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Recent Submissions

  • Cojumping: Evidence from the US Treasury Bond and Futures Market 

    Dungey, Mardi; Hvozdyk, Lyudmyla (2011-02)
    The basis between spot and future prices will be affected by jump behavior in each asset price, challenging intraday hedging strategies. Using a formal cojumping test this paper considers the cojumping behaviour of spot ...
  • The Term Premium and The UK Economy 1980-2007 

    Dungey, Mardi; Vehbi, M Tugrul (2010)
    The term premium is estimated from an empirically coherent open economy VAR model of the UK economy where the model specifically accounts for the mixed nature of the data and cointegration between some variables. Using ...
  • An empirical analysis of subprime consumer credit demand 

    Alan, Sule; Lóránth, Gyöngyi (2010)
    We test the interest rate sensitivity of subprime credit card borrowers using a unique panel data set from a UK credit card company. What is novel about our contribution is that we were given details of a randomized interest ...
  • On strategic default and liquidity risk 

    Tambakis, Demosthenes N (CFAP, Cambridge Judge Business School, University of Cambridge, 2002)
    How does the uncertain provision of external finance affect investment projects' default probability and liquidity risk? In this paper, I study the strategic interaction between many creditors and a single borrower in the ...

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