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Citations of
Andrew W. Lo

For current contact information and a more complete listing of works, please see here

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Working papers

  1. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005. "Systemic Risk and Hedge Funds," NBER Working Papers 11200, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    • Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc. [Downloadable!]

    Cited by:

    1. Nicole M. Boyson & Christof W. Stahel & Rene M. Stulz, 2006. "Is There Hedge Fund Contagion?," NBER Working Papers 12090, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Michel Aglietta & Sandra Rigot, 2008. "The regulation of hedge funds under the prism of the financial crisis," EconomiX Working Papers 2008-20, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]
    3. Nicole M. Boyson & Christof W. Stahel & Rene M. Stulz, 2008. "Hedge Fund Contagion and Liquidity," NBER Working Papers 14068, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Crisis and Hedge Fund Risk," Working Papers 2008_10, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    5. Alejandro García & Ramazan Gençay, 2007. "Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures," Working Papers 07-25, Bank of Canada. [Downloadable!]
    6. Mark Carlson & Jason Steinman, 2008. "Market conditions and hedge fund survival," Finance and Economics Discussion Series 2008-28, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    7. Steven N. Kaplan & Joshua Rauh, 2007. "Wall Street and Main Street: What Contributes to the Rise in the Highest Incomes?," NBER Working Papers 13270, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    8. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2007. "Dynamic Risk Exposure in Hedge Funds," Working Papers 2007_17, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    9. Antonio Diez de los Rios & René Garcia, 2006. "Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns," Working Papers 06-31, Bank of Canada. [Downloadable!]
    10. Raghuram G. Rajan, 2005. "Has financial development made the world riskier?," Proceedings, Federal Reserve Bank of Kansas City, issue Aug, pages 313-369. [Downloadable!]
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    11. Stefan Kassberger & Rüdiger Kiesel, 2006. "A fully parametric approach to return modelling and risk management of hedge funds," Financial Markets and Portfolio Management, Springer, vol. 20(4), pages 472-491, December. [Downloadable!] (restricted)
    12. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2006. "Phase-Locking and Switching Volatility in Hedge Funds," Working Papers 2006_54, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]

  2. Andrew W. Lo & Dmitry V. Repin & Brett N. Steenbarger, 2005. "Fear and Greed in Financial Markets: A Clinical Study of Day-Traders," NBER Working Papers 11243, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    Cited by:

    1. Andrew W. Lo & Dmitry V. Repin & Brett N. Steenbarger, 2005. "Fear and Greed in Financial Markets: A Clinical Study of Day-Traders," American Economic Review, American Economic Association, vol. 95(2), pages 352-359, May. [Downloadable!]
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    2. Hopfensitz, Astrid & Wranik, Tanja, 2009. "How to adapt to changing markets: experience and personality in a repeated investment game," MPRA Paper 17835, University Library of Munich, Germany. [Downloadable!]
    3. Kenning, Peter & Mohr, Peter & Erk, Susanne & Walter, Henrik & Plassmann, Hilke, 2006. "The role of fear in home-biased decision making: first insights from neuroeconomics," MPRA Paper 1076, University Library of Munich, Germany, revised 18 Nov 2006. [Downloadable!]

  3. Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    1. Baquero, G. & Verbeek, M.J.C.M., 2005. "A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money," Research Paper ERS-2005-068-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    2. Horst, J.R. ter & Verbeek, M.J.C.M., 2004. "Fund liquidation, self-selection and look-ahead bias in the hedge fund industry," Research Paper ERS-2004-104-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
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    3. Joseph Chen & Samuel Hanson & Harrison Hong & Jeremy C. Stein, 2008. "Do Hedge Funds Profit From Mutual-Fund Distress?," NBER Working Papers 13786, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. Robert E. Hall & Susan E. Woodward, 2007. "The Incentives to Start New Companies: Evidence from Venture Capital," NBER Working Papers 13056, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    5. Georges Gallais-Hamonno & Huyen Nguyen-Thi-Thanh, 2007. "The necessity to correct hedge fund returns: empirical evidence and correction method," Working Papers halshs-00184470_v1, HAL. [Downloadable!]
    6. Huyen Nguyen-Thi-Thanh & Georges Gallais-Hamonno & Thi H.V. Hoang, 2008. "Faut-il corriger les rentabilités des hedge funds?," Post-Print halshs-00106400_v1, HAL. [Downloadable!]
    7. Ravi Jagannathan & Alexey Malakhov & Dmitry Novikov, 2006. "Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation," NBER Working Papers 12015, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    8. Nicole M. Boyson & Christof W. Stahel & Rene M. Stulz, 2008. "Hedge Fund Contagion and Liquidity," NBER Working Papers 14068, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. Ramadorai, Tarun, 2008. "The Secondary Market for Hedge Funds and the Closed-Hedge Fund Premium," CEPR Discussion Papers 6877, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    10. Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York. [Downloadable!]
    11. Shaun A. Bond & Soosung Hwang & Gianluca Marcato, 2006. "An Analysis of Commercial Real Estate Returns: Is there a Smoothing Puzzle?," Real Estate & Planning Working Papers rep-wp2006-17, Henley Business School, Reading University. [Downloadable!]
    12. Stulz, Rene M., 2007. "Hedge Funds: Past, Present, and Future," Working Paper Series 2007-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    13. Naes, Randi & Ødegaard, Bernt Arne, 2009. "Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period," UiS Working Papers in Economics and Finance 2009/19, University of Stavanger. [Downloadable!]
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    14. Yong Chen & Wayne Ferson & Helen Peters, 2009. "Measuring the Timing Ability and Performance of Bond Mutual Funds," NBER Working Papers 15318, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  4. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2001. "Asset Prices and Trading Volume Under Fixed Transactions Costs," NBER Working Papers 8311, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    1. Koren, Miklós & Szeidl, Adam, 2003. "Portfolio Choice with Illiquid Assets," CEPR Discussion Papers 3795, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    2. Vathana Ly Vath & Mohamed Mnif & Huyên Pham, 2007. "A model of optimal portfolio selection under liquidity risk and price impact," Finance and Stochastics, Springer, vol. 11(1), pages 51-90, January. [Downloadable!] (restricted)
    3. Anthony W. Lynch & Sinan Tan, 2004. "Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs," NBER Working Papers 10994, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. Nicolae B. Garleanu & Lasse H. Pedersen, 2009. "Dynamic Trading with Predictable Returns and Transaction Costs," NBER Working Papers 15205, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    5. Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009. "Systemic Risk and the Refinancing Ratchet Effect," NBER Working Papers 15362, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    6. Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2005. "Liquidity and Expected Returns: Lessons From Emerging Markets," NBER Working Papers 11413, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    7. Ricardo Lagos & Guillaume Rocheteau, 2008. "Liquidity in asset markets with search frictions," Staff Report 408, Federal Reserve Bank of Minneapolis. [Downloadable!]
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    8. Jennifer Huang & Jiang Wang, 2008. "Market Liquidity, Asset Prices and Welfare," NBER Working Papers 14058, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. Martins-da-Rocha, V. F. & Vailakis, Yiannis, 2008. "Endogenous Transaction Costs," Economics Working Papers (Ensaios Economicos da EPGE) 680, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    10. Ricardo Lagos & Guillaume Rocheteau, 2006. "Search in asset markets," Working Paper 0607, Federal Reserve Bank of Cleveland. [Downloadable!]
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    11. Andros Gregoriou & Christos Ioannidis & Sugata Ghosh, 2009. "Heterogeneous time varying transaction costs and asset pricing in international equity markets," Financial Markets and Portfolio Management, Springer, vol. 23(3), pages 271-283, September. [Downloadable!] (restricted)
    12. Song Han & Hao Zhou, 2008. "Effects of liquidity on the nondefault component of corporate yield spreads: evidence from intraday transactions data," Finance and Economics Discussion Series 2008-40, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    13. Shinhua Liu, 2007. "Securities Transaction Tax and Market Efficiency: Evidence from the Japanese Experience," Journal of Financial Services Research, Springer, vol. 32(3), pages 161-176, December. [Downloadable!] (restricted)
    14. Jennifer Huang & Jiang Wang, 2008. "Liquidity and Market Crashes," NBER Working Papers 14013, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    15. Eckbo, B Espen & Norli, Øyvind, 2005. "Liquidity Risk, Leverage and Long-Run IPO Returns," CEPR Discussion Papers 4832, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    16. Dimitri Vayanos & Jiang Wang, 2009. "Liquidity and Asset Prices: A Unified Framework," NBER Working Papers 15215, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    17. Xavier Ragot, 2008. "The case for a financial approach to money demand," PSE Working Papers 2008-56, PSE (Ecole normale supérieure). [Downloadable!]
    18. Ricardo Lagos & Guillaume Rocheteau & Pierre-Olivier Weill, 2008. "Crashes and Recoveries in Illiquid Markets," NBER Working Papers 14119, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  5. Andrew W. Lo & Dmitry V. Repin, 2001. "The Psychophysiology of Real-Time Financial Risk Processing," NBER Working Papers 8508, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

    Cited by:

    1. Lucy F. Ackert & Bryan K. Church & Richard Deaves, 2003. "Emotion and financial markets," Economic Review, Federal Reserve Bank of Atlanta, issue Q2, pages 33-41. [Downloadable!]
    2. Antonio Falato, 2008. "Happiness maintenance and asset prices," Finance and Economics Discussion Series 2008-19, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    3. Dr. Peter Kenning & Hilke Plassmann, 2004. "NeuroEconomics," Experimental 0412005, EconWPA. [Downloadable!]
    4. Antonio Falato, 2003. "Happiness Maintenance and Asset Prices," Finance 0310003, EconWPA. [Downloadable!]

  6. Andrew W. Lo & Jiang Wang, 2001. "Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model," NBER Working Papers 8565, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    Cited by:

    1. Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," NBER Working Papers 8816, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    2. Pascal St-Amour, 2005. "Direct Preference for Wealth in Aggregate Household Portfolio," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 05.04, Université de Lausanne, Faculté des HEC, DEEP. [Downloadable!]
    3. Bruno Biais & Peter Bossaerts & Chester Spatt, 2003. "Equilibrium Asset Pricing Under Heterogeneous Information," Levine's Bibliography 666156000000000086, UCLA Department of Economics. [Downloadable!]
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    4. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho. [Downloadable!]

  7. Andrew W. Lo & Jiang W. Wang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," NBER Working Papers 7625, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    Cited by:

    1. Michael R. King & Maksym Padalko, 2005. "Pre-Bid Run-Ups Ahead of Canadian Takeovers: How Big Is the Problem?," Working Papers 05-3, Bank of Canada. [Downloadable!]
    2. Amir E. Khandani & Andrew W. Lo, 2008. "What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data," NBER Working Papers 14465, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Bruno Biais & Peter Bossaerts & Chester Spatt, 2003. "Equilibrium Asset Pricing Under Heterogeneous Information," Levine's Bibliography 666156000000000086, UCLA Department of Economics. [Downloadable!]
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    4. Mark Grinblatt & Bing Han, 2002. "The Disposition Effect and Momentum," NBER Working Papers 8734, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    5. Andreas Andrikopoulos & Timotheos Angelidis, 2008. "Idiosyncratic risk, returns and liquidity in the London Stock Exchange: a spillover approach," Working Papers 0017, University of Peloponnese, Department of Economics. [Downloadable!]
    6. Karolyi, G. Andrew & Lee, Kuan Hui & van Dijk, Mathijs A., 2007. "Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World," Working Paper Series 2007-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    7. Griffin, John M. & Nardari, Federico & Stulz, Rene M., 2004. "Stock Market Trading and Market Conditions," Working Paper Series 2004-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    8. Söderberg, Jonas, 2008. "Liquidity on the Scandinavian Order-driven Stock Exchanges," CAFO Working Papers 2009:11, Centre for Labour Market Policy Research (CAFO), School of Management and Economics, Växjö University. [Downloadable!]
    9. Chitru S. Fernando, 2002. "Commonality in Liquidity: Transmission of Liquidity Shocks across Investors and Securities," Center for Financial Institutions Working Papers 02-43, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    10. Md. Arifur Rahman, 2007. "The Information Content of Cross-sectional Volatility for Future Market Volatility: Evidence from Australian Equity Returns," Frontiers in Finance and Economics, Lille Graduate School of Management, vol. 4(1), pages 91-124, June. [Downloadable!]
    11. Griffin, John M. & Nardari, Federico & Stulz, Rene M., 2005. "Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries," Working Paper Series 2005-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    12. Charles Ka Yui Leung & Dandan Feng, 2004. "Testing Alternative Theories of Property Price-Trading Volume with Commercial Real Estate Market Data," Discussion Papers 00003, Chinese University of Hong Kong, Department of Economics. [Downloadable!]
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    13. Gagnon, Louis & Karolyi, G. Andrew, 2007. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Working Paper Series 2006-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    14. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2001. "High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models," NBER Working Papers 8162, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  8. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2000. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation," NBER Working Papers 7613, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    1. Carl Chiarella & Xue-Zhong He & Cars Hommes, 2004. "A Dynamic Analysis of Moving Average Rules," Research Paper Series 133, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
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    2. Yin-wong Cheung, 2006. "An Empirical Model of Daily Highs and Lows," Working Papers 072006, Hong Kong Institute for Monetary Research. [Downloadable!]
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    3. Andreas Krause, 2009. "Evaluating the performance of adapting trading strategies with different memory lengths," Quantitative Finance Papers 0901.0447, arXiv.org. [Downloadable!]
    4. Michel Fliess & C\'edric Join, 2008. "Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance," Quantitative Finance Papers 0811.1561, arXiv.org, revised Nov 2008. [Downloadable!]
    5. Spyros Skouras, 2001. "Decisionmetrics: A Decision-Based Approach to Econometric Modeling," Working Papers 01-11-064, Santa Fe Institute.
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    6. BEN OMRANE, Walid & VAN OPPEN, HervŽ, 2004. "The predictive success and profitability of chart patterns in the Euro/Dollar foreign exchange market," CORE Discussion Papers 2004035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    7. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 59-82, Winter. [Downloadable!] (restricted)
    8. Carol Osler, 2000. "Support for resistance: technical analysis and intraday exchange rates," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 53-68. [Downloadable!]
    9. Michel Fliess & Cédric Join, 2008. "Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance," Post-Print inria-00338099_v2, HAL. [Downloadable!]
    10. Wing-Keung Wong & Jun Du & Terence Tai-Leung Chong, 2005. "Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan," SCAPE Policy Research Working Paper Series 0512, National University of Singapore, Department of Economics, SCAPE. [Downloadable!]
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  9. Yacine Ait-Sahalia & Andrew W. Lo, 2000. "Nonparametric Risk Management and Implied Risk Aversion," NBER Working Papers 6130, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    1. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, School of Economics and Management, University of Aarhus. [Downloadable!]
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    2. Gee, C., 2007. "Risky Choice and Type-Uncertainty in "Deal or No Deal?"," Cambridge Working Papers in Economics 0758, Faculty of Economics, University of Cambridge. [Downloadable!]
    3. Yasuo Nishiyama, 2006. "The Asian Financial Crisis and Investors’ Risk Aversion," Asia-Pacific Financial Markets, Springer, vol. 13(3), pages 181-205, September. [Downloadable!] (restricted)
    4. David Backus & Mikhail Chernov & Ian Martin, 2009. "Disasters implied by equity index options," NBER Working Papers 15240, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    5. Enzo Giacomini & Michael Handel & Wolfgang K. Härdle, 2006. "Time Dependent Relative Risk Aversion," SFB 649 Discussion Papers SFB649DP2006-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    6. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Economics Working Papers (Ensaios Economicos da EPGE) 583, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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    7. Alexis Derviz & Narcisa Kadlcáková, 2005. "Business cycle, credit risk and economic capital determination by commercial banks," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 299-327 Bank for International Settlements. [Downloadable!]
    8. Michel Fliess & C\'edric Join, 2009. "A mathematical proof of the existence of trends in financial time series," Quantitative Finance Papers 0901.1945, arXiv.org. [Downloadable!]
    9. Xibin Zhang & Robert D. Brooks & Maxwell L. King, 2007. "A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation," Monash Econometrics and Business Statistics Working Papers 11/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    10. Refet S. Gürkaynak & Justin Wolfers, 2005. "Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty and Risk," IZA Discussion Papers 1899, Institute for the Study of Labor (IZA). [Downloadable!]
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    11. Yacine Ait-Sahalia & Jefferson Duarte, 2002. "Nonparametric Option Pricing under Shape Restrictions," NBER Working Papers 8944, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    12. Rene Garcia & Richard Luger & Eric Renault, 2004. "Option Prices, Preferences, and State Variables," Emory Economics 0418, Department of Economics, Emory University (Atlanta). [Downloadable!]
    13. Vladislav Kargin, 2003. "Consistent Estimation of Pricing Kernels from Noisy Price Data," Quantitative Finance Papers math/0310223, arXiv.org. [Downloadable!]
    14. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-. [Downloadable!]
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    15. Vladislav Kargin, 2003. "Consistent Estimation of Pricing Kernels from Noisy Price Data," Finance 0311001, EconWPA. [Downloadable!]
    16. Guenter Franke & James Huang & Richard Stapleton, 2006. "Two-dimensional risk-neutral valuation relationships for the pricing of options," Review of Derivatives Research, Springer, vol. 9(3), pages 213-237, November. [Downloadable!] (restricted)
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    17. Günter Franke & Erik Lüders, 2004. "Why Do Asset Prices Not Follow Random Walks?," CoFE Discussion Paper 04-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    18. Bertram Düring, 2009. "Asset pricing under information with stochastic volatility," Review of Derivatives Research, Springer, vol. 12(2), pages 141-167, July. [Downloadable!] (restricted)
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    19. Elyès Jouini & Clotilde Napp, 2003. "A class of models satisfying a dynamical version of the CAPM," Post-Print halshs-00167159_v1, HAL. [Downloadable!]
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    20. Günter Franke & Erik Lüders, 2005. "Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model," CoFE Discussion Paper 05-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    21. Jianqing Fan, 2004. "A selective overview of nonparametric methods in financial econometrics," Quantitative Finance Papers math/0411034, arXiv.org. [Downloadable!]
    22. Tak Siu & Howell Tong & Hailiang Yang, 2004. "On Bayesian Value at Risk: From Linear to Non-Linear Portfolios," Asia-Pacific Financial Markets, Springer, vol. 11(2), pages 161-184, June. [Downloadable!] (restricted)
    23. Tim Bollerslev & Viktor Todorov, 2009. "Tails, Fears and Risk Premia," CREATES Research Papers 2009-26, School of Economics and Management, University of Aarhus. [Downloadable!]
    24. Thomas Crossley & Hamish Low, 2005. "Unexploited connections between intra- and inter-temporal allocation," IFS Working Papers W05/25, Institute for Fiscal Studies. [Downloadable!]
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    25. Fabio Fornari & Antonio Mele, 2001. "Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations," Temi di discussione (Economic working papers) 396, Bank of Italy, Economic Research Department. [Downloadable!]
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    26. Kim, KiHyung, 2007. "The Investors’ Implied Sentiment : A Robust Measure of Risk Appetite," MPRA Paper 5714, University Library of Munich, Germany. [Downloadable!]
    27. Günter Franke & Erik Lüders, 2006. "Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model¤," CoFE Discussion Paper 06-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    28. W. Härdle & A. Yatchew, . "Dynamic Nonparametric State Price Density Estimation Using Constrained Least Squares and the Bootstrap," Sonderforschungsbereich 373 2002-16, Humboldt Universitaet Berlin.
    29. Jondeau, E. & Rockinger, M., 2002. "Asset Allocation in Transition Economies," Documents de Travail 90, Banque de France. [Downloadable!]
    30. Cizek, P. & Tamine, J. & Haerdle, W., 2006. "Smoothed L-estimation of regression function," Discussion Paper 20, Tilburg University, Center for Economic Research. [Downloadable!]
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    31. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO. [Downloadable!]
    32. Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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    33. Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle," Working Papers 05-9, Bank of Canada. [Downloadable!]
    34. Thomas Busch, 2008. "Testing the martingale restriction for option implied densities," Review of Derivatives Research, Springer, vol. 11(1), pages 61-81, March. [Downloadable!] (restricted)
    35. Daniel Giamouridis, 2005. "Inferring option-implied investors' risk preferences," Applied Financial Economics, Taylor and Francis Journals, vol. 15(7), pages 479-488, April. [Downloadable!] (restricted)
    36. Chiaki Hara & James Huang & Christoph Kuzmics, 2006. "Representative Consumer’s Risk Aversion and Efficient Risk-Sharing Rules," KIER Working Papers 620, Kyoto University, Institute of Economic Research. [Downloadable!]
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    37. Jan Brůha & Alexis Derviz, 2006. "Macroeconomic Factors and the Balanced Value of the Czech Koruna/Euro Exchange Rate (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(7-8), pages 318-343, July. [Downloadable!]
    38. Robert R. Bliss & Nikolaos Panigirtzoglou, 2001. "Recovering risk aversion from options," Working Paper Series WP-01-15, Federal Reserve Bank of Chicago. [Downloadable!]
    39. Jens Carsten Jackwerth & George M. Constantinaides & Stylianos Perrakis, 2005. "Mispricing of S&P 500 Index Options," CoFE Discussion Paper 05-09, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
      Other versions:
    40. Sven Husmann & Andreas Stephan, 2006. "On Estimating an Asset's Implicit Beta," Discussion Papers of DIW Berlin 640, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    41. Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2007. "Option Pricing: Real and Risk-Neutral Distributions," MPRA Paper 11637, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    42. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2006. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Banco de España Working Papers 0630, Banco de España. [Downloadable!]
    43. Sergio Pastorello & Valentin Patilea & Éric Renault, 2003. "Iterative and Recursive Estimation in Structural Non-Adaptive Models," CIRANO Working Papers 2003s-08, CIRANO. [Downloadable!]
    44. Ming Yuan, 2009. "State price density estimation via nonparametric mixtures," Quantitative Finance Papers 0910.1430, arXiv.org. [Downloadable!]
    45. Yuri Golubev & Wolfgang Härdle & Roman Timonfeev, 2008. "Testing Monotonicity of Pricing Kernels," SFB 649 Discussion Papers SFB649DP2008-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    46. Dominique Guegan & Florian Ielpo, 2008. "Flexible time series models for subjective distribution estimation with monetary policy in view," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368356_v1, HAL. [Downloadable!]
      Other versions:
    47. Alexis Derviz, 2004. "Exchange rate risks and asset prices in a small open economy," Working Paper Series 314, European Central Bank. [Downloadable!]
    48. Thomas J. Flavin, 2006. "How Risk Averse are Fund Managers? Evidence from Irish Mutual Funds," Economics, Finance and Accounting Department Working Paper Series n1630206, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
      Other versions:
    49. Tim Bollerslev & Natalia Sizova & George Tauchen, 2009. "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," CREATES Research Papers 2009-05, School of Economics and Management, University of Aarhus. [Downloadable!]
    50. Michel Fliess & Cédric Join, 2009. "A mathematical proof of the existence of trends in financial time series," Post-Print inria-00352834_v1, HAL. [Downloadable!]
    51. Gai, Prasanna & Vause, Nicholas, 2005. "Measuring Investors' Risk Appetite," MPRA Paper 818, University Library of Munich, Germany. [Downloadable!]
    52. Han, Bin, 2004. "Limits of Arbitrage, Sentiment and Pricing Kernal: Evidences from Index Options," Working Paper Series 2004-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    53. Steven A. Weinberg, 2001. "Interpreting the volatility smile: an examination of the information content of option prices," International Finance Discussion Papers 706, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    54. Joshua Rosenberg, 1999. "Empirical Tests of Interest Rate Model Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-015, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    55. René Garcia & Richard Luger & Éric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : New version February 2002) / Empirical Assessment of an Intertemporal Option Pricing Model with Latent Varia," CIRANO Working Papers 2001s-02, CIRANO. [Downloadable!]
    56. Amadeo Alentorn & Sheri Markose, 2006. "Removing Maturity Effects of Implied Risk Neutral Densities and Related Statistics," Economics Discussion Papers 609, University of Essex, Department of Economics. [Downloadable!]
    57. Alexis Derviz & Narcisa Kadlcakova & Lucie Kobzova, 2003. "Credit Risk, Systemic Uncertainties and Economic Capital Requirements for an Artificial Bank Loan Portfolio," Working Papers 2003/09, Czech National Bank, Research Department. [Downloadable!]
    58. Marian Micu, 2005. "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005 226, Society for Computational Economics. [Downloadable!]
    59. Joshua Rosenberg, 2000. "Asset Pricing Puzzles: Evidence from Options Markets," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-025, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    60. Jorge A. Chan-Lau, 2006. "Market-Based Estimation of Default Probabilities and Its Application to Financial Market Surveillance," IMF Working Papers 06/104, International Monetary Fund. [Downloadable!]
    61. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2009. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Spanish Economic Review, Springer, vol. 11(2), pages 141-164, June. [Downloadable!] (restricted)
    62. Lüders, Erik & Lüders-Amann, Inge & Schröder, Michael, 2004. "The Power Law and Dividend Yields," ZEW Discussion Papers 04-51, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    63. Prasanna Gai & Nicholas Vause, . "Measuring investors' risk appetite," Bank of England working papers 283, Bank of England. [Downloadable!]
    64. Günter Franke & Harris Schlesinger & Richard C. Stapleton, 2003. "Multiplicative Background Risk," CoFE Discussion Paper 03-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]

