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Elsevier Journal of Empirical Finance Contact information of
Elsevier: http://www.elsevier.com/locate/jempfin
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More pages of listings: 0 |1 2008, Volume 15, Issue 4
583-612 Firm heterogeneity and credit risk diversification by Hanson, Samuel G. & Pesaran, M. Hashem & Schuermann, Til [Downloadable! (restricted)]
613-634 UK mutual fund performance: Skill or luck? by Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall [Downloadable! (restricted)]
635-655 Overreaction to stock market news and misevaluation of stock prices by unsophisticated investors: Evidence from the option market by Mahani, Reza S. & Poteshman, Allen M. [Downloadable! (restricted)]
656-678 Determinants of bid and ask quotes and implications for the cost of trading by Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S. [Downloadable! (restricted)]
679-699 Liquidity and conditional portfolio choice: A nonparametric investigation by Ghysels, Eric & Pereira, João Pedro [Downloadable! (restricted)]
700-713 Identifying multiple outliers in heavy-tailed distributions with an application to market crashes by Schluter, Christian & Trede, Mark [Downloadable! (restricted)]
714-728 Can exchange rate volatility explain persistence in the forward premium? by Kellard, Neil & Sarantis, Nicholas [Downloadable! (restricted)]
729-750 Quantile forecasts of daily exchange rate returns from forecasts of realized volatility by Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H. [Downloadable! (restricted)]
751-777 Structural models of corporate bond pricing with maximum likelihood estimation by Li, Ka Leung & Wong, Hoi Ying [Downloadable! (restricted)]
778-788 Asset pricing models with errors-in-variables by Carmichael, Benoît & Coën, Alain [Downloadable! (restricted)]
789-798 Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution by Chen, Carl R. & Su, Yuli & Huang, Ying [Downloadable! (restricted)]
2008, Volume 15, Issue 3 363-386 Benchmarking the performance of recommended allocations to equities, bonds, and cash by international investment houses by Bange, Mary M. & Khang, Kenneth & Miller Jr., Thomas W. [Downloadable! (restricted)]
387-417 Corruption and valuation of multinational corporations by Pantzalis, Christos & Park, Jung Chul & Sutton, Ninon [Downloadable! (restricted)]
418-435 Multiple directorships and corporate diversification by Jiraporn, Pornsit & Kim, Young Sang & Davidson III, Wallace N. [Downloadable! (restricted)]
436-454 Underpricing, ownership dispersion, and aftermarket liquidity of IPO stocks by Zheng, Steven Xiaofan & Li, Mingsheng [Downloadable! (restricted)]
455-467 Investor sentiment in the US-dollar: Longer-term, non-linear orientation on PPP by Menkhoff, Lukas & Rebitzky, Rafael R. [Downloadable! (restricted)]
468-480 Economic and financial crises and the predictability of U.S. stock returns by Hartmann, Daniel & Kempa, Bernd & Pierdzioch, Christian [Downloadable! (restricted)]
481-502 Time-series and cross-sectional excess comovement in stock indexes by Kallberg, Jarl & Pasquariello, Paolo [Downloadable! (restricted)]
503-517 A Bayesian view of temporary components in asset prices by Eraker, Bjørn [Downloadable! (restricted)]
518-532 Are Asian stock markets efficient? Evidence from new multiple variance ratio tests by Kim, Jae H. & Shamsuddin, Abul [Downloadable! (restricted)]
533-548 Excess demand and price formation during a Walrasian auction by Eaves, James & Melvin, Michael & Mohapatra, Sandeep [Downloadable! (restricted)]
549-566 Box-Cox stochastic volatility models with heavy-tails and correlated errors by Zhang, Xibin & King, Maxwell L. [Downloadable! (restricted)]
567-581 Is long memory necessary? An empirical investigation of nonnegative interest rate processes by Duan, Jin-Chuan & Jacobs, Kris [Downloadable! (restricted)]
2008, Volume 15, Issue 2 145-166 Assessing the role of option grants to CEOs: How important is heterogeneity? by Baranchuk, Nina & Chib, Siddhartha [Downloadable! (restricted)]
