K
Keith Cuthbertson
Researcher at City University London
Publications - 102
Citations - 2831
Keith Cuthbertson is an academic researcher from City University London. The author has contributed to research in topics: Demand for money & Interest rate. The author has an hindex of 24, co-authored 100 publications receiving 2765 citations. Previous affiliations of Keith Cuthbertson include Bank of England & University College Cork.
Papers
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Book
Applied econometric techniques
TL;DR: In this paper, a review of the general linear model maximum likelihood estimation time series modelling dynamic modelling non-stationary and co-integration rational expectations state space models and the Kalman filter large non-linear models is presented.
Book
Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange
Keith Cuthbertson,Dirk Nitzsche +1 more
TL;DR: This new edition of the hugely successful Quantitative Financial Economics has been revised and updated to reflect the most recent theoretical and econometric/empirical advances in the financial markets as discussed by the authors.
Journal ArticleDOI
UK mutual fund performance: Skill or luck?
TL;DR: This article used a bootstrap methodology to distinguish between "skill" and "luck" for individual funds and found that good performing funds demonstrate "bad skill" while poor performing funds exhibit "bad luck".
Journal ArticleDOI
Mutual Fund Performance: Skill or Luck?
TL;DR: This paper used a bootstrap methodology to distinguish between'skill' and 'luck' for individual UK mutual funds, and pointed out the existence of genuine stock picking ability among a small number of top performing UK equity mutual funds (i.e. performance which is not solely due to good luck).
Journal ArticleDOI
The Expectations Hypothesis of the Term Structure: The UK Interbank Market
TL;DR: In this paper, the authors provide several tests of the expectations hypothesis using the vector autoregression and cointegration methodologies, for several maturities between one-week and twelve-months, for the U.K. interbank market.