  10. J. Doyne Farmer & Andrew W. Lo, 1999. "Frontiers of Finance: Evolution and Efficient Markets," Working Papers 99-06-039, Santa Fe Institute.

    Cited by:

    1. Carl Chiarella & Xue-Zhong He, 2002. "An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies," Research Paper Series 84, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    2. Biao Wu, 2007. "Interacting Agent Feedback Finance Model," Quantitative Finance Papers math/0703827, arXiv.org. [Downloadable!]
    3. Philip V. Fellman & Jonathan Vos Post & Roxana Wright & Usha Dasari, 2007. "Adaptation and Coevolution on an Emergent Global Competitive Landscape," Quantitative Finance Papers 0707.0854, arXiv.org. [Downloadable!]
    4. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005. "Systemic Risk and Hedge Funds," NBER Working Papers 11200, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
      • Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc. [Downloadable!]
    5. Ferreira, Paulo & Dionisio, Andreia, 2008. "The Entropic Analysis Of Electoral Results: The Case Of European Countries," MPRA Paper 9234, University Library of Munich, Germany. [Downloadable!]
    6. M. Hashem Pesaran, 2005. "Market Efficiency Today," IEPR Working Papers 05.41, Institute of Economic Policy Research (IEPR). [Downloadable!]
    7. Leigh Tesfatsion, 2002. "Agent-Based Computational Economics," Computational Economics 0203001, EconWPA, revised 15 Aug 2002. [Downloadable!]
    8. Evstigneev, Igor V. & Hens, Thorsten & Schenk-Hoppé, Klaus Reiner, 2005. "Globally Evolutionarily Stable Portfolio Rules," Discussion Papers 2005/17, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
      Other versions:
    9. Aeljandro Reveiz Herault & Sebastian Rojas, 2008. "The case for active management from the perspective of Complexity Theory," BORRADORES DE ECONOMIA 004566, BANCO DE LA REPÚBLICA. [Downloadable!]
      Other versions:
    10. Jasmina Hasanhodzic & Andrew W. Lo & Emanuele Viola, 2009. "A Computational View of Market Efficiency," Quantitative Finance Papers 0908.4580, arXiv.org. [Downloadable!]
    11. Harald A. Benink & Jose Luis Gordillo & Juan Pablo Pardo & Christopher R. Stephens, 2004. "A Study of Neo-Austrian Economics using an Artificial Stock Market," Finance 0411038, EconWPA. [Downloadable!]
    12. Thomas Schuster, 2003. "Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media," Finance 0307014, EconWPA. [Downloadable!]

  11. Andrew W. Lo & A. Craig MacKinlay & June Zhang, 1997. "Econometric Models of Limit-Order Executions," NBER Working Papers 6257, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Konstantin Tyurin, 2004. "High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market," Econometric Society 2004 North American Summer Meetings 579, Econometric Society. [Downloadable!]
    2. Gaël Giraud, 2004. "The limit-price exchange process," Cahiers de la Maison des Sciences Economiques b04118, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
    3. Fernandes, Marcelo & Grammig, Joachim, 2003. "Nonparametric specification tests for conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 502, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    4. Luana Gava, 2005. "The Speed Of Limit Order Execution In The Spanish Stock Exchange," Business Economics Working Papers wb057718, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
    5. Bidisha Chakrabarty & Zhaohui Han & Konstantin Tyurin & Xiaoyong Zheng, 2006. "A Competing Risk Analysis of Executions and Cancellations in a Limit Order Market," Caepr Working Papers 2006-015, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]

  12. James M. Hutchinson & Andrew W. Lo & Tomaso Poggio, 1995. "A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks," NBER Working Papers 4718, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Patrick Gagliardini & C. Gourieroux & E. Renault, 2005. "Efficient Derivative Pricing by Extended Method of Moments," University of St. Gallen Department of Economics working paper series 2005 2005-05, Department of Economics, University of St. Gallen. [Downloadable!]
    2. Olivier Bardou & Yoshua Bengio, 2002. "Régularisation du prix des options : Stacking," CIRANO Working Papers 2002s-44, CIRANO. [Downloadable!]
    3. Khurshid M. KIANI & Terry L. KASTENS, 2006. "Using Macro-Financial Variables To Forecast Recessions. An Analysis Of Canada, 1957-2002," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3). [Downloadable!] (restricted)
    4. Kiani, K.M., 2009. "Neural Networks to Detect Nonlinearities in Time Series: Analysis of Business Cycle in France and the United Kingdom," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1). [Downloadable!] (restricted)
    5. Darsinos, T. & Satchell, S.E., 2001. "Bayesian Analysis of the Black-Scholes Option Price," Cambridge Working Papers in Economics 0102, Faculty of Economics, University of Cambridge. [Downloadable!]
    6. Tkacz, Greg & Hu, Sarah, 1999. "Forecasting GDP Growth Using Artificial Neural Networks," Working Papers 99-3, Bank of Canada. [Downloadable!]
    7. Peter Christoffersen & Kris Jacobs, 2003. "The Importance of the Loss Function in Option Valuation," CIRANO Working Papers 2003s-52, CIRANO. [Downloadable!]
      Other versions:
    8. T. Van Gestel & B. Baesens & J. A.K. Suykens & D. Van Den Poel & D.-E. Baestaens & Bm. Willekens, 2004. "Bayesian Kernel-Based Classification for Financial Distress Detection," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/247, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
      Other versions:
    9. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO. [Downloadable!]
    10. Bildirici, Melike & Alp, Aykaç, 2008. "The Relationship Between Wages and Productivity: TAR Unit Root and TAR Cointegration Approach," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 5(1), pages 93-110. [Downloadable!]
    11. Panayiotis Andreou & Chris Charalambous & Spiros Martzoukos, 2006. "Robust Artificial Neural Networks for Pricing of European Options," Computational Economics, Springer, vol. 27(2), pages 329-351, May. [Downloadable!] (restricted)
    12. Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C, 2005. "Loss Functions in Option Valuation: A Framework for Model Selection," CEPR Discussion Papers 4960, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    13. Jasmina Hasanhodzic & Andrew W. Lo & Emanuele Viola, 2009. "A Computational View of Market Efficiency," Quantitative Finance Papers 0908.4580, arXiv.org. [Downloadable!]
    14. Ming Yuan, 2009. "State price density estimation via nonparametric mixtures," Quantitative Finance Papers 0910.1430, arXiv.org. [Downloadable!]
    15. Khurshid Kiani & Terry Kastens, 2008. "Testing Forecast Accuracy of Foreign Exchange Rates: Predictions from Feed Forward and Various Recurrent Neural Network Architectures," Computational Economics, Springer, vol. 32(4), pages 383-406, November. [Downloadable!] (restricted)
    16. N. K. Chidambaran & Chi-Wen Jevons Lee & Joaguin R. Trigueros, 1998. "An Adaptive Evolutionary Approach to Option Pricing via Genetic Programming," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-086, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    17. Bossaerts, P. & Hillion, P., 1995. "Local Parametric Analysis of Hedging in Discrete Time," Discussion Paper 23, Tilburg University, Center for Economic Research. [Downloadable!]
      Other versions:
    18. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 1997. "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model," NBER Working Papers 6250, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  13. Andrew W. Lo & A. Craig MacKinlay, 1995. "Maximizing Predictability in the Stock and Bond Markets," NBER Working Papers 5027, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Doron Avramov, . "Stock-Return Predictability and Model Uncertainty," Rodney L. White Center for Financial Research Working Papers 12-00, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    2. Leonid Kogan & Raman Uppal, . "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," Rodney L. White Center for Financial Research Working Papers 13-00, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    3. Pereira, Pedro L. Valls, 2009. "Predictability of equity models," Textos para discussão 176, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    4. Ayyagari, Meghana & Demirguc-Kunt, Asli & Maksimovic, Vojislav, 2006. "What determines protection of property rights ? An analysis of direct and indirect effects," Policy Research Working Paper Series 3940, The World Bank. [Downloadable!]
    5. Yochanan Shachmurove & Uri BenZion & Paul Klein & Joseph Yagil, 2001. "A Moving Average Comparison of the Tel-Aviv 25 and S&P 500 Stock Indices," Penn CARESS Working Papers 4731f3394c43bebf4d3191c81, Penn Economics Department. [Downloadable!]
    6. Frenk, J.B.G. & Schaible, S., 2004. "Fractional Programming," Research Paper ERS-2004-074-LIS Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]

  14. Andrew W. Lo & Jiang Wang, 1994. "Implementing Option Pricing Models When Asset Returns Are Predictable," NBER Working Papers 4720, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Laarni Bulan & Christopher J. Mayer & C. Tsuriel Somerville, 2006. "Irreversible Investment, Real Options, and Competition: Evidence from Real Estate Development," NBER Working Papers 12486, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," European Journal of Finance, Taylor and Francis Journals, vol. 9(6), pages 533-556, December. [Downloadable!] (restricted)
    3. Christian Pierdzioch, 2000. "The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis," Kiel Working Papers 971, Kiel Institute for the World Economy. [Downloadable!]
    4. Dirk Broeders, 2006. "Valuation of Conditional Pension Liabilities and Guarantees under Sponsor Vulnerabilities," DNB Working Papers 082, Netherlands Central Bank, Research Department. [Downloadable!]
    5. C. Hafner & H. Herwartz, . "Option Pricing under Linear Autoregressive Dynamics, Heteroskedasticity, and Conditional Leptokurtosis," Sonderforschungsbereich 373 1999-58, Humboldt Universitaet Berlin.
      Other versions:
    6. Clapham, Eric & Gunnelin, Åke, 2003. "Rental Expectations and the Term Structure of Lease Rates," SIFR Research Report Series 16, Institute for Financial Research. [Downloadable!]
    7. David Bakstein, 2001. "The Pricing of Derivatives in Illiquid Markets," OFRC Working Papers Series 2001mf05, Oxford Financial Research Centre. [Downloadable!]
    8. David Bakstein & Sam Howison, 2002. "A Risk-Neutral Parametric Liquidity Model for Derivatives," OFRC Working Papers Series 2002mf02, Oxford Financial Research Centre. [Downloadable!]
    9. John Hatgioannides & Spiros Mesomeris, 2005. "Mean Reversion in Equity Prices: the G-7 Evidence," Money Macro and Finance (MMF) Research Group Conference 2005 64, Money Macro and Finance Research Group. [Downloadable!]
    10. John S. Ying & Joel S. Sternberg, 2005. "The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew," Working Papers 05-12, University of Delaware, Department of Economics. [Downloadable!]
    11. P. Bossaerts & C. Hafner & W. H"Ardle, . "Foreign Exchange Rates Have Surprising Volatility," Sonderforschungsbereich 373 1996-68, Humboldt Universitaet Berlin.
    12. Orazio Di Miscia, 2005. "Nonparametric estimation of diffusion process: a closer look," Finance 0504016, EconWPA. [Downloadable!]
    13. Andrew W. Lo & A. Craig MacKinlay & June Zhang, 1997. "Econometric Models of Limit-Order Executions," NBER Working Papers 6257, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    14. Han, Bin, 2004. "Limits of Arbitrage, Sentiment and Pricing Kernal: Evidences from Index Options," Working Paper Series 2004-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    15. Pindyck, Robert S., 1998. "The long-run evolution of energy prices," Working papers WP 4044-98., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
      Other versions:
    16. Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 1999. "A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation," CIRANO Working Papers 99s-48, CIRANO. [Downloadable!]
    17. Mohamadou Fadiga & Yongsheng Wang, 2009. "A multivariate unobserved component analysis of US housing market," Journal of Economics and Finance, Springer, vol. 33(1), pages 13-26, January. [Downloadable!] (restricted)
    18. Rodriguez, J.C., 2007. "Option Pricing and Momentum," Discussion Paper 2007-93, Tilburg University, Center for Economic Research. [Downloadable!]
    19. Julio Lucia & Eduardo Schwartz, 2000. "Electricity prices and power derivatives: Evidence from the Nordic Power Exchange," University of California at Los Angeles, Anderson Graduate School of Management 1061, Anderson Graduate School of Management, UCLA. [Downloadable!]

  15. John Y. Campbell & Andrew W. Lo & A. Craig MacKinlay, 1994. "Models of the term structure of interest rates," Working Papers 94-10, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Frank F. Gong & Eli M. Remolona, 1996. "Two factors along the yield curve," Research Paper 9613, Federal Reserve Bank of New York. [Downloadable!]
    2. Eli M. Remolona & Joseph Dziwura & Irene Pedraza, 1995. "The short end of the forward convergence curve and asymmetric cat's tail convergence," Research Paper 9523, Federal Reserve Bank of New York. [Downloadable!]
    3. Nijman, T.E. & Roon, F.A. de & Veld, C., 1996. "Pricing term structure risk in futures markets," Discussion Paper 78, Tilburg University, Center for Economic Research. [Downloadable!]
    4. Sharon Kozicki & Peter A. Tinsley, . "Moving Endpoints in Macrofinance," Computing in Economics and Finance 1996 _058, Society for Computational Economics. [Downloadable!]

