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Mark Jack Kamstra

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This is information that was supplied by Mark Kamstra in registering through RePEc. If you are Mark Jack Kamstra , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Mark
Middle Name: Jack
Last Name: Kamstra
Suffix:

RePEc Short-ID: pka66

Email:
Homepage: http://markkamstra.com
Postal Address: Finance - N225 Schulich School of Business York University 4700 Keele St., Toronto ON M3J 1P3 Canada
Phone: 416-736-2100 local 33302

Affiliation

Schulich School of Business
York University
Location: Toronto, Canada
Homepage: http://www.schulich.yorku.ca/
Email:
Phone: (416) 736-5070
Fax: (416) 736-5687
Postal: 4700 Keele Street, Toronto, Ontario. M3J 1P3
Handle: RePEc:edi:byorkca (more details at EDIRC)

Works

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Working papers

  1. Mark J. Kamstra & Robert J. Shiller, 2009. "The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation," Cowles Foundation Discussion Papers 1717, Cowles Foundation for Research in Economics, Yale University.
  2. Ian Garrett & Mark Kamstra & Lisa Kramer, 2004. "Winter blues and time variation in the price of risk," Working Paper 2004-8, Federal Reserve Bank of Atlanta.
  3. Glen Donaldson & Mark Kamstra, 2004. "Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off," Working Paper 2004-6, Federal Reserve Bank of Atlanta.
  4. Glen Donaldson & Mark Kamstra & Lisa Kramer, 2003. "Stare down the barrel and center the crosshairs: Targeting the ex ante equity premium," Working Paper 2003-4, Federal Reserve Bank of Atlanta.
  5. Mark Kamstra & Lisa Kramer & Maurice Levi, 2002. "Winter blues: a SAD stock market cycle," Working Paper 2002-13, Federal Reserve Bank of Atlanta.
  6. Mark Kamstra, 2001. "Rational exuberance: The fundamentals of pricing firms, from blue chip to “dot com”," Working Paper 2001-21, Federal Reserve Bank of Atlanta.
  7. Donaldson, R.G. & Kamstra, M., 2001. "Volatility Forecasts, Trading Volume and the ARCH vs. Option-Implied Volatility Tradeoff," Working Papers dp01-1, CRABE, Department of Economics, Simon Fraser University.
  8. Mark Kamstra & R. Glen Donaldson, 1999. "The Accuracy of Fundamental Stock Market Price Estimates and a Refinement to the Donaldson-Kamstra Fundamental Estimate," Computing in Economics and Finance 1999 954, Society for Computational Economics.
  9. Kamstra, M., 1999. "Dividends, Earnings and Fundamental Valuation," Working Papers dp99-11, CRABE, Department of Economics, Simon Fraser University.
  10. Kamstra, M., 1998. "The Ex Post Rational Price is Certainly Ex Post, It Might Be Rational, But Is It Useful?," Working Papers dp98-05, CRABE, Department of Economics, Simon Fraser University.
  11. Kamstra, M. & Kennedy, P. & Suan, T.-K., 1998. "Combining Bond Rating Forecasts Using Logit," Working Papers dp98-10, CRABE, Department of Economics, Simon Fraser University.
  12. Kamstra, M.J. & Kramer, L.A. & Levi, M.D., 1998. "Losing Sleep at the Market: The Daylight-Savings Anomaly," Working Papers dp98-04, CRABE, Department of Economics, Simon Fraser University.
  13. Donaldson, R.G. & Kamstra, M., 1996. "Forecasting Fundamental Asset Return Distributions and Tests for Excess Volatility and Bubbles," Working Papers dp96-02, CRABE, Department of Economics, Simon Fraser University.
  14. Harrald, P. & Kamstra, M., 1995. "Evolving Artificial Neural Networks to Combine Financial Forecasts," Working Papers dp95-04, CRABE, Department of Economics, Simon Fraser University.
  15. Kamstra, M., 1991. "A Neural Network Test for Heteroskedasticity," Working Papers dp91-06, CRABE, Department of Economics, Simon Fraser University.
  16. R. Glen Donaldson & Mark Kamstra, . "Forecasting Fundamental Asset Return Distributions," Computing in Economics and Finance 1997 176, Society for Computational Economics.

