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Richard D. F. Harris

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Personal Details

First Name: Richard
Middle Name: D. F.
Last Name: Harris
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RePEc Short-ID: pha750

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Affiliation

Xfi Centre for Finance and Investment
Business School
University of Exeter
Location: Exeter, United Kingdom
Homepage: http://www.xfi.ex.ac.uk/
Email:
Phone: (01392) 263218
Fax: (01392) 263242
Postal: Streatham Court, Rennes Drive, Exeter EX4 4ST
Handle: RePEc:edi:xfiexuk (more details at EDIRC)

Works

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Working papers

  1. Evarist Stoja & Richard D. F. Harris & Fatih Yilmaz, 2010. "A Cyclical Model of Exchange Rate Volatility," Bristol Economics Discussion Papers 10/618, Department of Economics, University of Bristol, UK.
  2. Stefan De Wachter & Richard D.F. Harris & Elias Tzavalis, 2005. "Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension," Working Papers 550, Queen Mary, University of London, School of Economics and Finance.
  3. Bulkley, George & Richard D.F. Harris & Renata Herrerias, 2002. "Stock Returns Following Profit Warnings: A Test of Models of Behavioural Finance," Royal Economic Society Annual Conference 2002 37, Royal Economic Society.
  4. Belfield, C.R. & Harris, R.D.F., 1999. "Does Job Matching Explain Job Satisfaction? Evidence for UK Graduates," Discussion Papers 9907, Exeter University, Department of Economics.
  5. Harris, Richard, 1998. "A Test of the Expectations Hypothesis of the Term Structure Using Cross-Section Data," Discussion Papers 9812, Exeter University, Department of Economics.
  6. Harris, R.D.F. & Tzavalis, E., 1998. "Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors," Discussion Papers 9806, Exeter University, Department of Economics.
  7. Harris, R.D.F. & Sanchez-Valle, R., 1998. "The Gilt-Equity Yield Ratio and the Predictability of UK and US Equity Returns," Discussion Papers 9815, Exeter University, Department of Economics.
  8. Bulkley, George & Harris, Richard & Weller, Paul, 1997. "Tests of the Expectations Hypothesis of the Term Structure in a Model with Bayesian Learning," Discussion Papers 9706, Exeter University, Department of Economics.
  9. Harris, Richard & Tzavalis, Elias, 1997. "Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends," Discussion Papers 9705, Exeter University, Department of Economics.
  10. Harris, Richard, 1997. "Analyst Optimism and the Magnitude of Earnings Growth," Discussion Papers 9708, Exeter University, Department of Economics.
  11. Bulkley, George & Harris, Richard, 1996. "Why Does the Ratio of Book to Market Value of Equity Explain Cross-Section Stock Returns?," Discussion Papers 9609, Exeter University, Department of Economics.
  12. Bulkley, George & Harris, Richard, 1996. "Irrational Analysts' Expectations as a Cause of Excess Volatility in Stock Prices," Discussion Papers 9608, Exeter University, Department of Economics.