  16. Andrew W. Lo & A. Craig MacKinlay, 1991. "An Econometric Analysis of Nonsynchronous Trading," NBER Working Papers 2960, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Chirok Han & Jin Seo Cho & Peter C. B. Phillips, 2009. "Infinite Density at the Median and the Typical Shape of Stock Return Distributions," Discussion Paper Series 0914, Institute of Economic Research, Korea University. [Downloadable!]
      Other versions:
    2. Herwany, Aldrin & Febrian, Erie, 2008. "Co-integration and Causality Analysis on Developed Asian Markets For Risk Management & Portfolio Selection," MPRA Paper 10259, University Library of Munich, Germany. [Downloadable!]
    3. Cotter, John, 2004. "Uncovering Long Memory in High Frequency UK Futures," MPRA Paper 3525, University Library of Munich, Germany. [Downloadable!]
    4. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 1999. "Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-040, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    5. Hurvich, Cliiford & Wang, Yi, 2006. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 1413, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    6. Roel C.A. Oomen, 2004. "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings 77, Econometric Society. [Downloadable!]
    7. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    8. Christian Pierdzioch, 2004. "Feedback Trading and Predictability of Stock Returns in Germany, 1880-1913," Kiel Working Papers 1213, Kiel Institute for the World Economy. [Downloadable!]
    9. Jianxin Wang, 2007. "Foreign Ownership and Volatility Dynamics of Indonesian Stocks," Asia-Pacific Financial Markets, Springer, vol. 14(3), pages 201-210, September. [Downloadable!] (restricted)
    10. Pablo Marshall & Eduardo Walker, 2002. "Volumen, tamaño y ajuste a nueva información en el mercado accionario chileno," Estudios de Economia, University of Chile, Department of Economics, vol. 29(2 Year 20), pages 247-268, December. [Downloadable!]
    11. George Milunovich, 2004. "Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model," Econometric Society 2004 Australasian Meetings 55, Econometric Society. [Downloadable!]
    12. Taro Kanatani & Roberto Reno', 2007. "Unbiased covariance estimation with interpolated data," Department of Economics University of Siena 502, Department of Economics, University of Siena. [Downloadable!]
    13. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre. [Downloadable!]
      Other versions:
    14. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 1999. "Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns," NBER Working Papers 7214, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    15. Febrian, Erie & Herwany, Aldrin, 2007. "Co-integration and Causality Among Jakarta Stock Exchange, Singapore Stock Exchange, and Kuala Lumpur Stock Exchange," MPRA Paper 9632, University Library of Munich, Germany. [Downloadable!]
    16. Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2009. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," CREATES Research Papers 2009-45, School of Economics and Management, University of Aarhus. [Downloadable!]
    17. Pilar Abad & Helena Chuliá & Marta Gomez-Puig, 2009. "EMU and European Government Bond Market Integration," Working Paper Series 1079, European Central Bank. [Downloadable!]
    18. Martin T. Bohl & Pierre Siklos, 2004. "Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets," Research Paper Series 137, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    19. Jeremy Leake, . "Credit spreads on sterling corporate bonds and the term structure of UK interest rates," Bank of England working papers 202, Bank of England. [Downloadable!]
    20. Christopher J. Neely & Paul A. Weller, 2001. "Intraday technical trading in the foreign exchange market," Working Papers 1999-016, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    21. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005. "Systemic Risk and Hedge Funds," NBER Working Papers 11200, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
      • Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc. [Downloadable!]
    22. Robert F. Engle & Gary G.J. Lee, 1993. "A Permanent and Transitory Component Model of Stock Return Volatility," University of California at San Diego, Economics Working Paper Series 92-44r, Department of Economics, UC San Diego. [Downloadable!]
    23. Giorgio Canarella & Stephen Pollard, 2007. "A switching ARCH (SWARCH) model of stock market volatility: some evidence from Latin America," International Review of Economics, Springer, vol. 54(4), pages 445-462, December. [Downloadable!] (restricted)
    24. Säfvenblad, Patrik, 1997. "Lead-Lag Effects When Prices Reveal Cross-Security Information," Working Paper Series in Economics and Finance 189, Stockholm School of Economics. [Downloadable!]
    25. Jon Wongswan, 2003. "Transmission of information across international equity markets," International Finance Discussion Papers 759, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    26. Beaulieu, Marie-claude & Cosset, Jean-Claude & Essaddam, Naceur, 2002. "The Impact of Political Risk on the Volatility of Stock Returns: the Case of Canada," Cahiers de recherche 0208, CIRPEE. [Downloadable!]
    27. Fulvio Corsi & Francesco Audrino, 2007. "Realized Correlation Tick-by-Tick," University of St. Gallen Department of Economics working paper series 2007 2007-02, Department of Economics, University of St. Gallen. [Downloadable!]
    28. Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    29. S. Sanfelici & M. E. Mancino, 2008. "Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise," Economics Department Working Papers 2008-ME01, Department of Economics, Parma University (Italy). [Downloadable!]
    30. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Series Working Papers 438, University of Oxford, Department of Economics. [Downloadable!]
    31. BAUWENS, Luc & BEN OMRANE, Walid, 2003. "News annoucements, market activity and volatility in the Euro/Dollar foreign exchange market," CORE Discussion Papers 2003029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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    32. BAUWENS, Luc & BEN OMRANE, Walid & RENGIFO, Erick, 2006. "Intra-daily FX optimal portfolio allocation," CORE Discussion Papers 2006010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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    33. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    34. Warren Dean & Robert Faff, 2008. "Evidence of feedback trading with Markov switching regimes," Review of Quantitative Finance and Accounting, Springer, vol. 30(2), pages 133-151, February. [Downloadable!] (restricted)
    35. Xiao-Ming Li, 2003. "Time-varying Informational Efficiency in China's A-Share and B-Share Markets," Journal of Chinese Economic and Business Studies, Taylor and Francis Journals, vol. 1(1), pages 33-56, January. [Downloadable!] (restricted)
    36. Yue Fang, 2000. "When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data," Econometric Society World Congress 2000 Contributed Papers 0843, Econometric Society. [Downloadable!]
    37. Paul Kofman & James T. Moser, 2001. "Stock margins and the condition probability of price reversals," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 2-12. [Downloadable!]
      Other versions:
    38. Massimo Guidolin & Stuart Hyde, 2007. "What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model," Working Papers 2006-029, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    39. Yoshiro Tsutsui & Kenjiro Hirayama, 2008. "How Fast Do Tokyo and New York Stock Exchanges Respond to Each Other?: An Analysis with High-Frequency Data," Discussion Papers in Economics and Business 08-32, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP). [Downloadable!]
    40. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," OFRC Working Papers Series 2009fe02, Oxford Financial Research Centre. [Downloadable!]
    41. Bossaerts, Peter, 1993. "Transaction Prices When Insiders Trade Portfolios," Working Papers 835, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
    42. Erie Febrian & Aldrin Herwany, 2009. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Economics and Development Studies (WoPEDS) 200911, Department of Economics, Padjadjaran University, revised Sep 2009. [Downloadable!]
    43. Aldrin Herwany & Erie Febrian, 2009. "Co-integration and Causality Analysis on Developed Asian Markets For Risk Management & Portfolio Selection," Working Papers in Economics and Development Studies (WoPEDS) 200909, Department of Economics, Padjadjaran University, revised Sep 2009. [Downloadable!]
    44. Säfvenblad, Patrik, 1997. "On the Damodaran Estimator of Price Adjustment Coefficients," Working Paper Series in Economics and Finance 208, Stockholm School of Economics. [Downloadable!]
    45. Nam, Jouahn & Wang, Jun & Zhang, Ge, 2004. "Strategic trading against retail investors with disposition effects," Working Papers 2004-11, University of New Orleans, Department of Economics and Finance. [Downloadable!]
    46. Pablo Marshall & Eduardo Walker, 2002. "Asymmetric Reaction to Information and Serial Dependence of Short-run Returns," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 273-292, November. [Downloadable!]
    47. Wai Mun Fong & Kim Hock See, 2001. "Modelling the conditional volatility of commodity index futures as a regime switching process," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 133-163. [Downloadable!]
    48. Fulvio Corsi & Francesco Audrino, 2008. "Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects," University of St. Gallen Department of Economics working paper series 2008 2008-04, Department of Economics, University of St. Gallen. [Downloadable!]
    49. Zitzewitz, Eric, 2002. "Who Cares About Shareholders? Arbitrage-Proofing Mutual Funds," Research Papers 1749, Stanford University, Graduate School of Business. [Downloadable!]
      Other versions:
    50. J. Ignacio Peña, 1992. "On meteor showers in stock markets: New York vs Madrid," Investigaciones Economicas, Fundación SEPI, vol. 16(2), pages 225-234, May. [Downloadable!]
    51. Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Finance 0501005, EconWPA. [Downloadable!]
      Other versions:
    52. Ingmar Nolte & Valeri Voev, 2009. "Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise," CREATES Research Papers 2009-16, School of Economics and Management, University of Aarhus. [Downloadable!]
    53. Longin, François, 1999. "From Value at Risk to Stress Testing: The Extreme Value Approach," CEPR Discussion Papers 2161, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    54. Veera Lenkkeri & Wessel Marquering & Ben Strunkmann-Meister, 2006. "The Friday Effect in European Securitized Real Estate Index Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 31-50, August. [Downloadable!] (restricted)
    55. Simone Bianco & Roberto Ren\'o, 2006. "Unexpected volatility and intraday serial correlation," Quantitative Finance Papers physics/0610023, arXiv.org. [Downloadable!]
    56. Gagnon, Louis & Karolyi, G. Andrew, 2007. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Working Paper Series 2006-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    57. Fernandes, Marcelo & Rocha, Marco Aurélio dos Santos, 2006. "Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange," Economics Working Papers (Ensaios Economicos da EPGE) 630, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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    58. Nicolaas Groenewold & Mohamed Ariff, 1998. "The Effects Of De-Regulation On Share-Market Efficiency In The Asia-Pacific," International Economic Journal, Korean International Economic Association, vol. 12(4), pages 23-47, December. [Downloadable!] (restricted)

  17. Andrew W. Lo & A. Craig MacKinlay, 1991. "Data-Snooping Biases in Tests of Financial Asset Pricing Models," NBER Working Papers 3001, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Ericsson, Johan & González, Andrés, 2003. "Is Momentum Due to Data-Snooping?," Working Paper Series in Economics and Finance 536, Stockholm School of Economics. [Downloadable!]
    2. Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-, 1992. "Maximizing predictability in the stock and bond markets," Working papers 3450-92., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
      Other versions:
    3. Paul Gao & Kevin X.D. Huang, 2004. "Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence," Research Working Paper RWP 04-07, Federal Reserve Bank of Kansas City. [Downloadable!]
    4. Shinn-Juh Lin & Max Stevenson, 1999. "Wavelet Analysis of Index Prices in Futures and Cash Markets: Implication for the Cost-Of-Carry Model," Research Paper Series 11, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    5. Jonathan Lewellen & Jay Shanken, 2000. "Estimation Risk, Market Efficiency, and the Predictability of Returns," NBER Working Papers 7699, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Michael D. Bordo & Joseph G. Haubrich, 2004. "The yield curve, recessions, and the credibility of the monetary regime: long-run evidence, 1875-1997," Working Paper 0402, Federal Reserve Bank of Cleveland. [Downloadable!]
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    7. G. William Schwert, 2002. "Anomalies and Market Efficiency," NBER Working Papers 9277, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    8. Michael Brennan & Ashley Wang & Yihong Xia, 2003. "Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing," University of California at Los Angeles, Anderson Graduate School of Management 1011, Anderson Graduate School of Management, UCLA. [Downloadable!]
    9. Jonathan B. Berk, 1998. "Sorting Out Sorts," NBER Technical Working Papers 0235, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    10. Bradford Cornell & Simon Cheng, 1995. "Using the DCF Approach to Analyze Cross- sectional Variation in Expected Returns," University of California at Los Angeles, Anderson Graduate School of Management 1139, Anderson Graduate School of Management, UCLA. [Downloadable!]
    11. Marquering, W. & Verbeek, M., 2000. "The economic value of predicting stock index returns and volatility," Discussion Paper 78, Tilburg University, Center for Economic Research. [Downloadable!]
    12. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2008. "High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence," NBER Working Papers 13739, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    13. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005. "Systemic Risk and Hedge Funds," NBER Working Papers 11200, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
      • Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc. [Downloadable!]
    14. Ravi Jagannathan & Keiichi Kubota & Hitoshi Takehara, 1997. "Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market," Discussion Paper / Institute for Empirical Macroeconomics 117, Federal Reserve Bank of Minneapolis. [Downloadable!]
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    15. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    16. Pereira, Robert, 1999. "Forecasting Ability But No Profitability: An Empirical Evaluation of Genetic Algorithm-optimised Technical Trading Rules," MPRA Paper 9055, University Library of Munich, Germany. [Downloadable!]
    17. Joseph G. Haubrich & James B. Thomson, 1994. "Loan sales: Pacific Rim trade in nontradable assets," Working Paper 9414, Federal Reserve Bank of Cleveland. [Downloadable!]
    18. Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003. "Keeping Up with the Joneses: An International Asset Pricing Model," Economics Working Papers 694, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    19. Claessens, Stijn & Dasgupta, Susmita & Glen, Jack, 1995. "The cross-section of stock returns : evidence from emerging markets," Policy Research Working Paper Series 1505, The World Bank. [Downloadable!]
    20. Pereira, Pedro L. Valls, 2009. "Predictability of equity models," Textos para discussão 176, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    21. Juan Pedro Gomez, 2005. "An International Capm With Consumption Externalities And Non-Financial Wealth," Working Papers Economia wp05-08, Instituto de Empresa, Area of Economic Environment. [Downloadable!]
    22. Jerry A. Hausman & Andrew W. Lo & A. Craig MacKinlay, 1991. "An Ordered Probit Analysis of Transaction Stock Prices," NBER Working Papers 3888, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    23. Danilov, D.L. & Magnus, J.R., 2001. "On the harm that pretesting does," Discussion Paper 37, Tilburg University, Center for Economic Research. [Downloadable!]
    24. Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia. [Downloadable!]
    25. Mark Grinblatt & Tobias Moskowitz, 1999. "The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence," University of California at Los Angeles, Anderson Graduate School of Management 1100, Anderson Graduate School of Management, UCLA. [Downloadable!]
      Other versions:
    26. Jay Shanken & Guofu Zhou, 2006. "Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations," NBER Working Papers 12055, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    27. Joseph P. Romano & Michael Wolf, 2003. "Stepwise Multiple Testing as Formalized Data Snooping," Economics Working Papers 712, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    28. Neil Kellard & John Nankervis & Fotis Papadimitriou, 2007. "Predicting the UK Equity Premium with Dividend Ratios: An Out-Of-Sample Recursive Residuals Graphical Approach," Money Macro and Finance (MMF) Research Group Conference 2006 129, Money Macro and Finance Research Group. [Downloadable!]
    29. A. Craig MacKinlay, 1994. "Multifactor Models Do Not Explain Deviations from the CAPM," NBER Working Papers 4756, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    30. John Y. Campbell, 1993. "Understanding Risk and Return," NBER Working Papers 4554, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    31. Ericsson, Johan & Karlsson, Sune, 2003. "Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach," Working Paper Series in Economics and Finance 524, Stockholm School of Economics, revised 12 Feb 2004. [Downloadable!]
    32. Michael Brennan & Yihong Xia, 1999. "Assessing Assets Pricing Anomalies," University of California at Los Angeles, Anderson Graduate School of Management 1098, Anderson Graduate School of Management, UCLA. [Downloadable!]
    33. Michael E. Drew & Madhu Veeraraghavan, 2001. "Asset Pricing In The Asian Region," School of Economics and Finance Discussion Papers and Working Papers Series 094, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    34. Orley Ashenfelter & Colm Harmon & Hessel Oosterbeek, 2000. "A Review of Estimates of the Schooling/Earnings Relationship, with Tests for Publication Bias," NBER Working Papers 7457, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    35. Ayyagari, Meghana & Demirguc-Kunt, Asli & Maksimovic, Vojislav, 2006. "What determines protection of property rights ? An analysis of direct and indirect effects," Policy Research Working Paper Series 3940, The World Bank. [Downloadable!]
    36. Joseph G. Haubrich & James B. Thomson, 1993. "Loan sales, implicit contracts, and bank structure," Working Paper 9307, Federal Reserve Bank of Cleveland. [Downloadable!]
      Other versions:
    37. Bruce N. Lehmann, 1992. "Empirical Testing of Asset Pricing Models," NBER Working Papers 4043, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    38. Jay Shanken & Ane Tamayo, 2001. "Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield," NBER Working Papers 8666, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  18. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, Archie Craig, 1955-, 1990. "An ordered probit analysis of transaction stock prices," Working papers 3234-90., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
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    Cited by:

    1. Degryse, H. & Jong, F. de & Ravenswaaij, M. van & Wuyts, G., 2002. "Aggressive orders and the resiliency of a limit order market," Discussion Paper 80, Tilburg University, Center for Economic Research. [Downloadable!]
      Other versions:
    2. Robert F. Engle & Jeffrey R. Russell, 1994. "Forecasting Transaction Rates: The Autoregressive Conditional Duration Model," NBER Working Papers 4966, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Kentaro Iwatsubo & Yoshihiro Kitamura, 2008. "Intraday Evidence of the Informational Efficiency of the Yen/Dollar Exchange Rate," Discussion Papers 0801, Graduate School of Economics, Kobe University. [Downloadable!]
    4. Robert Engle & Andrew Patton, 2000. "Impacts of Trades in an Error-Correction Model of Quote Prices," University of California at San Diego, Economics Working Paper Series 2000-26, Department of Economics, UC San Diego. [Downloadable!]
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    5. Fernandez, C. & Steel, M.F.J., 1997. "On the dangers of modelling through continuous distributions : a Bayesian perspective," Discussion Paper 5, Tilburg University, Center for Economic Research. [Downloadable!]
      Other versions:
    6. Bartley R. Danielsen & David M. Harrison, 2000. "The Impact of Potential Private Information on REIT Liquidity," Journal of Real Estate Research, American Real Estate Society, vol. 19(1), pages 49-71. [Downloadable!]
    7. Mark E. Schweitzer & Eric K. Severance-Lossin, 1996. "Rounding in earnings data," Working Paper 9612, Federal Reserve Bank of Cleveland. [Downloadable!]
    8. Christian Pierdzioch, 2000. "The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis," Kiel Working Papers 971, Kiel Institute for the World Economy. [Downloadable!]
    9. Manfen Chen & Rohan Christie-David & William Moore, 2007. "Deregulation, news releases, and price discovery," Journal of Regulatory Economics, Springer, vol. 31(3), pages 289-312, June. [Downloadable!] (restricted)
    10. Konstantin Tyurin, 2004. "High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market," Econometric Society 2004 North American Summer Meetings 579, Econometric Society. [Downloadable!]
    11. Selva Demiralp & Oscar Jorda, . "The Pavlovian Response of Term Rates to Fed Announcements," Department of Economics 99-06, California Davis - Department of Economics. [Downloadable!]
      Other versions:
    12. Rama CONT & Jean-Philippe BOUCHAUD, 1997. "Herd behavior and aggregate fluctuations in financial markets," Finance 9712008, EconWPA, revised 30 Dec 1997. [Downloadable!]
    13. Kenneth A. Froot & Tarun Ramadorai, 2001. "The Information Content of International Portfolio Flows," NBER Working Papers 8472, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    14. Rama Cont & Jean-Philippe Bouchaud, 1997. "Herd behavior and aggregate fluctuations in financial markets," Quantitative Finance Papers cond-mat/9712318, arXiv.org, revised Jan 1998. [Downloadable!]
    15. Min-Hsien Chiang & Cheng-Hsiang Wang, 2004. "Intradaily relationship between information revelation and trading duration under market trends: the evidence of MSCI Taiwan stock index futures," Applied Economics Letters, Taylor and Francis Journals, vol. 11(8), pages 495-501, June. [Downloadable!] (restricted)
    16. Jose Montalvo, 2003. "Liquidity and market makers: a pseudo-experimental analysis with ultrahigh frequency data," European Journal of Finance, Taylor and Francis Journals, vol. 9(4), pages 358-378, August. [Downloadable!] (restricted)
    17. Cameron, A. Colin & Li, Tong & Trivedi, Pravin K. & Zimmer, David M., 2004. "Modeling Differences in Counted Outcomes Using Bivariate Copula Models: With Application to Mismeasured Counts," Working Papers 04-3, University of California at Davis, Department of Economics. [Downloadable!]
    18. Michael Dueker & Daniel L. Thornton, 1994. "Asymmetry in the prime rate and firms' preference for internal finance," Working Papers 1994-017, Federal Reserve Bank of St. Louis. [Downloadable!]
    19. Cheung, S., 1996. "Provincial Credit Rating in Canada: An Ordered Probit Analysis," Working Papers 96-6, Bank of Canada. [Downloadable!]
    20. Michael Dueker, 1998. "Conditional heteroskedasticity in qualitative response models of time series: a Gibbs sampling approach to the bank prime rate," Working Papers 1998-011, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    21. Richard K. Lyons, 1995. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," NBER Working Papers 4984, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    22. J. Doyne Farmer & Shareen Joshi, 2000. "The price dynamics of common trading strategies," Quantitative Finance Papers cond-mat/0012419, arXiv.org. [Downloadable!]
    23. Jeffrey R. Russell & Robert F. Engle, 1998. "Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model," University of California at San Diego, Economics Working Paper Series 98-10, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    24. Joel Hasbrouck, 1998. "Security Bid/Ask Dynamics with Discreteness and Clustering: Simple Strategies for Modeling and Estimation," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-042, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    25. Eric Ghysels & Christian Gourieroux & Joann Jasiak, 2000. "Causality between Returns and Traded Volumes," Annales d'Economie et de Statistique, ADRES, issue 60, pages 09, Octobre-D. [Downloadable!]
    26. Jung, Robert & Kukuk, Martin & Liesenfeld, Roman, 2005. "Time Series of Count Data : Modelling and Estimation," Economics Working Papers 2005,08, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    27. Timotheos Angelidis & Alexandros Benos, . "The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange," Working Papers 0615, University of Crete, Department of Economics. [Downloadable!]
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    28. Ielpo, Florian & Guégan, Dominique, 2006. "An econometric specification of monetary policy dark art," MPRA Paper 1004, University Library of Munich, Germany, revised 07 Oct 2006. [Downloadable!]
    29. James D. Hamilton & Oscar Jorda, 2000. "A Model for the Federal Funds Rate Target," NBER Working Papers 7847, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    30. Yue Fang, 2000. "When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data," Econometric Society World Congress 2000 Contributed Papers 0843, Econometric Society. [Downloadable!]
    31. Luc Bauwens & Pierre Giot, 2000. "The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks," Annales d'Economie et de Statistique, ADRES, issue 60, pages 06, Octobre-D. [Downloadable!]
    32. Winfried Pohlmeier & Roman Liesenfeld, 2003. "A Dynamic Integer Count Data Model for Financial Transaction Prices," CoFE Discussion Paper 03-03, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    33. Alfonso Dufour & Robert Engle, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series 1999-15, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    34. David F. Babbel & Craig B. Merrill & Mark F. Meyer & Meiring de Villiers, 2001. "The Effect of Transaction Size on Off-the-Run Treasury Prices," Center for Financial Institutions Working Papers 01-03, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
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    35. Kempf, Alexander & Korn, Olaf, 1998. "Market depth and order size : an analysis of permanent price effects of DAX futures' trades," ZEW Discussion Papers 98-10, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    36. Neil Doherty & Richard Phillips, 2002. "Keeping up with the Joneses: Changing Rating Standards and the Buildup of Capital by U.S. Property-Liability Insurers," Journal of Financial Services Research, Springer, vol. 21(1), pages 55-78, February. [Downloadable!] (restricted)
    37. Serge Darolles & Christian Gourieroux & Gaëlle Le Fol, 2000. "Intraday Transaction Price Dynamics," Annales d'Economie et de Statistique, ADRES, issue 60, pages 10, Octobre-D. [Downloadable!]
    38. Jari RitsilÄa & Mika Haapanen, 2003. "Where do the highly educated migrate? micro-level evidence from finland," International Review of Applied Economics, Taylor and Francis Journals, vol. 17(4), pages 437-448, October. [Downloadable!] (restricted)
    39. Valeri Voev, 2006. "A Trade-by-Trade Surprise Measure and Its Relation to Observed Spreadson the NYSE," CoFE Discussion Paper 06-03, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    40. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "Estimating Liquidity Using Information on the Multivariate Trading Process," CoFE Discussion Paper 06-04, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
      Other versions:
    41. Roman Liesenfeld & Ingmar Nolte & Winfried Pohlmeier, 2006. "Modelling financial transaction price movements: a dynamic integer count data model," Empirical Economics, Springer, vol. 30(4), pages 795-825, January. [Downloadable!] (restricted)
    42. Nikolaus Hautsch & Winfried Pohlmeier, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Paper 01-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    43. González, M. & Minguez, R., 2005. "The Method Of Simulated Maximum Likelihood For The Estimaton Of Dynamic Ordered Probit: An Application To Country-Risk For Non-Developed Countries," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(3), pages 99-133. [Downloadable!]
    44. M. A. Martínez & M. Tapia & J. Yzaguirre, 2005. "Information transmission around block trades on the Spanish stock exchange," Applied Financial Economics, Taylor and Francis Journals, vol. 15(3), pages 173-186, February. [Downloadable!] (restricted)
    45. Shiki Levy, 1998. "Wealthy People and Fat Tails: An Explanation for the Lévy Distribution of Stock Returns," University of California at Los Angeles, Anderson Graduate School of Management 1118, Anderson Graduate School of Management, UCLA. [Downloadable!]
    46. J. Doyne Farmer & Shareen Joshi, 2000. "The Price Dynamics of Common Trading Strategies," Working Papers 00-12-069, Santa Fe Institute.
      Other versions:
    47. Frank Gerhard & Nikolaus Hautsch, 1999. "Volatility Estimation on the Basis of Price Intensities," CoFE Discussion Paper 99-19, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
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  19. Andrew W. Lo, 1989. "Long-term Memory in Stock Market Prices," NBER Working Papers 2984, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    Cited by:

    1. Cornelis A. Los & Bing Yu, 2005. "Persistence Characteristics of the Chinese Stock Markets," Finance 0508008, EconWPA. [Downloadable!]
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    2. Cecilia Maya & Karoll Gómez, 2008. "What Exactly is "Bad News" in Foreign Exchange Markets? Evidence from Latin American Markets," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 161-183. [Downloadable!]
    3. Sandro Sapio, 2004. "Market Design, Bidding Rules, and Long Memory in Electricity Prices," LEM Papers Series 2004/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    4. S. Chaouachi & G. Dufrenot & V.Mignon, 2003. "Modelling the misalignement of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective," THEMA Working Papers 2003-03, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
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    5. Lux, Thomas, 2003. "The multi-fractal model of asset returns : its estimation via GMM and its use for volatility forecasting," Economics Working Papers 2003,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
      Other versions:
    6. Jonathan Manton & Anton Muscatelli & Vikram Krishnamurthy & Stan Hurn, . "Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise," Working Papers 9806, Department of Economics, University of Glasgow. [Downloadable!]
    7. L. Giraitis & P. Kokoszka & R. Leipus & G. Teyssiere, . "Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity," Sonderforschungsbereich 373 1999-81, Humboldt Universitaet Berlin.
    8. Felipe M. Aparicio & Alvaro Escribano & Ana García, 2004. "A Range Unit Root Test," Statistics and Econometrics Working Papers ws041104, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    9. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," Finance 0409032, EconWPA. [Downloadable!]
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    10. Florin Avram & Murad Taqqu, 2000. "Robustness of the R / S Statistic for Fractional Stable Noises," Statistical Inference for Stochastic Processes, Springer, vol. 3(1), pages 69-83, January. [Downloadable!] (restricted)
    11. Matti Vir, 2000. "Analysing long memory and asymmetries," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 240-258, June. [Downloadable!] (restricted)
    12. Verspagen,Bart, 1999. "Intellectual Property Rights in the World Economy," Research Memoranda 016, Maastricht : MERIT, Maastricht Economic Research Institute on Innovation and Technology. [Downloadable!]
    13. Jonathan Dark, 2004. "Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures," Monash Econometrics and Business Statistics Working Papers 5/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    14. Morten Ørregaard Nielsen & Per Frederiksen, 2005. "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Working Papers 1189, Queen's University, Department of Economics. [Downloadable!]
    15. Andersson, Michael K. & Gredenhoff, Mikael P., 1998. "Robust Testing for Fractional Integration Using the Bootstrap," Working Paper Series in Economics and Finance 218, Stockholm School of Economics. [Downloadable!]
    16. Noor A. Ghazali & Shamshubariah Ramlee, 2003. "A long memory test of the long-run Fisher effect in the G7 countries," Applied Financial Economics, Taylor and Francis Journals, vol. 13(10), pages 763-769, October. [Downloadable!] (restricted)
    17. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Long Memory in US Real Output per Capita," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    19. B. Verspagen & G. Silverberg, 2000. "A note on Michelacci and Zaffaroni, long memory, and time series of economic growth," ECIS Working Papers 00.17, Eindhoven Centre for Innovation Studies, Eindhoven University of Technology. [Downloadable!]
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    20. E. Dubois & S. Lardic & V. Mignon, 2003. "The exact maximum likelihood-based test for fractional cointegration: critical values, power and size," THEMA Working Papers 2003-26, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
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    21. Paolo Zaffaroni, 2003. "Gaussian inference on certain long-range dependent volatility models," Temi di discussione (Economic working papers) 472, Bank of Italy, Economic Research Department. [Downloadable!]
    22. Javier De Peña & Luis A. Gil-Alana, 2003. "Testing of Nonstationary Cycles in Financial Time Series Data," Faculty Working Papers 15/03, School of Economics and Business Administration, University of Navarra. [Downloadable!]
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    23. Graham Newell & Maurice Peat & Max Stevenson, 1996. "Testing for Evidence of Nonlinear Structure in Australian Real Estate Market Returns," Working Paper Series 61, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
    24. Quoreshi, Shahiduzzaman, 2006. "Time Series Modelling Of High Frequency Stock Transaction Data," UmeÃ¥ Economic Studies 675, Umeå University, Department of Economics. [Downloadable!]
    25. Marc Henry & Peter M Robinson, 1998. "Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in Econometric Theory, 15 (1999), pp.299-336.)," STICERD - Econometrics Paper Series /1998/357, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    26. Paul Eitelman & Justin Vitanza, 2008. "A non-random walk revisited: short- and long-term memory in asset prices," International Finance Discussion Papers 956, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    27. Christopher F. Baum & John Barkoulas, 1996. "Long Term Dependence in Stock Returns," Boston College Working Papers in Economics 314., Boston College Department of Economics. [Downloadable!]
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    28. Ooms, Marius, 1995. "Flexible seasonal long memory and economic time series," Econometric Institute Report 134, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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    29. Peter G. Szilagyi & Jonathan A. Batten, 2006. "Arbitrage, Covered Interest Parity and Long-Term Dependence between the US Dollar and the Yen," The Institute for International Integration Studies Discussion Paper Series iiisdp128, IIIS. [Downloadable!]
    30. T. Di Matteo & T. Aste & M. M. Dacorogna, 2003. "Using the Scaling Analysis to Characterize Financial Markets," Quantitative Finance Papers cond-mat/0302434, arXiv.org. [Downloadable!]
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    31. Cheolbeom Park, 2006. "The Persistence and Predictive Power of the Dividend-Price Ratio," Departmental Working Papers wp0603, National University of Singapore, Department of Economics. [Downloadable!]
    32. Sandrine Lardic & Valerie Mignon, 2003. "Fractional cointegration between nominal interest rates and inflation: A re-examination of the Fisher relationship in the G7 countries," Economics Bulletin, Economics Bulletin, vol. 3(14), pages 1-10. [Downloadable!]
    33. Pilar Grau-Carles, 2005. "Tests of Long Memory: A Bootstrap Approach," Computational Economics, Springer, vol. 25(1), pages 103-113, February. [Downloadable!] (restricted)
    34. David Peel & David Byers & Dennis Thomas, 2005. "Habit, aggregation and long memory: evidence from television audience data," Working Papers 002500, Lancaster University Management School, Economics Department. [Downloadable!]
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    35. Sijing Zong & Cornelis A. Los & Nyonyo Kyaw, 2004. "Persistence Characteristics of Latin American Financial Markets," Finance 0411013, EconWPA. [Downloadable!]
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    36. jérôme Fillol & Fabien Tripier, 2003. "The scaling function-based estimator of the long memory parameter: a comparative study," Economics Bulletin, Economics Bulletin, vol. 3(23), pages 1-7. [Downloadable!]
    37. Espinosa Méndez, Christian, 2007. "Efecto Fin De Semana Y Fin De Mes En El Mercado Bursatil Chileno
      [Effect Weekend And Effect Month End In The Chilean Stock Market]      ," MPRA Paper 3252, University Library of Munich, Germany. [Downloadable!]
    38. Nunzio Cappuccio & Diego Lubian, 2003. "Asymptotic null distributions of stationarity and nonstationarity," Working Papers 8, Università di Verona, Dipartimento di Scienze economiche. [Downloadable!]
    39. Thomas Mikosch, 2004. "Is it really long memory we see in financial returns?," Econometrics 0412002, EconWPA. [Downloadable!]
    40. Param Silvapulle, 1995. "A Score Test for Seasonal Fractional Integration and Cointegration," Econometrics 9506005, EconWPA, revised 16 Jun 1995. [Downloadable!]
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    41. Anning Wei & Raymond M. Leuthold, 1998. "Long Agricultural Futures Prices: ARCH, Long Memory, or Chaos Processes?," Finance 9805001, EconWPA. [Downloadable!]
    42. John T. Barkoulas & Christopher F. Baum & Nickolaos Travlos, 1996. "Long Memory in the Greek Stock Market," Boston College Working Papers in Economics 356., Boston College Department of Economics. [Downloadable!]
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    43. Jerome Coulon & Yannick Malevergne, 2008. "Heterogeneous expectations and long range correlation of the volatility of asset returns," Quantitative Finance Papers 0808.1538, arXiv.org. [Downloadable!]
    44. Kristoufek, Ladislav, 2009. "Procesy s dlouhou pamětí a jejich vývoj ve výnosech indexu PX v letech 1999 – 2009
      [Long-term memory and its evolution in returns of PX between 1999 and 2009]      ," MPRA Paper 16435, University Library of Munich, Germany. [Downloadable!]
    45. Felipe M. Aparicio & Alvaro Escribano & Ana García, 2003. "Range Unit Root Tests," Statistics and Econometrics Working Papers ws031126, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    46. S. Lardic & V. Mignon, 2002. "Term premium and long-range dependence in volatility : A FIGARCH-M estimation on some Asian countries," THEMA Working Papers 2002-26, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    47. Helena Veiga, 2006. "A Two Factor Long Memory Stochastic Volatility Model," Statistics and Econometrics Working Papers ws061303, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    48. Jonathan Dark, 2004. "Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model," Monash Econometrics and Business Statistics Working Papers 7/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    49. Graham Newell & Maurice Peat & Max Stevenson, 1997. "Testing for Evidence of Nonlinear Structure in Daily and Weekly United Kingdom Stock and Property Market Indicies," Working Paper Series 73, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
    50. Mark J. Jensen, 1998. "An Approximate Wavelet MLE of Short and Long Memory Parameters," Econometrics 9802003, EconWPA, revised 21 Jun 1999. [Downloadable!]
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    51. John Barkoulas & Christopher F. Baum, 1997. "Long Memory and Forecasting in Euroyen Deposit Rates," Boston College Working Papers in Economics 361, Boston College Department of Economics. [Downloadable!]
    52. Cornelis A. Los, 2004. "Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data," Finance 0409033, EconWPA. [Downloadable!]
    53. I.N. Lobato & N.E. Savin, 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Econometrics 9605004, EconWPA, revised 26 Sep 1996. [Downloadable!]
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    54. Cotter, John & Stevenson, Simon, 2007. "Modeling Long Memory in REITs," MPRA Paper 3500, University Library of Munich, Germany. [Downloadable!]
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    55. Carl Chiarella & Giulia Iori & Josep Perello, 2007. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Quantitative Finance Papers 0711.3581, arXiv.org. [Downloadable!]
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    56. Raul Matsushita & Andre Santos & Iram Gleria & Annibal Figueiredo & Sergio Da Silva, 2005. "Are Pound and Euro the Same Currency?," International Finance 0505002, EconWPA. [Downloadable!]
    57. Adnan Kasman & Erdost Torun, 2007. "Long Memory in the Turkish Stock Market Return and Volatility," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 7(2), pages 13-27. [Downloadable!]
    58. Andersson, Michael K. & Gredenhoff, Mikael P., 1997. "Bootstrap Testing for Fractional Integration," Working Paper Series in Economics and Finance 188, Stockholm School of Economics. [Downloadable!]
    59. Gilles DUFRENOT & Val=E9rie MIGNON & Anne PEGUIN-FEISSOLE, 2003. "Business cycles asymmetry and monetary policy: a further investigatio= n=20 using MRSTAR models," Macroeconomics 0309002, EconWPA. [Downloadable!]
    60. Quoreshi, Shahiduzzaman, 2006. "LongMemory, Count Data, Time Series Modelling for Financial Application," UmeÃ¥ Economic Studies 673, Umeå University, Department of Economics. [Downloadable!]
    61. Anurag Banerjee, 2004. "Sensitivity of OLS estimates against ARFIMA error process as small sample Test for long memory," Econometric Society 2004 Australasian Meetings 159, Econometric Society. [Downloadable!]
    62. S. Lardic & V. Mignon, 2002. "Fractional cointegration and term structure of interest rates," THEMA Working Papers 2002-28, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    63. John Barkoulas & Christopher F. Baum, 1996. "Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates," Boston College Working Papers in Economics 317., Boston College Department of Economics. [Downloadable!]
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    64. Rudiger Kiesel & William Perraudin & Alex Taylor, . "The structure of credit risk: spread volatility and ratings transitions," Bank of England working papers 131, Bank of England. [Downloadable!]
    65. G. Teyssiere, . "Long-Memory Analysis," Sonderforschungsbereich 373 2000-57, Humboldt Universitaet Berlin.
    66. Gary Koop, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Working Papers gkoop-95-01, University of Toronto, Department of Economics. [Downloadable!]
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    67. R. Tschernig, . "Long Memory in Foreign Exchange Rates Revisited," Sonderforschungsbereich 373 1994-46, Humboldt Universitaet Berlin.
    68. Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa, 2003. "Testing and Estimating Persistence in Canadian Unemployment," Econometrics 0311004, EconWPA. [Downloadable!]
    69. Marc Henry & Paolo Zaffaroni, 2002. "The long range dependence paradigm for macroeconomics and finance," Discussion Papers 0102-19, Columbia University, Department of Economics. [Downloadable!]
    70. T. Di Matteo & T. Aste & Michel M. Dacorogna, 2005. "Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development," Econometrics 0503004, EconWPA. [Downloadable!]
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    71. John T. Barkoulas & Christopher F. Baum & Mustafa Caglayan & Atreya Chakraborty, 1998. "Persistent Dependence in Foreign Exchange Rates? A Reexamination," Boston College Working Papers in Economics 377, Boston College Department of Economics, revised 21 Apr 2000. [Downloadable!]
    72. Nadiezhda de la Uz, 2002. "La hipótesis de martingala en el mercado bursátil mexicano," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 17(1), pages 91-127. [Downloadable!]
    73. Marwan Izzeldin & Anthony Murphy, 2000. "Bootstrapping the Small Sample Critical Values of the Rescaled Range Statistic," The Economic and Social Review, Economic and Social Studies, vol. 31(4), pages 351-359. [Downloadable!]
    74. Mark J. Jensen, 1997. "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter," Econometrics 9710002, EconWPA. [Downloadable!]
    75. Matsushita, Raul & Gleria, Iram & Figueiredo, Annibal & Da Silva, Sergio, 2007. "Are Pound and Euro the Same Currency? - Updated," MPRA Paper 1981, University Library of Munich, Germany. [Downloadable!]
    76. Silverberg, G. & Verspagen, Bart, 1999. "Long Memory in Time Series of Economic Growth and Convergence," ECIS Working Papers 99.8, Eindhoven Centre for Innovation Studies, Eindhoven University of Technology. [Downloadable!]
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    77. Paolo Guasoni & Mikl\'os R\'asonyi & Walter Schachermayer, 2008. "Consistent price systems and face-lifting pricing under transaction costs," Quantitative Finance Papers 0803.4416, arXiv.org. [Downloadable!]
    78. Mehmet Horasanli, 2006. "Predictability of Turkish Foreign Exchange and its Implications to Option Pricing and Arbitrage Opportunities," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 6(2), pages 1-10. [Downloadable!]
    79. Baghli, M. & Cahn, C. & Fraisse, H., 2006. "Is the Inflation-Output Nexus Asymmetric in the Euro Area?," Documents de Travail 140, Banque de France. [Downloadable!]
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    80. Yvon Fauvel & Alain Paquet & Christian Zimmermann, 1999. "A Survey on Interest Rate Forecasting," Cahiers de recherche CREFE / CREFE Working Papers 87, CREFE, Université du Québec à Montréal. [Downloadable!]
    81. Robert DiSario & Hakan Saraoglu & Joseph McCarthy & H. Li, 2008. "An investigation of long memory in various measures of stock market volatility, using wavelets and aggregate series," Journal of Economics and Finance, Springer, vol. 32(2), pages 136-147, April. [Downloadable!] (restricted)
    82. Sergio Da Silva & Raul Matsushita & Iram Gleria & Annibal Figueiredo, 2007. "Hurst exponents, power laws, and efficiency in the Brazilian foreign exchange market," Economics Bulletin, Economics Bulletin, vol. 7(1), pages 1-11. [Downloadable!]
    83. G. Dufrenot & E. Grimaud & E. Latil & V. Mignon, 2003. "Real exchange rate misalignment in Hungary: a fractionally integrated threshold model," THEMA Working Papers 2003-07, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    84. Ehsan Ahmed & Honggang Li & J. Barkley Rosser, 2006. "Nonlinear bubbles in Chinese Stock Markets in the 1990s," Eastern Economic Journal, Eastern Economic Association, vol. 32(1), pages 1-18, Winter. [Downloadable!]
    85. Cheng-few Lee & Keshab Shrestha & Robert Welch, 2007. "Relationship between Treasury bills and Eurodollars: Theoretical and Empirical Analyses," Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 163-185, February. [Downloadable!] (restricted)
    86. Joseph G. Haubrich & Andrew W. Lo, 1991. "The sources and nature of long-term memory in the business cycle," Working Paper 9116, Federal Reserve Bank of Cleveland. [Downloadable!]
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    87. Chih-Chiang Hsu, 2000. "Long Memory or Structural Change: Testing Method and Empirical Examination," Econometric Society World Congress 2000 Contributed Papers 0867, Econometric Society. [Downloadable!]
    88. Souza, Leonardo Rocha, 2003. "Temporal Aggregation and Bandwidth Selection in Estimating Long Memory," Economics Working Papers (Ensaios Economicos da EPGE) 478, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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    89. Terence Tai-Leung Chong, 2007. "Estimating the Fractionally Integrated Model with a Break in the Differencing Parameter," Economics Bulletin, Economics Bulletin, vol. 3(67), pages 1-10. [Downloadable!]
    90. Gilles DUFRENOT & Elisabeth GRIMAUD & Eug=E9nie LATIL & Val=E9rie MIGNON, 2003. "Real exhange rate misalignment in Hungary: a fractionally integrated=20 threshold model," Econometrics 0309001, EconWPA. [Downloadable!]
    91. Francis W. Ahking, 2004. "Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era," Working papers 2004-05, University of Connecticut, Department of Economics. [Downloadable!]
    92. Pilar Grau-Carles, 2004. "Test for long memory processes. A bootstrap approach," Computing in Economics and Finance 2004 111, Society for Computational Economics. [Downloadable!]
    93. Cornelis Los, 2004. "Measuring the Degree of Efficiency of Financial Market," Finance 0411003, EconWPA. [Downloadable!]
    94. Hendrik J. Blok, 2000. "On the nature of the stock market: Simulations and experiments," Quantitative Finance Papers cond-mat/0010211, arXiv.org. [Downloadable!]
    95. Geetesh Bhardwaj & Norman Swanson, 2004. "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers 200422, Rutgers University, Department of Economics. [Downloadable!]
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    96. John Barkoulas & Christopher F. Baum, 1996. "Fractional Dynamics in Japanese Financial Time Series," Boston College Working Papers in Economics 334., Boston College Department of Economics. [Downloadable!]
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    97. Anthony Murphy & Marwan Izzeldin, 2006. "Bootstrapping long memory tests: some Monte Carlo results," Working Papers 003091, Lancaster University Management School, Economics Department. [Downloadable!]
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    98. Lisa Borland & Jean-Philippe Bouchaud & Jean-Francois Muzy & Gilles Zumbach, 2005. "The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond," Science & Finance (CFM) working paper archive 500061, Science & Finance, Capital Fund Management. [Downloadable!]
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    1. Chirok Han & Jin Seo Cho & Peter C. B. Phillips, 2009. "Infinite Density at the Median and the Typical Shape of Stock Return Distributions," Discussion Paper Series 0914, Institute of Economic Research, Korea University. [Downloadable!]
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    2. Sergio Da Silva, 2004. "Exponentially Damped Levy Flights," Finance 0406002, EconWPA. [Downloadable!]
    3. Zisimos Koustas & Jean-Francois Lamarche & Apostolos Serletis, 2006. "Threshold Random Walks in the U.S. Stock Market," Working Papers 0602, Brock University, Department of Economics, revised May 2006. [Downloadable!]
    4. Kentaro Iwatsubo & Yoshihiro Kitamura, 2008. "Intraday Evidence of the Informational Efficiency of the Yen/Dollar Exchange Rate," Discussion Papers 0801, Graduate School of Economics, Kobe University. [Downloadable!]
    5. Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2002. "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach," CIRANO Working Papers 2002s-85, CIRANO. [Downloadable!]
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    6. Ken Urai, 2006. "Social Recognition and Economic Equilibrium," Discussion Papers in Economics and Business 06-29, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
    7. Roy Kluitman & Philip Hans Franses, 2002. "Estimating volatility on overlapping returns when returns are autocorrelated," Applied Mathematical Finance, Taylor and Francis Journals, vol. 9(3), pages 179-188, September. [Downloadable!] (restricted)
    8. William A. Barnett & Alfredo Medio & Apostolos Serletis, 1997. "Nonlinear and Complex Dynamics in Economics," Econometrics 9709001, EconWPA. [Downloadable!]
    9. Cornelis A. Los, 2005. "Measurement of Financial Risk Persistence," Finance 0502013, EconWPA. [Downloadable!]
    10. W. Brian Arthur & John H. Holland & Blake LeBaron & Richard Palmer & Paul Taylor, 1996. "Asset Pricing Under Endogenous Expectation in an Artificial Stock Market," Working Papers 96-12-093, Santa Fe Institute.
    11. John Y. Campbell, 1991. "A Variance Decomposition for Stock Returns," NBER Working Papers 3246, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    12. Peter Klibanoff & Owen Lamont & Thierry A. Wizman, 1996. "Investor Reaction to Salient News in Closed-End Country Funds," NBER Working Papers 5588, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    13. Pablo Marshall & Eduardo Walker, 2002. "Volumen, tamaño y ajuste a nueva información en el mercado accionario chileno," Estudios de Economia, University of Chile, Department of Economics, vol. 29(2 Year 20), pages 247-268, December. [Downloadable!]
    14. George Milunovich, 2004. "Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model," Econometric Society 2004 Australasian Meetings 55, Econometric Society. [Downloadable!]
    15. Kausik Chaudhuri & Yangru Wu, 2000. "Random Walk versus Breaking Trend in Stock Prices: Evidence from Emerging Markets," Working Papers 2000-3, University of Sydney, Department of Economics. [Downloadable!]
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    16. Patrick A. Groenendijk & André Lucas & Casper G. de Vries, 1998. "A Hybrid Joint Moment Ratio Test for Financial Time Series," Tinbergen Institute Discussion Papers 98-104/2, Tinbergen Institute. [Downloadable!]
    17. Noor A. Ghazali & Shamshubariah Ramlee, 2003. "A long memory test of the long-run Fisher effect in the G7 countries," Applied Financial Economics, Taylor and Francis Journals, vol. 13(10), pages 763-769, October. [Downloadable!] (restricted)
    18. Eduardo Cavallo & Andrew Powell & Roberto Rigobon, 2008. "Do Credit Rating Agencies Add Value? Evidence from the Sovereign Rating Business Institutions," RES Working Papers 4601, Inter-American Development Bank, Research Department. [Downloadable!]
    19. Lubos Pastor & Robert F. Stambaugh, 2009. "Are Stocks Really Less Volatile in the Long Run?," NBER Working Papers 14757, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    20. Margiora, Philippa & Panaretos, John, 2001. "Autoregressive Conditional Heteroskedasticity Models and the Dynamic Structure of the Athens Stock Exchange," MPRA Paper 6358, University Library of Munich, Germany. [Downloadable!]
    21. Andrew W. Lo & A. Craig MacKinlay, 1991. "When are Contrarian Profits Due to Stock Market Overreaction?," NBER Working Papers 2977, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    22. Simon Stevenson, 2002. "Momentum Effects and Mean Reversion in Real Estate Securities," Journal of Real Estate Research, American Real Estate Society, vol. 23(1/2), pages 47-64. [Downloadable!]
    23. Christina Y. Liu & Jia He, 1991. "Do Real Exchange Rates Follow Random Waklks?: A Heteroscedasticity-Robust Autocorrelation Test," International Economic Journal, Korean International Economic Association, vol. 5(3), pages 39-48, October. [Downloadable!] (restricted)
    24. Constantinos E. Vorlow, 2004. "Stock Price Clustering and Discreteness: The "Compass Rose" and Predictability," Quantitative Finance Papers cond-mat/0408013, arXiv.org. [Downloadable!]
    25. Dilip B. Madan, 2006. "Equilibrium asset pricing: with non-Gaussian factors and exponential utilities," Quantitative Finance, Taylor and Francis Journals, vol. 6(6), pages 455-463, December. [Downloadable!] (restricted)
    26. Nikiforos Laopodis, 2008. "Noise trading and autocorrelation interactions in the foreign exchange market: Evidence from developed and emerging economies," Journal of Economics and Finance, Springer, vol. 32(3), pages 271-293, July. [Downloadable!] (restricted)
    27. Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003. "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," CIRANO Working Papers 2003s-34, CIRANO. [Downloadable!]
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    28. Dat Bue Lock, 2007. "The China A shares follow random walk but the B shares do not," Economics Bulletin, Economics Bulletin, vol. 7(9), pages 1-12. [Downloadable!]
    29. Jorge Belaire-Franch & Kwaku Opong, 2005. "A Variance Ratio Test of the Behaviour of Some FTSE Equity Indices Using Ranks and Signs," Review of Quantitative Finance and Accounting, Springer, vol. 24(1), pages 93-107, January. [Downloadable!] (restricted)
    30. Ai Deng, 2005. "Understanding Spurious Regression in Financial Economics," Boston University - Department of Economics - Working Papers Series WP2005-048, Boston University - Department of Economics. [Downloadable!]
    31. Boainain, Pedro G. & Valls Pereira , Pedro L., 2009. "“Ombro-Cabeça-Ombro”: Testando a Lucratividade do Padrão Gráfico de Análise Técnica no Mercado de Ações Brasileiro
      [Head and Shoulder: testing the profitability of graphic pattern of tec      ," MPRA Paper 15653, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    32. Paul Eitelman & Justin Vitanza, 2008. "A non-random walk revisited: short- and long-term memory in asset prices," International Finance Discussion Papers 956, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    33. Kenneth A. Froot & Jessica D. Tjornhom, 2002. "Decomposing the Persistence of International Equity Flows," NBER Working Papers 9079, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    34. Torben G. Anderson & Tim Bollerslev & Ashish Das, 1998. "Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment," NBER Working Papers 6666, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    35. Pedro N. Rodríguez & Simón Sosvilla-Rivero, 2006. "Using machine learning algorithms to find patterns in stock prices," Working Papers 2006-12, FEDEA. [Downloadable!]
    36. Kenneth A. Froot & Andre F. Perold, 1990. "New Trading Practices and Short-run Market Efficiency," NBER Working Papers 3498, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    37. Menelaos Karanasos & J. Kim, . "Moments of the ARMA-EGARCH Model," Discussion Papers 00/29, Department of Economics, University of York. [Downloadable!]
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    38. Gomes, Joao F & Kogan, Leonid & Zhang, Lu, 2002. "Equilibrium Cross-Section of Returns," CEPR Discussion Papers 3482, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    39. Lin Peng & Wei Xiong, 2005. "Investor Attention: Overconfidence and Category Learning," NBER Working Papers 11400, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    40. Graflund, Andreas, 2000. "A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Working Papers 2000:8, Lund University, Department of Economics, revised 09 Nov 2000. [Downloadable!]
    41. Rui Pedro Esteves & Jaime Reis & Fabiano Ferramosca, 2007. "Market Integration in the Golden periphery The Lisbon/London Exchange, 1854-1891," Economics Series Working Papers 338, University of Oxford, Department of Economics. [Downloadable!]
    42. Thomas Schuster, 2003. "News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media," Finance 0305009, EconWPA. [Downloadable!]
    43. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005. "Systemic Risk and Hedge Funds," NBER Working Papers 11200, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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      • Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc. [Downloadable!]
    44. Adrian Buckley, 1999. "An introduction to security returns," European Journal of Finance, Taylor and Francis Journals, vol. 5(3), pages 165-180, September. [Downloadable!] (restricted)
    45. Annibal Figueiredo & Iram Gleria & Raul Matsushita & Sergio Da Silva, 2004. "On the origins of truncated Lévy flights," Finance 0404013, EconWPA. [Downloadable!]
    46. Pilar Corredor Casado & Rafael Santamaría, . "La estructura temporal de las volatilidades implícitas en la opción sobre el Ibex-35," Studies on the Spanish Economy 04, FEDEA. [Downloadable!]
    47. Annibal Figueiredo & Iram Gleria & Raul Matsushita & Sergio Da Silva, 2004. "Financial Volatility and Independent and Identically Distributed Variables," Finance 0407011, EconWPA. [Downloadable!]
    48. Espinosa Méndez, Christian, 2007. "Efecto Fin De Semana Y Fin De Mes En El Mercado Bursatil Chileno
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    49. Ramsey, James B. & Zhang, Zhifeng, 1995. "The Analysis of Foreign Exchange Data Using Waveform Dictionaries," Working Papers 95-03, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
    50. Andrew C. Worthington & Helen Higgs, 2003. "Tests of random walks and market efficiency in Latin American stock markets: An empirical note," School of Economics and Finance Discussion Papers and Working Papers Series 157, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    51. Gultekin Isiklar, 2005. "Structural VAR identification in asset markets using short-run market inefficiencies," Econometrics 0501001, EconWPA, revised 02 Jan 2005. [Downloadable!]
    52. Raphael Bergoeing & Felipe Morandé & Raimundo Soto., . "Asset prices in Chile: facts and fads," ILADES-Georgetown University Working Papers inv115, Ilades-Georgetown University, School of Economics and Bussines. [Downloadable!]
    53. Matthew Richardson & James H. Stock, 1990. "Drawing Inferences From Statistics Based on Multi-Year Asset Returns," NBER Working Papers 3335, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    54. Menelaos Karanasos & J. Kim, . "Alternative GARCH in Mean Models: An Application to the Korean Stock Market," Discussion Papers 00/25, Department of Economics, University of York. [Downloadable!]