Articles

  1. Donaldson, R. Glen & Kamstra, Mark J. & Kramer, Lisa A., 2010. "Estimating the Equity Premium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(04), pages 813-846, August.
  2. Kamstra Mark J & Shiller Robert J., 2010. "Trills Instead of T-Bills: It's Time to Replace Part of Government Debt with Shares in GDP," The Economists' Voice, De Gruyter, vol. 7(3), pages 1-5, September.
  3. Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D., 2009. "Is it the weather? Comment," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 578-582, March.
  4. Mark Kamstra & Rpbert J. Shiller, 2008. "The Case for Trills: Giving Canadians and their Pension Funds a Stake in the Wealth of the Nation," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 271, August.
  5. Mark Kamstra & Moshe Milevsky, 2005. "Waiting for returns: using space-time duality to calibrate financial diffusions," Quantitative Finance, Taylor & Francis Journals, vol. 5(3), pages 237-244.
  6. R. Glen Donaldson & Mark J. Kamstra, 2005. "Volatility Forecasts, Trading Volume, And The Arch Versus Option-Implied Volatility Trade-Off," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 28(4), pages 519-538.
  7. Garrett, Ian & Kamstra, Mark J. & Kramer, Lisa A., 2005. "Winter blues and time variation in the price of risk," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 291-316, March.
  8. Mark Kamstra, 2003. "Pricing firms on the basis of fundamentals," Economic Review, Federal Reserve Bank of Atlanta, issue Q1, pages 49-70.
  9. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2003. "Winter Blues: A SAD Stock Market Cycle," American Economic Review, American Economic Association, vol. 93(1), pages 324-343, March.
  10. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2002. "Losing Sleep at the Market: The Daylight Saving Anomaly: Reply," American Economic Review, American Economic Association, vol. 92(4), pages 1257-1263, September.
  11. Kamstra, Mark & Kennedy, Peter & Suan, Teck-Kin, 2001. "Combining Bond Rating Forecasts Using Logit," The Financial Review, Eastern Finance Association, vol. 36(2), pages 75-96, May.
  12. Lisa A. Kramer & Mark J. Kamstra & Maurice D. Levi, 2000. "Losing Sleep at the Market: The Daylight Saving Anomaly," American Economic Review, American Economic Association, vol. 90(4), pages 1005-1011, September.
  13. Kamstra, Mark & Kennedy, Peter, 1998. "Combining qualitative forecasts using logit," International Journal of Forecasting, Elsevier, vol. 14(1), pages 83-93, March.
  14. Donaldson, R. Glen & Kamstra, Mark, 1997. "An artificial neural network-GARCH model for international stock return volatility," Journal of Empirical Finance, Elsevier, vol. 4(1), pages 17-46, January.
  15. Donaldson, R Glen & Kamstra, Mark, 1996. "A New Dividend Forecasting Procedure That Rejects Bubbles in Asset Prices: The Case of 1929's Stock Crash," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 333-83.
  16. Granger, C. W. J. & White, Halbert & Kamstra, Mark, 1989. "Interval forecasting : An analysis based upon ARCH-quantile estimators," Journal of Econometrics, Elsevier, vol. 40(1), pages 87-96, January.

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ACC: Accounting & Auditing (1) 2002-11-04
  2. NEP-ENT: Entrepreneurship (1) 2002-02-10
  3. NEP-ETS: Econometric Time Series (1) 2004-05-16
  4. NEP-FIN: Finance (3) 2002-11-04 2003-05-08 2004-05-26. Author is listed
  5. NEP-FMK: Financial Markets (4) 2002-11-04 2003-05-08 2004-05-16 2004-05-16. Author is listed
  6. NEP-PKE: Post Keynesian Economics (1) 2002-02-15

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