Charles Sutcliffe : Citation Profile


Are you Charles Sutcliffe?

University of Reading

9

H index

6

i10 index

187

Citations

RESEARCH PRODUCTION:

36

Articles

23

Papers

3

Books

22

Chapters

RESEARCH ACTIVITY:

   43 years (1978 - 2021). See details.
   Cites by year: 4
   Journals where Charles Sutcliffe has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 11 (5.56 %)

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   Permalink: http://citec.repec.org/psu64
   Updated: 2021-10-16    RAS profile: 2021-08-13    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Charles Sutcliffe.

Is cited by:

Tonks, Ian (4)

lucey, brian (3)

Chelley-Steeley, Patricia (3)

Magni, Carlo Alberto (2)

Pouliasis, Panos (2)

Nielsson, Ulf (2)

Sakowski, Pawel (2)

Marchioni, Andrea (2)

Gradojevic, Nikola (2)

snell, andy (2)

Nguyen, Duc Khuong (2)

Cites to:

Lo, Andrew (8)

Brooks, Chris (7)

Ang, Andrew (7)

Uppal, Raman (6)

Bekaert, Geert (6)

Huffman, David (6)

Zhou, Guofu (6)

Sunde, Uwe (6)

Dohmen, Thomas (6)

Falk, Armin (6)

Finkelstein, Amy (5)

Main data


Where Charles Sutcliffe has published?


Journals with more than one article published# docs
The European Journal of Finance3
Journal of Futures Markets3
Journal of Business Finance & Accounting2
Scottish Journal of Political Economy2
Intelligent Systems in Accounting, Finance and Management2
Applied Economics2
The British Accounting Review2

Working Papers Series with more than one paper published# docs
ICMA Centre Discussion Papers in Finance / Henley Business School, University of Reading13

Recent works citing Charles Sutcliffe (2021 and 2020)


YearTitle of citing document
2020Gated Neural Networks for Option Pricing: Rationality by Design. (2016). Yang, Yongxin ; Hospedales, Timothy M ; Zheng, YU. In: Papers. RePEc:arx:papers:1609.07472.

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2020Neural networks for option pricing and hedging: a literature review. (2019). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1911.05620.

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2020Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723.

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2020Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models. (2020). Leonardos, Stefanos ; Koki, Constandina ; Piliouras, Georgios. In: Papers. RePEc:arx:papers:2011.03741.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

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2020Corporate Social Responsibility Reporting: The Last 40 Years and a Path to Sharing Future Insights. (2020). Andrew, Jane ; Baker, Max. In: Abacus. RePEc:bla:abacus:v:56:y:2020:i:1:p:35-65.

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2020Comovement and Instability in Cryptocurrency Markets. (2020). De Pace, Pierangelo ; Rao, Jayant ; DePace, Pierangelo. In: Economics Department, Working Paper Series. RePEc:clm:pomwps:1012.

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2020Should investors include Bitcoin in their portfolios? A portfolio theory approach. (2020). Urquhart, Andrew ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:52:y:2020:i:4:s0890838919300605.

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2020Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors. (2020). Charfeddine, Lanouar ; Maouchi, Youcef ; Benlagha, Noureddine. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:198-217.

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2020The static and dynamic connectedness of environmental, social, and governance investments: International evidence. (2020). Kenourgios, Dimitris ; Papathanasiou, Sypros ; Umar, Zaghum. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:112-124.

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2020Which types of commodity price information are more useful for predicting US stock market volatility?. (2020). Li, Yan ; Ma, Feng ; Liang, Chao. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:642-650.

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2021Factor pricing of cryptocurrencies. (2021). CHONG, Terence Tai Leung ; Wang, Qiyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940820302308.

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2020Momentum trading in cryptocurrencies: Short-term returns and diversification benefits. (2020). Tsend-Ayush, Bayasgalan ; Kizys, Renatas ; Tzouvanas, Panagiotis. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519303647.

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2020Cryptocurrencies in institutional investors’ portfolios: Evidence from industry stop-loss rules. (2020). Biakowski, Jdrzej. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519304227.

