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Manchester Business School Working Paper Series, The University of Manchester

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Showing items 1-21 of 104.

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DateTitle Authors
2014 How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returnsKonstantinidi, Eirini / Skiadopoulos, George
2013 Variance swap premium under stochastic volatility and self-exciting jumpsChen, Ke / Poon, Ser-Huang
2013 Playing for high steaks: Market structure and purchaser-led sustainbaility initiatives in the UK beef sectorFoster, Chris / Gee, Sally
2013 Do we need non-linear models to predict REIT returns?Case, Brad / Guidolin, Massimo / Yildirim, Yildiray
2013 An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paidBerwart, Erik / Guidolin, Massimo / Milidonis, Andreas
2013 Consistent pricing and hedging volatility derivatives with two volatility surfacesChen, Ke / Poon, Ser-Huang
2013 Multi-level Monte Carlo simulations with importance samplingStilger, Przemyslaw Stan / Poon, Ser-Huang
2013 Managing portfolio risk using multivariate extreme value methodsHilal, Sawson / Poon, Ser-Huang / Tawn, Jonathan
2012 High frequency trading and mini flash crashesGolub, Anton / Keane, John / Poon, Ser Huang
2012 An exploratory review of the design literature: Gaps and avenues for future researchD'Ippolito, Beatrice
2012 A MIOIR case study on public procurement and innovation: DWP work programme procurement - Delivering innovation for efficiencies or for claimants?Maddock, Su
2012 Understanding the emergence of STI policies in the EU: The genesis of EU security research and the role of the EU commission as policy entrepreneurEdler, Jakob / James, Andrew D.
2012 Linear predictability vs. bull and bear market models in strategic asset allocation decisions: Evidence from UK dataGuidolin, Massimo / Hyde, Stuart
2011 Capitalism and evolutionMetcalfe, Stan
2011 The practice of evaluation in innovation policy in EuropeEdler, Jakob / Berger, Martin / Dinges, Michael / Gök, Abdullah
2011 Bayesian multi-factor model of instability in prices and quantities of risk in U.S. financial marketsGuidolin, Massimo / Ravazzolo, Francesco / Tortora, Andrea Donato
2011 The use of behavioural additionality in innovation policy-makingGök, Abdullah / Edler, Jakob
2011 Optimal consumption and portfolio choice under ambiguity for a mean-reverting risk premium in complete marketsLiu, Hening
2011 Ambiguity and equity premium in production economiesJahan-Parvar, Mohammad R. / Liu, Hening
2011 What drives bidder cash reserve effects in acquisitions: Agency conflicts or precautionary motive?Gao, Ning
2011 Market liquidity and institutional trading during the 2007 - 8 financial crisisPoon, Ser-Huang / Rockinger, Michael / Stathopoulos, Konstantinos
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