Elsevier
Journal of Empirical Finance
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2013, Volume 20, Issue C
- 1-17 Two-pass estimation of risk premiums with multicollinear and near-invariant betas
by Ahn, Seung C. & Perez, M. Fabricio & Gadarowski, Christopher - 18-29 Liquidity and firm investment: Evidence for Latin America
by Muñoz, Francisco - 30-41 Do strategic alliances in a developing country create firm value? Evidence from Korean firms
by Lee, Hyunchul & Cho, Euije & Cheong, Chongcheul & Kim, Jinsu - 42-62 Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices
by Perron, Pierre & Chun, Sungju & Vodounou, Cosme - 63-82 The international evidence on discouraged small businesses
by Chakravarty, Sugato & Xiang, Meifang - 83-95 The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts
by Varneskov, Rasmus & Voev, Valeri - 96-101 A global approach to mutual funds market timing ability
by Bodson, Laurent & Cavenaile, Laurent & Sougné, Danielle - 102-108 Aggregational Gaussianity and barely infinite variance in financial returns
by Antypas, Antonios & Koundouri, Phoebe & Kourogenis, Nikolaos - 109-129 What do professional forecasters' stock market expectations tell us about herding, information extraction and beauty contests?
by Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas - 130-146 Another look at the cross-section and time-series of stock returns: 1951 to 2011
by Du, Ding
2012, Volume 19, Issue 5
- 627-639 Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts
by Benavides, Guillermo & Capistrán, Carlos - 640-652 Drug approval decisions: A note on stock liquidity effects
by Himmelmann, Achim & Schiereck, Dirk - 653-674 Product market relationships and cost of bank loans: Evidence from strategic alliances
by Fang, Yiwei & Francis, Bill & Hasan, Iftekhar & Wang, Haizhi - 675-685 Short-term predictability of equity returns along two style dimensions
by Shynkevich, Andrei - 686-701 Fractal market time
by McCulloch, James - 702-720 Speed of convergence to market efficiency: The role of ECNs
by Chung, Dennis Y. & Hrazdil, Karel - 721-740 Optimal portfolio choice in real terms: Measuring the benefits of TIPS
by Cartea, Álvaro & Saúl, Jonatan & Toro, Juan - 741-761 A new country risk index for emerging markets: A stochastic dominance approach
by Agliardi, Elettra & Agliardi, Rossella & Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas - 762-781 Relationship lending and firm innovativeness
by Giannetti, Caterina - 782-795 Nonlinearity and smoothing in venture capital performance data
by McKenzie, Michael & Satchell, Stephen & Wongwachara, Warapong - 796-818 The cross-section of stock returns in frontier emerging markets
by de Groot, Wilma & Pang, Juan & Swinkels, Laurens - 819-830 A meta-analysis of the equity premium
by van Ewijk, Casper & de Groot, Henri L.F. & Santing, A.J. (Coos)
2012, Volume 19, Issue 3
- 309-318 Local sports sentiment and returns of locally headquartered stocks: A firm-level analysis
by Chang, Shao-Chi & Chen, Sheng-Syan & Chou, Robin K. & Lin, Yueh-Hsiang - 319-333 Global style momentum
by Chao, Hsiao-Ying & Collver, Charles & Limthanakom, Natcha - 334-348 Time-varying performance of international mutual funds
by Turtle, H.J. & Zhang, Chengping - 349-358 Portfolio returns and manager activity: How to decompose tracking error into security selection and market timing
by Ekholm, Anders G. - 359-381 Equity order flow and exchange rate dynamics
by Ferreira Filipe, Sara - 382-394 Common influences, spillover and integration in Chinese stock markets
by Weber, Enzo & Zhang, Yanqun - 395-408 On the determinants of the implied default barrier
by Dionne, Georges & Laajimi, Sadok
2012, Volume 19, Issue 2
- 175-199 Does information vault Niagara Falls? Cross-listed trading in New York and Toronto
by Chen, Haiqiang & Choi, Paul Moon Sub - 200-216 Cross-listing and subsequent delisting in foreign markets
by You, Leyuan & Parhizgari, Ali M. & Srivastava, Suresh - 217-240 When does investor sentiment predict stock returns?