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2020The volatility linkage between energy and agricultural futures markets with external shocks. (2020). Zeng, Hongchao ; Wu, Lei ; Jin, Jiayu ; Han, Liyan. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521918305209.

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2020Efficient willow tree method for variable annuities valuation and risk management☆. (2020). Sevic, Zeljko ; Xu, Wei ; Dong, Bing. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305149.

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2020The hedging effect of green bonds on carbon market risk. (2020). Han, Liyan ; Jin, Jiayu ; Zeng, Hongchao ; Wu, Lei. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301538.

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2021Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis. (2021). Tsagkanos, Athanasios ; Floros, Christos ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000491.

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2021Carbon-intensive industries in Socially Responsible mutual funds portfolios. (2021). Muoz, Fernando. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000831.

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2020The volatility surprise of leading cryptocurrencies: Transitory and permanent linkages. (2020). lucey, brian ; Roubaud, David ; Bouri, Elie. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319303137.

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2020A three-factor pricing model for cryptocurrencies. (2020). Wang, Pengfei ; Urquhart, Andrew ; Shen, Dehua. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319304519.

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2021From bottom ten to top ten: The role of cryptocurrencies in enhancing portfolio return of poorly performing stocks. (2021). Matkovskyy, Roman ; Bouraoui, Taoufik ; Dowling, Michael ; Jalan, Akanksha. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309894.

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2021Portfolio value-at-risk with two-sided Weibull distribution: Evidence from cryptocurrency markets. (2021). Dingec, Kemal Dincer ; Silahli, Baykar ; Aydin, Nezir ; Cifter, Atilla. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319312024.

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2021Tracing the main path of interdisciplinary research considering citation preference: A case from blockchain domain. (2021). Pan, Tianxing ; Yu, Dejian. In: Journal of Informetrics. RePEc:eee:infome:v:15:y:2021:i:2:s1751157721000079.

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2021Speculation and lottery-like demand in cryptocurrency markets. (2021). Junttila, Juha ; Grobys, Klaus. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000081.

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2020Market in Financial Instruments Directive (MiFID), stock price informativeness and liquidity. (2020). Poshakwale, Sunil ; Agarwal, Vineet ; Aghanya, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426619303036.

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2020Natural gas price, market fundamentals and hedging effectiveness. (2020). Zhu, Zhen ; Chen, Sheng-Hung ; Chiou-Wei, Song-Zan. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:78:y:2020:i:c:p:321-337.

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2020Composite hedge and utility maximization for optimal futures hedging. (2020). Feng, Yun ; Cui, Yan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:15-32.

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2020On the investment credentials of Bitcoin: A cross-currency perspective. (2020). Bedi, Prateek ; Nashier, Tripti. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919301722.

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2021The entry and exit dynamics of the cryptocurrency market. (2021). Vidal-Tomas, David. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921001252.

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2020Portfolio optimization in the era of digital financialization using cryptocurrencies. (2020). Wang, Zi Long ; Liu, Miao ; Ahmad, Ferhana. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:161:y:2020:i:c:s004016252031091x.

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2021The diversification benefits of cryptocurrencies in multi-asset portfolios: cross-country evidence. (2021). Colombo, Jéfferson ; Cortes, Renan X. In: Textos para discussão. RePEc:fgv:eesptd:542.

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2020Understanding Interdependencies among Social Sustainability Evaluation Criteria in an Emerging Economy. (2020). Vafadarnikjoo, Amin ; James, ; Hazen, Benjamin Thomas ; Ahmadi, Hadi Badri. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:5:p:1934-:d:327996.

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2020Sustainable Portfolio Optimization with Higher-Order Moments of Risk. (2020). Waqar, Syed M ; Imdad, Rana Shahid ; Khan, Kanwal Iqbal ; Ghafoor, Muhammad Mudassar. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:5:p:2006-:d:328913.

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2021Multi-Objective Fuzzy Tourist Trip Design Problem with Heterogeneous Preferences and Sustainable Itineraries. (2021). Montoya-Torres, Jairo R ; Brito, Julio ; Ruiz-Meza, Jose. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:17:p:9771-:d:625965.

