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Adlai Julian Fisher

Personal Details

First Name:Adlai
Middle Name:Julian
Last Name:Fisher
Suffix:
RePEc Short-ID:pfi214
[This author has chosen not to make the email address public]
https://sites.google.com/view/adlai-fisher
Terminal Degree:1998 School of Management; Yale University (from RePEc Genealogy)

Affiliation

Finance Division
Sauder School of Business
University of British Columbia

Vancouver, Canada
http://finance.sauder.ubc.ca/
RePEc:edi:fdubcca (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Laurent-Emmanuel Calvet & Benoît B. Mandelbrot & Adlai J. Fisher, 2011. "Large Deviation Theory and the Distribution of Price Changes," Working Papers hal-00601869, HAL.
  2. Laurent-Emmanuel Calvet & Benoît B. Mandelbrot & Adlai J. Fisher, 2011. "Multifractality of US Dollar/Deutsche Mark Exchange Rates," Working Papers hal-00601871, HAL.
  3. A. Fisher & Laurent-Emmanuel Calvet, 2009. "Multifractal Volatility: Theory, Estimation and Forecasting," Post-Print hal-00495925, HAL.
  4. Laurent-Emmanuel Calvet & Adlai J. Fisher, 2008. "Multifrequency jump-diffusions: An equilibrium approach," Post-Print hal-00459681, HAL.
  5. Laurent E. Calvet & Adlai Fisher, 2008. "Multifractal Volatility: Theory, Forecasting and Pricing," Post-Print hal-00671877, HAL.
  6. Laurent-Emmanuel Calvet & Adlai J. Fisher, 2007. "Multifrequency news and stock returns," Post-Print hal-00459675, HAL.
  7. Laurent-Emmanuel Calvet & Adlai J. Fisher & Samuel B. Thompson, 2006. "Volatility Comovement: a multifrequency approach," Post-Print hal-00459667, HAL.
  8. Ron Giammarino & Murray Carlson & Adlai Fisher, 2004. "Corporate Investment and Asset Price Dynamics: Implications for Post-SEO Performance," 2004 Meeting Papers 812, Society for Economic Dynamics.
  9. Laurent-Emmanuel Calvet & Adlai J. Fisher, 2004. "How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes," Post-Print hal-00478472, HAL.
  10. Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," Harvard Institute of Economic Research Working Papers 1999, Harvard - Institute of Economic Research.
  11. Laurent-Emmanuel Calvet & Adlai J. Fisher, 2002. "Multifractality in Asset Returns: Theory and Evidence," Post-Print hal-00478175, HAL.
  12. Laurent Calvet & Adlai Fisher, 1999. "Forecasting Multifractal Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-017, New York University, Leonard N. Stern School of Business-.
  13. Adlai Fisher, 1999. "Multivariate Stock Returns Around Extreme Events: A Reassessment of Economic Fundamentals and the 1987 Market Crash," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-071, New York University, Leonard N. Stern School of Business-.
  14. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers 1164, Cowles Foundation for Research in Economics, Yale University.
  15. Laurent Calvet & Adlai Fisher & Benoit Mandelbrot, 1997. "Large Deviations and the Distribution of Price Changes," Cowles Foundation Discussion Papers 1165, Cowles Foundation for Research in Economics, Yale University.
  16. Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997. "Multifractality of Deutschemark/US Dollar Exchange Rates," Cowles Foundation Discussion Papers 1166, Cowles Foundation for Research in Economics, Yale University.

Articles

  1. Adlai Fisher & Charles Martineau & Jinfei Sheng, 2022. "Macroeconomic Attention and Announcement Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5057-5093.
  2. Calvet, Laurent E. & Fisher, Adlai J. & Wu, Liuren, 2018. "Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(2), pages 937-963, April.
  3. Oliver Boguth & Murray Carlson & Adlai Fisher & Mikhail Simutin, 2016. "Horizon Effects in Average Returns: The Role of Slow Information Diffusion," The Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2241-2281.
  4. Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus, 2015. "What is beneath the surface? Option pricing with multifrequency latent states," Journal of Econometrics, Elsevier, vol. 187(2), pages 498-511.
  5. Carlson, Murray & Dockner, Engelbert J. & Fisher, Adlai & Giammarino, Ron, 2014. "Leaders, Followers, and Risk Dynamics in Industry Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(2), pages 321-349, April.
  6. Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011. "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, vol. 102(2), pages 363-389.
  7. Bhamra, Harjoat S. & Fisher, Adlai J. & Kuehn, Lars-Alexander, 2011. "Monetary policy and corporate default," Journal of Monetary Economics, Elsevier, vol. 58(5), pages 480-494.
  8. Murray Carlson & Adlai Fisher & Ron Giammarino, 2010. "SEO Risk Dynamics," The Review of Financial Studies, Society for Financial Studies, vol. 23(11), pages 4026-4077, November.
  9. Adlai Fisher & Robert Heinkel, 2008. "Reputation and Managerial Truth‐Telling as Self‐Insurance," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 17(2), pages 489-540, June.
  10. Calvet, Laurent E. & Fisher, Adlai J., 2008. "Multifrequency jump-diffusions: An equilibrium approach," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 207-226, January.
  11. Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October.
  12. Calvet, Laurent E. & Fisher, Adlai J. & Thompson, Samuel B., 2006. "Volatility comovement: a multifrequency approach," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 179-215.
  13. Murray Carlson & Adlai Fisher & Ron Giammarino, 2006. "Corporate Investment and Asset Price Dynamics: Implications for SEO Event Studies and Long‐Run Performance," Journal of Finance, American Finance Association, vol. 61(3), pages 1009-1034, June.
  14. Laurent Calvet & Adlai Fisher, 2002. "Multifractality In Asset Returns: Theory And Evidence," The Review of Economics and Statistics, MIT Press, vol. 84(3), pages 381-406, August.
  15. Calvet, Laurent & Fisher, Adlai, 2001. "Forecasting multifractal volatility," Journal of Econometrics, Elsevier, vol. 105(1), pages 27-58, November.

Books

  1. Calvet, Laurent E. & Fisher, Adlai J., 2008. "Multifractal Volatility," Elsevier Monographs, Elsevier, edition 1, number 9780121500139.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Distinct Works, Weighted by Simple Impact Factor
  2. Number of Distinct Works, Weighted by Recursive Impact Factor
  3. Number of Citations, Weighted by Simple Impact Factor
  4. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  5. Number of Citations, Weighted by Recursive Impact Factor
  6. Number of Journal Pages, Weighted by Simple Impact Factor
  7. Number of Journal Pages, Weighted by Recursive Impact Factor
  8. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  9. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  10. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (2) 2004-07-18 2004-11-22
  2. NEP-ECM: Econometrics (1) 2004-07-18
  3. NEP-FIN: Finance (1) 2005-07-03
  4. NEP-IFN: International Finance (1) 2004-11-22
  5. NEP-RMG: Risk Management (1) 2003-07-13

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