by Chung, San-Lin & Hung, Chi-Hsiou & Yeh, Chung-Ying - 241-253 Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model
by Engsted, Tom & Pedersen, Thomas Q. - 254-265 Stock return autocorrelations revisited: A quantile regression approach
by Baur, Dirk G. & Dimpfl, Thomas & Jung, Robert C. - 266-281 Credit ratings and excess value of diversification
by Chou, Ting-Kai & Cheng, Jia-Chi - 282-291 On the intraday periodicity duration adjustment of high-frequency data
by Wu, Zhengxiao - 292-308 Moments of multivariate regime switching with application to risk-return trade-off
by Taamouti, Abderrahim
2011, Volume 18, Issue 5
- 782-801 The characteristics of informed trading: Implications for asset pricing
by Aslan, Hadiye & Easley, David & Hvidkjaer, Soeren & O'Hara, Maureen - 802-814 Small-cap equity mutual fund managers as liquidity providers
by Shawky, Hany A. & Tian, Jianbo - 815-832 The risk appetite of private equity sponsors
by Braun, Reiner & Engel, Nico & Hieber, Peter & Zagst, Rudi - 833-846 The role of time-varying jump risk premia in pricing stock index options
by Yun, Jaeho - 847-867 Firm level return–volatility analysis using dynamic panels
by Smith, L. Vanessa & Yamagata, Takashi - 868-879 Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data
by Kim, Jae H. & Shamsuddin, Abul & Lim, Kian-Ping - 880-902 American option pricing with discrete and continuous time models: An empirical comparison
by Stentoft, Lars - 903-914 Understanding liquidity and credit risks in the financial crisis
by Gefang, Deborah & Koop, Gary & Potter, Simon M. - 915-934 Words that shake traders
by Rosa, Carlo - 935-952 The fed and the term structure: Addressing simultaneity within a structural VAR model
by Farka, Mira & DaSilva, Amadeu - 953-971 Nonparametric rank tests for event studies
by Kolari, James W. & Pynnonen, Seppo - 972-992 Testing conditional factor models: A nonparametric approach
by Li, Yan & Yang, Liyan
2011, Volume 18, Issue 4
- 547-569 The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds
by Fung, William & Hsieh, David A. - 570-584 Stock market trading activity and returns around milestones
by Aragon, George O. & Dieckmann, Stephan - 585-596 Working for the enemy? The impact of investment banker job changes on deal flow
by Bradley, Daniel & Choi, Hyung-Suk & Clarke, Jonathan - 597-615 The persistent effects of a false news shock
by Carvalho, Carlos & Klagge, Nicholas & Moench, Emanuel - 616-633 Are investment and financing anomalies two sides of the same coin?
by Sullivan, Michael & Zhang, Andrew (Jianzhong) - 634-651 Is unlevered firm volatility asymmetric?
by Daouk, Hazem & Ng, David - 652-660 A note on the returns from minimum variance investing
by Scherer, Bernd - 661-691 Testing weak form efficiency on the Toronto Stock Exchange
by Alexeev, Vitali & Tapon, Francis - 692-710 Modelling and forecasting short-term interest rate volatility: A semiparametric approach
by Hou, Ai Jun & Suardi, Sandy - 711-727 The economic value of range-based covariance between stock and bond returns with dynamic copulas
by Wu, Chih-Chiang & Liang, Shin-Shun - 728-742 Checking for asymmetric default dependence in a credit card portfolio: A copula approach
by Crook, Jonathan & Moreira, Fernando - 743-764 In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008
by Cai, Lili & Swanson, Norman R. - 765-778 Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions
by Zhu, Dongming & Galbraith, John W.
2011, Volume 18, Issue 3
- 379-392 Fixed-income fund performance: Role of luck and ability in tail membership
by Ayadi, Mohamed A. & Kryzanowski, Lawrence - 393-407 How arbitrage-free is the Nelson-Siegel model?
