Journal of Empirical Finance
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2005, Volume 12, Issue 3
- 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
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
- 239-268 The pricing discount for limited liquidity: evidence from SWX Swiss Exchange and the Nasdaq
by Loderer, Claudio & Roth, Lukas
- 269-290 Price limit performance: evidence from transactions data and the limit order book
by Chan, Soon Huat & Kim, Kenneth A. & Rhee, S. Ghon
- 291-316 Winter blues and time variation in the price of risk
by Garrett, Ian & Kamstra, Mark J. & Kramer, Lisa A.
- 317-338 Trading volume and contract rollover in futures contracts
by Holmes, Phil & Rougier, Jonathan
- 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.
2005, Volume 12, Issue 1
- 1-41 The econometrics of efficient portfolios
by Gourieroux, C. & Monfort, A.
- 43-76 Chasing trends: recursive moving average trading rules and internet stocks
by Fong, Wai Mun & Yong, Lawrence H. M.
- 77-98 Testing dividend signaling models
by Bernhardt, Dan & Douglas, Alan & Robertson, Fiona
- 99-125 Foreign acquisitions by UK limited companies: short- and long-run performance
by Gregory, Alan & McCorriston, Steve
- 127-137 Yet another look at mutual fund tournaments
by Goriaev, Alexei & Nijman, Theo E. & Werker, Bas J. M.
- 139-164 Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects
by Grammig, Joachim & Melvin, Michael & Schlag, Christian
- 165-185 Measuring tail thickness under GARCH and an application to extreme exchange rate changes
by Wagner, Niklas & Marsh, Terry A.
- 187-215 European exchange rate volatility dynamics: an empirical investigation
by Malik, Ali Khalil
- 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
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
- 659-680 The rise in comovement across national stock markets: market integration or IT bubble?
by Brooks, Robin & Del Negro, Marco
- 681-694 Analysis of intraday herding behavior among the sector ETFs
by Gleason, Kimberly C. & Mathur, Ike & Peterson, Mark A.
- 695-708 The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach
by Mazouz, Khelifa
- 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.
2004, Volume 11, Issue 4
- 423-427 Introduction to the special issue on behavioral finance
by De Bondt, Werner & Palm, Franz & Wolff, Christian
- 429-459 Return momentum and global portfolio allocations
by Bange, Mary M. & Miller, Thomas Jr.
- 461-481 Do countries or industries explain momentum in Europe?
by Nijman, Theo & Swinkels, Laurens & Verbeek, Marno
- 483-507 Style momentum within the S&P-500 index
by Chen, Hsiu-Lang & De Bondt, Werner
- 509-536 Momentum strategies: some bootstrap tests
by Karolyi, G. Andrew & Kho, Bong-Chan
- 537-551 Mean reversion of industry stock returns in the U.S., 1926-1998
by Gropp, Jeffrey
- 553-584 Predictability of short-horizon returns in international equity markets
by Patro, Dilip K. & Wu, Yangru
- 585-616 Market stress and herding
by Hwang, Soosung & Salmon, Mark
- 617-626 Are forecasts of corporate profits rational? A note and further evidence
by El-Galfy, Ahmed M. & Forbes, William P.
- 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.
2004, Volume 11, Issue 3
- 309-329 Regime-switching stochastic volatility and short-term interest rates
by Kalimipalli, Madhu & Susmel, Raul
- 331-351 Overreaction of index futures in Hong Kong
by Kwok-Wah Fung, Alexander & Lam, Kin
- 353-377 Ranking mutual funds using unconventional utility theory and stochastic dominance
by Vinod, H. D.
- 379-398 Modelling daily Value-at-Risk using realized volatility and ARCH type models
by Giot, Pierre & Laurent, Sebastien
- 399-421 Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns
by Granger, Clive W. J. & Hyung, Namwon
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
- 185-202 Industry momentum strategies and autocorrelations in stock returns
by Pan, Ming-Shiun & Liano, Kartono & Huang, Gow-Cheng
- 203-230 Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework
by Perron, Pierre & Vodounou, Cosme
- 231-246 Pre-holiday effect, large trades and small investor behaviour
by Meneu, Vicente & Pardo, Angel
- 247-275 Small levels of predictability and large economic gains
by Xu, Yexiao
- 277-308 Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure
by De Rossi, Giuliano
2004, Volume 11, Issue 1
- 1-27 Investor sentiment and the near-term stock market
by Brown, Gregory W. & Cliff, Michael T.
