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Salmon, Mark's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
3,878 |
Total
Citations
45 |
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1.
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Hwang, Soosung
Sungkyunkwan University - Department of Economics Salmon, Mark
University of Cambridge - Faculty of Economics and Politics
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11 Feb 02
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Last Revised:
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22 Mar 09
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1,052
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3
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Herding, Sentiment, Market Crises, Cross-sectional Asset Returns
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2.
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Salmon, Mark
University of Cambridge - Faculty of Economics and Politics Bouyé, Eric
Fonds de Réserve pour les Retraites (FRR)
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360
(38,773)
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3
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FX market, Efficiency, Copula, Quantile Regression
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3.
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Karakatsani, Nektaria
University of Warwick - Warwick Business School Salmon, Mark
University of Cambridge - Faculty of Economics and Politics
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326
(43,713)
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Investor sentiment, Noise trading, Regime switching, Smooth transitions
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4.
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Karakatsani, Nektaria
University of Warwick - Warwick Business School Salmon, Mark
University of Cambridge - Faculty of Economics and Politics
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280
(52,205)
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Investor sentiment, Asset pricing, Regime-switching, Noise trading
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5.
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Kozhan, Roman
University of Warwick, Warwick Business School Salmon, Mark
University of Cambridge - Faculty of Economics and Politics
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276
(53,082)
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1
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uncertainty aversion, exchange rate formation, agent-based modeling
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6.
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Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index
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Versions (2)
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Hurd, Matthew
Bank of England - Monetary Analysis Salmon, Mark
University of Cambridge - Faculty of Economics and Politics Schleicher, Christoph
Bank of England
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Posted:
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10 Aug 05
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Last Revised:
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17 Aug 08
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260
(56,753)
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7
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Hurd, Matthew
Bank of England - Monetary Analysis Salmon, Mark
University of Cambridge - Faculty of Economics and Politics Schleicher, Christoph
Bank of England
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26
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Exchange rates, copulae, option implied pdfs, triangular arbitrage
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Hurd, Matthew
Bank of England - Monetary Analysis Salmon, Mark
University of Cambridge - Faculty of Economics and Politics Schleicher, Christoph
Bank of England
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234
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7
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Option-implied distributions, effective exchange rate indices, copula functions, option pricing
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7.
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Kozhan, Roman
University of Warwick, Warwick Business School Salmon, Mark
University of Cambridge - Faculty of Economics and Politics
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254
(58,213)
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1
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limit order book, profitability, high-frequency data
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8.
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Bouyé, Eric
Fonds de Réserve pour les Retraites (FRR) Salmon, Mark
University of Cambridge - Faculty of Economics and Politics
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252
(59,002)
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Finance
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9.
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Kozhan, Roman
University of Warwick, Warwick Business School Salmon, Mark
University of Cambridge - Faculty of Economics and Politics
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211
(70,800)
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Knightian uncertainty, market timing, predictability, high-frequency data
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10.
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Bouyé, Eric
Fonds de Réserve pour les Retraites (FRR) Salmon, Mark
University of Cambridge - Faculty of Economics and Politics Gaussel, Nicolas
Lyxor Asset Management
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166
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6
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Finance, Financial Econumetrics, Copula, Time Series, Non Linear
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11.
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Tham, Wing Wah
Erasmus School of Economics - Econometric Institute Salmon, Mark
University of Cambridge - Faculty of Economics and Politics
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163
(90,882)
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Term structure, Interest rates, Multivariate modeling, Hawkes process, Time deformation.
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12.
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Performance Measurement with Loss-Aversion
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Show Abstracts |
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Versions (2)
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Export Bibliographic Info |
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Gemmill, Gordon
Warwick Business School Salmon, Mark
University of Cambridge - Faculty of Economics and Politics Hwang, Soosung
Sungkyunkwan University - Department of Economics
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Posted:
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12 Mar 05
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Last Revised:
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11 May 09
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155
(95,143)
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3
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Gemmill, Gordon
Warwick Business School Salmon, Mark
University of Cambridge - Faculty of Economics and Politics Hwang, Soosung
Sungkyunkwan University - Department of Economics
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28
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3
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Performance measurement, loss-aversion, prospect theory, closed-end-fund puzzle
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Gemmill, Gordon
Warwick Business School Salmon, Mark
University of Cambridge - Faculty of Economics and Politics Hwang, Soosung
Sungkyunkwan University - Department of Economics
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127
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3
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Behavioral Finance, Mutual Funds
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13.
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Chu, Ba M.
Carleton University Salmon, Mark
University of Cambridge - Faculty of Economics and Politics
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86
(149,500)
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2
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L-moment, Stein Equation, GMM, Bahadur Effciency, Likelihood Ratio
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14.
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Hwang, Soosung
Sungkyunkwan University - Department of Economics Salmon, Mark
University of Cambridge - Faculty of Economics and Politics
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37
(226,355)
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19
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Herding, heterogenous beliefs, cross-sectional volatility
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