by Coroneo, Laura & Nyholm, Ken & Vidova-Koleva, Rositsa - 408-422 Information, speed vs. cost trade-offs, and order routing decisions in U.S. equity markets
by Garvey, Ryan & Wu, Fei - 423-446 Markets change every day: Evidence from the memory of trade direction
by Axioglou, Christos & Skouras, Spyros - 447-460 The Monday effect revisited: An alternative testing approach
by Alt, Raimund & Fortin, Ines & Weinberger, Simon - 461-473 The cross-section of dynamics in idiosyncratic risk
by Vozlyublennaia, Nadia - 474-487 Information asymmetry in warrants and their underlying stocks on the stock exchange of Thailand
by Visaltanachoti, Nuttawat & Charoenwong, Charlie & Ding, David K. - 488-505 Stock market momentum, business conditions, and GARCH option pricing models
by Chiang, Min-Hsien & Huang, Hsin-Yi - 506-521 Residual momentum
by Blitz, David & Huij, Joop & Martens, Martin - 522-532 Modeling structural changes in the volatility process
by Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J. - 533-545 Maximum likelihood estimation of non-affine volatility processes
by Chourdakis, Kyriakos & Dotsis, George
2011, Volume 18, Issue 2
- 175-194 Risk and return in convertible arbitrage: Evidence from the convertible bond market
by Agarwal, Vikas & Fung, William H. & Loon, Yee Cheng & Naik, Narayan Y. - 195-210 Market discipline and too-big-to-fail in the CDS market: Does banks' size reduce market discipline?
by Völz, Manja & Wedow, Michael - 211-224 The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield
by Liu, Peng & Tang, Ke - 225-236 Lack of consumer confidence and stock returns
by Chen, Shiu-Sheng - 237-247 Measuring the effects of geographical distance on stock market correlation
by Eckel, Stefanie & Löffler, Gunter & Maurer, Alina & Schmidt, Volker - 248-270 Size, book-to-market ratio and macroeconomic news
by Cenesizoglu, Tolga - 271-288 The index premium and its hidden cost for index funds
by Petajisto, Antti - 289-305 The critical role of conditioning information in determining if value is really riskier than growth
by Cooper, Michael J. & Gubellini, Stefano - 306-320 The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis
by Müller, Gernot & Durand, Robert B. & Maller, Ross A. - 321-340 When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions
by Groß-Klußmann, Axel & Hautsch, Nikolaus - 341-352 "KLICing" there and back again: Portfolio selection using the empirical likelihood divergence and Hellinger distance
by Haley, M. Ryan & McGee, M. Kevin - 353-367 Robust estimation of intraweek periodicity in volatility and jump detection
by Boudt, Kris & Croux, Christophe & Laurent, Sébastien - 368-378 Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model
by KIlIç, Rehim
2011, Volume 18, Issue 1
- 1-1 Obituary
by Palm, Franz C. - 2-15 Fund size, limited attention and valuation of venture capital backed firms
by Cumming, Douglas & Dai, Na - 16-35 Does political economy reduce agency costs? Some evidence from dividend policies around the world
by Choy, HiuLam & Gul, Ferdinand A. & Yao, Jun - 36-55 Corporate governance and firm value: International evidence
by Ammann, Manuel & Oesch, David & Schmid, Markus M. - 56-63 Are investors moonstruck? Further international evidence on lunar phases and stock returns
by Keef, Stephen P. & Khaled, Mohammed S. - 64-77 Country versus sector factors in equity returns: The roles of non-unit exposures
by De Moor, Lieven & Sercu, Piet - 78-90 Regulatory underpricing: Determinants of Chinese extreme IPO returns
by Tian, Lihui - 91-102 Transaction duration and asymmetric price impact of trades--Evidence from Australia
by Yang, Joey Wenling - 103-116 Do bond rating changes affect the information asymmetry of stock trading?
by He, Yan & Wang, Junbo & Wei, K.C. John - 117-135 The success of bank mergers revisited. An assessment based on a matching strategy
by Behr, Andreas & Heid, Frank - 136-146 Evaluating alternative methods for testing asset pricing models with historical data
by Lozano, Martín & Rubio, Gonzalo - 147-159 Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study
by Conrad, Christian & Karanasos, Menelaos & Zeng, Ning - 160-173 Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns
by Cheng, Wan-Hsiu & Hung, Jui-Cheng
2010, Volume 17, Issue 5
- 837-851 Board composition after mergers, does it matter to target shareholders?
