 425-433. doi: 10.2143/AST.34.2.505151
Owadally, M. I ORCID: 0000-0002-0830-3554, Kashif, M. and Menoncin, F. (2019).
Optimal portfolio and spending rules for endowment funds.
Review of Quantitative Finance and Accounting,
doi: 10.1007/s11156-019-00856-x
Owadally, M. I ORCID: 0000-0002-0830-3554, Zhou, F., Otunba, R., Lin, J. and Wright, I. D. (2019).
An agent-based system with temporal data mining for monitoring financial stability on insurance markets.
Expert Systems with Applications, 123,
pp. 270-282.
doi: 10.1016/j.eswa.2019.01.049
Pagano, M. and Volpin, P. (2010). Credit ratings failures and policy options. Economic Policy, 25(62), pp. 401-431. doi: 10.1111/j.1468-0327.2010.00245.x
Pagano, M. and Volpin, P. (2012). Securitization, transparency, and liquidity. Review of Financial Studies, 25(8), pp. 2417-2453. doi: 10.1093/rfs/hhs074
Pagliari, S. (2014). Fixing International Finance: Between International Rule-Making and Domestic Cosmetic Compliance. International Studies Review, 16(4), pp. 673-675. doi: 10.1111/misr.12173
Pagliari, S. (2012). Who governs finance? The shifting public-private divide in the regulation of derivatives, rating agencies and hedge funds. European Law Journal, 18(1), pp. 44-61. doi: 10.1111/j.1468-0386.2011.00585.x
Pagliari, S. ORCID: 0000-0003-0612-5296, James, S. and Young, K. (2020).
The Internationalization of European Financial Networks: A Quantitative Text Analysis of EU Consultation Responses.
Review of International Political Economy,
doi: 10.1080/09692290.2020.1779781
Pagliari, S. ORCID: 0000-0003-0612-5296 and Wilf, M. (2020).
Regulatory Novelty after Financial Crises: A Quantitative Text Analysis of International Banking and Securities Standards, 1975-2016.
Regulation and Governance,
Pagliari, S. and Young, K. (2015). Capital United? Business Unity in Regulatory Politics and the Special Place of Finance. Regulation and Governance, doi: 10.1111/rego.12098
Pagliari, S. ORCID: 0000-0003-0612-5296 and Young, K. (2020).
How Financialization is Reproduced Politically.
In: Mader, P., Mertens, D. and van der Zwan, N. (Eds.),
The Routledge International Handbook of Financialization.
Routledge International Handbooks.
. London: Routledge.
ISBN 9781138308213
Pagliari, S. and Young, K. (2016). The Interest Ecology of Financial Regulation: Interest Group Plurality in the Design of Financial Regulatory Policies. Socio-Economic Review, 14(2), pp. 309-337. doi: 10.1093/ser/mwv024
Pagliari, S. and Young, K. (2014). Leveraged interests: Financial industry power and the role of private sector coalitions. Review of International Political Economy, 21(3), pp. 575-610. doi: 10.1080/09692290.2013.819811
Palan, R. (2015). Futurity, Pro-cyclicality and Financial Crises. New Political Economy, 20(3), pp. 367-385. doi: 10.1080/13563467.2014.951427
Palan, R. (2015). The Second British Empire: The British Empire and the re-emergence of global finance. In: Halperin, S. and Palan, R. (Eds.), Legacies of Empire Imperial Roots of the Contemporary Global Order. (pp. 40-68). Cambridge, UK: Cambridge University Press. ISBN 1107521610
Palan, R. and Mangraviti, G. (2016). Troubling tax havens: tax footprint reduction and jurisdictional arbitrage. In: Hay, I. and Beaverstock, J. (Eds.), International Handbook of Wealth and Super-Rich. (pp. 422-442). UK: Edward Elgar. ISBN 978 1 78347 403 5
Palan, R. and Nesvetailova, A. (2017). Banks as Global Corporations: From Entities to ‘Ecological Habitats’. In: Baars, G. and Spicer, A. (Eds.), The Corporation: A Critical, Multi-Disciplinary Handbook. (pp. 268-279). Cambridge, UK: Cambridge University Press. ISBN 9781107073111
Palan, R. and Nesvetailova, A. (2014). Elsewhere, Ideally Nowhere: Shadow Banking and Offshore Finance. Politik, 16(4), pp. 26-34.
Palan, R. and Nesvetailova, A. (2013). The Governance of the Black Holes of the World Economy: Shadow Banking and Offshore Finance (2013-03). London, UK: City Political Economy Research Centre (CITYPERC), Department of International Politics, City University London.
Palaro, H.P. (2007). Essays in hedge fund replication, evaluation and synthetic funds. (Unpublished Doctoral thesis, City University London)
Palmer, P.W. (1995). External regulation and internal control in the charity sector. (Unpublished Doctoral thesis, City University London)
Papapostolou, N. C., Nomikos, N., Pouliasis, P. K. and Kyriakou, I. (2014). Investor Sentiment for Real Assets: The Case of Dry Bulk Shipping Market*. Review of Finance, 18(4), pp. 1507-1539. doi: 10.1093/rof/rft037
Papapostolou, N. C., Pouliasis, P. K. and Kyriakou, I. (2017). Herd behavior in the drybulk market: An empirical analysis of the decision to invest in new and retire existing fleet capacity. Transportation Research Part E: Logistics and Transportation Review, 104, pp. 36-51. doi: 10.1016/j.tre.2017.05.007
Papapostolou, Nikolaos C. (2010). Essays on the US Public Equity and High Yield Bond Markets as a Source of Finance for Shipping Companies. (Unpublished Doctoral thesis, City University London)
Pappas, V., Ongena, S., Izzeldin, M. and Fuertes, A. (2017). A Survival Analysis of Islamic and Conventional Banks. Journal of Financial Services Research, 51(2), pp. 221-256. doi: 10.1007/s10693-016-0239-0
Parmar, D., Allegri, M. D., Souares, A., Savadogo, G. and Sauerborn, R. (2011). Equity impact of community-based health insurance (2004-2008). Paper presented at the 3rd International Conference on Health Financing in Developing and Emerging Countries (CERDI), 11-05-2011 - 13-05-2011, Université d’Auvergne, France.
Parmar, D. and De Allegri, M. (2014). Operationalizing impact evaluations: from theory to practice. In: Radermacher, R. and Roth, K. (Eds.), A Practical Guide to Impact Assessments in Microinsurance. (pp. 243-266). Luxembourg: Microinsurance Network and Micro Insurance Academy. ISBN 978-99959-864-8-3
Parmar, D., Souares, A., Savadogo, G. and Sauerborn, R. (2010). Does community-based health insurance protect household assets?. Paper presented at the 9th International Conference on Health Economics, Management and Policy, 28-06-2010 - 01-07-2010, Athens, Greece.