- 29-53 Evaluating style analysis
by ter Horst, Jenke R. & Nijman, Theo E. & de Roon, Frans A.
- 55-89 Analysis of hedge fund performance
by Capocci, Daniel & Hubner, Georges
- 91-107 Are scientific indicators of patent quality useful to investors?
by Hirschey, Mark & Richardson, Vernon J.
- 109-132 Small sample properties of the GMM specification test based on the Hansen-Jagannathan distance
by Ahn, Seung C. & Gadarowski, Christopher
- 133-161 Option pricing with discrete rebalancing
by Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier
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.
- 559-581 Testing for differences in the tails of stock-market returns
by Jondeau, Eric & Rockinger, Michael
- 583-601 A Bayesian analysis of a variance decomposition for stock returns
by Hollifield, Burton & Koop, Gary & Li, Kai
- 603-621 Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
by Ledoit, Olivier & Wolf, Michael
- 623-640 Nonlinear prediction of exchange rates with monetary fundamentals
by Qi, Min & Wu, Yangru
- 641-660 Central bank interventions and jumps in double long memory models of daily exchange rates
by Beine, Michel & Laurent, Sebastien
- 661-681 Preference hierarchies for internal finance, bank loans, bond, and share issues: evidence for Dutch firms
by de Haan, Leo & Hinloopen, Jeroen
2003, Volume 10, Issue 4
- 399-425 A nonparametric test of market timing
by Jiang, Wei
- 427-454 Predicting emerging market currency crashes
by Kumar, Mohan & Moorthy, Uma & Perraudin, William
- 455-477 Disturbing extremal behavior of spot rate dynamics
by Bali, Turan G. & Neftci, Salih N.
- 479-503 Volatility clustering in monthly stock returns
by Jacobsen, Ben & Dannenburg, Dennis
- 505-531 Univariate and multivariate stochastic volatility models: estimation and diagnostics
by Liesenfeld, Roman & Richard, Jean-Francois
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.
- 271-303 Stock splits: implications for investor trading costs
by Gray, Stephen F. & Smith, Tom & Whaley, Robert E.
- 305-320 How much do locals contribute to the price discovery process?
by Fong, Kingsley & Zurbruegg, Ralf
- 321-353 Realized volatility in the futures markets
by Thomakos, Dimitrios D. & Wang, Tao
- 355-371 A Bayesian analysis of dual trader informativeness in futures markets
by Chakravarty, Sugato & Li, Kai
- 373-397 Robust GMM analysis of models for the short rate process
by Dell'Aquila, Rosario & Ronchetti, Elvezio & Trojani, Fabio
2003, Volume 10, Issue 1-2
- 3-56 Emerging markets finance
by Bekaert, Geert & Harvey, Campbell R.
- 57-80 Diversification benefits of emerging markets subject to portfolio constraints
by Li, Kai & Sarkar, Asani & Wang, Zhenyu
- 81-103 A simple measure of the intensity of capital controls
by Edison, Hali J. & Warnock, Francis E.
- 105-132 Stock selection strategies in emerging markets
by van der Hart, Jaap & Slagter, Erica & van Dijk, Dick
- 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
- 169-198 Emerging markets and trading costs: lessons from Casablanca
by Ghysels, Eric & Cherkaoui, Mouna
- 199-216 Resolution of corporate distress in East Asia
by Claessens, Stijn & Djankov, Simeon & Klapper, Leora
- 217-248 Income inequality: the aftermath of stock market liberalization in emerging markets
by Das, Mitali & Mohapatra, Sanket
2002, Volume 9, Issue 5
- 475-493 An exploration of the persistence of UK unit trust performance
by Fletcher, Jonathan & Forbes, David
- 495-510 Market timing and return prediction under model instability
by Pesaran, M. Hashem & Timmermann, Allan
- 511-523 The dual contributions of information instruments in return models: magnitude and direction predictability
by Korkie, Bob & Sivakumar, Ranjini & Turtle, Harry
- 525-550 Cross-sectional tests of deterministic volatility functions
by Brandt, Michael W. & Wu, Tao
- 551-562 Estimating daily volatility in financial markets utilizing intraday data
by Bollen, Bernard & Inder, Brett
- 563-588 Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach
by Nam, Kiseok & Pyun, Chong Soo & Arize, Augustine C.