Articles

  1. Harris, Richard D.F. & Mazibas, Murat, 2013. "Dynamic hedge fund portfolio construction: A semi-parametric approach," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 139-149.
  2. Harris, Richard D.F. & Nguyen, Anh, 2013. "Long memory conditional volatility and asset allocation," International Journal of Forecasting, Elsevier, vol. 29(2), pages 258-273.
  3. Paul McGuinness & Richard Harris, 2011. "Comparison of the 'turn-of-the-month' and lunar new year return effects in three Chinese markets: Hong Kong, Shanghai and Shenzhen," Applied Financial Economics, Taylor & Francis Journals, vol. 21(13), pages 917-929.
  4. Bulkley, George & Harris, Richard D.F. & Nawosah, Vivekanand, 2011. "Revisiting the expectations hypothesis of the term structure of interest rates," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1202-1212, May.
  5. Harris, Richard D.F. & Stoja, Evarist & Yilmaz, Fatih, 2011. "A cyclical model of exchange rate volatility," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3055-3064, November.
  6. Harris, Richard D.F. & Yilmaz, Fatih, 2010. "Estimation of the conditional variance-covariance matrix of returns using the intraday range," International Journal of Forecasting, Elsevier, vol. 26(1), pages 180-194, January.
  7. Richard D. F. Harris & Jian Shen & Evarist Stoja, 2010. "The Limits to Minimum-Variance Hedging," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5-6), pages 737-761.
  8. Harris, Richard D.F. & Mazibas, Murat, 2010. "Dynamic hedge fund portfolio construction," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 351-357, December.
  9. Harris, Richard D.F. & Yilmaz, Fatih, 2009. "A momentum trading strategy based on the low frequency component of the exchange rate," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1575-1585, September.
  10. Harris, Richard D.F. & Yilmaz, Fatih, 2008. "Retrieving seasonally adjusted quarterly growth rates from annual growth rates that are reported quarterly," European Journal of Operational Research, Elsevier, vol. 188(3), pages 846-853, August.
  11. Cherif Guermat & Richard D. F. Harris, 2006. "Bias in the estimation of non-linear transformations of the integrated variance of returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(7), pages 481-494.
  12. Richard D. F. Harris & Anirut Pisedtasalasai, 2006. "Return and Volatility Spillovers Between Large and Small Stocks in the UK," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9-10), pages 1556-1571.
  13. Richard Harris & Elias Tzavalis, 2004. "Testing for Unit Roots in Dynamic Panels in the Presence of a Deterministic Trend: Re-examining the Unit Root Hypothesis for Real Stock Prices and Dividends," Econometric Reviews, Taylor & Francis Journals, vol. 23(2), pages 149-166.
  14. Richard Harris, 2004. "The rational expectations hypothesis and the cross-section of bond yields," Applied Financial Economics, Taylor & Francis Journals, vol. 14(2), pages 105-112.
  15. Bulkley, George & Harris, Richard D. F. & Herrerias, Renata, 2004. "Why does book-to-market value of equity forecast cross-section stock returns?," International Review of Financial Analysis, Elsevier, vol. 13(2), pages 153-160.
  16. Richard Harris & C. Coskun Kucukozmen & Fatih Yilmaz, 2004. "Skewness in the conditional distribution of daily equity returns," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 195-202.
  17. Alan Gregory & Richard D.F. Harris & Maria Michou, 2003. "Contrarian Investment and Macroeconomic Risk," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(1-2), pages 213-256.
  18. Guermat, Cherif & Harris, Richard D. F., 2002. "Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns," International Journal of Forecasting, Elsevier, vol. 18(3), pages 409-419.
  19. Clive Belfield & R. D. F. Harris, 2002. "How well do theories of job matching explain variations in job satisfaction across education levels? Evidence for UK graduates," Applied Economics, Taylor & Francis Journals, vol. 34(5), pages 535-548.
  20. Harris, Richard D F, 2001. " The Expectations Hypothesis of the Term Structure and Time-Varying Risk Premia: A Panel Data Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(2), pages 233-45, May.
  21. Richard Harris & C. Coskun Kucukozmen, 2001. "The empirical distribution of stock returns: evidence from an emerging European market," Applied Economics Letters, Taylor & Francis Journals, vol. 8(6), pages 367-371.
  22. Alan Gregory & Richard D.F. Harris & Maria Michou, 2001. "An Analysis of Contrarian Investment Strategies in the UK," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(9&10), pages 1192-1228.
  23. Richard D. F. Harris & C. Coskun Küçüközmen, 2001. "The Empirical Distribution of UK and US Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(5-6), pages 715-740.
  24. Harris, Richard D. F. & Kucukozmen, C. Coskun, 2001. "Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management," European Journal of Operational Research, Elsevier, vol. 134(3), pages 481-492, November.
  25. Richard D.F. Harris & Rene Sanchez-Valle, 2000. "The Gilt-Equity Yield Ratio and the Predictability of UK and US Equity Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(3-4), pages 333-357.
  26. Harris, Richard D. F. & Tzavalis, Elias, 1999. "Inference for unit roots in dynamic panels where the time dimension is fixed," Journal of Econometrics, Elsevier, vol. 91(2), pages 201-226, August.
  27. Bulkley, George & Harris, Richard D F, 1997. "Irrational Analysts' Expectations as a Cause of Excess Volatility in Stock Prices," Economic Journal, Royal Economic Society, vol. 107(441), pages 359-71, March.
  28. Harris, Richard D. F., 1997. "Stock markets and development: A re-assessment," European Economic Review, Elsevier, vol. 41(1), pages 139-146, January.

NEP Fields

3 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (2) 2006-01-01 2010-10-02. Author is listed
  2. NEP-ETS: Econometric Time Series (1) 2006-01-01. Author is listed
  3. NEP-FIN: Finance (1) 2002-07-08. Author is listed
  4. NEP-FMK: Financial Markets (1) 2002-07-08. Author is listed
  5. NEP-IFN: International Finance (1) 2010-10-02. Author is listed
  6. NEP-MON: Monetary Economics (1) 2010-10-02. Author is listed

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