Journal of Empirical Finance
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2013, Volume 22, Issue C
- 1-15 Advertising investments, information asymmetry, and insider gains
by Joseph, Kissan & Wintoki, M. Babajide
- 16-29 Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach
by Akay, Ozgur (Ozzy) & Senyuz, Zeynep & Yoldas, Emre
- 30-51 Understanding industry betas
by Baele, Lieven & Londono, Juan M.
- 52-66 Equilibrium exchange rate determination and multiple structural changes
by Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald
- 67-77 Does mortality improvement increase equity risk premiums? A risk perception perspective
by Huang, Rachel J. & Miao, Jerry C.Y. & Tzeng, Larry Y.
- 78-93 Term structure dynamics with macro-factors using high frequency data
by Kim, Hwagyun & Park, Hail
- 94-112 Long memory and tail dependence in trading volume and volatility
by Rossi, Eduardo & Santucci de Magistris, Paolo
- 113-127 What do the Fama–French factors add to C-CAPM?
by Abhakorn, Pongrapeeporn & Smith, Peter N. & Wickens, Michael R.
- 128-139 An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil
by Li, Minqiang
- 140-158 On detection of volatility spillovers in overlapping stock markets
by Kohonen, Anssi
- 159-175 Stakeholder relations and stock returns: On errors in investors' expectations and learning
by Borgers, Arian & Derwall, Jeroen & Koedijk, Kees & ter Horst, Jenke
2013, Volume 21, Issue C
- 1-14 The issuance of callable bonds under information asymmetry
by Choi, Seungmook & Jameson, Mel & Jung, Mookwon
- 15-35 Sovereign default risk premia: Evidence from the default swap market
by Zinna, Gabriele
- 36-53 No-arbitrage implied volatility functions: Empirical evidence from KOSPI 200 index options
by Kim, Namhyoung & Lee, Jaewook
- 54-68 Does monetary policy determine stock market liquidity? New evidence from the euro zone
by Fernández-Amador, Octavio & Gächter, Martin & Larch, Martin & Peter, Georg
- 69-85 A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?
by Wagner, Niklas & Winter, Elisabeth
- 86-101 Performance, stock selection and market timing of the German equity mutual fund industry
by Cuthbertson, Keith & Nitzsche, Dirk
- 102-120 Credit risk in covered bonds
by Prokopczuk, Marcel & Siewert, Jan B. & Vonhoff, Volker
- 121-131 The discretionary effect of CEOs and board chairs on corporate governance structures
by Arena, Matteo P. & Braga-Alves, Marcus V.
- 132-141 On the risk return relationship
by Wang, Jianxin & Yang, Minxian
- 142-155 Are short sellers incrementally informed prior to earnings announcements?
by Blau, Benjamin M. & Pinegar, J. Michael
- 156-173 What style-timing skills do mutual fund “stars” possess?
by Chen, Li-Wen & Adams, Andrew & Taffler, Richard
- 174-194 Stressing correlations and volatilities — A consistent modeling approach
by Becker, Christoph & Schmidt, Wolfgang M.
- 195-213 An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions
by Cheng, Teng Yuan & Lee, Chun I & Lin, Chao Hsien
- 214-222 Multi-period credit default prediction with time-varying covariates
by Orth, Walter
- 223-240 Corporate boards' political ideology diversity and firm performance
by Kim, Incheol & Pantzalis, Christos & Park, Jung Chul
- 241-250 Ranking of finance journals: Some Google Scholar citation perspectives
by Chan, Kam C. & Chang, Chih-Hsiang & Chang, Yuanchen
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.