- 589-603 Testing for constant hedge ratios in commodity markets: a multivariate GARCH approach
by Moschini, GianCarlo & Myers, Robert J.
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
- 373-397 Determinants of board composition in New Zealand: a simultaneous equations approach
by Prevost, Andrew K. & Rao, Ramesh P. & Hossain, Mahmud
- 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.
- 431-454 Dividends, nonsynchronous prices, and the returns from trading the Dow Jones Industrial Average
by Day, Theodore E. & Wang, Pingying
- 455-474 Price discovery in floor and screen trading systems
by Theissen, Erik
2002, Volume 9, Issue 3
- 271-285 Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?
by Covrig, Vicentiu & Melvin, Michael
- 287-319 A generalized partially linear model of asymmetric volatility
by Wu, Guojun & Xiao, Zhijie
- 321-342 Bayesian option pricing using asymmetric GARCH models
by Bauwens, Luc & Lubrano, Michel
- 343-360 Let's get "real" about using economic data
by Christoffersen, Peter & Ghysels, Eric & Swanson, Norman R.
2002, Volume 9, Issue 2
- 133-169 Nonparametric tests of conditional mean-variance efficiency of a benchmark portfolio
by Wang, Kevin Q.
- 171-195 Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns
by Bera, Anil K. & Kim, Sangwhan
- 197-223 A censored-GARCH model of asset returns with price limits
by Wei, Steven X.
- 225-255 Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market
by Fiorentini, Gabriele & Leon, Angel & Rubio, Gonzalo
- 257-270 On testing the adequacy of stable processes under conditional heteroscedasticity
by Deo, Rohit S.
2002, Volume 9, Issue 1
- 1-34 Stock selection, style rotation, and risk
by Lucas, Andre & van Dijk, Ronald & Kloek, Teun
- 35-56 Modeling the volatility of the Heath-Jarrow-Morton model: a multifactor GARCH analysis
by Zhou, Anjun
- 57-89 Volatility estimation on the basis of price intensities
by Gerhard, Frank & Hautsch, Nikolaus
- 91-108 Equity option listing in the UK: a comparison of market-based research methodologies
by Hamill, Philip A. & Opong, Kwaku K. & McGregor, Pat
- 109-132 Maximum likelihood estimation of deposit insurance value with interest rate risk
by Duan, Jin-Chuan & Simonato, Jean-Guy
2001, Volume 8, Issue 5
- 451-457 Editor's foreword to the special issue: "On the predictability of asset returns"
by Bekaert, Geert
- 459-491 Why long horizons? A study of power against persistent alternatives
by Campbell, John Y.
- 493-535 The power and size of mean reversion tests
by Daniel, Kent
- 537-572 The independence axiom and asset returns
by Epstein, Larry G. & Zin, Stanley E.
- 573-637 The specification of conditional expectations
by Harvey, Campbell R.
- 639-668 Estimation of a rational expectations model of the term structure
by Melino, Angelo
- 669-694 When units roots matter: excess volatility and excess smoothness of long-term interest rates
by Schotman, Peter C.
- 695-704 The bias of tests for a risk premium in forward exchange rates
by Tauchen, George
2001, Volume 8, Issue 4
- 345-373 Eliminating look-ahead bias in evaluating persistence in mutual fund performance
by ter Horst, Jenke R. & Nijman, Theo E. & Verbeek, Marno
- 375-401 The valuation of IPO and SEO firms
by Koop, Gary & Li, Kai
- 403-426 Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?
by Kim, Chang-Jin & Morley, James C. & Nelson, Charles R.