167-184 Does risk aversion drive financial crises? Testing the predictive power of empirical indicators by Coudert, Virginie & Gex, Mathieu [Downloadable! (restricted)]
185-198 How does owners' exposure to idiosyncratic risk influence the capital structure of private companies? by Mueller, Elisabeth [Downloadable! (restricted)]
199-210 Does intraday technical analysis in the U.S. equity market have value? by Marshall, Ben R. & Cahan, Rochester H. & Cahan, Jared M. [Downloadable! (restricted)]
211-231 Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004 by Morel, Christophe & Teïletche, Jérôme [Downloadable! (restricted)]
232-250 Noise trading and the price formation process by Berkman, Henk & Koch, Paul D. [Downloadable! (restricted)]
251-264 The factor structure of time-varying conditional volume by Chang, Eric C. & Cheng, Joseph W. & Pinegar, J. Michael [Downloadable! (restricted)]
265-286 Finite sample accuracy and choice of sampling frequency in integrated volatility estimation by Nielsen, Morten Ørregaard & Frederiksen, Per [Downloadable! (restricted)]
287-309 Increasing correlations or just fat tails? by Campbell, Rachel A.J. & Forbes, Catherine S. & Koedijk, Kees G. & Kofman, Paul [Downloadable! (restricted)]
310-331 Simulation-based pricing of convertible bonds by Ammann, Manuel & Kind, Axel & Wilde, Christian [Downloadable! (restricted)]
332-341 Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models by Asai, Manabu [Downloadable! (restricted)]
342-362 Estimation of an adaptive stock market model with heterogeneous agents by Amilon, Henrik [Downloadable! (restricted)]
2008, Volume 15, Issue 1 1-16 A functional approach to the price impact of stock trades and the implied true price by Huang, Roger D. & Ting, Christopher [Downloadable! (restricted)]
17-40 Why effective spreads on NASDAQ were higher than on the New York stock exchange in the 1990s by Benston, George J. & Wood, Robert A. [Downloadable! (restricted)]
41-63 Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution by Choi, Pilsun & Nam, Kiseok [Downloadable! (restricted)]
64-79 Volatility of stock price as predicted by patent data: An MGARCH perspective by Chow, William W. & Fung, Michael K. [Downloadable! (restricted)]
80-110 It takes a model to beat a model: Volatility bounds by Liu, Ludan [Downloadable! (restricted)]
111-130 The ordered qualitative model for credit rating transitions by Feng, D. & Gourieroux, C. & Jasiak, J. [Downloadable! (restricted)]
131-144 Volatility clustering and the bid-ask spread: Exchange rate behavior in early Renaissance Florence by Booth, G. Geoffrey & Gurun, Umit G. [Downloadable! (restricted)]
2007, Volume 14, Issue 5 590-610 Predictable behavior, profits, and attention by Seasholes, Mark S. & Wu, Guojun [Downloadable! (restricted)]
611-635 Is CEO certification of earnings numbers value-relevant? by Bhattacharya, Utpal & Groznik, Peter & Haslem, Bruce [Downloadable! (restricted)]
636-661 Order dynamics: Recent evidence from the NYSE by Ellul, Andrew & Holden, Craig W. & Jain, Pankaj & Jennings, Robert [Downloadable! (restricted)]
662-693 Rating mutual funds: Construction and information content of an investor-cost based rating of Danish mutual funds by Bechmann, Ken L. & Rangvid, Jesper [Downloadable! (restricted)]
694-717 Semiparametric estimation of a characteristic-based factor model of common stock returns by Connor, Gregory & Linton, Oliver [Downloadable! (restricted)]
718-735 Are ex[hyphen (true graphic)]day dividend clientele effects dead? Dividend yield versus dividend size by Jakob, Keith J. & Ma, Tongshu [Downloadable! (restricted)]
736-755 Are there Monday effects in stock returns: A stochastic dominance approach by Cho, Young-Hyun & Linton, Oliver & Whang, Yoon-Jae [Downloadable! (restricted)]
756-782 Modeling the Euro overnight rate by Benito, Francis & Leon, Angel & Nave, Juan [Downloadable! (restricted)]
783-817 Modelling multiple term structures of defaultable bonds with common and idiosyncratic state variables by Lekkos, Ilias [Downloadable! (restricted)]