Parmar, D., Steffen, R., Souares, A., Savadogo, G. and Sauerborn, R. (2011). Does community-based health insurance protect household assets?: evidence from rural Africa. Paper presented at the 8th World Congress on Health Economics, 10-07-2011 - 13-07-2011, Toronto, Canada.
Parsons, C. (2001). An essay on liability insurance and accident compensation and five papers on liability insurance. (Unpublished Doctoral thesis, City University London)
Passari, Evgenia (2013). Essays in international finance. (Unpublished Doctoral thesis, City University London)
Patience, H. A. (2015). Development and Calibration of Relative Value Trading Models. (Unpublished Doctoral thesis, City, University of London)
Payne, R. and Friederich, S. (2011). Computer based trading, liquidity and trading costs. Foresight - Government Office for Science.
Payne, R. and Friederich, S. (2012). Computer-based trading and market abuse. Foresight - Government Office for Science.
Pearlman, J. (2015). A Stylized model of European Monetary Union for Analysing coordination games for Monetary and Macroprudential Policy. MACFINROBODS.
Pellegrini, C. B., Meoli, M., Pellegrini, L. and Urga, G. (2018). Systemic risk determinants in the European banking industry during financial crises, 2006-2012. Rivista Internazionale di Scienze Sociali, 2018(2), pp. 109-122. doi: 10.26350/000518_000009
Pesenti, S. M. (2018). Robustness and sensitivity of risk evaluations. (Unpublished Doctoral thesis, Cass Business School, City, University of London)
Pettinicchio, A.K. (2011). Auditing and Regulations. (Unpublished Doctoral thesis, City University London)
Phelan, C. E., Marazzina, D., Fusai, G. ORCID: 0000-0001-9215-2586 and Germano, G. (2018).
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options.
European Journal of Operational Research, 271(1),
pp. 210-223.
doi: 10.1016/j.ejor.2018.04.016
Philip, D. (2008). Estimation and testing of latent factors in term structure of interest rates. (Unpublished Doctoral thesis, Cass Business School, City University)
Philps, D., Garcez, A. and Weyde, T. ORCID: 0000-0001-8028-9905 (2019).
Making Good on LSTMs' Unfulfilled Promise.
Paper presented at the NeurIPS 2019 Workshop on Robust AI in Financial Services: Data, Fairness, Explainability, Trustworthiness, and Privacy, 13 Dec 2019, Vancouver, Canada.
Phylaktis, K. (2012). Guest editorial, emerging markets finance: Overview of the special issue. Journal of International Money and Finance, 31(4), pp. 673-679. doi: 10.1016/j.jimonfin.2012.01.004
Phylaktis, K. and Aristidou, A. (2013). Margin Changes and Futures Trading Activity: a New Approach. European Financial Management, 19(1), pp. 45-71. doi: 10.1111/j.1468-036X.2010.00565.x
Phylaktis, K. and Banti, C. (2014). FX market liquidity, funding constraints and capital. Journal of International Money and Finance: theoretical and empirical research in international economics and finance, 56, pp. 114-134. doi: 10.1016/j.jimonfin.2014.11.002
Phylaktis, K. and Manalis, G. (2013). Futures trading and market microstructure of the underlying security: A high frequency experiment at the single stock future level. Borsa Istanbul Review, 13(4), pp. 79-92. doi: 10.1016/j.bir.2013.10.012
Phylaktis, K. and Xia, L. (2009). Equity Market Comovement and Contagion: A Sectoral Perspective. Financial Management, 38(2), pp. 381-409. doi: 10.1111/j.1755-053X.2009.01040.x
Piana, J. (2017). Expectations, fundamentals, and asset returns: evidence from the commodity markets. (Unpublished Doctoral thesis, Cass Business School)
Pilbeam, K. ORCID: 0000-0002-5609-8620 (2019).
Brexit and its Impact on the Pound in the Foreign Exchange Market.
Economists’ Voice,
doi: 10.1515/ev-2019-0026
Pilbeam, K. ORCID: 0000-0002-5609-8620 (2005).
The relative effectiveness of sterilized and non sterilized foreign exchange market interventions.
Journal of Policy Modeling, 27(3),
pp. 375-383.
doi: 10.1016/j.jpolmod.2005.01.003
Pilbeam, K. ORCID: 0000-0002-5609-8620, Asteriou, D and Sarantidis, A (2019).
The Behaviour of Banking Stocks During the Financial Crisis and Recessions. Evidence from Changes-in-Changes Panel Data.
Scottish Journal of Political Economy,
doi: 10.1111/sjpe.12191
Pilbeam, K. and Langeland, K. N. (2014). Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts. International Economics and Economic Policy, doi: 10.1007/s10368-014-0289-4
Potgeiter, L. and Fusai, G. (2013). Sovereign credit risk in a hidden Markov regime-switching framework. Part 1: Methodology. Journal of Financial Transformation, 37, pp. 99-209.
Potgieter, L. and Fusai, G. (2013). Cutting EdgE Sovereign Credit Risk in a Hidden Markov Regime- Switching Framework. Part 2. Journal of Financial Transformation, 38, pp. 67-81.
Pouliasis, P. K., Kyriakou, I. and Papapostolou, N. C. (2017). On equity risk prediction and tail spillovers. International Journal of Finance and Economics, 22(4), pp. 379-393. doi: 10.1002/ijfe.1594
Pouliasis, P. K., Nomikos, N. and Papapostolou, N. C. (2011). Analysis of Volatility and Correlation for CME Steel Products. London: Cass Business School, City University London.
Pouliasis, P. K. ORCID: 0000-0002-7389-3722 and Papapostolou, N. C. ORCID: 0000-0003-4529-1182 (2018).
Volatility and Correlation Timing: The Role of Commodities.
Journal of Futures Markets,
doi: 10.1002/fut.21939
Pouliasis, P. K. ORCID: 0000-0002-7389-3722, Papapostolou, N. C. ORCID: 0000-0003-4529-1182, Kyriakou, I. ORCID: 0000-0001-9592-596X and Visvikis, I.D. (2018).
Shipping equity risk behavior and portfolio management.
Transportation Research Part A: Policy and Practice, 116,
pp. 178-200.
Pouliasis, P. K. ORCID: 0000-0002-7389-3722, Visvikis, I.D., Papapostolou, N. C. ORCID: 0000-0003-4529-1182 and Kryukov, A. A. (2019).
A Novel Risk Management Framework for Natural Gas Markets.