- 427-449 Tests of asset-pricing models: how important is the iid-normal assumption?
by Groenewold, Nicolaas & Fraser, Patricia
2001, Volume 8, Issue 3
- 219-242 Race to the center: competition for the Nikkei 225 futures trade
by Ito, Takatoshi & Lin, Wen-Ling
- 243-271 The Danish stock and bond markets: comovement, return predictability and variance decomposition
by Engsted, Tom & Tanggaard, Carsten
- 273-296 Volatility in stocks subject to takeover bids: Australian evidence using daily data
by Hutson, Elaine & Kearney, Colm
- 297-323 The joint estimation of term structures and credit spreads
by Houweling, Patrick & Hoek, Jaap & Kleibergen, Frank
- 325-342 Testing and comparing Value-at-Risk measures
by Christoffersen, Peter & Hahn, Jinyong & Inoue, Atsushi
2001, Volume 8, Issue 2
- 111-155 Testing for mean-variance spanning: a survey
by DeRoon, Frans A. & Nijman, Theo E.
- 157-170 Liquidity in the forward exchange market
by Moore, Michael J. & Roche, Maurice J.
- 171-199 Layoffs, shareholders' wealth, and corporate performance
by Chen, Peter & Mehrotra, Vikas & Sivakumar, Ranjini & Yu, Wayne W.
- 201-218 An analysis of second time around bankruptcies using a split-population duration model
by Bandopadhyaya, Arindam & Jaggia, Sanjiv
2001, Volume 8, Issue 1
- 1-34 Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
by Hafner, Christian M. & Herwartz, Helmut
- 35-54 What causes home asset bias and how should it be measured?
by Glassman, Debra A. & Riddick, Leigh A.
- 55-81 Coskewness and cokurtosis in futures markets
by Christie-David, Rohan & Chaudhry, Mukesh
- 83-110 Recovering the probability density function of asset prices using garch as diffusion approximations
by Fornari, Fabio & Mele, Antonio
2000, Volume 7, Issue 5
- 417-454 An empirical investigation of trading on asymmetric information and heterogeneous prior beliefs
by Brockman, Paul & Chung, Dennis Y.
- 455-478 Information diffusion in electronic and floor trading
by Franke, Gunter & Hess, Dieter
- 509-530 Bivariate FIGARCH and fractional cointegration
by Brunetti, Celso & Gilbert, Christopher L.
- 531-554 Value-at-Risk: a multivariate switching regime approach
by Billio, Monica & Pelizzon, Loriana
2000, Volume 7, Issue 3-4
- 225-245 Sensitivity analysis of Values at Risk
by Gourieroux, C. & Laurent, J. P. & Scaillet, O.
- 247-269 Portfolio selection with limited downside risk
by Jansen, Dennis W. & Koedijk, Kees G. & de Vries, Casper G.
- 271-300 Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
by McNeil, Alexander J. & Frey, Rudiger
- 301-315 Horizon sensitivity of the inflation hedge of stocks
by Schotman, Peter C. & Schweitzer, Mark
- 317-344 Firms, do you know your currency risk exposure? Survey results
by Loderer, Claudio & Pichler, Karl
- 345-372 Volatility dynamics under duration-dependent mixing
by Maheu, John M. & McCurdy, Thomas H.
- 373-388 Stochastic correlation across international stock markets
by Ball, Clifford A. & Torous, Walter N.
- 389-416 Diagnosing and treating the fat tails in financial returns data
by Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T.
2000, Volume 7, Issue 2
- 113-141 Conditional event studies, anticipation, and asymmetric information: the case of seasoned equity issues and pre-issue information releases
by Guo, Lin & Mech, Timothy S.
- 143-153 Three analyses of the firm size premium
by Horowitz, Joel L. & Loughran, Tim & Savin, N. E.
- 155-172 Visualizing time-varying correlations across stock markets
by Groenen, Patrick J. F. & Franses, Philip Hans
- 195-223 The ordered mean difference as a portfolio performance measure
by Bowden, Roger J.