    55. Miloslav Vošvrda & Filip Žikeš, 2004. "AN APPLICATION OF THE GARCH-t MODEL ON CENTRAL EUROPEAN STOCK RETURNS," Prague Economic Papers, University of Economics, Prague, vol. 2004(1), pages 26-39. [Downloadable!] (restricted)
    56. Julián Andrada Félix & Fernando Fernández Rodríguez & María Dolores García Artiles, 2004. "Non-linear trading rules in the New York Stock Exchange," Documentos de trabajo conjunto ULL-ULPGC 2004-05, Facultad de Ciencias Económicas de la ULPGC. [Downloadable!]
    57. M. Hashem Pesaran, 2005. "Market Efficiency Today," IEPR Working Papers 05.41, Institute of Economic Policy Research (IEPR). [Downloadable!]
    58. Kin Lam & Li Wei, . "Optimal Trading Strategy When Return Process is AR(1)," Computing in Economics and Finance 1997 16, Society for Computational Economics. [Downloadable!]
    59. Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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    60. Mubariz Hasanov & Tolga Omay, 2007. "Are the Transition Stock Markets Efficient? Evidence from Non-Linear Unit Root Tests," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 7(2), pages 1-12. [Downloadable!]
    61. John S. Ying & Joel S. Sternberg, 2005. "The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew," Working Papers 05-12, University of Delaware, Department of Economics. [Downloadable!]
    62. John Y. Campbell & John Ammer, 1991. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," NBER Working Papers 3760, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    63. Robert J. Shiller, 1998. "Human Behavior and the Efficiency of the Financial System," NBER Working Papers 6375, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    64. Lucy F. Ackert & William C. Hunter, 2000. "An empirical examination of the price-dividend relation with dividend management," Working Paper Series WP-00-22, Federal Reserve Bank of Chicago. [Downloadable!]
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    65. Groenendijk, Patrick A. & Lucas, Andr‚ & Vries, Casper G. de, 1997. "Stochastic processes, non-normal innovations, and the use of scaling ratios," Serie Research Memoranda 0058, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
    66. Andrew C. Worthington & Helen Higgs, 2003. "Weak-form market efficiency in European emerging and developed stock markets," School of Economics and Finance Discussion Papers and Working Papers Series 159, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    67. Shmuel Kandel & Robert F. Stambaugh, 1991. "Asset Returns and Intertemporal Preferences," NBER Working Papers 3633, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    68. Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    69. Jeong, Jinook & Kang, Byunguk, 2006. "Wild-Bootstrapped Variance Ratio Test for Autocorrelation in the Presence of Heteroskedasticity," MPRA Paper 9791, University Library of Munich, Germany, revised May 2008. [Downloadable!]
    70. Cornelis A. Los, 2004. "Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data," Finance 0409033, EconWPA. [Downloadable!]
    71. Ila Patnaik, 2003. "India's policy stance on reserves and the currency," Indian Council for Research on International Economic Relations, New Delhi Working Papers 108, Indian Council for Research on International Economic Relations, New Delhi, India. [Downloadable!]
    72. C. Stéphan & S. Skander, 2003. "Statistical analysis of financial time series under the assuption of local stationarity," THEMA Working Papers 2003-23, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    73. Julián Andrada-Félix & Fernando Fernández-Rodríguez & María Dolores García-Artiles & Simón Sosvilla-Rivero, . "An Empirical Evaluation of Non-Linear Trading Rules," Working Papers 2001-16, FEDEA. [Downloadable!]
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    74. Dat Bue Lock, 2007. "The Taiwan stock market does follow a random walk," Economics Bulletin, Economics Bulletin, vol. 7(3), pages 1-8. [Downloadable!]
    75. Christophe, Faugere, 2003. "A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination," MPRA Paper 15579, University Library of Munich, Germany, revised 04 Jun 2009. [Downloadable!]
    76. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    77. Albrecht, Peter & Kantar, Cemil, 2003. "Random Walk oder Mean Reversion? Eine statistische Analyse des Kurs/Gewinn-Verhältnisses für den deutschen Aktienmarkt," Sonderforschungsbereich 504 Publications 03-31, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
    78. Warren Dean & Robert Faff, 2008. "Evidence of feedback trading with Markov switching regimes," Review of Quantitative Finance and Accounting, Springer, vol. 30(2), pages 133-151, February. [Downloadable!] (restricted)
    79. Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation, Yale University. [Downloadable!]
    80. C. Paul Hallwood & Ronald MacDonald, 2002. "A Method for Indicating Economic Transition with an Application to Albania," Eastern Economic Journal, Eastern Economic Association, vol. 28(4), pages 465-480, Fall. [Downloadable!]
    81. Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2002. "Spurious Regressions in Financial Economics?," NBER Working Papers 9143, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    82. Quan-Hoang Vuong, 2004. "Analyses on Gold and US Dollar in Vietnam's Transitional Economy," Working Papers CEB 04-033.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
    83. Angelos Kanas & George Kouretas, 2001. "A cointegration approach to the lead-lag effect among size-sorted equity portfolios," Working Papers 0101, University of Crete, Department of Economics. [Downloadable!]
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    84. Andrew W. Lo & A. Craig MacKinlay, 1991. "An Econometric Analysis of Nonsynchronous Trading," NBER Working Papers 2960, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    85. Shyh-Wei Chen, 2008. "Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries," Economics Bulletin, Economics Bulletin, vol. 3(11), pages 1-11. [Downloadable!]
    86. Andrew W. Lo, 1989. "Long-term Memory in Stock Market Prices," NBER Working Papers 2984, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    87. Simon Gervais & Ron Kaniel & Dan Mingelgrin, . "The High Volume Return Premium," Rodney L. White Center for Financial Research Working Papers 01-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
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    88. Laitenberger, Jörg, 2004. "Rendite und Kapitalkosten," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-295, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    89. David Romer, 1992. "Rational Asset Price Movements Without News," NBER Working Papers 4121, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    90. Mark Grinblatt & Tobias Moskowitz, 1999. "The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence," University of California at Los Angeles, Anderson Graduate School of Management 1100, Anderson Graduate School of Management, UCLA. [Downloadable!]
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    91. Christian de Peretti, 2003. "Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market," Computational Economics, Springer, vol. 22(2), pages 187-212, October. [Downloadable!] (restricted)
    92. Yasuyuki Itoh, 2007. "A Class of Gaussian Hybrid Processes for Modeling Financial Markets," Asia-Pacific Financial Markets, Springer, vol. 14(3), pages 185-199, September. [Downloadable!] (restricted)
    93. Goeij, P. de & Marquering, W.A., 2002. "Modeling the Conditional Covariance between Stock and Bond Returns," Research Paper ERS-2002-11-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    94. John Campbell & Jianping Mei, 1993. "Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk," NBER Working Papers 4329, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    95. José Carlos Dias & Luís Lopes & Vitor Martins & José Manuel Benzinho, 2004. "Efficiency tests in the Iberian stock markets," Finance 0406001, EconWPA. [Downloadable!]
    96. Shinhua Liu, 2008. "Index Futures and Predictability of the Underlying Stocks’ Returns: The Case of the Nikkei 225," Journal of Financial Services Research, Springer, vol. 34(1), pages 77-91, August. [Downloadable!] (restricted)
    97. G. Caginalp, H. Laurent, 1998. "The predictive power of price patterns," Applied Mathematical Finance, Taylor and Francis Journals, vol. 5(3-4), pages 181-205, September. [Downloadable!] (restricted)
    98. Z. Wang & J. Yang & D. A. Bessler, 2003. "Financial crisis and African stock market integration," Applied Economics Letters, Taylor and Francis Journals, vol. 10(9), pages 527-533, July. [Downloadable!] (restricted)
    99. Steven N. Durlauf, 1992. "Spectral Based Testing of the Martingale Hypothesis," NBER Technical Working Papers 0090, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    100. Wayne E. Ferson & Andrea Heuson & Tie Su, 2004. "Weak and Semi-Strong Form Stock Return Predictability, Revisited," NBER Working Papers 10689, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    101. Manuel Ammann & Christian Zenkner, 2003. "Tactical Asset Allocation mit Genetischen Algorithmen," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 139(I), pages 1-40, March. [Downloadable!]
    102. Guerdjikova, Ani, 2004. "Asset Prices in an Overlapping Generations Model with Case-Based Decision Makers with Short Memory," Sonderforschungsbereich 504 Publications 04-44, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
    103. Wing-Keung Wong & Aman Agarwal & Jun Du, 2005. "Financial Integration for India Stock Market, a Fractional Cointegration Approach," Departmental Working Papers wp0501, National University of Singapore, Department of Economics. [Downloadable!]
    104. William A. Barnett & Apostolos Serletis, 1998. "Martingales, Nonlinearity, and Chaos," Econometrics 9805003, EconWPA. [Downloadable!]
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    105. Young-Sook Lee & Tae-Hwan Kim & Paul Newbold, 2005. "Revisiting the Martingale hypothesis for exchange rates," Money Macro and Finance (MMF) Research Group Conference 2005 19, Money Macro and Finance Research Group. [Downloadable!]
    106. Pablo Marshall & Eduardo Walker, 2002. "Asymmetric Reaction to Information and Serial Dependence of Short-run Returns," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 273-292, November. [Downloadable!]
    107. Tro Kortian, 1995. "Modern Approaches to Asset Price Formation: A Survey of Recent Theoretical Literature," RBA Research Discussion Papers rdp9501, Reserve Bank of Australia. [Downloadable!]
    108. Sergio Da Silva, 2004. "Exponentially Damped Levy Flights, Multiscaling, and Exchange Rates," Finance 0405027, EconWPA. [Downloadable!]
    109. Krzysztof Kompa & Aleksandra Matuszewska-Janica, 2009. "Efficiency of the Warsaw Stock Exchange: Analysis of Selected Properties," International Advances in Economic Research, Springer, vol. 15(1), pages 59-70, February. [Downloadable!] (restricted)
    110. Shinhua Liu, 2007. "Securities Transaction Tax and Market Efficiency: Evidence from the Japanese Experience," Journal of Financial Services Research, Springer, vol. 32(3), pages 161-176, December. [Downloadable!] (restricted)
    111. John Ammer & Jianping Mei, 1993. "Measuring international economic linkages with stock market data," International Finance Discussion Papers 449, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    112. Haim H. Bau & Yochanan Shachmurove, 2002. "Chaos Theory And Its Application," Penn CARESS Working Papers 6a7863cdd8e575c9e635b060c, Penn Economics Department. [Downloadable!]
    113. Yihong Xia, 2000. "Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation," University of California at Los Angeles, Anderson Graduate School of Management 1057, Anderson Graduate School of Management, UCLA. [Downloadable!]
    114. Sergey Iskoz & Jiang Wang, 2003. "How to Tell if a Money Manager Knows More?," NBER Working Papers 9791, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    115. Iram Gleria & Raul Matsushita & Sergio Da Silva, 2002. "Scaling power laws in the Sao Paulo Stock Exchange," Economics Bulletin, Economics Bulletin, vol. 7(3), pages 1-12. [Downloadable!]
    116. Kul B. Luintel, 2000. "Real exchange rate behaviour: evidence from black markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 161-185. [Downloadable!]
    117. Christopher Neely & Paul Weller, 1999. "Predictability in international asset returns: a reexamination," Working Papers 1997-010, Federal Reserve Bank of St. Louis. [Downloadable!]
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    118. Enrique Sentana, 1993. "The econometrics of the stock market I: rationality tests," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 401-420, September. [Downloadable!]
    119. Francesco Audrino & Robert Fernholz & Roberto Ferretti, 2007. "A Forecasting Model for Stock Market Diversity," Annals of Finance, Springer, vol. 3(2), pages 213-240, March. [Downloadable!] (restricted)
    120. Sergio Da Silva, 2004. "Autocorrelation as a Source of Truncated Levy Flights in Foreign Exchange Rates," Finance 0405018, EconWPA. [Downloadable!]
    121. Andrew W. Lo & A. Craig MacKinlay, 1995. "Maximizing Predictability in the Stock and Bond Markets," NBER Working Papers 5027, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    122. Roberto Rigobon & Brian Sack, 2001. "Measuring the reaction of monetary policy to the stock market," Finance and Economics Discussion Series 2001-14, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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    123. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," NBER Working Papers 2880, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    124. Christi Wann & D. Long, 2009. "Do liquidity induced changes in aggregate dividends signal aggregate future earnings growth?," Journal of Economics and Finance, Springer, vol. 33(1), pages 1-12, January. [Downloadable!] (restricted)
    125. Heng Chen & Bento J. Lobo & Wing-Keung Wong, 2006. "Links between the Indian, U.S. and Chinese Stock Markets," Departmental Working Papers wp0602, National University of Singapore, Department of Economics. [Downloadable!]
    126. Raul Matsushita & Iram Gleria & Annibal Figueiredo & Sergio Da Silva, 2004. "The Econophysics of the Brazilian Real-US Dollar Rate," Finance 0407012, EconWPA. [Downloadable!]
    127. Andreas Graflund, 2000. "A Bayes Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Econometric Society World Congress 2000 Contributed Papers 1363, Econometric Society. [Downloadable!]
    128. Stephen J. Taylor, 2000. "Stock index and price dynamics in the UK and the US: new evidence from a trading rule and statistical analysis," European Journal of Finance, Taylor and Francis Journals, vol. 6(1), pages 39-69, March. [Downloadable!] (restricted)
    129. Helen Higgs & Andrew C. Worthington, 2002. "Tests of the Random Walk Hypothesis for Australian Electricity Spot Prices: An Application Employing Multiple Variance Ratio Tests," School of Economics and Finance Discussion Papers and Working Papers Series 123, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    130. Refet S. Gürkaynak & Brian Sack & Jonathan H. Wright, 2008. "The TIPS yield curve and inflation compensation," Finance and Economics Discussion Series 2008-05, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    131. Willa Chen & Rohit Deo, 2005. "The Variance Ratio Statistic at large Horizons," Econometrics 0501003, EconWPA. [Downloadable!]
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    132. Bernard Dumas, 1993. "Partial- Vs. General-Equilibrium Models of the International Capital Market," NBER Working Papers 4446, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    133. Graham Smith & Hyun-Jung Ryoo, 2003. "Variance ratio tests of the random walk hypothesis for European emerging stock markets," European Journal of Finance, Taylor and Francis Journals, vol. 9(3), pages 290-300, June. [Downloadable!] (restricted)
    134. Kothari, S.P. & Weber, Joseph & Frankel, Richard M., 2002. "Determinants of the Informativeness of Analyst Research," Working papers 4243-02, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    135. Eric Hillebrand, 2005. "Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation," Finance 0501015, EconWPA. [Downloadable!]
    136. Oscar Bajo-Rubio & Simón Sosvilla-Rivero & Fernando Fernández-Rodríguez, . "Non-Linear Forecasting Methods: Some Applications to the Analysis of Financial Series," Working Papers 2002-01, FEDEA. [Downloadable!]
    137. Naiping Lu & Lu Zhang, 2005. "The Value Spread as a Predictor of Returns," NBER Working Papers 11326, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    138. Lunde, Asger & Timmermann, Allan G, 2003. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," CEPR Discussion Papers 4104, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    139. Stinson, Thomas F. & Coggins, Jay S. & Ramezani, Cyrus A., 1998. "Was Fair Fair To U.S. Corn Growers? An Analysis Of The Payments Offered To Corn Growers Under The 1996 Federal Agricultural Improvement And Reform Act," 1998 Annual meeting, August 2-5, Salt Lake City, UT 20984, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    140. Kin Lam & May Chun Mei Wong & Wing-Keung Wong, 2005. "New Variance Ratio Tests to Identify Random Walk from the General Mean Reversion Model," Departmental Working Papers wp0514, National University of Singapore, Department of Economics. [Downloadable!]
    141. Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
    142. Tarun Chordia & L Shivakumar & Avanidhar Subrahmanyam, 2000. "Liquidity Dynamics Across Small and Large Firms," University of California at Los Angeles, Anderson Graduate School of Management 1068, Anderson Graduate School of Management, UCLA. [Downloadable!]
    143. Bojan Markovic, . "Bank capital channels in the monetary transmission mechanism," Bank of England working papers 313, Bank of England. [Downloadable!]
    144. Minardi, A., 2001. "Preços Passados prevendo Desempenho de Ações Brasileiras," Finance Lab Working Papers flwp_43, Finance Lab, Ibmec São Paulo. [Downloadable!]
    145. Simone Bianco & Roberto Ren\'o, 2006. "Unexpected volatility and intraday serial correlation," Quantitative Finance Papers physics/0610023, arXiv.org. [Downloadable!]
    146. Yochanan Shachmurove & Uri BenZion & Paul Klein & Joseph Yagil, 2001. "A Moving Average Comparison of the Tel-Aviv 25 and S&P 500 Stock Indices," Penn CARESS Working Papers 4731f3394c43bebf4d3191c81, Penn Economics Department. [Downloadable!]
    147. Brouwer, Frank & Ruiter, Hans de, 1997. "Asset class allocation and downside risk: does the investment horizon matter?," Serie Research Memoranda 0012, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
    148. Gagnon, Louis & Karolyi, G. Andrew, 2007. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Working Paper Series 2006-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    149. Andrew W. Lo & Jiang Wang, 1994. "Implementing Option Pricing Models When Asset Returns Are Predictable," NBER Working Papers 4720, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    150. Nicolaas Groenewold & Mohamed Ariff, 1998. "The Effects Of De-Regulation On Share-Market Efficiency In The Asia-Pacific," International Economic Journal, Korean International Economic Association, vol. 12(4), pages 23-47, December. [Downloadable!] (restricted)
    151. Geert Bekaert & Robert J. Hodrick, 1992. "Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets," NBER Working Papers 3790, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    152. William A. Brock & Blake LeBaron, 1989. "Liquidity Constraints in Production Based Asset Pricing Models," NBER Working Papers 3107, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    1. Kiseok Nam & Sei-Wan Kim & Augustine. Arize, 2006. "Mean Reversion of Short-Horizon Stock Returns: Asymmetry Property," Review of Quantitative Finance and Accounting, Springer, vol. 26(2), pages 137-163, March. [Downloadable!] (restricted)
    2. Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-, 1992. "Maximizing predictability in the stock and bond markets," Working papers 3450-92., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
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    3. Sugato Chakravarty, 2002. "Stealth-Trading: Which Traders' Trades Move Stock Prices?," Finance 0201003, EconWPA. [Downloadable!]
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    4. Bruce D. Grundy & J. Spencer Martin, . "Understanding the Nature of the Risks and the Source of Rewards to Momentum Investing," Rodney L. White Center for Financial Research Working Papers 13-98, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    5. Terry Richardson & David Peterson, 1997. "Causes of cross-autocorrelation in security returns: Transaction costs versus information quality," Journal of Economics and Finance, Springer, vol. 21(3), pages 29-39, September. [Downloadable!] (restricted)
    6. George Milunovich, 2004. "Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model," Econometric Society 2004 Australasian Meetings 55, Econometric Society. [Downloadable!]
    7. Michael Cooper & David H. Downs, 1999. "Real Estate Securities and a Filter-based, Short-term Trading Strategy," Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 313-334. [Downloadable!]
    8. Silvio John Camilleri, 2005. "Can a Stock Index be Less Efficient than Underlying Shares? An Analysis Using Malta Stock Exchange Data," Finance 0507006, EconWPA. [Downloadable!]
    9. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO. [Downloadable!]
    10. Arco van Oord & Martin Martens & Herman K. van Dijk, 2009. "Robust Optimization of the Equity Momentum Strategy," Tinbergen Institute Discussion Papers 09-011/4, Tinbergen Institute. [Downloadable!]
    11. Narasimhan Jegadeesh & Sheridan Titman, 1992. "Overreaction, Delayed Reaction, and Contrarian Profits," University of California at Los Angeles, Anderson Graduate School of Management 1159, Anderson Graduate School of Management, UCLA. [Downloadable!]
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    12. Franzoni, Francesco, 2006. "Where is beta going ? the riskiness of value and small stocks," Les Cahiers de Recherche 829, HEC Paris. [Downloadable!]
    13. Vargas, Gregorio A., 2006. "An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model," MPRA Paper 189, University Library of Munich, Germany, revised Aug 2006. [Downloadable!]
    14. John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara, 2003. "Two Trees: Asset Price Dynamics Induced by Market Clearing," Levine's Bibliography 666156000000000355, UCLA Department of Economics. [Downloadable!]
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    15. Louis K. C. Chan & Narasimhan Jegadeesh & Josef Lakonishok, 1995. "Momentum Strategies," NBER Working Papers 5375, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    16. KENT D. DANIEL & David Hirshleifer & AVANIDHAR SUBRAHMANYAM, 2004. "A Theory of Overconfidence, Self-Attribution, and Security Market Under- and Over-reactions," Finance 0412006, EconWPA. [Downloadable!]
    17. Kenneth A. Froot & Andre F. Perold, 1990. "New Trading Practices and Short-run Market Efficiency," NBER Working Papers 3498, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    18. Patricia L. Chelley-Steeley & James M. Steeley, 2005. "The leverage effect in the UK stock market," Applied Financial Economics, Taylor and Francis Journals, vol. 15(6), pages 409-423, March. [Downloadable!] (restricted)
    19. Turan Bali & Kamil Yilmaz, 2009. "The Intertemporal Relation between Expected Return and Risk on Currency," TÜSİAD-Koç University Economic Research Forum Working Papers 0909, TUSIAD-Koc University Economic Research Forum. [Downloadable!]
    20. Harrison Hong & Walter Torous & Rossen Valkanov, 2002. "Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability," University of California at Los Angeles, Anderson Graduate School of Management 1051, Anderson Graduate School of Management, UCLA. [Downloadable!]
    21. Gaunersdorfer, A. & Hommes, C.H.,, 2005. "A nonlinear structural model for volatility clustering," CeNDEF Working Papers 05-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
      Other versions:
    22. Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns," STICERD - Econometrics Paper Series /2007/524, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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    23. Leonardo Becchetti & Giancarlo Marini, 2002. "Can We Beat The Dow ? The Mirage Of Growth Strategies," Departmental Working Papers 156, Tor Vergata University, CEIS. [Downloadable!]
    24. Gregory H. Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility
      ," Working Papers 07-20, Bank of Canada. [Downloadable!]
    25. William N. Goetzmann & Massimo Massa, 2000. "Daily Momentum and Contrarian Behavior of Index Fund Investors," NBER Working Papers 7567, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    26. Robert A. Connolly & Christopher T. Stivers, 2000. "Evidence on the Economics of Equity Return Volatility Clustering," Econometric Society World Congress 2000 Contributed Papers 1575, Econometric Society. [Downloadable!]
    27. John S. Ying & Joel S. Sternberg, 2005. "The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew," Working Papers 05-12, University of Delaware, Department of Economics. [Downloadable!]
    28. Robert J. Shiller, 1998. "Human Behavior and the Efficiency of the Financial System," NBER Working Papers 6375, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    29. David Rey & Markus Schmid, 2007. "Feasible momentum strategies: Evidence from the Swiss stock market," Financial Markets and Portfolio Management, Springer, vol. 21(3), pages 325-352, September. [Downloadable!] (restricted)
    30. Jun Pan & Allen Poteshman, 2004. "The Information of Option Volume for Future Stock Prices," NBER Working Papers 10925, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    31. Kulp-Tåg, Sofie, 2007. "Short-Horizon Asymmetric Mean-Reversion and Overreactions: Evidence from the Nordic Stock Markets," Working Papers 524, Hanken School of Economics. [Downloadable!]
    32. Chaoshin Chiao & Ken Hung & Suresh Srivastava, 2004. "Testing lead-lag relations between portfolio returns under price-limits," Applied Economics Letters, Taylor and Francis Journals, vol. 11(5), pages 313-317, April. [Downloadable!] (restricted)
    33. Jerry A. Hausman & Andrew W. Lo & A. Craig MacKinlay, 1991. "An Ordered Probit Analysis of Transaction Stock Prices," NBER Working Papers 3888, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    34. Young-Hye Cho & Robert F. Engle, 1999. "Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks," NBER Working Papers 7330, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    35. Enzo Weber, 2007. "Correlation vs. Causality in Stock Market Comovement," SFB 649 Discussion Papers SFB649DP2007-064, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    36. Wang, Daxue, 2008. "Are anomalies still anomalous? An examination of momentum strategies in four financial markets," IESE Research Papers D/775, IESE Business School. [Downloadable!]
    37. George Milunovich, 2006. "Information Spillovers and Size-sorted Portfolios: Structural Evidence from Australia," Research Papers 0610, Macquarie University, Department of Economics. [Downloadable!]
    38. Angelos Kanas & George Kouretas, 2001. "A cointegration approach to the lead-lag effect among size-sorted equity portfolios," Working Papers 0101, University of Crete, Department of Economics. [Downloadable!]
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    39. Simon Gervais & Ron Kaniel & Dan Mingelgrin, . "The High Volume Return Premium," Rodney L. White Center for Financial Research Working Papers 01-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
      Other versions:
    40. Tokuo Iwaisako, 2004. "Stock Index Autocorrelation and Cross-autocorrelations of Size-sorted Portfolios in the Japanese Market," Discussion Paper Series a448, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    41. Antonios Antoniou & Emilios C. Galariotis & Spyros I. Spyrou, 2006. "The effect of time-varying risk on the profitability of contrarian investment strategies in a thinly traded market: a Kalman filter approach," Applied Financial Economics, Taylor and Francis Journals, vol. 16(18), pages 1317-1329, December. [Downloadable!] (restricted)
    42. Jonathan Lewellen & Stefan Nagel, 2003. "The Conditional CAPM does not Explain Asset-Pricing Anamolies," NBER Working Papers 9974, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    43. Silvio John Camilleri & Christopher J. Green, 2005. "An Analysis of the Impacts of Non-Synchronous Trading On," Finance 0504020, EconWPA. [Downloadable!]
    44. Javier De Peña & Luis A. Gil-Alana, 2002. "Do Spanish Stock Market Prices Follow a Random Walk?," Faculty Working Papers 02/02, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    45. Kenneth A. Froot & Paul G.J. O'Connell & Mark S. Seasholes, 1998. "The Portfolio Flows of International Investors, I," NBER Working Papers 6687, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    46. Robert D. Brooks & Vanitha Ragunathan, 2003. "Returns and volatility on the Chinese stock markets," Applied Financial Economics, Taylor and Francis Journals, vol. 13(10), pages 747-752, October. [Downloadable!] (restricted)
    47. Narasimhan Jegadeesh & Sheridan Titman, 1990. "Short Horizon Reversals and the Bid-Ask Spread," University of California at Los Angeles, Anderson Graduate School of Management 1183, Anderson Graduate School of Management, UCLA. [Downloadable!]
    48. Wing-Keung Wong & Boon-Kiat Chew & Douglas Sikorski, 2002. "Can the Forecasts Generated from E/P Ratio and Bond Yield be Used to Beat Stock Markets?," Departmental Working Papers wp0201, National University of Singapore, Department of Economics. [Downloadable!]
    49. Narasimhan Jegadeesh & Sheridan Titman, 1999. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," NBER Working Papers 7159, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    50. Pin-Huang Chou & Robert P. Parks, 1993. "A Further Re-Examination of the Contrarian Investment Strategy: Evidence from Multivariate Tests," Finance 9307001, EconWPA, revised 25 Jul 1993. [Downloadable!]
    51. Werner F. M. De Bondt & Richard H. Thaler, 1994. "Financial Decision-Making in Markets and Firms: A Behavioral Perspective," NBER Working Papers 4777, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    52. Kothari, S.P. & Weber, Joseph & Frankel, Richard M., 2002. "Determinants of the Informativeness of Analyst Research," Working papers 4243-02, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    53. Eric Hillebrand, 2005. "Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation," Finance 0501015, EconWPA. [Downloadable!]
    54. Wing-Keung Wong & Jun Du & Terence Tai-Leung Chong, 2005. "Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan," SCAPE Policy Research Working Paper Series 0512, National University of Singapore, Department of Economics, SCAPE. [Downloadable!]
      Other versions:
    55. Robert Kelly, 2008. "Opening and Closing Asymmetry: Empirical Analysis from ISE Xetra," The Economic and Social Review, Economic and Social Studies, vol. 39(1), pages 55-78. [Downloadable!]
    56. Tarun Chordia & L Shivakumar & Avanidhar Subrahmanyam, 2000. "Liquidity Dynamics Across Small and Large Firms," University of California at Los Angeles, Anderson Graduate School of Management 1068, Anderson Graduate School of Management, UCLA. [Downloadable!]
    57. Michael Dueker & Richard Startz, 1997. "Maximum-likelihood estimation of fractional cointegration with application to the short end of the yield curve," Working Papers 1994-027, Federal Reserve Bank of St. Louis. [Downloadable!]
    58. Daxue Wang, 2006. "Cross-Autocorrelation of Dual-Listed Stock Portfolio Returns: Evidence from the Chinese Stock Market," Computing in Economics and Finance 2006 182, Society for Computational Economics. [Downloadable!]