Journal of Futures Markets,
doi: 10.1002/fut.22067
Pouliasis, Panagiotis (2011). Essays on the empirical analysis of energy risk. (Unpublished Doctoral thesis, City University London)
Precup, O. V. and Iori, G. (2004). A comparison of high-frequency cross-correlation measures. Physica A: Statistical Mechanics and its Appliations, 344(1-2), pp. 252-256. doi: 10.1016/j.physa.2004.06.127
Radwan, R.A.A.M. (1979). The Nature of Internal Auditing. (Unpublished Doctoral thesis, City University London)
Rallis, G., Miffre, J. and Fuertes, A. (2013). Strategic and Tactical Roles of Enhanced Commodity Indices. Journal of Futures Markets, 33(10), doi: 10.1002/fut.21571
Rallis, Georgios (2010). On commodity trading strategies: momentum, term structure, maturity, indexation. (Unpublished Doctoral thesis, City, University of London)
Ramoni, M. and Sebastiani, P. (1997). Learning Bayesian Networks from Incomplete Databases (Statistical Research Paper No. 13). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Ramyar, Richard (2006). Essays on technical analysis in financial markets. (Unpublished Doctoral thesis, City University, London)
Rangvid, J., Schmeling, M. and Schrimpf, A. (2014). Dividend predictability around the world. Journal of Financial and Quantitative Analysis, 49(5-6), pp. 1255-1277. doi: 10.1017/S0022109014000477
Raonic, I. and Isidro, H. (2012). Firm Incentives, Institutional Complexity and the Quality of "Harmonized" Accounting Numbers. The International Journal of Accounting, 47(4), pp. 407-436. doi: 10.1016/j.intacc.2012.10.007
Raonic, I. ORCID: 0000-0003-2982-8445 and Sahin, A. (2019).
Do analysts understand accruals’ persistence? Evidence revisited.
Journal of Applied Accounting Research,
Rasulo, D., Mayhew, L. and Rickayzen, B. D. (2009). The decomposition of disease and disability life expectancies in England 1992-2004 (Actuarial Research Paper No. 191). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Ravazzolo, F. (2002). Stock and foreign exchange markets in the Pacific Basin Rim. (Unpublished Doctoral thesis, City University London)
Recchioni, M. C., Tedeschi, G., Ouellette, M. S. and Iori, G. ORCID: 0000-0001-9443-9353 (2019).
Why do financial markets asymmetrically smile? A simple formula in the multi-factor Heston model.
City, University of London.
Renshaw, A. E. and Haberman, S. (2003). Lee-Carter mortality forecasting incorporating bivariate time series (Actuarial Research Paper No. 153). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Renshaw, A. E. and Haberman, S. (2002). Lee-Carter mortality forecasting, a parallel GLM approach, England & Wales mortality projections (Actuarial Research Paper No. 140). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Renshaw, A. E. and Haberman, S. (2000). Modelling for mortality reduction factors (Actuarial Research Paper No. 127). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Renshaw, A. E. and Haberman, S. (1998). Modelling the recent time trends in UK permanent health insurance recovery, mortality and claim inception transition intensities (Actuarial Research Paper No. 113). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Renshaw, A. E. and Haberman, S. (2005). Mortality reduction factors incorporating cohort effects (Actuarial Research Paper No. 160). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Renshaw, A. E. and Haberman, S. (1999). Observations on the proposed new mortality tables based on the 1991-94 experience for male permanent assurances (Actuarial Research Paper No. 118). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Renshaw, A. E. and Haberman, S. (2007). On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-Carter modelling (Actuarial Research Paper No. 181). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Renshaw, A. E. and Haberman, S. (2001). On the forecasting of mortality reduction factors (Actuarial Research Paper No. 135). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Renshaw, A. E. and Haberman, S. (1999). An empirical study of claim and sickness inception transition intensities (aspects of the UK permanent health insurance experience) (Actuarial Research Paper No. 121). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Reynolds, B., Blake, D. ORCID: 0000-0002-2453-2090 and Lyddon, R.
(2020).
Managing Euro Risk: Saving Investors from Systemic Risk. London, UK: Politeia.
ISBN 9781916357518
Richard Maria Kos, Hartwig (2015). Momentum Effects: Essays on Trading Rule Returns in G10 Currency Pairs. (Unpublished Doctoral thesis, City University London)
Rickayzen, B. D. (2007). An analysis of disability - linked annuities (Actuarial Research Paper No. 180). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Rickayzen, B. D. (1997). A sensitivity analysis of the parameters used in a PHI multiple state model (Actuarial Research Paper No. 103). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Rickayzen, B. D. and Walsh, D. E. P. (2000). A model for projecting the number of people who will require long-term care in the future. Part II: the multiple state model (Actuarial Research Paper No. 124). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Ries, J.M., Glock, C.H. and Schwindl, K. (2016). Economic ordering and payment policies under progressive payment schemes and time-value of money. International Journal of Operations and Quantitative Management, 22(3), pp. 231-251.
Rippington, F.A. (1991). The incremental information content of the annual report and accounts. (Unpublished Doctoral thesis, City University London)
Roschkow, Slawa (2013). Empirical analysis of microstructural dynamics across cross-listed stocks on the London and Moscow exchanges. (Unpublished Doctoral thesis, City University London)
Rossi, A. G., Blake, D., Timmermann, A., Tonks, I. and Wermers, R. (2018). Network Centrality and Delegated Investment Performance. Journal of Financial Economics, 128(1), pp. 183-206. doi: 10.1016/j.jfineco.2018.02.003
Rubesam, A. (2009). ESSAYS ON EMPIRICAL ASSET PRICING USING BAYESIAN METHODS. (Unpublished Doctoral thesis, City University London)
Russo, M. (2017). Essays in the evolving European natural gas markets. (Unpublished Doctoral thesis, City, University of London)
Russolillo, M., Giordano, G. and Haberman, S. (2011). Extending the Lee Carter Model: a Three-way Decomposition. Scandinavian Actuarial Journal, 2011(2), pp. 96-117. doi: 10.1080/03461231003611933
Ryan, Paul (2000). The economic value of the sell-side analyst in UK equity markets. (Unpublished Doctoral thesis, City University)
Saka, O. (2017). Essays on Sovereign Risk and Banking. (Unpublished Doctoral thesis, City, University of London)
Saka, O., Fuertes, A. and Kalotychou, E. (2015). ECB policy and Eurozone fragility: Was De Grauwe right?. Journal of International Money and Finance, 54, pp. 168-185. doi: 10.1016/j.jimonfin.2015.03.002
Salami, A.R. (1994). Determinants and financial consequences of the method of payment in corporate acquisitions. (Unpublished Doctoral thesis, City University London)
Saleh, Nashwa (2012). Towards a New Model for Early Warning Signals for Systemic Financial Fragility and Near Crises: An Application to OECD Countries. (Unpublished Doctoral thesis, City University London)
Samman, A. (2012). The 1930s as black mirror: Visions of historical repetition in the global financial press, 2007-2009. Journal of Cultural Economy, 5(2), pp. 213-229. doi: 10.1080/17530350.2012.660792
Samman, A. (2016). Conjuring the spirit of multilateralism: Histories of crisis management during the ‘great credit crash’. Review of International Studies, 42(2), pp. 227-246. doi: 10.1017/S0260210515000133
Samman, A. ORCID: 0000-0003-4721-4877 (2020).