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2020Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach. (2020). Nguyen, Duc Khuong ; Walther, Thomas ; Topaloglou, Nikolas. In: Working Papers. RePEc:ipg:wpaper:2020-009.

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2020Dynamic Linkages and Economic Role of Leading Cryptocurrencies in an Emerging Market. (2020). Alagidede, Imhotep Paul ; Omane-Adjepong, Maurice. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:4:d:10.1007_s10690-020-09306-4.

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2021Index Future Trading and Spot Market Volatility in Frontier Markets: Evidence from Ho Chi Minh Stock Exchange. (2021). van Vo, Dut ; Kim, Anh Thi ; Truong, Loc Dong. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:28:y:2021:i:3:d:10.1007_s10690-020-09325-1.

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2020Portfolio construction using bootstrapping neural networks: evidence from global stock market. (2020). Lin, Zheng-Wei ; Huang, Jiang-Chuan ; Hsiao, Hsiao-Fen. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:3:d:10.1007_s11147-019-09163-y.

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2020BITCOIN: Systematic Force of Cryptocurrency Portfolio. (2020). Tomić, Bojan. In: MPRA Paper. RePEc:pra:mprapa:101290.

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2020Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach. (2020). Walther, Thomas ; Topaloglou, Nikolas ; Nguyen, Duc Khuong. In: MPRA Paper. RePEc:pra:mprapa:103870.

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2021Economic Evaluation of Cryptocurrency Investment. (2021). Sakemoto, Ryuta. In: MPRA Paper. RePEc:pra:mprapa:108283.

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2021Technical trading and cryptocurrencies. (2021). Urquhart, Andrew ; Hudson, Robert. In: Annals of Operations Research. RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-019-03357-1.

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2021Multi-asset scenario building for trend-following trading strategies. (2021). Thomann, Andreas. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-020-03547-2.

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2020Optimal growth under socially responsible investment: a dynamic theoretical model of the trade-off between financial gains and emotional rewards. (2020). Gomes, Orlando. In: International Journal of Corporate Social Responsibility. RePEc:spr:ijocsr:v:5:y:2020:i:1:d:10.1186_s40991-020-00049-z.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Working Papers. RePEc:ucd:wpaper:202111.

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2020The impact of the results of football matches on the stock prices of soccer clubs. (2020). Wabik, Igor ; Lepaczuk, Robert. In: Working Papers. RePEc:war:wpaper:2020-35.

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2020Verification of Investment Opportunities on the Cryptocurrency Market within the Markowitz Framework. (2020). Turovtseva, Anna ; Sakowski, Pawe. In: Working Papers. RePEc:war:wpaper:2020-41.

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2020Does Bitcoin Improve Investment Portfolio Efficiency?. (2020). Turovtseva, Daria ; Sakowski, Pawe. In: Working Papers. RePEc:war:wpaper:2020-42.

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2021Optimal and naive diversification in an emerging market: Evidence from Chinas A?shares market. (2021). Yan, JI. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3740-3758.

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2020A novel risk management framework for natural gas markets. (2020). Pouliasis, Panos ; Visvikis, Ilias D ; Kryukov, Alexander A ; Papapostolou, Nikos C. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:430-459.

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Works by Charles Sutcliffe:


YearTitleTypeCited
1996Trade Transparency and the London Stock Exchange In: European Financial Management.
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article23
2000The Proof of the Pudding: The Effects of Increased Trade Transparency in the London Stock Exchange In: Journal of Business Finance & Accounting.
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article2
2001The Effect of Futures Market Volume on Spot Market Volatility In: Journal of Business Finance & Accounting.
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article9
1982Keynesian Income Multipliers with First and Second Round Effects: An Application to Tourist Expenditure. In: Oxford Bulletin of Economics and Statistics.
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article9
1978The First Round of the Keynesian Regional Income Multiplier. In: Scottish Journal of Political Economy.
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article2
1983Injection Leakages, Trade Repercussions and the Regional Income Multiplier: An Extension. In: Scottish Journal of Political Economy.
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article2
2006Merging Schemes: An Economic Analysis of Defined Benefit Pension Scheme Merger Criteria In: Annals of Actuarial Science.
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article0
2005Merging Schemes: An Ecomomic Analysis of Defined Benefit Pension Scheme Merger Criteria.(2005) In: ICMA Centre Discussion Papers in Finance.
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2004Pension Scheme Asset Allocation with Taxation Arbitrage, Risk Sharing and Default Insurance In: British Actuarial Journal.
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article0
2005The cult of the equity for pension funds: should it get the boot? In: Journal of Pension Economics and Finance.
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article1
2018Socially responsible investment portfolios: Does the optimization process matter? In: The British Accounting Review.
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article10
2019Harmful diversification: Evidence from alternative investments In: The British Accounting Review.
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article5
2017Harmful Diversification: Evidence from Alternative Investments.(2017) In: ICMA Centre Discussion Papers in Finance.
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paper
2018Optimal vs naïve diversification in cryptocurrencies In: Economics Letters.
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article32
2021Horses for courses: Mean-variance for asset allocation and 1/N for stock selection In: European Journal of Operational Research.
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article2
2010Valuing medieval annuities: Were corrodies underpriced? In: Explorations in Economic History.
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article2
2009Valuing Medieval Annuities: Were Corrodies Underpriced?.(2009) In: ICMA Centre Discussion Papers in Finance.
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2015Trading death: The implications of annuity replication for the annuity puzzle, arbitrage, speculation and portfolios In: International Review of Financial Analysis.
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article2
2013Trading Death: The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios.(2013) In: ICMA Centre Discussion Papers in Finance.
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2016Pension scheme redesign and wealth redistribution between the members and sponsor: The USS rule change in October 2011 In: Insurance: Mathematics and Economics.
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article2
2015Pension Scheme Redesign and Wealth Redistribution Between the Members and Sponsor: The USS Rule Change in October 2011.(2015) In: ICMA Centre Discussion Papers in Finance.
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2019The role of customer awareness in promoting firm sustainability and sustainable supply chain management In: International Journal of Production Economics.
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article3
2002Market Regulation in a Dynamic Environment In: FMG Special Papers.
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paper0
2000Black-Scholes Versus Neural Networks in Pricing FTSE 100 Options. In: University of Southampton - Department of Accounting and Management Science.
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paper7
2001Scheduled Announcements and Volatility Patterns: The Effects of Monetary Policy Committee Announcements on LIBOR and Short Sterling Futures and Options. In: University of Southampton - Department of Accounting and Management Science.
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paper4
2003Scheduled announcements and volatility patterns: The effects of monetary policy committee announcements on LIBOR and short sterling futures and options.(2003) In: Journal of Futures Markets.
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1995The Performance of Covered Calls and Protective Puts. In: University of Southampton - Department of Accounting and Management Science.
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1993The Dual Listing of Stock Index Futures: Arbitrage, Spread Arbitrage and Currency Risk. In: University of Southampton - Department of Accounting and Management Science.
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1996The dual listing of stock index futures: Arbitrage, spread arbitrage, and currency risk.(1996) In: Journal of Futures Markets.
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1994Loan Loss Provision by International Banks: Estimation, Determinants and Evidence. In: University of Southampton - Department of Accounting and Management Science.
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paper1
1996The Effects of Spot Transparency on Bid-Ask Spreads and Volume of Traded Share Options. In: University of Southampton - Department of Accounting and Management Science.
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paper0
1999The Application of Operations Research Techniques to Financial Markets. In: University of Southampton - Department of Accounting and Management Science.
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1999Is the Forward Rate for the Greek Drachma Unbiased? A VECM Analysis with both Overlapping and Non-Overlapping Data. In: University of Southampton - Department of Accounting and Management Science.
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paper3
2011Over the Moon or Sick as a Parrot? The Effects of Football Results on a Clubs Share Price In: Post-Print.
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2009Over the Moon or Sick as a Parrot? The Effects of Football Results on a Clubs Share Price.(2009) In: ICMA Centre Discussion Papers in Finance.