  22. Andrew W. Lo & A. Craig MacKinlay, 1988. "The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation," NBER Technical Working Papers 0066, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-, 1992. "Maximizing predictability in the stock and bond markets," Working papers 3450-92., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
      Other versions:
    2. Yuanchen Chang, 2004. "A re-examination of variance-ratio test of random walks in foreign exchange rates," Applied Financial Economics, Taylor and Francis Journals, vol. 14(9), pages 671-679, June. [Downloadable!] (restricted)
    3. Christina Y. Liu & Jia He, 1991. "Do Real Exchange Rates Follow Random Waklks?: A Heteroscedasticity-Robust Autocorrelation Test," International Economic Journal, Korean International Economic Association, vol. 5(3), pages 39-48, October. [Downloadable!] (restricted)
    4. Kaltenbrunner, Annina & Nissanke, Machiko, 2009. "The Case for an Intermediate Exchange Rate Regime with Endogenizing Market Structures and Capital Mobility," Working Papers UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER). [Downloadable!]
    5. Jorge Belaire-Franch & Kwaku Opong, 2005. "A Variance Ratio Test of the Behaviour of Some FTSE Equity Indices Using Ranks and Signs," Review of Quantitative Finance and Accounting, Springer, vol. 24(1), pages 93-107, January. [Downloadable!] (restricted)
    6. Paul Eitelman & Justin Vitanza, 2008. "A non-random walk revisited: short- and long-term memory in asset prices," International Finance Discussion Papers 956, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    7. Torben G. Anderson & Tim Bollerslev & Ashish Das, 1998. "Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment," NBER Working Papers 6666, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    8. Graflund, Andreas, 2000. "A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Working Papers 2000:8, Lund University, Department of Economics, revised 09 Nov 2000. [Downloadable!]
    9. Jose Antonio Ocampo & Maria Angela Parra, 2004. "The Terms Of Trade For Commodities In The Twentieth Century," International Trade 0402006, EconWPA. [Downloadable!]
    10. Matthew Richardson & James H. Stock, 1990. "Drawing Inferences From Statistics Based on Multi-Year Asset Returns," NBER Working Papers 3335, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    11. Groenendijk, Patrick A. & Lucas, Andr‚ & Vries, Casper G. de, 1997. "Stochastic processes, non-normal innovations, and the use of scaling ratios," Serie Research Memoranda 0058, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
    12. Dat Bue Lock, 2007. "The Taiwan stock market does follow a random walk," Economics Bulletin, Economics Bulletin, vol. 7(3), pages 1-8. [Downloadable!]
    13. Yihui Lan, 2001. "The Long-Run Value of Currencies: A Big Mac Perspective," Economics Discussion / Working Papers 01-17, The University of Western Australia, Department of Economics. [Downloadable!]
    14. José Carlos Dias & Luís Lopes & Vitor Martins & José Manuel Benzinho, 2004. "Efficiency tests in the Iberian stock markets," Finance 0406001, EconWPA. [Downloadable!]
    15. Masao Ogaki & Sungwook Park, 2007. "Long-run real exchange rate changes and the properties of the variance of k-differences," Working Papers 07-05, Ohio State University, Department of Economics. [Downloadable!]
    16. Eduardo Jose Araújo Lima & Benjamin Miranda Tabak, 2004. "Tests of the random walk hypothesis for equity markets: evidence from China, Hong Kong and Singapore," Applied Economics Letters, Taylor and Francis Journals, vol. 11(4), pages 255-258, March. [Downloadable!] (restricted)
    17. Francis W. Ahking, 2004. "Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era," Working papers 2004-05, University of Connecticut, Department of Economics. [Downloadable!]
    18. Willa Chen & Rohit Deo, 2005. "The Variance Ratio Statistic at large Horizons," Econometrics 0501003, EconWPA. [Downloadable!]
      Other versions:
    19. Simone Bianco & Roberto Ren\'o, 2006. "Unexpected volatility and intraday serial correlation," Quantitative Finance Papers physics/0610023, arXiv.org. [Downloadable!]