818-835 A simulation estimator for testing the time homogeneity of credit rating transitions by Kiefer, Nicholas M. & Larson, C. Erik [Downloadable! (restricted)]
2007, Volume 14, Issue 4 443-464 International conditional asset allocation under specification uncertainty by Barras, Laurent [Downloadable! (restricted)]
465-498 International capital asset pricing: Evidence from options by Mo, Henry & Wu, Liuren [Downloadable! (restricted)]
499-522 Official interventions and the forward premium anomaly by Mark, Nelson C. & Moh, Young-Kyu [Downloadable! (restricted)]
523-545 Does the response of competitors to privatization announcements reflect competitive or industry-wide information effects? International evidence by Otchere, Isaac [Downloadable! (restricted)]
546-563 Indirect robust estimation of the short-term interest rate process by Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio [Downloadable! (restricted)]
564-583 Multivariate autoregressive modeling of time series count data using copulas by Heinen, Andreas & Rengifo, Erick [Downloadable! (restricted)]
2007, Volume 14, Issue 3 261-286 Sources of contrarian profits in the Japanese stock market by Chou, Pin-Huang & Wei, K.C. John & Chung, Huimin [Downloadable! (restricted)]
287-309 Are IPOs really overpriced? by Zheng, Steven X. [Downloadable! (restricted)]
310-332 When is inter-transaction time informative? by Furfine, Craig [Downloadable! (restricted)]
333-354 The implied volatility term structure of stock index options by Mixon, Scott [Downloadable! (restricted)]
355-382 The ex ante real rate and inflation premium under a habit consumption model by Madureira, Leonardo [Downloadable! (restricted)]
383-400 Portfolio selection with heavy tails by Hyung, Namwon & de Vries, Casper G. [Downloadable! (restricted)]
401-423 Measuring financial contagion: A Copula approach by Rodriguez, Juan Carlos [Downloadable! (restricted)]
424-442 Specification and estimation of discrete time quadratic stochastic volatility models by Kawakatsu, Hiroyuki [Downloadable! (restricted)]
2007, Volume 14, Issue 2 131-149 Bayesian inference for generalized linear mixed models of portfolio credit risk by McNeil, Alexander J. & Wendin, Jonathan P. [Downloadable! (restricted)]
150-167 Firm-level implications of early stage venture capital investment -- An empirical investigation by Engel, Dirk & Keilbach, Max [Downloadable! (restricted)]
168-195 On the premiums of iShares by Delcoure, Natalya & Zhong, Maosen [Downloadable! (restricted)]
196-219 The role of trades in price convergence: A study of dual-listed Canadian stocks by Kaul, Aditya & Mehrotra, Vikas [Downloadable! (restricted)]
220-247 Estimating the cross-sectional market response to an endogenous event: Naked vs. underwritten calls of convertible bonds by Scruggs, John T. [Downloadable! (restricted)]
248-259 Value-at-Risk analysis for long-term interest rate futures: Fat-tail and long memory in return innovations by Wu, Ping-Tsung & Shieh, Shwu-Jane [Downloadable! (restricted)]
2007, Volume 14, Issue 1 2006, Volume 13, Issue 4-5 393-395 Introduction to the special issue on International Finance by Palm, Franz C. & Werner, Ingrid M. & Wolff, Christian C.P. [Downloadable! (restricted)]
396-416 Geographic versus industry diversification: Constraints matter by Ehling, Paul & Ramos, Sofia B. [Downloadable! (restricted)]
417-443 Sources of gains from international portfolio diversification by Campa, Jose Manuel & Fernandes, Nuno [Downloadable! (restricted)]
444-461 Local risk factors in emerging markets: Are they separately priced? by Carrieri, Francesca & Errunza, Vihang & Majerbi, Basma [Downloadable! (restricted)]
462-494 Non-synchronous trading and testing for market integration in Central European emerging markets by Schotman, Peter C. & Zalewska, Anna [Downloadable! (restricted)]
495-518 Asymmetric foreign exchange risk exposure: Evidence from U.S. multinational firms by Muller, Aline & Verschoor, Willem F.C. [Downloadable! (restricted)]
519-549 The impact of the introduction of the Euro on foreign exchange rate risk exposures by Bartram, Sohnke M. & Karolyi, G. Andrew [Downloadable! (restricted)]