Eternal return on capital: Nihilistic repetition in the asset economy.
Distinktion: Journal of Social Theory,
Samman, A. (2011). History in finance and fiction in history. economic sociology_the european electronic newsletter, 12(3), pp. 26-34.
Samman, A. ORCID: 0000-0003-4721-4877 (2019).
Introduction.
In: Samman, A. ORCID: 0000-0003-4721-4877 (Ed.),
History in Financial Times.
(pp. 1-20). CA, USA: Stanford University Press.
ISBN 9781503609457
Samman, A. (2015). Introduction: Money's other worlds. Finance and Society, 1(2), pp. 23-26. doi: 10.2218/finsoc.v1i2.1382
Samman, A. (2014). Making financial history: The crisis of 2008 and the return of the past. Millennium: journal of international studies, 42(2), pp. 309-330. doi: 10.1177/0305829813511866
Samman, A. (2016). The specter of capital. Journal of Cultural Economy, 9(1), pp. 108-114. doi: 10.1080/17530350.2015.1100650
Samman, A., Coombs, N. and Cameron, A. (2015). For a post-disciplinary study of finance and society. Finance & Society, 1(1), pp. 1-5. doi: 10.2218/finsoc.v1i1.1366
Sapuric, S. (2010). Three essays in asset management. (Unpublished Doctoral thesis, City University London)
Sarkisyan, Anna (2011). Three essays on securitisation. (Unpublished Doctoral thesis, City University London)
Sarno, L., Blake, D. and Zinna, G. (2017). The market for lemmings: The herding behavior of pension funds. Journal of Financial Markets, doi: 10.1016/j.finmar.2017.03.001
Sarno, L., Della Corte, P. and Tsiakas, I. (2009). An Economic Evaluation of Empirical Exchange Rate Models. Review of Financial Studies, 22(9), pp. 3491-3530. doi: 10.1093/rfs/hhn058
Sarno, L. and Schmeling, M. (2014). Which fundamentals drive exchange rates? A cross-sectional perspective. Journal of Money, Credit and Banking, 46(2-3), pp. 267-292. doi: 10.1111/jmcb.12106
Sarno, L., Schneider, P. and Wagner, C. (2012). Properties of foreign exchange risk premiums. Journal of Financial Economics, 105(2), pp. 279-310. doi: 10.1016/j.jfineco.2012.01.005
Sarno, L., Tsiakas, I. and Ulloa, B. (2016). What drives international portfolio flows?. Journal of International Money and Finance, 60, pp. 53-72. doi: 10.1016/j.jimonfin.2015.03.006
Sarno, Y. (2017). Towards a better understanding of driving factors for FDI allocation. A country's goodwill: a new host country's FDI determinant?. (Unpublished Doctoral thesis, City, University of London)
Sarwar, G., Mateus, C. and Todorovic, N. ORCID: 0000-0003-4875-623X (2018).
A guide to survival of momentum in UK style portfolios.
International Journal of Banking, Accounting and Finance, 9(2),
pp. 192-224.
doi: 10.1504/IJBAAF.2018.092134
Schmeling, M., Melvin, M. M. and Menkhoff, L. (2009). Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book. Journal of International Economics, 79(1), pp. 54-63. doi: 10.1016/j.jinteco.2009.06.008
Schmeling, M. and Wagner, C. (2015). Does Central Bank Tone Move Asset Prices?. SSRN.
Scholz, M., Nielsen, J. P. and Sperlich, S. (2015). Nonparametric Prediction of Stock Returns Based on Yearly Data: The Long-Term View. Insurance: Mathematics and Economics, 65, pp. 143-155. doi: 10.1016/j.insmatheco.2015.09.011
Scholz, M., Sperlich, S. and Nielsen, J. P. (2016). Nonparametric long term prediction of stock returns with generated bond yields. Insurance: Mathematics and Economics, 69, pp. 82-96. doi: 10.1016/j.insmatheco.2016.04.007
Schroth, E. (2006). Innovation, Differentiation and the Choice of an Underwriter. The Review of Financial Studies, 19(3),
Schroth, E. and Albuquerque, R. (2014). The Marketability Discount of Controlling Blocks of Shares. KPMG International.
Schroth, E. and Albuquerque, R. (2009). Quantifying Private Benefits of Control from a Structural Model of Block Trades (202/2008). ECGI.
Schroth, E., Suarez, G. A. and Taylor, L. A. (2014). Dynamic debt runs and financial fragility: Evidence from the 2007 ABCP crisis. Journal of Financial Economics, 112(2), pp. 164-189. doi: 10.1016/j.jfineco.2014.01.002
Schroth, E. and Szalay, D. (2010). Cash Breeds Success: The Role of Financing Constraints in Patent Races. Review of Finance, 14(1), pp. 73-118. doi: 10.1093/rof/rfp020
Schröder, D. and Yim, A. (2017). Industry Effects on Firm and Segment Profitability Forecasting. Contemporary Accounting Research, doi: 10.1111/1911-3846.12361
Schwartz, H. (2012). Political Capitalism and the Rise of Sovereign Wealth Funds. Globalizations, 9(4), pp. 517-530. doi: 10.1080/14747731.2012.699924
Sendstad, L. H. and Chronopoulos, M. ORCID: 0000-0002-3858-2021 (2020).
Sequential investment in renewable energy technologies under policy uncertainty.
Energy Policy, 137,
111152..
doi: 10.1016/j.enpol.2019.111152
Seng Tang, K., Blake, D. and MacMinn, R. (2015). Longevity Risk and Capital Markets: The 2013-14 Update (PI-1502). London, UK: Pensions Institute.
Sesana, D., Marazzina, D. and Fusai, G. (2014). Pricing exotic derivatives exploiting structure. European Journal of Operational Research, 236(1), pp. 369-381. doi: 10.1016/j.ejor.2013.12.009
Sgambati, S. ORCID: 0000-0001-7324-0724 (2020).
Historicising the money of account: a critique of the nominalist ontology of money.
Journal of Post Keynesian Economics,
doi: 10.1080/01603477.2020.1788396
Sgambati, S. (2016). Rethinking banking. Debt discounting and the making of modern money as liquidity. New Political Economy, 21(3), pp. 274-290. doi: 10.1080/13563467.2016.1113946
Sgambati, S. (2015). The Significance of Money Beyond Ingham's Sociology of Money. European Journal of Sociology, 56(2), pp. 307-339. doi: 10.1017/S0003975615000144
Sgambati, S. ORCID: 0000-0001-7324-0724 (2019).