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2012Over the moon or sick as a parrot? The effects of football results on a clubs share price.(2012) In: Applied Economics.
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2007Joined-Up Pensions Policy in the UK: An Asset-Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate In: Economic Analysis.
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2005Joined-Up Pensions Policy in the UK: An Asset-Libility Model for Simultaneously Determining the Asset Allocation and Contribution Rate.(2005) In: ICMA Centre Discussion Papers in Finance.
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2003Applying Operations Research Techniques to Financial Markets In: Interfaces.
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article9
1994Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence In: Management Science.
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article11
2000Market Maker Performance: The Search for Fair Weather Market Makers In: Journal of Financial Services Research.
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article2
1982Inflation and Prisoners Dilemmas In: Journal of Post Keynesian Economics.
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article1
2015Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies In: Palgrave Macmillan Books.
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2016Finance and Occupational Pensions In: Palgrave Macmillan Books.
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book1
2002Transparency and Fragmentation In: Palgrave Macmillan Books.
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2015Introduction In: Palgrave Macmillan Books.
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2015Regression Analyses with Multiple Variables In: Palgrave Macmillan Books.
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2015Market-Switching Stocks In: Palgrave Macmillan Books.
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2015GARCH Analysis of Switchers In: Palgrave Macmillan Books.
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2015Conclusions In: Palgrave Macmillan Books.
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2015Activities In: Palgrave Macmillan Books.
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2015Interviews In: Palgrave Macmillan Books.
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2015Literature Review In: Palgrave Macmillan Books.
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2015Empirical Analysis In: Palgrave Macmillan Books.
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2015Preliminary Data Analysis In: Palgrave Macmillan Books.
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2015Volatility Estimation In: Palgrave Macmillan Books.
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2015Basic Analysis of Relative Volatility In: Palgrave Macmillan Books.
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2015Relative Risk Allowing for Size, Age or Liquidity In: Palgrave Macmillan Books.
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2002Executive Summary and Policy Implications In: Palgrave Macmillan Books.
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2002A New Regulatory Framework In: Palgrave Macmillan Books.
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2002Introduction and Overview In: Palgrave Macmillan Books.
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2002The Recognised Investment Exchanges In: Palgrave Macmillan Books.
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2002Fragmentation and Consolidation In: Palgrave Macmillan Books.
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2002Policy Responses to Fragmentation In: Palgrave Macmillan Books.
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2002Theory and Results on Transparency In: Palgrave Macmillan Books.
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2002The Regulation of Transparency In: Palgrave Macmillan Books.
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2002Over the Counter (OTC) Markets In: Palgrave Macmillan Books.
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2005A False Perception? The relative riskiness of AIM and listed Stocks In: ICMA Centre Discussion Papers in Finance.
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2007Better cross hedges with composite hedging? Hedging equity portfoloios using financial and commodity features In: ICMA Centre Discussion Papers in Finance.
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2007Should Defined Benefit Pension Schemes be Career Average or Final Salary? In: ICMA Centre Discussion Papers in Finance.
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2009Back to the Future: A Long Term Solution to the Occupational Pensions Crisis In: ICMA Centre Discussion Papers in Finance.
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2017Should Portfolio Model Inputs Be Estimated Using One or Two Economic Regimes? In: ICMA Centre Discussion Papers in Finance.
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2017Pension Schemes, Taxation and Stakeholder Wealth: The USS Rule Changes In: ICMA Centre Discussion Papers in Finance.
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1986Designing Secondary School Catchment Areas Using Goal Programming In: Environment and Planning A.
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article2
1997Book Reviews In: Accounting and Business Research.
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article0
2019The role of transaction costs and risk aversion when selecting between one and two regimes for portfolio models In: Applied Economics Letters.
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article1
2021What determines the asset allocation of defined benefit pension funds? In: Applied Economics.
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2012Better cross hedges with composite hedging? Hedging equity portfolios using financial and commodity futures In: The European Journal of Finance.
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2017Asset–liability modelling and pension schemes: the application of robust optimization to USS In: The European Journal of Finance.
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2000The performance of covered calls In: The European Journal of Finance.
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2021Asset–liability models and the Chinese basic pension fund In: Economic and Political Studies.
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2004Black–Scholes versus artificial neural networks in pricing FTSE 100 options In: Intelligent Systems in Accounting, Finance and Management.
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