550-576 Measuring the economic importance of exchange rate exposure by Doidge, Craig & Griffin, John & Williamson, Rohan [Downloadable! (restricted)]
2006, Volume 13, Issue 3 249-273 Timing and selectivity of mutual fund managers: An empirical test of the behavioral decision-making theory by Prather, Larry J. & Middleton, Karen L. [Downloadable! (restricted)]
274-315 Instability of return prediction models by Paye, Bradley S. & Timmermann, Allan [Downloadable! (restricted)]
316-350 Stock market development and internationalization: Do economic fundamentals spur both similarly? by Claessens, Stijn & Klingebiel, Daniela & Schmukler, Sergio L. [Downloadable! (restricted)]
351-370 Propensity score matching and abnormal performance after seasoned equity offerings by Li, Xianghong & Zhao, Xinlei [Downloadable! (restricted)]
371-388 House prices and rents: An equilibrium asset pricing approach by Ayuso, Juan & Restoy, Fernando [Downloadable! (restricted)]
389-391 Note from the Editor, Wayne E. Ferson on Shanken, Jay and Mark I. Weinstein, Economic Forces and the Stock Market Revisited, Journal of Empirical Finance 13, Issue 2, 2006, 129-144 by Ferson, Wayne E. [Downloadable! (restricted)]
2006, Volume 13, Issue 2 129-144 Economic forces and the stock market revisited by Shanken, Jay & Weinstein, Mark I. [Downloadable! (restricted)]
145-182 Manager education and mutual fund performance by Gottesman, Aron A. & Morey, Matthew R. [Downloadable! (restricted)]
183-202 Interpreting the predictive power of the consumption-wealth ratio by Hahn, Jaehoon & Lee, Hangyong [Downloadable! (restricted)]
203-230 Volatility estimation via hidden Markov models by Rossi, Alessandro & Gallo, Giampiero M. [Downloadable! (restricted)]
231-247 In-sample vs. out-of-sample tests of stock return predictability in the context of data mining by Rapach, David E. & Wohar, Mark E. [Downloadable! (restricted)]
2006, Volume 13, Issue 1 1-23 Are investors moonstruck? Lunar phases and stock returns by Yuan, Kathy & Zheng, Lu & Zhu, Qiaoqiao [Downloadable! (restricted)]
24-48 Momentum and mean reversion across national equity markets by Balvers, Ronald J. & Wu, Yangru [Downloadable! (restricted)]
49-78 The implications of IPO underpricing for the firm and insiders: Tests of asymmetric information theories by Kennedy, Duane B. & Sivakumar, Ranjini & Vetzal, Kenneth R. [Downloadable! (restricted)]
79-112 Information content and other characteristics of the daily cross-sectional dispersion in stock returns by Connolly, Robert & Stivers, Chris [Downloadable! (restricted)]
113-128 A re-examination of the asymmetric power ARCH model by Karanasos, Menelaos & Kim, Jinki [Downloadable! (restricted)]
2005, Volume 12, Issue 5 613-628 Testing forward rate unbiasedness allowing for persistent regressors by Liu, Wei & Maynard, Alex [Downloadable! (restricted)]
629-649 Entry, exit and trading profits: A look at the trading strategies of a proprietary trading team by Garvey, Ryan & Murphy, Anthony [Downloadable! (restricted)]
650-665 The relationship between stock returns and volatility in international stock markets by Li, Qi & Yang, Jian & Hsiao, Cheng & Chang, Young-Jae [Downloadable! (restricted)]
666-685 Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness by Hueng, C. James & McDonald, James B. [Downloadable! (restricted)]
2005, Volume 12, Issue 4 2005, Volume 12, Issue 3 353-373 Index futures arbitrage before and after the introduction of sixteenths on the NYSE by Henker, Thomas & Martens, Martin [Downloadable! (restricted)]
374-417 Equilibrium analysis of volatility clustering by Vanden, Joel M. [Downloadable! (restricted)]
418-434 Regime shifts in interest rate volatility by Sun, Licheng [Downloadable! (restricted)]
435-444 The relationship between stock returns and inflation: new evidence from wavelet analysis by Kim, Sangbae & In, Francis [Downloadable! (restricted)]
445-475 Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements by Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie [Downloadable! (restricted)]