The art of leverage. A study of bank power, money-making and debt finance.
Review of International Political Economy, 26(2),
pp. 287-312.
doi: 10.1080/09692290.2018.1512514
Shang, H.L. and Haberman, S. ORCID: 0000-0003-2269-9759 (2019).
Forecasting age distribution of death counts: An application to annuity pricing.
Annals of Actuarial Science,
doi: 10.1017/S1748499519000101
Sherman, Meadhbh (2012). An examination of the factors influencing mutual fund performance. (Unpublished Doctoral thesis, City Univeristy London)
Silva, A. and Bilinski, P. (2015). Intended Use of Proceeds, Underwriter Quality and the Long-run Performance of SEOs in the UK. Journal Of Business Finance & Accounting, 42(9-10), pp. 1282-1309. doi: 10.1111/jbfa.12171
Silva, A. F. (2018). Essays on Financial Intermediation. (Unpublished Doctoral thesis, City, University of London)
Simper, R., Dadoukis, A. and Bryce, C. ORCID: 0000-0002-9856-7851 (2019).
European bank loan loss provisioning and efficient technological innovative progress.
International Review of Financial Analysis, 63,
pp. 119-130.
doi: 10.1016/j.irfa.2019.03.001
Sithole, T., Haberman, S. and Verrall, R. J. (2011). Second international comparative study of mortality tables for pension fund retirees. British Actuarial Journal, 17(3), pp. 650-671. doi: 10.1017/S1357321712000207
Sivaprasad, S. (2007). The value effects of capital structure : essays on leverage and its impact on stock returns</. (Unpublished Doctoral thesis, City University London)
Slager, R., Gond, J-P. and Moon, J. (2012). Standardization as Institutional Work: The Regulatory Power of a Responsible Investment Standard. Organization Studies, 33(5-6), pp. 763-790. doi: 10.1177/0170840612443628
Smith, H. J. and Benton, A. L. (2017). The Role of Metropolitan Cooperation and Administrative Capacity in Subnational Debt Dynamics: Evidence From Municipal Mexico. Public Budgeting & Finance, 37(2), pp. 58-82. doi: 10.1111/pbaf.12155
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)
Souitaris, V., Zerbinati, S. and Liu, G. (2012). Which Iron Cage? Endo- and exoisomorphism in Corporate Venture Capital Programs. Academy of Management Journal (AMJ), 55(2), pp. 477-505. doi: 10.5465/amj.2009.0709
Spilda, J. (2017). On sources of risk in quadratic hedging and incomplete markets. (Unpublished Doctoral thesis, City, University of London)
Spreeuw, J. (2012). Archimedean copulas derived from Morgenstern utility functions (Actuarial Research Paper No. 201). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Spreeuw, J. (2014). Archimedean copulas derived from utility functions. Insurance: Mathematics and Economics, 59, pp. 235-242. doi: 10.1016/j.insmatheco.2014.10.002
Spreeuw, J. (2000). Convex order and multistate life insurance contracts (Actuarial Research Paper No. 129). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Spreeuw, J. (2006). Types of dependence and time-dependent association between two lifetimes in single parameter copula models (Actuarial Research Paper No. 169). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Spreeuw, J. (2004). Upper and lower bounds of present value distributions of life insurance contracts with disability related benefits (Actuarial Research Paper No. 159). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Spreeuw, J. (2000). The probationary period as a screening device (Actuarial Research Paper No. 130). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Spreeuw, J. and Karlsson, M. (2009). Time Deductibles as Screening Devices: Competitive Markets. Journal Of Risk And Insurance, 76(2), pp. 261-278. doi: 10.1111/j.1539-6975.2009.01298.x
Spreeuw, J. and Karlsson, M. (2006). The probationary period as a screening device: competitive markets (Actuarial Research Paper No. 168). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Spreeuw, J. and Owadally, M. I (2013). Investigating the broken-heart effect: a model for short-term dependence between the remaining lifetimes of joint lives. Annals of Actuarial Science, 7(2), pp. 236-257. doi: 10.1017/S1748499512000292
Staikouras, Christos (2000). European Banking Industry: Sources of Income and Profitability. (Unpublished Doctoral thesis, City, University of London)
Stojanovic, A. (1999). Payment Systems Reforms. (Unpublished Doctoral thesis, City University London)
Syakhroza, M. A., Paolella, L. and Munir, K. (2018). Holier than Thou? Identity Buffers and Adoption of Controversial Practices in the Islamic Banking Category. Academy of Management Journal, doi: 10.5465/amj.2016.1017
Sérgio, Anabela (2001). Portuguese financial regulatory reform : an assessment. (Unpublished Doctoral thesis, City University Business School)
Talukdar, Mohammad Yusuf (1978). An approach to inflation accounting in the context of developing economics.. (Unpublished Doctoral thesis, The City University)
Tamvakis, M. and Alizadeh-Masoodian, A. (2016). Market conditions, trader types and price–volume relation in energy futures markets. Energy Economics, 56, pp. 134-149. doi: 10.1016/j.eneco.2016.03.001
Tamvakis, M. ORCID: 0000-0002-5056-0159, Marchese, M., Kyriakou, I. ORCID: 0000-0001-9592-596X and Di Iorio, F. (2020).
Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models.
Energy Economics, 88,
104757..
doi: 10.1016/j.eneco.2020.104757
Tan, F. and Yim, A. (2011). Can Strategic Uncertainty Help Deter Tax Evasion? – An Experiment on Auditing Rules (2011-21). SSRN: SSRN Working Paper.
Tan, K.S., Blake, D. and MacMinn, R. (2015). Longevity Risk and Capital Markets: The 2013-14 Update. Insurance: Mathematics and Economics, 63, pp. 1-11. doi: 10.1016/j.insmatheco.2015.03.015
Taskin, A. A. and Yaman, F. ORCID: 0000-0002-5752-6922 (2019).
Credit Supply, Homeownership and Mortgage Debt (19/17).
London, UK: Department of Economics, City, University of London.
Tastan, M. (2014). Essays on initial public offerings. (Unpublished Doctoral thesis, City University London)
Temizsoy, A. (2016). The effects of crisis on the interbank markets and sovereign risk: empirical investigations. (Unpublished Doctoral thesis, City University London)
Temizsoy, A., Iori, G. and Montes-Rojas, G. (2017). Network Centrality and Funding Rates in the e-MID Interbank Market. Journal of Financial Stability, 33, pp. 346-365. doi: 10.1016/j.jfs.2016.11.003
Temizsoy, A., Iori, G. and Montes-Rojas, G. (2016). Network Centrality and Funding Rates in the e-MID Interbank Market (16/08). London, UK: Department of Economics, City, University of London.