2000, Volume 7, Issue 1
- 1-36 Measuring the market impact of hedge funds
by Fung, William & Hsieh, David A.
- 57-86 Factors affecting the yields on noninvestment grade bond indices: a cointegration analysis
by Barnhill Jr., Theodore M. & Joutz, Frederick L. & Maxwell, William F.
- 87-111 Coincident and leading indicators of the stock market
by Chauvet, Marcelle & Potter, Simon
1999, Volume 6, Issue 5
- 431-455 Computing value at risk with high frequency data
by Beltratti, Andrea & Morana, Claudio
- 457-477 Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon
by Andersen, Torben G. & Bollerslev, Tim & Lange, Steve
- 479-513 The intraday multivariate structure of the Eurofutures markets
by Ballocchi, Giuseppe & Dacorogna, Michel M. & Hopman, Carl M. & Muller, Ulrich A. & Olsen, Richard B.
- 515-553 Multivariate extremes for models with constant conditional correlations
by Starica, Catalin
- 555-582 Speculative attacks to currency target zones: A market microstructure approach
by Carrera, Jose M.
- 583-607 Pricing behavior in an off-hours computerized market
by Coppejans, Mark & Domowitz, Ian
1999, Volume 6, Issue 4
- 335-353 Multivariate unit root tests of the PPP hypothesis
by Flores, Renato & Jorion, Philippe & Preumont, Pierre-Yves & Szafarz, Ariane
- 355-384 Mean reversion in Southeast Asian stock markets
by Malliaropulos, Dimitrios & Priestley, Richard
- 385-404 Cross-correlations and cross-bicorrelations in Sterling exchange rates
by Brooks, Chris & Hinich, Melvin J.
- 405-429 Anomalous security price behavior following management earnings forecasts
by Liu, Chao-Shin & Ziebart, David A.
1999, Volume 6, Issue 3
- 219-241 Testing multi-beta asset pricing models
by Velu, Raja & Zhou, Guofu
- 243-265 An empirical analysis of intertemporal asset pricing models with transaction costs and habit persistence
by Marquering, Wessel & Verbeek, Marno
- 267-282 The behaviour of some UK equity indices: An application of Hurst and BDS tests1
by Opong, Kwaku K. & Mulholland, Gwyneth & Fox, Alan F. & Farahmand, Kambiz
- 283-308 Structural change and time dependence in models of stock returns
by Kim, Dongcheol & Kon, Stanley J.
- 309-331 A primer on hedge funds
by Fung, William & Hsieh, David A.
1999, Volume 6, Issue 2
- 121-152 The hazards of mutual fund underperformance: A Cox regression analysis
by Lunde, Asger & Timmermann, Allan & Blake, David
- 153-176 Financial derivatives introduction and stock return volatility in an emerging market without clearinghouse: The Mexican experience
by Hernandez-Trillo, Fausto
- 177-192 Target zones and conditional volatility: The role of realignments
by Neely, Christopher J.
- 193-215 Real exchange rates and nontradables: A relative price approach
by Kakkar, Vikas & Ogaki, Masao
1999, Volume 6, Issue 1
- 1-27 Economic determinants of evolution in international stock market integration
by Bracker, Kevin & Docking, Diane Scott & Koch, Paul D.
- 29-58 The dynamics of dividends, earnings and prices: evidence and implications for dividend smoothing and signaling
by Chen, Chung & Wu, Chunchi
- 59-85 A nonparametric examination of market information: application to technical trading rules
by Goldbaum, David
- 87-118 Econometrics of efficient fitted portfolios
by Gourieroux, C. & Jouneau, F.
1998, Volume 5, Issue 4
- 299-315 Predicting the duration and reversal probability of leveraged buyouts
by Van de Gucht, Linda M. & Moore, William T.
- 347-359 The predictability of security returns with simple technical trading rules
by Gencay, Ramazan
- 361-384 Information transmission and causality in the Italian Treasury bond market
by Scalia, Antonio
- 385-396 Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1
by Kim, Chang-Jin & Nelson, Charles R.