by Wang, Hongxia & Sakr, Sameh & Ning, Yixi & Davidson III, Wallace N. - 852-866 Justifying top management pay in a transitional economy
by Firth, Michael & Leung, Tak Yan & Rui, Oliver M. - 867-894 Stock and bond returns with Moody Investors
by Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R. - 895-917 Market makers as information providers: The natural experiment of STAR
by Perotti, Pietro & Rindi, Barbara - 918-937 Retrieving risk neutral densities from European option prices based on the principle of maximum entropy
by Rompolis, Leonidas S. - 938-956 Explaining asymmetric volatility around the world
by Talpsepp, Tõnn & Rieger, Marc Oliver - 957-966 Structural change in the forward discount: Implications for the forward rate unbiasedness hypothesis
by Sakoulis, Georgios & Zivot, Eric & Choi, Kyongwook - 967-980 Volatility and trading activity following changes in the size of futures contracts
by Bjursell, Johan & Frino, Alex & Tse, Yiuman & Wang, George H.K. - 981-990 Monetary policy and stock returns: Financing constraints and asymmetries in bull and bear markets
by Jansen, Dennis W. & Tsai, Chun-Li - 991-1005 Predicting systematic risk: Implications from growth options
by Jacquier, Eric & Titman, Sheridan & YalçIn, Atakan - 1006-1006 Corrigendum to "GMM estimation of the number of latent factors: With application to international stock markets" [J Empir Financ. 17 (2010) 783-802]
by Ahn, Seung C. & Perez, M. Fabricio
2010, Volume 17, Issue 4
- 539-551 Predicting the equity premium with dividend ratios: Reconciling the evidence
by Kellard, Neil M. & Nankervis, John C. & Papadimitriou, Fotios I. - 552-565 Expected returns on value, growth, and HML
by Rytchkov, Oleg - 566-584 Related securities and price discovery: Evidence from NYSE-listed Non-U.S. stocks
by Korczak, Piotr & Phylaktis, Kate - 585-605 The dividend-price ratio does predict dividend growth: International evidence
by Engsted, Tom & Pedersen, Thomas Q. - 606-622 Consumption, (dis)aggregate wealth, and asset returns
by Sousa, Ricardo M. - 623-644 The plausibility of risk estimates and implied costs to international equity investments
by De Moor, Lieven & Sercu, Piet & Vanpée, Rosanne - 645-658 Do investors trade uniformly through time?
by Johnson, Woodrow T. - 659-667 A network perspective of the stock market
by Tse, Chi K. & Liu, Jing & Lau, Francis C.M. - 668-688 Market efficiency and learning in an artificial stock market: A perspective from Neo-Austrian economics
by Benink, Harald A. & Gordillo, José Luis & Pardo, Juan Pablo & Stephens, Christopher R. - 689-701 Human development and cross-border acquisitions
by Owen, Sian & Yawson, Alfred - 702-721 Pricing the term structure of inflation risk premia: Theory and evidence from TIPS
by Chen, Ren-Raw & Liu, Bo & Cheng, Xiaolin - 722-743 Assessing the compensation for volatility risk implicit in interest rate derivatives
by Fornari, Fabio - 744-762 The effect of CEO power on bond ratings and yields
by Liu, Yixin & Jiraporn, Pornsit - 763-782 Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions
by Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda - 783-802 GMM estimation of the number of latent factors: With application to international stock markets
by Ahn, Seung C. & Perez, M. Fabricio - 803-817 Improving the statistical power of financial event studies: The inverse variance weighted average-based test
by da Graça, Tarcisio B. - 818-833 A hybrid bankruptcy prediction model with dynamic loadings on accounting-ratio-based and market-based information: A binary quantile regression approach
by Li, Ming-Yuan Leon & Miu, Peter
2010, Volume 17, Issue 3
- 283-299 Implicit incentives and reputational herding by hedge fund managers
by Boyson, Nicole M. - 300-312 The effects of financial distress and capital structure on the work effort of outside directors
by Chou, Hsin-I & Li, Hui & Yin, Xiangkang - 313-331 A century of equity premium predictability and the consumption-wealth ratio: An international perspective
by Della Corte, Pasquale & Sarno, Lucio & Valente, Giorgio - 332-344 Does group affiliation increase firm value for diversified groups?: New evidence from Indian companies
by Lensink, Robert & van der Molen, Remco - 345-361 Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector?