Temizsoy, A., Iori, G. and Montes-Rojas, G. (2015). The role of bank relationships in the interbank market. Journal of Economic Dynamics and Control, 59, pp. 118-141. doi: 10.1016/j.jedc.2015.07.008
Thomas, P. and Chrystal, A. (2013). Explaining the “Buy One Get One Free” Promotion: The Golden Ratio as a Marketing Tool. American Journal of Industrial and Business Management, 3(8), pp. 655-673. doi: 10.4236/ajibm.2013.38075
Thomas, P. and Chrystal, A. (2013). Generalized Demand Densities for Retail Price Investigation. American Journal of Industrial and Business Management, 3(3), pp. 279-294. doi: 10.4236/ajibm.2013.33034
Thomas, P. and Chrystal, A. (2013). Using Relative Utility Pricing to Explain Multibuy Prices in Supermarkets and on the Internet. American Journal of Industrial and Business Management, 03(08), pp. 687-699. doi: 10.4236/ajibm.2013.38078
Thomas, S., Clare, A. and Motson, N. (2013). An Evaluation of Alternative Equity Indices - Part 2: Fundamental Weighting Schemes. London: SSRN.
Thuring, Fredrik (2012). Multivariate credibility with application to cross-selling financial services products. (Unpublished Doctoral thesis, City University London)
Tian, H., Yim, A. ORCID: 0000-0002-8063-6572 and Newton, D. (2020).
Tail-Heaviness, Asymmetry, and Profitability Forecasting by Quantile Regression.
Management Science,
Tian, S. and Moeller, S. (2017). You can make the jump, but can you stick the landing? Private equity goes international. (MARC Working Paper Series 2017).
Tian, S. and Tran, A. ORCID: 0000-0001-7090-8063 (2019).
Cross-border Buyout Performance.
City, University of London.
Tian, Siyang (2018). Essays in empirical corporate finance. (Unpublished Doctoral thesis, City, University of London)
Timmermann, A. and Blake, D. ORCID: 0000-0002-2453-2090 (2000).
International Investment Performance: Evidence from Institutional Investors’ Foreign Equity Holdings (PI-0008).
London, UK: Pensions Institute.
Todorovic, N. (2001). Equity investment styles. (Unpublished Doctoral thesis, City University London)
Tran, A. and Chbihi, R. (2018). Cross-Fertilising in Cross-sector Deals: The Value of Industry Experience of Target Firms’ CEOs. (MARC Working Paper Series 2018).
Tran, A. and Jeon, B. (2011). The dynamic impact of macroeconomic factors on initial public offerings: evidence from time-series analysis. Applied Economics, 43(23), pp. 3187-3201. doi: 10.1080/00036840903493267
Trapani, L. (2014). Chover-type laws of the k-iterated logarithm for weighted sums of strongly mixing sequences. Journal of Mathematical Analysis and Applications, 420(2), pp. 908-916. doi: 10.1016/j.jmaa.2014.06.042
Trapani, L. (2014). Comments on: Extensions of some classical methods in change point analysis. TEST, 23(2), pp. 283-286. doi: 10.1007/s11749-014-0367-5
Trapani, L. (2013). On bootstrapping panel factor series. Journal of Econometrics, 172(1), pp. 127-141. doi: 10.1016/j.jeconom.2012.09.001
Trapani, L. (2012). On the asymptotic t-test for large nonstationary panel models. Computational Statistics & Data Analysis, 56(11), pp. 3286-3306. doi: 10.1016/j.csda.2011.03.004
Trapani, L. (2016). Testing for (in)finite moments. JOURNAL OF ECONOMETRICS, 191(1), pp. 57-68. doi: 10.1016/j.jeconom.2015.08.006
Trapani, L. (2015). Testing for Exogeneity in Cointegrated Panels. Oxford Bulletin of Economics and Statistics, 77(4), pp. 475-494. doi: 10.1111/obes.12072
Trapani, L. (2017). A randomised sequential procedure to determine the number of factors. Journal of the American Statistical Association, doi: 10.1080/01621459.2017.1328359
Trapani, L. and Urga, G. (2010). Micro versus macro cointegration in heterogeneous panels. Journal of Econometrics, 155(1), pp. 1-18. doi: 10.1016/j.jeconom.2009.07.005
Trapani, L. and Urga, G. (2009). Optimal forecasting with heterogeneous panels: A Monte Carlo study. International Journal of Forecasting, 25(3), pp. 567-586. doi: 10.1016/j.ijforecast.2009.02.001
Tropeano, D. (2013). Financial Fragility in the Current European crisis (2013-09). London, UK: City Political Economy Research Centre (CITYPERC) Working Papers, Department of International Politics, City University London.
Tsanakas, A. (2016). Making a Market for Acts of God: The Practice of Risk-Trading in the Global Reinsurance Industry. Journal Of Risk And Insurance, 83(2), pp. 501-504. doi: 10.1111/jori.12160
Tsanakas, A. (2007). To split or not to split: Capital allocation with convex risk measures (Actuarial Research Paper No. 184). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Tsanakas, A. ORCID: 0000-0003-4552-5532 and Cabantous, L. ORCID: 0000-0003-3533-1208 (2020).
COMMENTARY: Catastrophe modelling and metaphors in financial markets: COMMENTARY ON "perils of catastrophe bonds" by Etzion, Kypraios, and Forgues.
Academy of Management Discoveries,
doi: 10.5465/amd.2020.0006
Tsanakas, A. and Millossovich, P. (2016). Sensitivity analysis using risk measures. Risk Analysis: an international journal, 36(1), pp. 30-48. doi: 10.1111/risa.12434
Tyson, J. and Shabani, M. (2013). Sizing the European Shadow Banking System: A New Methodology (2013-01). London, UK: City Political Economy Research Centre (CITYPERC), Department of International Politics, City University London.
Ulloa, Barbara (2013). Essays on international finance. (Unpublished Doctoral thesis, City University London)
Urga, G., Akgun, O. and Pirotte, A. (2020). Forecasting Using Heterogeneous Panels with Cross-Sectional Dependence. International Journal of Forecasting, doi: 10.1016/j.ijforecast.2019.11.007
Urga, G., Bellavite Pellegrini, C. and Meoli, M. (2017). Money Market Funds, Shadow Banking and Systemic Risk in United Kingdom. Finance Research Letters, doi: 10.1016/j.frl.2017.02.002
Urga, G., Ghalanos, A. and Rossi, E. (2015). Independent Factor Autoregressive Conditional Density Model. Econometric Reviews, 34(5), pp. 594-616. doi: 10.1080/07474938.2013.808561
Urga, G., Leong, S. H. and Bellavite Pellegrini, C. (2019). The Contribution of Shadow Insurance to Systemic Risk?. .
