Stochastic processes induced by Dirichlet (B-) splines: modelling multivariate asset price dynamics

We consider a new class of processes, called LG processes, defined as linear combinations ofindependent gamma processes. Their distributional and path-wise properties are explored by following their relation to polynomial and Dirichlet (B-) splines. In particular, it is shown that the density of an LG process can be expressed in terms of Dirichlet (B-) splines, introduced independently by Ignatov and Kaishev (1987, 1988, and 1989) and Karlin et al. (1986).

Updated: 22/09/2011
Comments:
Views: 6,263

Momentum profits, non-normality risks and the business cycle

This paper investigates the extent to which the profitability of momentum strategies is a compensation for exposure to systematic departures from normality. We document that winner returns are more negatively skewed than loser returns, and that the winners exhibit higher positive kurtosis than the losers.

Updated: 24/10/2011
Comments:
Views: 5,467

Unlocking the potential of the UK’s hidden Innovators

Author(s):

Julie Logan

 et al.

The study set out to investigate trigger points for innovation, how these could become more effective, and how entrepreneurial success in the UK's minority cultures and groups could be transferred more widely within these groups and to UK society as a whole.

Updated: 22/09/2011
Comments:
Views: 5,912

Tactical allocation in commodity futures markets: combining momentum and term structure signals

This paper examines the combined role of momentum and term structure signals for the design of profitable trading strategies.

Updated: 05/01/2015
Comments: 8
Views: 7,759

The accounting statements of global financial institutions and the recent crisis

Author(s):

Alistair Milne

Topic:
Accounting
Industry:
Banking

The paper looks at major issues associated with accounting policies and standards which affected the banking sector in the run-up to the financial crisis.

Updated: 21/10/2011
Comments:
Views: 5,452

Auditor independence and the cost of capital before and after Sarbanes–Oxley: the case of newly issued public debt

Author(s):

Gilad Livne

 et al.
Topic:
Finance
Industry:
Banking

An important aim of the Sarbanes-Oxley Act (SOX) was to reduce the cost of capital by enhancing auditor independence. We contribute to this debate by first providing evidence suggesting that auditor independence has increased following SOX.

Updated: 24/10/2011
Comments:
Views: 5,739

Project portfolio management: prioritising resources for change

Author(s):

Chris Storey

 et al.
Topic:
Finance
Industry:
Banking

This research project investigated the attitudes, approach and practices geared towards project portfolio management in 24 leading financial service companies.

Updated: 05/01/2015
Comments: 7
Views: 7,454

Developing a risk rating methodology

This report provides the guidelines necessary for standardising the measurement of risk so that it can be applied to make meaningful comparisons between one fund and another.

Updated: 01/01/2015
Comments: 16
Views: 19,006

Limited liability non-bank government debt for the Eurozone

Author(s):

Alistair Milne

Industry:
Banking

This paper examines the weaknesses in the operation of the European single currency and makes proposals for correcting them.

Updated: 24/10/2011
Comments:
Views: 6,527