476-489 Testing for contagion: a conditional correlation analysis by Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola [Downloadable! (restricted)]
490-509 STAR and ANN models: forecasting performance on the Spanish "Ibex-35" stock index by Perez-Rodriguez, Jorge V. & Torra, Salvador & Andrada-Felix, Julian [Downloadable! (restricted)]
2005, Volume 12, Issue 2 219-238 Index futures and positive feedback trading: evidence from major stock exchanges by Antoniou, Antonios & Koutmos, Gregory & Pericli, Andreas [Downloadable! (restricted)]
239-268 The pricing discount for limited liquidity: evidence from SWX Swiss Exchange and the Nasdaq by Loderer, Claudio & Roth, Lukas [Downloadable! (restricted)]
269-290 Price limit performance: evidence from transactions data and the limit order book by Chan, Soon Huat & Kim, Kenneth A. & Rhee, S. Ghon [Downloadable! (restricted)]
291-316 Winter blues and time variation in the price of risk by Garrett, Ian & Kamstra, Mark J. & Kramer, Lisa A. [Downloadable! (restricted)]
317-338 Trading volume and contract rollover in futures contracts by Holmes, Phil & Rougier, Jonathan [Downloadable! (restricted)]
339-352 A comparison of extreme value theory approaches for determining value at risk by Brooks, C. & Clare, A.D. & Dalle Molle, J.W. & Persand, G. [Downloadable! (restricted)]
2005, Volume 12, Issue 1 1-41 The econometrics of efficient portfolios by Gourieroux, C. & Monfort, A. [Downloadable! (restricted)]
43-76 Chasing trends: recursive moving average trading rules and internet stocks by Fong, Wai Mun & Yong, Lawrence H. M. [Downloadable! (restricted)]
77-98 Testing dividend signaling models by Bernhardt, Dan & Douglas, Alan & Robertson, Fiona [Downloadable! (restricted)]
99-125 Foreign acquisitions by UK limited companies: short- and long-run performance by Gregory, Alan & McCorriston, Steve [Downloadable! (restricted)]
127-137 Yet another look at mutual fund tournaments by Goriaev, Alexei & Nijman, Theo E. & Werker, Bas J. M. [Downloadable! (restricted)]
139-164 Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects by Grammig, Joachim & Melvin, Michael & Schlag, Christian [Downloadable! (restricted)]
165-185 Measuring tail thickness under GARCH and an application to extreme exchange rate changes by Wagner, Niklas & Marsh, Terry A. [Downloadable! (restricted)]
187-215 European exchange rate volatility dynamics: an empirical investigation by Malik, Ali Khalil [Downloadable! (restricted)]
217-217 Corrigendum to "Mean reversion of industry stock returns in the U.S., 1926-1998" [J. Empir. Finance 11 (2004) 537-551] by Gropp, Jeffrey [Downloadable! (restricted)]
2004, Volume 11, Issue 5 629-658 Structural change and long-range dependence in volatility of exchange rates: either, neither or both? by Morana, Claudio & Beltratti, Andrea [Downloadable! (restricted)]
659-680 The rise in comovement across national stock markets: market integration or IT bubble? by Brooks, Robin & Del Negro, Marco [Downloadable! (restricted)]
681-694 Analysis of intraday herding behavior among the sector ETFs by Gleason, Kimberly C. & Mathur, Ike & Peterson, Mark A. [Downloadable! (restricted)]
695-708 The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach by Mazouz, Khelifa [Downloadable! (restricted)]
709-731 The price adjustment and lead-lag relations between stock returns: microstructure evidence from the Taiwan stock market by Chiao, Chaoshin & Hung, Ken & Lee, Cheng F. [Downloadable! (restricted)]
2004, Volume 11, Issue 4 423-427 Introduction to the special issue on behavioral finance by De Bondt, Werner & Palm, Franz & Wolff, Christian [Downloadable! (restricted)]
429-459 Return momentum and global portfolio allocations by Bange, Mary M. & Miller, Thomas Jr. [Downloadable! (restricted)]
461-481 Do countries or industries explain momentum in Europe? by Nijman, Theo & Swinkels, Laurens & Verbeek, Marno [Downloadable! (restricted)]
483-507 Style momentum within the S&P-500 index by Chen, Hsiu-Lang & De Bondt, Werner [Downloadable! (restricted)]