Vamvakas, Orestis Georgios (2015). Fixed income portfolio construction: a Bayesian approach for the allocation of risk factors. (Unpublished Doctoral thesis, City University London)
Vasileva, Kristina (2011). Foreign direct investment – a behavioural finance approach. (Unpublished Doctoral thesis, City University London)
Velmachos, D. and Haberman, S. (1999). Moving average models for interest rates applications to life insurance mathematics (Actuarial Research Paper No. 119). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Vergottis, A.R. (1989). An econometric model of the world shipping markets. (Unpublished Doctoral thesis, City University London)
Vermaak, L. (1994). New product development in financial services companies: the role of the corporate centre. (Unpublished Doctoral thesis, City University London)
Verrall, R. J. (2001). A Bayesian generalised linear model for the Bornhuetter-Ferguson method of claims reserving (Actuarial Research Paper No. 139). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Verrall, R. J. (1996). A unified framework for graduation (Actuarial Research Paper No. 91). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Verrall, R. J. and Haberman, S. (2011). Automated Graduation using Bayesian Trans-dimensional Models. Annals of Actuarial Science, 5(2), pp. 231-251. doi: 10.1017/S1748499511000248
Verrall, R. J., Hossjer, O. and Bjorkwall, S. (2012). Modelling Claims Run-off with Reversible Jump Markov Chain Monte Carlo Methods. ASTIN Bulletin, 42(1), pp. 35-58.
Verrall, R. J. and Liu, H. (2010). Bootstrap Estimation of the Predictive Distributions of Reserves using Paid and Incurred Claims. Paper presented at the ASTIN Colloquium 2008, 13-16 Jul 2008, Manchester, UK.
Verrall, R. J., Nielsen, J. P. and Jessen, A. H. (2010). Prediction of RBNS and IBNR claims using claim amounts and claim counts. ASTIN Bulletin, 40(2), pp. 871-887.
Verrall, R. J. and Wüthrich, M. V. (2012). Reversible jump Markov chain Monte Carlo method for parameter reduction in claims reserving. North American Actuarial Journal, 16(2), pp. 240-259. doi: 10.1080/10920277.2012.10590639
Verrall, R. J. and Yakoubov, Y. H. (1998). A fuzzy approach to grouping by policyholder age in general insurance (Actuarial Research Paper No. 104). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Villegas Ramirez, Andres (2015). Mortality: modelling, socio-economic differences and basis risk. (Unpublished Doctoral thesis, City University London)
Visvikis, I.D. (2002). An econometric analysis of the forward freight market. (Unpublished Doctoral thesis, City University London)
Vitkova, V. (2015). Essays on Mergers and Acquisitions. (Unpublished Doctoral thesis, City, University of London)
Vitkova, V., Golubov, A. and Lasfer, M. (2018). Are they Listening? An M&A Approach to Dividend Catering. (MARC Working Paper Series 2018).
Vitkova, V. and Koh, K. Y. Q. (2016). Does the Early Bird Always get the Worm?. London, UK: M&A Research Centre, Cass Business School, City, University of London.
Vitkova, V. and Krsticevic, Z-L. (2017). The Goldilocks Effect: Industry-relatedness and M&A. (MARC Working Paper Series 2017).
Vitkova, V. and Rosenberg, M. (2018). Playing the long game: Do certain financial advisors in the UK bring longer term value to the M&A table?. (MARC Working Paper Series 2018).
Vitkova, V. and Tian, S. (2018). How, and when, to catch a falling knife: The Benefits, Risks, and Timing Issues Around Distressed M&A. (MARC Working Paper Series 2018).
Vitkova, V., Tian, S. and Sudarsanam, S. (2017). Let's Stay in Touch: The Carve-out Option for Conglomerates. (MARC Working Paper Series 2017).
van Laer, T. and Lurie, I. (2018). The Seven Stages of the Digital Marketing Cycle. In: Contemporary Issues in Digital Marketing: New Paradigms, Perspectives and Practices. (pp. 115-142). Farringdon: Libri Publishing. ISBN 9781911450238
van Laer, T., de Ruyter, K., Visconti, L. M. and Wetzels, M. (2014). The Extended Transportation-Imagery Model: A Meta-Analysis of the Antecedents and Consequences of Consumers’ Narrative Transportation. Journal of Consumer Research, 40(5), pp. 797-817. doi: 10.1086/673383
Walby, S. (2013). Finance versus democracy?: theorizing finance in society. Work, Employment and Society, 27(3), pp. 489-507. doi: 10.1177/0950017013479741
Walsh, D. E. P. and Rickayzen, B. D. (2000). A model for projecting the number of people who will require long-term care in the future. Part I: data considerations (Actuarial Research Paper No. 123). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Walsh, D. E. P. and Rickayzen, B. D. (2000). A model for projecting the number of people who will require long-term care in the future. Part III: the projected numbers and the funnel of doubt (Actuarial Research Paper No. 125). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Wang, N. (2004). An asset allocation strategy for risk reserve considering both risk and profit (Actuarial Research Paper No. 158). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Webb, R., Watson, D., Ring, P. and Bryce, C. ORCID: 0000-0002-9856-7851 (2014).
Pension Confusion, Uncertainty and Trust in Scotland: An Empirical Analysis.
Journal of Social Policy, 43(03),
pp. 595-613.
doi: 10.1017/S0047279414000051
Weiss-Cohen, L., Ayton, P. ORCID: 0000-0003-2285-4608 and Clacher, I. (2019).
Extraneous menu-effects influence financial decisions made by pension trustees.
Economics Letters,
108895..
doi: 10.1016/j.econlet.2019.108895
Willmott, H. ORCID: 0000-0003-1321-7041 (2016).
Interrogating the crisis: financial instruments, public policy and corporate governance.
In: Erturk, I. and Gabor, D. (Eds.),
The Routledge Companion to Banking Regulation and Reform.
(pp. 84-108). Oxford, UK: Routledge.
ISBN 9780415855938
Wing-Keung Lo, K. (2000). Export growth, economic growth and real exchange rate in Indonesia. (Unpublished Doctoral thesis, City University London)
Wolstenholme, L. C. (1997). A characterisation of phase type distributions (Statistical Research Paper No. 18). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Wouters, J. and Odermatt, J. ORCID: 0000-0002-6073-3033 (2014).
Comparing the 'Four Pillars' of Global Economic Governance: A Critical Analysis of the Institutional Design of the FSB, IMF, World Bank, and WTO.
