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Items where Author is "Constantinou, Nick"

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Wang, Hengxu and O'Hara, John G and Constantinou, Nick (2015) 'A path-independent approach to integrated variance under the CEV model.' Mathematics and Computers in Simulation, 109. 130 - 152. ISSN 0378-4754

Castellanos, Jenny and Constantinou, Nick and Ng, Wing Lon (2015) 'The signalling properties of the shape of the credit default swap term structure.' Journal of Risk, 17 (4). pp. 71-99. ISSN 1465-1211

Rayner, Neil and Phelps, Steve and Constantinou, Nick (2014) 'Learning is neither sufficient nor necessary: An agent-based model of long memory in financial markets.' AI Communications, 27 (4). pp. 437-452. ISSN 0921-7126

Marzano, Michele and Dunn, Gary and Constantinou, Nick (2014) 'The relationship between credit default swap spreads and equity prices.' Journal of Risk, 17 (1). pp. 3-28. ISSN 1465-1211

Giampaoli, Iacopo and Ng, Wing Lon and Constantinou, Nick (2013) 'Periodicities of Foreign Exchange Markets and the Directional Change Power Law.' Intelligent Systems in Accounting, Finance and Management, 20 (3). pp. 189-206. ISSN 1099-1174

Rayner, Neil and Phelps, Steve and Constantinou, Nick (2013) 'Testing Adaptive Expectations Models of a Continuous Double Auction Market against Empirical Facts.' In: Esther, David and Valentin, Robu and Onn, Shehory and Sabastian, Stein and Andreas, Symeonidis, (eds.) Agent-Mediated Electronic Commerce. Designing Trading Strategies and Mechanisms for Electronic Markets. Lecture Notes in Business Information Processsing (119). Springer, Berlin, pp. 44-56. ISBN 9783642348884

Khuman, Anil and Phelps, Steve and Constantinou, Nick (2012) Constant Proportion Portfolio Insurance Strategies under Cumulative Prospect Theory with Reference Point Adaptation. Working Paper. EBS Working Papers, Colchester.

Rayner, Neil and Phelps, Steve and Constantinou, Nick (2012) 'Learning is neither sufficient nor necessary.' In: UNSPECIFIED, (ed.) Proceedings of the 13th International Conference on Electronic Commerce - ICEC '11. Association for Computing Machinery (ACM), New York, pp. 1-10. ISBN 9781450314282

Díaz Hernández, Adán and Constantinou, Nick (2011) 'A Multiple Regime Nonlinear Asymmetric AR(p)-GARCH(1,1) Model.' SSRN Risk Management eJournal. ISSN 1556-5068

Constantinou, Nick and Utrilla, Jose Molina (2010) Could the subprime crisis have been predicted? A mortgage risk modeling approach. Working Paper. EBS Working Papers, Colchester.

Constantinou, Nick and Giampaoli, Iacopo and Ng, Wing Lon (2010) Periodicities of FX Markets in Intrinsic Time. Working Paper. EBS Working Papers, Colchester.

Constantinou, Nick and Hernandez, Adán Díaz (2010) A multiple regime nonlinear asymmetric AR(p)-GARCH(1,1) model. Working Paper. EBS Working Papers, University of Essex, Colchester.

Giampaoli, Iacopo and Constantinou, Nick and Ng, Wing Lon (2009) 'Analysis of ultra-high-frequency financial data using advanced Fourier transforms.' Finance Research Letters, 6 (1). pp. 47-53. ISSN 1544-6123

Constantinou, Nick and Khuman, Anil (2009) How does CPPI perform against the simplest guarantee strategies? Working Paper. Finance Discussion Papers, Colchester.

Takeyama, Azusa and Constantinou, Nick and Vinogradov, Dmitri Credit Risk Contagion and the Global Financial Crisis. [UNSPECIFIED]

Takeyama, Azusa and Constantinou, Nick and Vinogradov, Dmitri A Framework for Extracting the Probability of Default from Stock Option Prices. [UNSPECIFIED]

This list was generated on Mon Oct 25 01:34:35 2021 BST.