509-536 Momentum strategies: some bootstrap tests by Karolyi, G. Andrew & Kho, Bong-Chan [Downloadable! (restricted)]
537-551 Mean reversion of industry stock returns in the U.S., 1926-1998 by Gropp, Jeffrey [Downloadable! (restricted)]
553-584 Predictability of short-horizon returns in international equity markets by Patro, Dilip K. & Wu, Yangru [Downloadable! (restricted)]
585-616 Market stress and herding by Hwang, Soosung & Salmon, Mark [Downloadable! (restricted)]
617-626 Are forecasts of corporate profits rational? A note and further evidence by El-Galfy, Ahmed M. & Forbes, William P. [Downloadable! (restricted)]
627-628 Corrigendum to "Investor sentiment and the near-term stock market" [J. Empirical Finance 11 (2004) 1-27] by Brown, Gregory W. & Cliff, Michael T. [Downloadable! (restricted)]
2004, Volume 11, Issue 3 2004, Volume 11, Issue 2 163-184 An empirical analysis of the role of the trading intensity in information dissemination on the NYSE by Spierdijk, Laura [Downloadable! (restricted)]
185-202 Industry momentum strategies and autocorrelations in stock returns by Pan, Ming-Shiun & Liano, Kartono & Huang, Gow-Cheng [Downloadable! (restricted)]
203-230 Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework by Perron, Pierre & Vodounou, Cosme [Downloadable! (restricted)]
231-246 Pre-holiday effect, large trades and small investor behaviour by Meneu, Vicente & Pardo, Angel [Downloadable! (restricted)]
247-275 Small levels of predictability and large economic gains by Xu, Yexiao [Downloadable! (restricted)]
277-308 Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure by De Rossi, Giuliano [Downloadable! (restricted)]
2004, Volume 11, Issue 1 1-27 Investor sentiment and the near-term stock market by Brown, Gregory W. & Cliff, Michael T. [Downloadable! (restricted)]
29-53 Evaluating style analysis by ter Horst, Jenke R. & Nijman, Theo E. & de Roon, Frans A. [Downloadable! (restricted)]
55-89 Analysis of hedge fund performance by Capocci, Daniel & Hubner, Georges [Downloadable! (restricted)]
91-107 Are scientific indicators of patent quality useful to investors? by Hirschey, Mark & Richardson, Vernon J. [Downloadable! (restricted)]
109-132 Small sample properties of the GMM specification test based on the Hansen-Jagannathan distance by Ahn, Seung C. & Gadarowski, Christopher [Downloadable! (restricted)]
133-161 Option pricing with discrete rebalancing by Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier [Downloadable! (restricted)]
2003, Volume 10, Issue 5 533-558 Measuring and modeling systematic risk in factor pricing models using high-frequency data by Bollerslev, Tim & Zhang, Benjamin Y. B. [Downloadable! (restricted)]
559-581 Testing for differences in the tails of stock-market returns by Jondeau, Eric & Rockinger, Michael [Downloadable! (restricted)]
583-601 A Bayesian analysis of a variance decomposition for stock returns by Hollifield, Burton & Koop, Gary & Li, Kai [Downloadable! (restricted)]
603-621 Improved estimation of the covariance matrix of stock returns with an application to portfolio selection by Ledoit, Olivier & Wolf, Michael [Downloadable! (restricted)]
623-640 Nonlinear prediction of exchange rates with monetary fundamentals by Qi, Min & Wu, Yangru [Downloadable! (restricted)]
641-660 Central bank interventions and jumps in double long memory models of daily exchange rates by Beine, Michel & Laurent, Sebastien [Downloadable! (restricted)]
661-681 Preference hierarchies for internal finance, bank loans, bond, and share issues: evidence for Dutch firms by de Haan, Leo & Hinloopen, Jeroen [Downloadable! (restricted)]
2003, Volume 10, Issue 4 399-425 A nonparametric test of market timing by Jiang, Wei [Downloadable! (restricted)]
427-454 Predicting emerging market currency crashes by Kumar, Mohan & Moorthy, Uma & Perraudin, William [Downloadable! (restricted)]
455-477 Disturbing extremal behavior of spot rate dynamics by Bali, Turan G. & Neftci, Salih N. [Downloadable! (restricted)]
479-503 Volatility clustering in monthly stock returns by Jacobsen, Ben & Dannenburg, Dennis [Downloadable! (restricted)]
