Books in the Financial Economics and Quantitative Analysis Series series

Offers a comprehensive look at the UK monetary policies between 1974 and 1997, and discusses the events, idiosyncrasies, and decisions that have encompassed policy making and policy breaking within the UK. This book shows how and why the monetary regimes changed over the period, and how and why the monetary authorities took the decisions they did.

This volume focuses on the following three themes: model and forecast combinations; structural change and long memory; and controlling downside risk and investment strategies.

The authors reconsider the problem of parametrically specifying distribution suitable for asset--return models. They describe alternative distributions, showing how they can be estimated and applied to stock--index and exchange--rate data. The implications for options pricing are also investigated.

This book offers solutions to the problems commonly encountered by economists trying to squeeze information out of partial or incomplete data--which is usually what they have to work with.

Today s financial markets are characterised by a large number of participants, with different appetites for risk, different time horizons, different motivations and reactions to unexpected news.

This text focuses on the issue of non-linear modelling of high frequency financial data. Non-linearity refers to situations in which there is a high degree of apparent randomness to the way in which a particular financial measure, price, interest rate, or exchange rate moves with time.

This text discusses, through a blend of theory and empirical research, the modelling of financial instruments and examines the instruments that have been created over the past 20 years. The book focuses on the principles behind developing financial instruments and how the process can be modelled.