Journal of International Economic Law, 17(1),
pp. 49-76.
doi: 10.1093/jiel/jgu008
Wright, I. D. (1998). A stochastic approach to pension scheme funding (Actuarial Research Paper No. 112). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Wright, I. D. (1998). A stochastic asset model using vector auto-regression (Actuarial Research Paper No. 108). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Wu, E., Erdem, M., Kalotychou, E. and Remolona, E. (2016). The anatomy of sovereign risk contagion. Journal of International Money and Finance, 69, pp. 264-286. doi: 10.1016/j.jimonfin.2016.07.002
Wu, Y. and Li, Y. (2018). Impact of government intervention in the housing market: evidence from the housing purchase restriction policy in China. Applied Economics, 50(6), pp. 691-705. doi: 10.1080/00036846.2017.1340569
Wu, Y. and Lux, N. (2018). U.K. House Prices: Bubbles or Market Efficiency? Evidence from Regional Analysis. Journal of Risk and Financial Management, 11(3), doi: 10.3390/jrfm11030054
Wu, Y., Sah, V. and Tidwell, A. (2016). Housing Preferences of Asian and Hispanic/Latino Immigrants in the United States: A Melting Pot or Salad Bowl. Real Estate Economics, doi: 10.1111/1540-6229.12178
Wu, Y. and Tidwell, A. (2015). Inflation-hedging properties of regional Chinese real estate market: evidence from 35 cities in China. Applied Economics, 47(60), pp. 6580-6598. doi: 10.1080/00036846.2015.1080811
Yakoubov, Y. H. and Haberman, S. (1998). Review of actuarial applications of fuzzy set theory (Actuarial Research Paper No. 105). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Yan, C., Phylaktis, K. and Fuertes, A. (2016). On Cross-Border Bank Credit and the U.S. Financial Crisis Transmission to Equity Markets. Journal of International Money and Finance, 69, pp. 108-134. doi: 10.1016/j.jimonfin.2016.06.014
Yan, Cheng (2015). Essays in International Finance: International Capital Flows, Equity and FX markets. (Unpublished Doctoral thesis, City University London)
Yiannakas, A. (2000). Outsourcing the internal audit function with special reference to the UK public and private sectors. (Unpublished Doctoral thesis, City University London)
Yim, A. (2012). Are Positive Reactions to Bad News Plausible? The Consideration of Fraud Detection in Audit and Reporting Delays. SSRN: SSRN Working Paper.
Yim, A. (2009). Efficient Committed Budget for Implementing Target Audit Probability for Many Inspectees. Management Science, 55(12), pp. 2000-2018. doi: 10.1287/mnsc.1090.1083
Yim, A. (2014). Mixture and Continuous 'Discontinuity' Hypotheses: An Earnings Management Model with Auditor-Required Adjustment. SSRN: SSRN Working Paper.
Yim, A. (2001). Renegotiation and Relative Performance Evaluation: Why an Informative Signal may be Useless. Review of Accounting Studies, 6(1), pp. 77-108. doi: 10.1023/A:1011386104784
Yin, C., Ward, C. and Tsolacos, S. (2018). Motivated monitoring: The importance of the institutional investment horizon. International Review of Financial Analysis, 60, pp. 197-212. doi: 10.1016/j.irfa.2018.08.011
Zagonov, Maxim (2011). Financial intermediation and interest rate risk. (Unpublished Doctoral thesis, City University London)
Zenonos, M. (2003). The dividend policy in Europe : the cases of the UK, Germany, France and Italy. (Unpublished Doctoral thesis, City University London)
Zerbinati, S. and Massey, A. (2008). Italian and English local funding networks: Is there a winning formula?. Local Government Studies, 34(1), pp. 81-104. doi: 10.1080/03003930701770504
Zhang, Hao (2013). PhD thesis on liquidity of bond market. (Unpublished Doctoral thesis, City University London)
Zhang, J., Souitaris, V., Soh, P-H. and Wong, P-K. (2008). A contingent model of network utilization in early financing of technology ventures. Entrepreneurship Theory And Practice, 32(4), pp. 593-613. doi: 10.1111/j.1540-6520.2008.00244.x
Zhao, Gang (2013). The risk-related behaviour of financial intermediaries. (Unpublished Doctoral thesis, City University London)
Zhou, F., Petratos, P. and Sandberg, A. (2018). Cyber Insurance. In: Carayannis, E. G., Campbell, D. F. J. and Efthymiopoulos, M. P. (Eds.), Handbook of Cyber-Development, Cyber-Democracy, and Cyber-Defense. (pp. 809-836). Cham: Springer. ISBN 978-3-319-09068-9
Zhu, R., Wang, Z., Sogi, N., Fukui, K. and Xue, J-H. (2019). A Novel Separating Hyperplane Classification Framework to Unify Nearest-class-model Methods for High-dimensional Data. IEEE Transactions on Neural Networks and Learning Systems, doi: 10.1109/TNNLS.2019.2946967
Zhu, Xingchen (2019). Essays on information and corporate finance. (Unpublished Doctoral thesis, City, University of London)
Zincenko, F., Sosa-Escudero, W. and Montes-Rojas, G. (2014). Robust tests for time-invariant individual heterogeneity versus dynamic state dependence. Empirical Economics, 47(4), pp. 1365-1387. doi: 10.1007/s00181-013-0788-0
Černý, A. (2016). Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model. In: Kallsen, J and Papapantoleon, A (Eds.), UNSPECIFIED (pp. 257-275). Springer. ISBN 3319458736
Černý, A. (2004). Dynamic Programming and Mean-Variance Hedging in Discrete Time. Applied Mathematical Finance, 11(1), pp. 1-25. doi: 10.1080/1350486042000196164
Černý, A. (2003). Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets. Review of Finance, 7(2), pp. 191-233. doi: 10.1023/A:1024568429527
Černý, A. (2004). Introduction to Fast Fourier Transform in Finance. Journal of Derivatives, 12(1), pp. 73-88.
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. and Kallsen, J. (2009). Hedging by sequential regressions revisited. Mathematical Finance, 19(4), pp. 591-617. doi: 10.1111/j.1467-9965.2009.00381.x
Černý, A. and Kallsen, J. (2008). Mean-variance hedging and optimal investment in Heston's model with correlation. Mathematical Finance, 18(3), pp. 473-492. doi: 10.1111/j.1467-9965.2008.00342.x
Černý, A. and Kyriakou, I. (2010). An improved convolution algorithm for discretely sampled Asian options. Quantitative Finance, 11(3), pp. 381-389. doi: 10.1080/14697680903397667
Černý, A. ORCID: 0000-0001-5583-6516 and Melicherčík, I. (2019).
Simple Explicit Formula for Near-Optimal Stochastic Lifestyling.
European Journal of Operational Research, 284(2),
pp. 769-778.
doi: 10.1016/j.ejor.2019.12.032
Černý, A. and Ruf, J. Finance Without Brownian Motions: An Introduction To Simplified Stochastic Calculus. .