47. Gerlach, R., Bird, R. and Hall, A. D., "A Bayesian Approach to Variable Selection in Logistic Regression with Application to Predicting Earnings Direction from Accounting Information", October 2000. Now published in Australian and New Zealand Journal of Statistics, 44 (2002) 155-168.
(235 Kb)
Abstract

46. Böhm, V. and Chiarella, C., "Mean Variance Preferences, Expectations Formation and the Dynamics of Random Asset Prices", October 2000.
(627 Kb)
Abstract

45. Platen, E., "Risk Premia and Financial Modelling Without Measure Transformation", September 2000.
(228 Kb)
Abstract

44. Küchler, U. and Platen, E., "Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay", September 2000. Now published in Mathematics and Computers in Simulation, 54 (2000) 189-205.
(276 Kb)
Abstract

43. Chiarella, C. and Kwon, O., "A Complete Stochastic Volatility Model in the HJM Framework", July 2000.
(123 Kb)
Abstract

42. Bhar, R. and Chiarella, C., "Inferring Forward Looking Financial Market Risk Premia from Derivatives Prices", April 2000.
(84 Kb)
Abstract

41. Bhar, R., Chiarella, C. and Pham, T., "Modeling the Currency Forward Risk Premium: Theory and Evidence", April 2000.
(125 Kb)
Abstract

40. Dunn, T., Schlögl, E. and Barton, G., "Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model", March 2000. Now published in International Journal of Theoretical and Applied Finance 4 (2001) 677-709.
(380 Kb)
Abstract

39. Chiarella, C., Craddock, M. and El-Hassan, N., "The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology", March 2000.
(218 Kb)
Abstract

38. Lin, S. and Yang, J., "Examining Intraday Returns with Buy/Sell Information", March 2000.
(291 Kb)
Abstract

37. Chiarella, C. and He, X., "Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning", March 2000
(2.0 Mb)
Abstract

36. Bhar, R., Chiarella, C., El-Hassan, N. and Zheng, X., "The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Options", March 2000.
(132 Kb)
Abstract

35. Chiarella, C. and He, X., "Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker", March 2000. Now published in Macroeconomic Dynamics, forthcoming (2003).
Latest version available in PS format.
(6.3 Mb)
Abstract

34. Chiarella, C. and Kwon, O., "A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility", March 2000.
(177 Kb)
Abstract

33. Kofman, P. and Sharpe, I., "Imputation Methods for Incomplete Dependent Variables in Finance", March 2000.)
Abstract

32. Forbes, C. and Kofman, P., "Bayesian Target Zones", March 2000.)
Abstract

31. Hall A. D., Hwang, S. and Satchell, S. E., "Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return", March 2000.
(324 Kb)
Abstract