Research
Working Papers
THOMAS FLURY
Bayesian inference based only on simulated likelihood:
particle filter analysis of dynamic economic models
Thomas Flury and Neil Shephard (2008)
NATHANIEL FRANK
Transmission of Liquidity Shocks: Evidence
from the 2007 Subprime Crisis Nathaniel Frank, Brenda Gonzalez-Hermosillo and Heiko Hesse (2008)
Linkages Between Asset Classes During the Financial Crisis, Accounting for Market Microstructure Noise and Non-Synchronous Trading Nathaniel Frank (2009)
MICHAEL B. GILES
Monte Carlo evaluation of sensitivities in computational finance Michael B. Giles (2007)
On the utility of graphics cards to perform massively parallel
simulation with advanced Monte Carlo Methods
Anthony Lee, Christopher Yau, Michael B. Giles, Arnaud Doucet and Christopher C. Holmes
LAJOS GERGELY GYURKÓ
Rough Paths based Numerical Algorithms in Computational Finance Lajos Gergely Gyurkó and T.J. Lyons (2008)
VICKY HENDERSON
Prospect Theory, Partial Liquidation and the Disposition Effect
Vicky Henderson (2009)
Risk Aversion, Indivisible Timing Options and Gambling
Vicky Henderson and David Hobson(2009)
CHRIS HOLMES
Two-sample Bayesian nonparametric hypothesis testing
C. C. Holmes, F. Caron, J. E. Griffin and D. A. Stephens (2009)
A decision theoretic approach for segmental classification using Hidden Markov models Christopher Yau and Christopher C. Holmes (2009)
On the utility of graphics cards to perform massively parallel
simulation with advanced Monte Carlo Methods
Anthony Lee, Christopher Yau, Michael B. Giles, Arnaud Doucet and Christopher C. Holmes
AREND JANSSEN
Arbitrage in order driven markets
Arend Janssen (2009)
JEREMY LARGE
Ergodic Equilibria in Stochastic Sequential Games
Jeremy Large and Thomas W. L. Norman(2009)
A Market-Clearing Role for Inefficiency on a Limit Order Book Jeremy Large (2008)
ANTHONY LEDFORD
An alternative point process framework for modelling multivariate extreme values
Alexandra Ramos, Anthony Ledford (2009)
A new class of models for bivarate joint tails
Alexandra Ramos and Anthony Ledford (2008)
ANTHONY LEE
On the utility of graphics cards to perform massively parallel
simulation with advanced Monte Carlo Methods
Anthony Lee, Christopher Yau, Michael B. Giles, Arnaud Doucet and Christopher C. Holmes
GECHUN LIANG
A Modified Structural Model for Credit Risk – Utility Indifference Valuation Gechun Liang and Lishang Jiang (2008)
TERRY LYONS
A personal perspective on Raghu Varadhan's role in the development of Stochastic Analysis
T.J.Lyons (2009)
Rough Paths based Numerical Algorthims in Computational L.G. Gyurkó and T.J.Lyons (2008)
JAN OBLOJ
Robust pricing and hedging of double no-touch
options Alexander M. G. Cox and Jan Oblój (2009)
On Azema-Yor Processes, their Optimal Properties and the Bachelier-Drawdown Equation
Laurent Carraro, Nicole El Karoui and Jan Obloj (2009)
ANDREW J PATTON
Volatility forecast comparison using imperfect volatility proxies Andrew J. Patton (2007)
Time-varying liquidity in hedge fund returns Sheng Li and Andrew J. Patton (2007)
Evaluating Volatility and Correlation Forecasts
Andrew J. Patton and Kevin Sheppard (2007)
Copula-Based Models for Financial Time Series
Andrew J. Patton (2007)
Leaning in Real Time: Theory and empircal Evidence from the Term Structure of Survey Forecasts Andrew J. Patton and Timmermann (2008)
Portfolio Sorts and Tests of Cross-Sectional Patterns in Expected Returns Andrew J. Patton and Allan Timmermann (2008)
STEPHEN ROBERTS
Multivariate Time Series Forecasting in Incomplete Environments Seung Min Lee and Stephen Roberts (2009)
NEIL SHEPHARD
Income Contingent Tuition Fees fo Universities Neil Shephard (2009)
Nuisance Parameters, Composite Likelihoods and a Panel of GARCH Models Cavit Pakel, Neil Shephard, Kevin Shephard (2009)
Bayesian inference based only on simulated likelihood:
particle ¯lter analysis of dynamic economic models
Thomas Flury and Neil Shephard (2008)
Modelling and measuring volatility Ole E. Barndorff-Nielsen and Neil Shephard (2008)
Fitting vast dimensional time-varying covariance models Robert F. Engle, Neil Shephard and Kevin Sheppard (2008)
Stochastic Volatility: Origins and Overview
Neil Shepard and Torben G.Andersen (2008)
The ACR Model: A Multivariate Dynamic Mixture Autoregression Frédérique Bec, Anders Rahbek, Neil Shephard (2007)
Testing the assumptions behind importance sampling
Siem Jan Koopman, Neil Shephard and Drew Creal (2007)
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
Ole E. Barndorff-Nielsen, Peter Hansen, Asger Lunde and Neil Shephard (2007)
Measuring down-side risk-realised semivariance
Ole E. Barndorff-Nielsen, Silja Kinnebrock, Neil Shephard
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading Ole E. Barndorff-Nielsen, Peter Hansen, Asger Lunde and Neil Shephard (2008)
KEVIN SHEPPARD
Nuisance Parameters, Composite Likelihoods and a Panel of GARCH Models Cavit Pakel, Neil Shephard, Kevin Shephard (2009)
Fitting vast dimensional time-varying covariance models Robert F. Engle, Neil Shephard and Kevin Sheppard (2008)
Evaluating Volatility and Correlation Forecasts
Andrew J. Patton and Kevin Sheppard (2007)
OTHER
The Hedge Fund Game: Incentives, Excess Returns, and Piggy-Backing Dean P. Foster and H. Peyton Young (2008)