by Anderson, Keith & Brooks, Chris & Katsaris, Apostolos - 362-380 Local bias in venture capital investments
by Cumming, Douglas & Dai, Na - 381-393 Takeover risk and the correlation between stocks and bonds
by Bhanot, Karan & Mansi, Sattar A. & Wald, John K. - 394-412 Market pricing of executive stock options and implied risk preferences
by Pirjetä, Antti & Ikäheimo, Seppo & Puttonen, Vesa - 413-427 An empirical investigation of stock market behavior in the Middle East and North Africa
by Cheng, Ai-Ru & Jahan-Parvar, Mohammad R. & Rothman, Philip - 428-440 Do the prices of stock index futures in Asia overreact to U.S. market returns?
by Fung, Alexander Kwok-Wah & Lam, Kin & Lam, Ka-Ming - 441-459 Loss-aversion and household portfolio choice
by Dimmock, Stephen G. & Kouwenberg, Roy - 460-470 Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model
by Christensen, Bent Jesper & Nielsen, Morten Ørregaard & Zhu, Jie - 471-484 Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias
by Hsu, Po-Hsuan & Hsu, Yu-Chin & Kuan, Chung-Ming - 485-500 Tracking a changing copula
by Harvey, Andrew - 501-512 Variable reduction, sample selection bias and bank retail credit scoring
by Marshall, Andrew & Tang, Leilei & Milne, Alistair - 513-525 Predictive regression with order-p autoregressive predictors
by Amihud, Yakov & Hurvich, Clifford M. & Wang, Yi - 526-538 Backtesting value-at-risk based on tail losses
by Wong, Woon K.
2010, Volume 17, Issue 2
- 177-179 Editorial introduction: Heavy tails and stable Paretian distributions in empirical finance: A volume honoring Benoît B. Mandelbrot
by Dufour, Jean-Marie & Kurz-Kim, Jeong-Ryeol & Palm, Franz C. - 180-194 Exact inference and optimal invariant estimation for the stability parameter of symmetric [alpha]-stable distributions
by Dufour, Jean-Marie & Kurz-Kim, Jeong-Ryeol - 195-211 Risk management and dynamic portfolio selection with stable Paretian distributions
by Ortobelli, Sergio & Rachev, Svetlozar T. & Fabozzi, Frank J. - 212-240 Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
by Chaboud, Alain P. & Chiquoine, Benjamin & Hjalmarsson, Erik & Loretan, Mico - 241-254 Heavy tails and currency crises
by Hartmann, P. & Straetmans, S. & de Vries, C.G. - 255-269 GHICA -- Risk analysis with GH distributions and independent components
by Chen, Ying & Härdle, Wolfgang & Spokoiny, Vladimir - 270-282 Crash of '87 -- Was it expected?: Aggregate market fears and long-range dependence
by Gençay, Ramazan & Gradojevic, Nikola
2010, Volume 17, Issue 1
- 1-22 Strategic trading in the wrong direction by a large institutional insider
by Giambona, Erasmo & Golec, Joseph - 23-38 Is there a symmetric nonlinear causal relationship between large and small firms?
by Francis, Bill B. & Mougoué, Mbodja & Panchenko, Valentyn - 39-53 Technology prospects and the cross-section of stock returns
by Hsu, Po-Hsuan & Huang, Dayong - 54-80 Asset pricing models and economic risk premia: A decomposition
by Balduzzi, Pierluigi & Robotti, Cesare - 81-101 When does the dividend-price ratio predict stock returns?