- 397-416 Volatility and cross correlation across major stock markets
by Ramchand, Latha & Susmel, Raul
1998, Volume 5, Issue 3
- 177-195 Time to maturity in the basis of stock market indices: Evidence from the S&P 500 and the MMI
by Beaulieu, Marie-Claude
- 197-220 Hedging foreign currency portfolios
by Gagnon, Louis & Lypny, Gregory J. & McCurdy, Thomas H.
- 241-261 Real interest rates and shifts in macroeconomic volatility
by Koedijk, Kees & Kool, Clemens & Nissen, Francois
- 263-279 On the hypothesis of psychological barriers in stock markets and Benford's Law
by De Ceuster, Marc J. K. & Dhaene, Geert & Schatteman, Tom
- 281-296 International evidence on the stock market and aggregate economic activity
by Cheung, Yin-Wong & Ng, Lilian K.
1998, Volume 5, Issue 2
- 69-97 Expected stock returns, risk premiums and volatilities of economic factors1
by Li, Yuming
- 99-129 Endogenous risk in rational-expectations commodity models: A multivariate generalized ARCH-M approach
by Holt, Matthew T. & Aradhyula, Satheesh V.
- 131-154 Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1
by Kim, Chang-Jin & Nelson, Charles R. & Startz, Richard
- 155-173 Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models
by Danielsson, Jon
1998, Volume 5, Issue 1
- 1-25 Testing for asymmetric information and inventory control effects in market maker behaviour on the London Stock Exchange
by Snell, Andy & Tonks, Ian
- 27-46 Post-takeover returns: The UK evidence
by Higson, Chris & Elliott, Jamie
- 47-66 Testing for spurious causality in exchange rates
by Renault, Eric & Sekkat, Khalid & Szafarz, Ariane
1997, Volume 4, Issue 4
- 295-315 Public information releases, private information arrival and volatility in the foreign exchange market
by DeGennaro, Ramon P. & Shrieves, Ronald E.
- 317-340 The incremental volatility information in one million foreign exchange quotations
by Taylor, Stephen J. & Xu, Xinzhong
- 341-372 The analysis of foreign exchange data using waveform dictionaries
by Ramsey, James B. & Zhang, Zhifeng
- 373-401 Another look at long memory in common stock returns
by Hiemstra, Craig & Jones, Jonathan D.
1997, Volume 4, Issue 2-3
- 73-114 High frequency data in financial markets: Issues and applications
by Goodhart, Charles A. E. & O'Hara, Maureen
- 115-158 Intraday periodicity and volatility persistence in financial markets
by Andersen, Torben G. & Bollerslev, Tim
- 187-212 Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
by Engle, Robert F. & Russell, Jeffrey R.
- 213-239 Volatilities of different time resolutions -- Analyzing the dynamics of market components
by Muller, Ulrich A. & Dacorogna, Michel M. & Dave, Rakhal D. & Olsen, Richard B. & Pictet, Olivier V. & von Weizsacker, Jacob E.
- 259-277 High frequency analysis of lead-lag relationships between financial markets
by de Jong, Frank & Nijman, Theo
- 279-293 Do buyers and sellers behave similarly in a limit order book? A high-frequency data examination of the Finnish stock exchange
by Hedvall, Kaj & Niemeyer, Jonas & Rosenqvist, Gunnar
1997, Volume 4, Issue 1
- 1-15 Do currency futures prices follow random walks?
by Pan, Ming-Shiun & Chan, Kam C. & C.W. Fok, Robert
- 17-46 An artificial neural network-GARCH model for international stock return volatility
by Donaldson, R. Glen & Kamstra, Mark
- 47-65 Limit orders and ex-dividend day return distributions
by Dubofsky, David
1996, Volume 3, Issue 4
- 327-346 Comovements of earnings, dividends, and stock prices
by Lee, Bong-Soo
- 347-368 An analysis of nonlinearities in term premiums and forward rates
by Huang, Roger D. & Lin, Charles S. Y.
- 369-391 Measuring risk in the mining sector with ARCH models with important observations on sample size
by McClain, Katherine T. & Humphreys, H. Brett & Boscan, Atahualpa