505-531 Univariate and multivariate stochastic volatility models: estimation and diagnostics by Liesenfeld, Roman & Richard, Jean-Francois [Downloadable! (restricted)]
2003, Volume 10, Issue 3 249-269 Trading activity and stock price volatility: evidence from the London Stock Exchange by Huang, Roger D. & Masulis, Ronald W. [Downloadable! (restricted)]
271-303 Stock splits: implications for investor trading costs by Gray, Stephen F. & Smith, Tom & Whaley, Robert E. [Downloadable! (restricted)]
305-320 How much do locals contribute to the price discovery process? by Fong, Kingsley & Zurbruegg, Ralf [Downloadable! (restricted)]
321-353 Realized volatility in the futures markets by Thomakos, Dimitrios D. & Wang, Tao [Downloadable! (restricted)]
355-371 A Bayesian analysis of dual trader informativeness in futures markets by Chakravarty, Sugato & Li, Kai [Downloadable! (restricted)]
373-397 Robust GMM analysis of models for the short rate process by Dell'Aquila, Rosario & Ronchetti, Elvezio & Trojani, Fabio [Downloadable! (restricted)]
2003, Volume 10, Issue 1-2 3-56 Emerging markets finance by Bekaert, Geert & Harvey, Campbell R. [Downloadable! (restricted)]
57-80 Diversification benefits of emerging markets subject to portfolio constraints by Li, Kai & Sarkar, Asani & Wang, Zhenyu [Downloadable! (restricted)]
81-103 A simple measure of the intensity of capital controls by Edison, Hali J. & Warnock, Francis E. [Downloadable! (restricted)]
105-132 Stock selection strategies in emerging markets by van der Hart, Jaap & Slagter, Erica & van Dijk, Dick [Downloadable! (restricted)]
133-168 The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange by Cho, David D. & Russell, Jeffrey & Tiao, George C. & Tsay, Ruey [Downloadable! (restricted)]
169-198 Emerging markets and trading costs: lessons from Casablanca by Ghysels, Eric & Cherkaoui, Mouna [Downloadable! (restricted)]
199-216 Resolution of corporate distress in East Asia by Claessens, Stijn & Djankov, Simeon & Klapper, Leora [Downloadable! (restricted)]
217-248 Income inequality: the aftermath of stock market liberalization in emerging markets by Das, Mitali & Mohapatra, Sanket [Downloadable! (restricted)]
2002, Volume 9, Issue 5 475-493 An exploration of the persistence of UK unit trust performance by Fletcher, Jonathan & Forbes, David [Downloadable! (restricted)]
495-510 Market timing and return prediction under model instability by Pesaran, M. Hashem & Timmermann, Allan [Downloadable! (restricted)]
511-523 The dual contributions of information instruments in return models: magnitude and direction predictability by Korkie, Bob & Sivakumar, Ranjini & Turtle, Harry [Downloadable! (restricted)]
525-550 Cross-sectional tests of deterministic volatility functions by Brandt, Michael W. & Wu, Tao [Downloadable! (restricted)]
551-562 Estimating daily volatility in financial markets utilizing intraday data by Bollen, Bernard & Inder, Brett [Downloadable! (restricted)]
563-588 Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach by Nam, Kiseok & Pyun, Chong Soo & Arize, Augustine C. [Downloadable! (restricted)]
589-603 Testing for constant hedge ratios in commodity markets: a multivariate GARCH approach by Moschini, GianCarlo & Myers, Robert J. [Downloadable! (restricted)]
2002, Volume 9, Issue 4 361-371 Physical delivery versus cash settlement: an empirical study on the feeder cattle contract by Lien, Donald & Tse, Yiu Kuen [Downloadable! (restricted)]
373-397 Determinants of board composition in New Zealand: a simultaneous equations approach by Prevost, Andrew K. & Rao, Ramesh P. & Hossain, Mahmud [Downloadable! (restricted)]
399-430 The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange by Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Ho, Richard Y. K. [Downloadable! (restricted)]
431-454 Dividends, nonsynchronous prices, and the returns from trading the Dow Jones Industrial Average by Day, Theodore E. & Wang, Pingying [Downloadable! (restricted)]
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