by Park, Cheolbeom - 102-119 'Optimal' probabilistic and directional predictions of financial returns
by Thomakos, Dimitrios D. & Wang, Tao - 120-137 Predicting issuer credit ratings using a semiparametric method
by Hwang, Ruey-Ching & Chung, Huimin & Chu, C.K. - 138-156 Modeling and forecasting stock return volatility using a random level shift model
by Lu, Yang K. & Perron, Pierre - 157-167 Modeling the dynamics of inflation compensation
by Jochmann, Markus & Koop, Gary & Potter, Simon M. - 168-175 Trading activity, realized volatility and jumps
by Giot, Pierre & Laurent, Sébastien & Petitjean, Mikael
2009, Volume 16, Issue 5
- 703-720 Multinationals do it better: Evidence on the efficiency of corporations' capital budgeting
by Greene, William H. & Hornstein, Abigail S. & White, Lawrence J. - 721-733 Testing the CAPM revisited
by Ray, Surajit & Savin, N.E. & Tiwari, Ashish - 734-744 On the usefulness of the contrarian strategy across national stock markets: A grid bootstrap analysis
by Kim, Hyeongwoo - 745-758 Markov-switching in target stocks during takeover bids
by Gelman, Sergey & Wilfling, Bernd - 759-776 Price discovery in tick time
by Frijns, Bart & Schotman, Peter - 777-792 Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange
by Dionne, Georges & Duchesne, Pierre & Pacurar, Maria - 793-803 Jackknifing stock return predictions
by Chiquoine, Benjamin & Hjalmarsson, Erik - 804-815 Applying the method of simulated moments to estimate a small agent-based asset pricing model
by Franke, Reiner - 816-829 Exact distribution-free tests of mean-variance efficiency
by Gungor, Sermin & Luger, Richard - 830-837 The magnet effect of price limits: A logit approach
by Hsieh, Ping-Hung & Kim, Yong H. & Yang, J. Jimmy - 838-851 Dual long-memory, structural breaks and the link between turnover and the range-based volatility
by Karanasos, M. & Kartsaklas, A. - 852-861 Evaluating stochastic discount factors from term structure models
by Farnsworth, Heber K. - 862-873 Central bank interventions and implied exchange rate correlations
by Nikkinen, Jussi & Vähämaa, Sami
2009, Volume 16, Issue 4
- 525-536 Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns
by Møller, Stig Vinther - 537-556 Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM
by Adrian, Tobias & Franzoni, Francesco - 557-567 The information content of stock splits
by Huang, Gow-Cheng & Liano, Kartono & Pan, Ming-Shiun - 568-581 Stock price and systematic risk effects of discontinuation of corporate R&D programs
by Saad, Mohsen & Zantout, Zaher - 582-596 Investigation of the costly-arbitrage model of price formation around the ex-dividend day in Norway
by Dai, Qinglei & Rydqvist, Kristian - 597-612 Institutional ownership and credit spreads: An information asymmetry perspective
by Wang, Ashley W. & Zhang, Gaiyan - 613-631 Time varying consumption covariance and dynamics of the equity premium: Evidence from the G7 countries
by Sarkar, Asani & Zhang, Lingjia - 632-639 International comovement of stock market returns: A wavelet analysis
by Rua, António & Nunes, Luís C. - 640-654 Price discovery in foreign exchange markets: A comparison of indicative and actual transaction prices
by Phylaktis, Kate & Chen, Long - 655-670 A semiparametric model for the systematic factors of portfolio credit risk premia
by Giammarino, Flavia & Barrieu, Pauline - 671-685 L-performance with an application to hedge funds
by Darolles, Serge & Gourieroux, Christian & Jasiak, Joann - 686-700 Which power variation predicts volatility well?
by Ghysels, Eric & Sohn, Bumjean
2009, Volume 16, Issue 3
- 353-367 Correlation risk
by Krishnan, C.N.V. & Petkova, Ralitsa & Ritchken, Peter - 368-387 Time-varying Integration and International diversification strategies
by Baele, Lieven & Inghelbrecht, Koen - 388-393 Herding and information based trading
by Zhou, Rhea Tingyu & Lai, Rose Neng - 394-408 Investor sentiment and stock returns: Some international evidence
by Schmeling, Maik - 409-429 The cross section of cashflow volatility and expected stock returns
by Huang, Alan Guoming - 430-445 Empirical evidence on jumps in the term structure of the US Treasury Market
by Dungey, Mardi & McKenzie, Michael & Smith, L. Vanessa - 446-456 Optimal futures hedging under jump switching dynamics
by Lee, Hsiang-Tai - 457-465 Estimation of default probabilities using incomplete contracts data
by Santos Silva, J.M.C. & Murteira, J.M.R. - 466-482 Sample selection and event study estimation
by Ahern, Kenneth R. - 483-506 Improvement in finite sample properties of the Hansen-Jagannathan distance test
by Ren, Yu & Shimotsu, Katsumi - 507-523 A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data
by Lejeune, Bernard
2009, Volume 16, Issue 2
- 175-187 Dividend policy of German firms: A panel data analysis of partial adjustment models
by Andres, Christian & Betzer, André & Goergen, Marc & Renneboog, Luc - 188-200 Forecasting financial crises and contagion in Asia using dynamic factor analysis
by Cipollini, A. & Kapetanios, G. - 201-215 Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
by Wang, Dezhong & Rachev, Svetlozar T. & Fabozzi, Frank J.