  23. Jerry A. Hausman & Andrew W. Lo & Craig A. MacKinlay, . "An Ordered Probit Analysis of Transaction Stock Prices (Reprint 029)," Rodney L. White Center for Financial Research Working Papers 26-91, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. González, M. & Minguez, R., 2005. "The Method Of Simulated Maximum Likelihood For The Estimaton Of Dynamic Ordered Probit: An Application To Country-Risk For Non-Developed Countries," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(3), pages 99-133. [Downloadable!]

  24. Yacine Aït-Sahalia & Andrew W. Lo, . "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," CRSP working papers 332, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
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    Published as:

    Cited by:

    1. Patrick Gagliardini & C. Gourieroux & E. Renault, 2005. "Efficient Derivative Pricing by Extended Method of Moments," University of St. Gallen Department of Economics working paper series 2005 2005-05, Department of Economics, University of St. Gallen. [Downloadable!]
    2. William R. Melick & Charles P. Thomas, 1996. "Using options prices to infer PDF'S for asset prices: an application to oil prices during the Gulf crisis," International Finance Discussion Papers 541, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    3. Ignacio Mauleón, 2006. "Modelling multivariate moments in European Stock Markets," European Journal of Finance, Taylor and Francis Journals, vol. 12(3), pages 241-263, April. [Downloadable!] (restricted)
    4. Peter A. Abken & Saikat Nandi, 1996. "Options and volatility," Economic Review, Federal Reserve Bank of Atlanta, issue Dec, pages 21-35. [Downloadable!]
    5. Bruce Mizrach, 2002. "When Did The Smart Money in Enron Lose Its' Smirk?," Departmental Working Papers 200224, Rutgers University, Department of Economics. [Downloadable!]
    6. Xibin Zhang & Maxwell L. King & Rob J. Hyndman, 2004. "Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC," Monash Econometrics and Business Statistics Working Papers 9/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
      Other versions:
    7. Truc Le, 2005. "Stochastic market volatility models," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(3), pages 177-188, May. [Downloadable!] (restricted)
    8. Peter Christoffersen & Steve Heston & Kris Jacobs, 2003. "Option Valuation with Conditional Skewness," CIRANO Working Papers 2003s-50, CIRANO. [Downloadable!]
      Other versions:
    9. Paola Zerilli, 2005. "Option pricing and spikes in volatility: theoretical and empirical analysis," Money Macro and Finance (MMF) Research Group Conference 2005 76, Money Macro and Finance Research Group. [Downloadable!]
    10. Yacine Aït-Sahalia & Michael W. Brandt, 2008. "Consumption and Portfolio Choice with Option-Implied State Prices," NBER Working Papers 13854, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    11. Wael Bahsoun & Pawel Góra & Silvia Mayoral & Manuel Morales, . "Random Dynamics and Finance: Constructing Implied Binomial Trees from a Predetermined Stationary Den," Faculty Working Papers 13/06, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    12. W. Härdle & J. Zheng, . "How Precise Are Price Distributions Predicted by Implied Binomial Trees?," Sonderforschungsbereich 373 2002-1, Humboldt Universitaet Berlin.
    13. Guidolin, Massimo & Timmermann, Allan G, 2001. "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," CEPR Discussion Papers 3005, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    14. Ghulam Sarwar, 2004. "The informational role of option trading volume in the S&P 500 futures options markets," Applied Financial Economics, Taylor and Francis Journals, vol. 14(16), pages 1197-1210, November. [Downloadable!] (restricted)
    15. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Economics Working Papers (Ensaios Economicos da EPGE) 583, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    16. Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès, 1996. "American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation," CIRANO Working Papers 96s-26, CIRANO. [Downloadable!]
      Other versions:
    17. Aït-Sahalia, Yacine. & Bickel, Peter J. & Stoker, Thomas M., 1994. "Goodness-of-fit tests for regression using kernel methods," Working papers 3747-94., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    18. Grace Kuan, 2000. "Recovering Local Volatility Functions Of Forward Libor Rates," Computing in Economics and Finance 2000 255, Society for Computational Economics. [Downloadable!]
    19. Xibin Zhang & Robert D. Brooks & Maxwell L. King, 2007. "A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation," Monash Econometrics and Business Statistics Working Papers 11/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    20. Sheri Markose & Amadeo Alentorn, 2005. "Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution," Computing in Economics and Finance 2005 397, Society for Computational Economics. [Downloadable!]
    21. Peter Christoffersen & Kris Jacobs, 2003. "The Importance of the Loss Function in Option Valuation," CIRANO Working Papers 2003s-52, CIRANO. [Downloadable!]
      Other versions:
    22. Yacine Ait-Sahalia & Jefferson Duarte, 2002. "Nonparametric Option Pricing under Shape Restrictions," NBER Working Papers 8944, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    23. Rama CONT, 1998. "Beyond implied volatility: extracting information from option prices," Finance 9804002, EconWPA. [Downloadable!]
    24. Peter Carr & Liuren Wu, 2002. "The Finite Moment Log Stable Process and Option Pricing," Finance 0207012, EconWPA. [Downloadable!]
      Other versions:
    25. Bhupinder Bahra, . "Implied risk-neutral probability density functions from option prices: theory and application," Bank of England working papers 66, Bank of England. [Downloadable!]
    26. Vladislav Kargin, 2003. "Consistent Estimation of Pricing Kernels from Noisy Price Data," Finance 0311001, EconWPA. [Downloadable!]
    27. Joshua Rosenberg, 1999. "Implied Volatility Functions: A Reprise," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-027, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    28. Jose M. Campa & P.H. Kevin Chang & James F. Refalo, 1999. "An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1997," NBER Working Papers 6929, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    29. Giuseppe Arbia, 2000. "Estimation Of Market Risk In Case Of Non-Gaussian Asset'S Returns," Departmental Working Papers 133, Tor Vergata University, CEIS. [Downloadable!]
    30. Sheri Markose & Amadeo Alentorn, 2005. "The Generalized Extreme Value (GEV) Distribution, Implied Tail Index and Option Pricing," Economics Discussion Papers 594, University of Essex, Department of Economics. [Downloadable!]
    31. Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," Alea Tech Reports 010, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
    32. Li, Minqiang, 2008. "Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern," MPRA Paper 11530, University Library of Munich, Germany. [Downloadable!]
    33. Andrew Leigh & Justin Wolfers & Eric Zitzewitz, 2003. "What Do Financial Markets Think of War in Iraq?," NBER Working Papers 9587, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    34. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," Center for Financial Institutions Working Papers 97-37, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    35. F. Fornari & A. Mele, 2000. "Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations," THEMA Working Papers 2000-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
      Other versions:
    36. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society. [Downloadable!]
    37. Alejandro Balbás & Susana López, 2001. "Financial innovation and arbitrage in the Spanish bond market," Business Economics Working Papers wb010101, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
    38. Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," LEM Papers Series 2001/05, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    39. Kim, KiHyung, 2007. "The Investors’ Implied Sentiment : A Robust Measure of Risk Appetite," MPRA Paper 5714, University Library of Munich, Germany. [Downloadable!]
    40. V. L. Martin & G. M. Martin & G. C. Lim, 2005. "Parametric pricing of higher order moments in S&P500 options," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 377-404. [Downloadable!]
      Other versions:
    41. W. Härdle & A. Yatchew, . "Dynamic Nonparametric State Price Density Estimation Using Constrained Least Squares and the Bootstrap," Sonderforschungsbereich 373 2002-16, Humboldt Universitaet Berlin.
    42. René Garcia & Richard Luger & Éric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO. [Downloadable!]
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    43. Olivier Scaillet., 2003. "Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility," THEMA Working Papers 2003-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
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    44. Martin Mandler, 2002. "Extracting Market Expectations from Option Prices: Two Case Studies in Market Perceptions of the ECB's Monetary Policy 1999/2000," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(II), pages 165-189, June. [Downloadable!]
    45. Cizek, P. & Tamine, J. & Haerdle, W., 2006. "Smoothed L-estimation of regression function," Discussion Paper 20, Tilburg University, Center for Economic Research. [Downloadable!]
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    46. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO. [Downloadable!]
    47. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1998. "Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange," NBER Working Papers 6845, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    48. Liuren Wu, 2004. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," Finance 0401001, EconWPA. [Downloadable!]
      Other versions:
    49. Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès, 1996. "Nonparametric Estimation of American Options Exercise Boundaries and Call Prices," CIRANO Working Papers 96s-24, CIRANO. [Downloadable!]
      Other versions:
    50. Giacomini, Raffaella & Gottschling, Andreas & Haefke, Christian & White, Halbert, 2007. "Mixtures of t-distributions for Finance and Forecasting," Economics Series 216, Institute for Advanced Studies. [Downloadable!]
      Other versions:
    51. Jose M. Campa & P. H. Kevin Chang, 1997. "The Forecasting Ability of Correlations Implied in Foreign Exchange Options," NBER Working Papers 5974, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    52. Paolo Guasoni, 2004. "Estimating state price densities by Hermite polynomials: theory and application to the Italian derivatives market," Temi di discussione (Economic working papers) 507, Bank of Italy, Economic Research Department. [Downloadable!]
    53. Mikhail Chernov & Eric Ghysels, 1998. "What Data Should Be Used to Price Options?," CIRANO Working Papers 98s-22, CIRANO. [Downloadable!]
    54. Joshua Rosenberg, 1999. "Semiparametric Pricing of Multivariate Contingent Claims," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-028, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    55. Jens Carsten Jackwerth & George M. Constantinaides & Stylianos Perrakis, 2005. "Mispricing of S&P 500 Index Options," CoFE Discussion Paper 05-09, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
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    56. Kazuhiko NISHINA & Tatsuro Nabil MAGHREBI & Moo-Sung KIM, 2006. "Stock Market Volatility And The Forecasting Accuracy Of Implied Volatility Indices," Discussion Papers in Economics and Business 06-09, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP). [Downloadable!]
    57. Driessen, J. & Klaassen, P. & Melenberg, B., 2000. "The performance of multi-factor term structure models for pricing and hedging caps and swaptions," Discussion Paper 93, Tilburg University, Center for Economic Research. [Downloadable!]
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    58. Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2007. "Option Pricing: Real and Risk-Neutral Distributions," MPRA Paper 11637, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    59. Driessen, Joost & Perotti, Enrico C, 2004. "Confidence Building on Euro Conversion: Theory and Evidence from Currency Options," CEPR Discussion Papers 4180, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    60. David Backus & Silverio Foresi & Liuren Wu, 2002. "Accouting for Biases in Black-Scholes," Finance 0207008, EconWPA. [Downloadable!]
    61. Jens Carsten Jackwerth, 1998. "Recovering Risk Aversion from Option Prices and Realized Returns," Finance 9803002, EconWPA. [Downloadable!]
      Other versions:
    62. Joe Akira Yoshino, 2003. "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 385-403, November. [Downloadable!]
    63. Franco Molinari, 1998. "Arbitrage risk neutral probability measures," Quaderni DISA 008, Department of Computer and Management Sciences, University of Trento, Italy.
    64. René Garcia & Ramazan Gençay, 1998. "Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint," CIRANO Working Papers 98s-35, CIRANO. [Downloadable!]
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    65. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2005. "Testing the forecasting performace of IBEX 35 option implied risk neutral densities," Banco de España Working Papers 0504, Banco de España. [Downloadable!]
    66. Joshua V. Rosenberg, 2003. "Nonparametric pricing of multivariate contingent claims," Staff Reports 162, Federal Reserve Bank of New York. [Downloadable!]
    67. Jiang, G. & Sluis, P.J. van der, 2000. "Index option pricing models with stochastic volatility and stochastic interest rates," Discussion Paper 36, Tilburg University, Center for Economic Research. [Downloadable!]
    68. Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1996. "Implied Volatility Functions: Empirical Tests," NBER Working Papers 5500, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    69. Kazuhiko Nishina & Nabil Maghrebi & Mark J. Holmes, 2006. "Are Volatility Expectations Characterized By Regime Shifts? Evidence From Implied Volatility Indices," Discussion Papers in Economics and Business 06-20, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP). [Downloadable!]
    70. Gonzalo Rubio & Eva Ferreira & Mónica Gago, 2003. "An empirical comparison of the performance of alternative option pricing models," DFAEII Working Papers 200204, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]
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    71. Yacine Ait-Sahalia & Robert Kimmel, 2004. "Maximum Likelihood Estimation of Stochastic Volatility Models," NBER Working Papers 10579, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    72. Jérôme B. Detemple & Carlton Osakwe, 1999. "The Valuation of Volatility Options," CIRANO Working Papers 99s-43, CIRANO. [Downloadable!]
    73. Menkhoff, Lukas & Schmeling, Maik, 2007. "Whose trades convey information? Evidence from a cross-section of traders," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-357, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    74. H. Nielsen, . "Extracting implicit density functions from short term interest rate options," Sonderforschungsbereich 373 2001-47, Humboldt Universitaet Berlin.
    75. Paola Zerilli, 2007. "Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis," Discussion Papers 07/08, Department of Economics, University of York. [Downloadable!]
    76. René Garcia & Éric Renault, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," CIRANO Working Papers 98s-02, CIRANO. [Downloadable!]
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    77. Robert R Bliss & Nikolaos Panigirtzoglou, . "Testing the stability of implied probability density functions," Bank of England working papers 114, Bank of England. [Downloadable!]
    78. G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns," Monash Econometrics and Business Statistics Working Papers 4/02, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    79. Marcello Pericoli, 2005. "Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area," Temi di discussione (Economic working papers) 545, Bank of Italy, Economic Research Department. [Downloadable!]
    80. Laurini, Márcio P., 2007. "Imposing No-Arbitrage Conditions In Implied Volatility Surfaces Using Constrained Smoothing Splines," Ibmec Working Papers wpe_87, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
    81. Jose M. Campa & P.H. Kevin Chang & Robert L. Reider, 1997. "Implied Exchange Rate Distributions: Evidence from OTC Option Markets," NBER Working Papers 6179, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    82. Goorbergh, R.W.J. van den & Genest, C. & Werker, B.J.M., 2003. "Multivariate option pricing using dynamic copula models," Discussion Paper 122, Tilburg University, Center for Economic Research. [Downloadable!]
    83. Mariangela Franch, 1998. "La comunicazione on-line. Aspetti metodologici e risultati di alcune sperimentazioni," Quaderni DISA 010, Department of Computer and Management Sciences, University of Trento, Italy.
    84. Antonio Di Cesare, 2004. "Estimating expectations of shocks using option prices," Temi di discussione (Economic working papers) 506, Bank of Italy, Economic Research Department. [Downloadable!]
    85. Marco Fabio Delzio, 2004. "Pricing credit risk through equity options," Departmental Working Papers 198, Tor Vergata University, CEIS. [Downloadable!]
    86. Bronka Rzepkowski, 2000. "The Expectations of a Hong Kong Dollar Devaluation and their Determinants," Working Papers 2000-04, CEPII research center. [Downloadable!]
    87. Joshua Rosenberg, 2000. "Asset Pricing Puzzles: Evidence from Options Markets," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-025, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    88. Gabriele Fiorentini & Angel León & Gonzalo Rubio, . "Short-term options with stochastic volatility: Estimation and empirical performance," Studies on the Spanish Economy 02, FEDEA. [Downloadable!]
      Other versions:
    89. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang, 2008. "Option Valuation with Long-run and Short-run Volatility Components," CREATES Research Papers 2008-11, School of Economics and Management, University of Aarhus. [Downloadable!]
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    90. Alessandro Beber & Luca Erzegovesi, 1999. "Distribuzioni di probabilità implicite nei prezzi delle opzioni," Alea Tech Reports 008, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
    91. Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings 405, Econometric Society. [Downloadable!]
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    92. Marie Brière, 2006. "Market Reactions to Central Bank Communication Policies : Reading Interest Rate Options Smiles," Working Papers CEB 06-009.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
    93. Eric Ghysels & Valentin Patilea & Éric Renault & Olivier Torrès, 1997. "Nonparametric Methods and Option Pricing," CIRANO Working Papers 97s-19, CIRANO. [Downloadable!]
    94. P.A. Forsyth, K.R. Vetzal, R. Zvan, 1999. "A finite element approach to the pricing of discrete lookbacks with stochastic volatility," Applied Mathematical Finance, Taylor and Francis Journals, vol. 6(2), pages 87-106, June. [Downloadable!] (restricted)
    95. Matthias Fengler & Wolfgang Härdle & Enno Mammen, 2005. "A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics," SFB 649 Discussion Papers SFB649DP2005-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    96. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 1997. "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model," NBER Working Papers 6250, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  25. Andrew W. Lo & Craig A. MacKinlay, . "A Simple Specification Test of the Random Walk Hypothesis," Rodney L. White Center for Financial Research Working Papers 13-87, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. Andrew W. Lo & A. Craig MacKinlay, 1989. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  26. Joseph G. Haubrich & Andrew W. Lo, . "The Sources and Nature of Long-Term Memory in the Business Cycle," Rodney L. White Center for Financial Research Working Papers 5-89, Wharton School Rodney L. White Center for Financial Research.
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    Cited by:

    1. Verspagen,Bart, 1999. "Intellectual Property Rights in the World Economy," Research Memoranda 016, Maastricht : MERIT, Maastricht Economic Research Institute on Innovation and Technology. [Downloadable!]
    2. Kenneth D. West & Dongchul Cho, 1994. "The Predictive Ability of Several Models of Exchange Rate Volatility," NBER Technical Working Papers 0152, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    3. B. Verspagen & G. Silverberg, 2000. "A note on Michelacci and Zaffaroni, long memory, and time series of economic growth," ECIS Working Papers 00.17, Eindhoven Centre for Innovation Studies, Eindhoven University of Technology. [Downloadable!]
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    4. Adrian R. Pagan & G. William Schwert, 1990. "Alternative Models For Conditional Stock Volatility," NBER Working Papers 2955, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    5. Peter C.B. Phillips & Mico Loretan, 1990. "Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns," Cowles Foundation Discussion Papers 947, Cowles Foundation, Yale University. [Downloadable!]
    6. Ana Pérez & Esther Ruiz, 2001. "Modelos De Memoria Larga Para Series Económicas Y Financieras," Documentos de Trabajo de Estadística y Econometría ds010101, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    7. David K. Backus & Stanley E. Zin, 1993. "Long-memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates," NBER Technical Working Papers 0133, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    8. Silverberg, G. & Verspagen, Bart, 1999. "Long Memory in Time Series of Economic Growth and Convergence," ECIS Working Papers 99.8, Eindhoven Centre for Innovation Studies, Eindhoven University of Technology. [Downloadable!]
      Other versions:
    9. Marco Lippi & Paolo Zaffaroni, 1998. "Aggregation of Simple Linear Dynamics: Exact Asymptotic Results," STICERD - Econometrics Paper Series /1998/350, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    10. Joseph G. Haubrich, 1990. "Consumption and fractional differencing: old and new anomalies," Working Paper 9010, Federal Reserve Bank of Cleveland. [Downloadable!]
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Articles

  1. Andrew W. Lo & Jiang Wang, 2006. "Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 61(6), pages 2805-2840, December. [Downloadable!] (restricted)
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  2. Andrew W. Lo & Dmitry V. Repin & Brett N. Steenbarger, 2005. "Fear and Greed in Financial Markets: A Clinical Study of Day-Traders," American Economic Review, American Economic Association, vol. 95(2), pages 352-359, May. [Downloadable!]
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  3. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2004. "Asset Prices and Trading Volume under Fixed Transactions Costs," Journal of Political Economy, University of Chicago Press, vol. 112(5), pages 1054-1090, October.
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  4. Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December. [Downloadable!] (restricted)
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  5. Lo, Andrew W. & MacKinlay, A. Craig & Zhang, June, 2002. "Econometric models of limit-order executions," Journal of Financial Economics, Elsevier, vol. 65(1), pages 31-71, July. [Downloadable!] (restricted)
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  6. Joseph G. Haubrich & Andrew W. Lo, 2001. "The sources and nature of long-term memory in aggregate output," Economic Review, Federal Reserve Bank of Cleveland, issue Q II, pages 15-30. [Downloadable!]

    Cited by:

    1. Laura Mayoral, 2005. "Further evidence on the statistical properties of Real GNP," Economics Working Papers 955, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2006. [Downloadable!]
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    2. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Long Memory in US Real Output per Capita," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    3. Francis W. Ahking, 2004. "Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era," Working papers 2004-05, University of Connecticut, Department of Economics. [Downloadable!]
    4. Laura Mayoral, 2005. "The Persistence of Inflation in OECDCountries: a Fractionally Integrated Approach," Economics Working Papers 958, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2005. [Downloadable!]
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  7. Lo, Andrew W & Wang, Jiang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 13(2), pages 257-300.
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  8. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2000. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation," Journal of Finance, American Finance Association, vol. 55(4), pages 1705-1770, 08. [Downloadable!] (restricted)
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  9. Bertsimas, Dimitris & Kogan, Leonid & Lo, Andrew W., 2000. "When is time continuous?," Journal of Financial Economics, Elsevier, vol. 55(2), pages 173-204, February. [Downloadable!] (restricted)

    Cited by:

    1. Alfredo Ibáñez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005 216, Society for Computational Economics. [Downloadable!]
    2. Konstantijn Maes, 2004. "Modeling the Term Structure of Interest Rates: Where Do We Stand?," Research series 200402, National Bank of Belgium. [Downloadable!]
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    3. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO. [Downloadable!]
    4. Nicole Branger & Christian Schlag, 2004. "Is volatility risk priced? Properties of tests based on option hedging errors," Money Macro and Finance (MMF) Research Group Conference 2003 8, Money Macro and Finance Research Group. [Downloadable!]
    5. Sucarrat, Genaro, 2009. "Forecast Evaluation of Explanatory Models of Financial Variability," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 3(8), pages 1-33. [Downloadable!]
    6. Nicole Branger & Christian Schlag, 2004. "Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors," Working Paper Series: Finance and Accounting 140, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
    7. Dennis Kristensen, 2007. "Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach," CREATES Research Papers 2007-02, School of Economics and Management, University of Aarhus. [Downloadable!]

  10. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51. [Downloadable!] (restricted)
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  11. Yacine Aït-Sahalia & Andrew W. Lo, 1998. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," Journal of Finance, American Finance Association, vol. 53(2), pages 499-547, 04. [Downloadable!] (restricted)
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  12. Bertsimas, Dimitris & Lo, Andrew W., 1998. "Optimal control of execution costs," Journal of Financial Markets, Elsevier, vol. 1(1), pages 1-50, April. [Downloadable!] (restricted)

    Cited by:

    1. Basak, Suleyman & Pavlova, Anna, 2004. "A Dynamic Model with Import Quota Constraints," Working papers 4230-02, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    2. Anil Bangia & Francis X. Diebold & Til Schuermann & John D. Stroughair, 1998. "Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management," Center for Financial Institutions Working Papers 99-06, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
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    3. Aur\'elien Alfonsi & Alexander Schied & Antje Schulz, 2007. "Optimal execution strategies in limit order books with general shape functions," Quantitative Finance Papers 0708.1756, arXiv.org, revised Sep 2007. [Downloadable!]
    4. David Bakstein & Sam Howison, 2002. "A Risk-Neutral Parametric Liquidity Model for Derivatives," OFRC Working Papers Series 2002mf02, Oxford Financial Research Centre. [Downloadable!]
    5. Luca Erzegovesi, 2002. "VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues," Alea Tech Reports 014, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
    6. Campbell, John Y & Ramadorai, Tarun & Schwartz, Allie, 2007. "Caught On Tape: Institutional Trading, Stock Returns, and Earnings Announcements," CEPR Discussion Papers 6390, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    7. Hisata, Yoshifumi & Yamai, Yasuhiro, 2000. "Research toward the Practical Application of Liquidity Risk Evaluation Methods," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 18(2), pages 83-127, December. [Downloadable!]
    8. Alexander Schied & Torsten Schöneborn, 2009. "Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets," Finance and Stochastics, Springer, vol. 13(2), pages 181-204, April. [Downloadable!] (restricted)
      Other versions:
    9. Hollifield, Burton & Miller, Robert & Sandås, Patrik, 2001. "Empirical Analysis of Limit Order Markets," CEPR Discussion Papers 2843, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    10. Stefano Benati & M. Tavernini, 1998. "A new lagrangean heuristic for the generalized assignment problem," Quaderni DISA 014, Department of Computer and Management Sciences, University of Trento, Italy.
    11. Schied, Alexander & Schöneborn, Torsten, 2007. "Optimal Portfolio Liquidation for CARA Investors," MPRA Paper 5075, University Library of Munich, Germany. [Downloadable!]
    12. Matthew Pritsker, 2005. "Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity," Finance and Economics Discussion Series 2005-36, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    13. Basak, Suleyman & Pavlova, Anna, 2003. "A Dynamic Model With Import Quota Constraints," Working papers 4230-02, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    14. Schoeneborn, Torsten & Schied, Alexander, 2007. "Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision," MPRA Paper 5548, University Library of Munich, Germany. [Downloadable!]
    15. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "Estimating Liquidity Using Information on the Multivariate Trading Process," CoFE Discussion Paper 06-04, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
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    16. Anna Obizhaeva & Jiang Wang, 2005. "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers 11444, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    17. Ryosuke Ishii, 2009. "Optimal Execution in an Evolutionary Setting," KIER Working Papers 670, Kyoto University, Institute of Economic Research. [Downloadable!]
    18. David B. Brown & Bruce Ian Carlin & Miguel Sousa Lobo, 2009. "On the Scholes Liquidation Problem," NBER Working Papers 15381, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    19. Malay Dey & Hossein Kazemi, 2008. "Bid ask spread in a competitive market with institutions and order size," Review of Quantitative Finance and Accounting, Springer, vol. 30(4), pages 433-453, May. [Downloadable!] (restricted)

  13. Campbell, John Y. & Lo, Andrew W. & MacKinlay, A. Craig & Whitelaw, Robert F., 1998. "The Econometrics Of Financial Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 2(04), pages 559-562, December. [Downloadable!]

    Cited by:

    1. Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Regime Switching and Artificial Neural Network Forecasting of the Cyprus Stock Exchange Daily Returns," Money Macro and Finance (MMF) Research Group Conference 2005 46, Money Macro and Finance Research Group. [Downloadable!]
      Other versions:
    2. Angelos Kanas, 2003. "Non-linear forecasts of stock returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(4), pages 299-315. [Downloadable!]
    3. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Regime Switching and Artificial Neural Network Forecasting," Working Papers 0502, University of Crete, Department of Economics. [Downloadable!]

  14. Lo, Andrew W. & Mackinlay, A. Craig, 1997. "Maximizing Predictability In The Stock And Bond Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 1(01), pages 102-134, January. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  15. Lo, Andrew W & Wang, Jiang, 1995. " Implementing Option Pricing Models When Asset Returns Are Predictable," Journal of Finance, American Finance Association, vol. 50(1), pages 87-129, March. [Downloadable!] (restricted)
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  16. Hutchinson, James M & Lo, Andrew W & Poggio, Tomaso, 1994. " A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks," Journal of Finance, American Finance Association, vol. 49(3), pages 851-89, July. [Downloadable!] (restricted)
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  17. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992. "An ordered probit analysis of transaction stock prices," Journal of Financial Economics, Elsevier, vol. 31(3), pages 319-379, June. [Downloadable!] (restricted)
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  18. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-313, September. [Downloadable!] (restricted)
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  19. Lo, Andrew W & MacKinlay, A Craig, 1990. "Data-Snooping Biases in Tests of Financial Asset Pricing Models," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(3), pages 431-67. [Downloadable!] (restricted)
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  20. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(2), pages 175-205. [Downloadable!] (restricted)
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  21. Lo, Andrew W. & Craig MacKinlay, A., 1990. "An econometric analysis of nonsynchronous trading," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 181-211. [Downloadable!] (restricted)
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  22. Lo, Andrew W. & MacKinlay, A. Craig, 1989. "The size and power of the variance ratio test in finite samples : A Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 40(2), pages 203-238, February. [Downloadable!] (restricted)
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  23. Bucklin, Randolph E & Caves, Richard E & Lo, Andrew W, 1989. "Games of Survival in the U.S. Newspaper Industry," Applied Economics, Taylor and Francis Journals, vol. 21(5), pages 631-49, May.

    Cited by:

    1. Charles Romeo & Russell Pittman & Norman Familant, 2003. "Do Newspaper JOAs Charge Monopoly Advertising Rates?," Review of Industrial Organization, Springer, vol. 22(2), pages 121-138, March. [Downloadable!] (restricted)
    2. Elena Argentesi, 2004. "Demand Estimation for Italian Newspapers: The Impact of Weekly Supplements," Economics Working Papers ECO2004/28, European University Institute. [Downloadable!]
    3. Jacco Hakfoort & Jurgen Weigand, . "Commercial Publishing - A quiet life? Market power and performance on the Dutch market for consumer magazines," Research memoranda 174, CPB Netherlands Bureau for Economic Policy Analysis. [Downloadable!]
    4. Elena Argentesi & Lapo Filistrucchi, 2005. "Estimating market power in a two-sided market: the case of newspapers," Economics Working Papers ECO2005/07, European University Institute. [Downloadable!]
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    5. Kaiser, Ulrich & Wright, Julian, 2004. "Price Structure in Two-sided Markets : Evidence from the Magazine Industry?," ZEW Discussion Papers 04-80, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
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  24. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(1), pages 41-66. [Downloadable!] (restricted)
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  25. Lo, Andrew W., 1987. "Semi-parametric upper bounds for option prices and expected payoffs," Journal of Financial Economics, Elsevier, vol. 19(2), pages 373-387, December. [Downloadable!] (restricted)

    Cited by:

    1. William R. Melick & Charles P. Thomas, 1996. "Using options prices to infer PDF'S for asset prices: an application to oil prices during the Gulf crisis," International Finance Discussion Papers 541, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    2. Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation, Yale University. [Downloadable!]

  26. Lo, Andrew W., 1986. "Statistical tests of contingent-claims asset-pricing models : A new methodology," Journal of Financial Economics, Elsevier, vol. 17(1), pages 143-173, September. [Downloadable!] (restricted)

    Cited by:

    1. David Bates & Roger Craine, 1998. "Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash," NBER Working Papers 6505, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1996. "Implied Volatility Functions: Empirical Tests," NBER Working Papers 5500, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Andrew W. Lo & Jiang Wang, 1994. "Implementing Option Pricing Models When Asset Returns Are Predictable," NBER Working Papers 4720, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  27. Lo, Andrew W., 1986. "Logit versus discriminant analysis : A specification test and application to corporate bankruptcies," Journal of Econometrics, Elsevier, vol. 31(2), pages 151-178, March. [Downloadable!] (restricted)

    Cited by:

    1. Josep M. Argilés, 1998. "Accounting Information and the Prediction of Farm Viability," Economics Working Papers 277, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    2. Shiyi Chen & Wolfgang Härdle & Rouslan Moro, 2006. "Estimation of Default Probabilities with Support Vector Machines," SFB 649 Discussion Papers SFB649DP2006-077, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    3. Cecilio Mar-Molinero, Carlos Serrano-Cinca, 2001. "Bank failure: a multidimensional scaling approach," European Journal of Finance, Taylor and Francis Journals, vol. 7(2), pages 165-183, June. [Downloadable!] (restricted)
    4. Sanjiv Das & Darrell Duffie & Nikunj Kapadia & Leandro Saita, 2006. "Common Failings: How Corporate Defaults are Correlated," NBER Working Papers 11961, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    5. Nicholas Wilson, Barbara Summers, Robert Hope, 2000. "Using Payment Behaviour Data for Credit Risk Modelling," International Journal of the Economics of Business, Taylor and Francis Journals, vol. 7(3), pages 333-346, November. [Downloadable!] (restricted)

  28. Lo, Andrew W. & Newey, Whitney K., 1985. "A large-sample chow test for the linear simultaneous equation," Economics Letters, Elsevier, vol. 18(4), pages 351-353. [Downloadable!] (restricted)

    Cited by:

    1. Donald W.K. Andrews & Ray C. Fair, 1987. "Inference in Econometric Models with Structural Change," Cowles Foundation Discussion Papers 832, Cowles Foundation, Yale University. [Downloadable!]
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Chapters

  1. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc. [Downloadable!]
    Other versions:

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Books

    Sorry, no citations of books recorded.
Did you know? IDEAS also indexes book chapters.

This page was last updated on 2009-11-19.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.