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Publications

by members of

Department of Finance
Faculty of Business
Auckland University of Technology
Auckland, New Zealand

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2014

  1. Jos\'e Da Fonseca & Claude Martini, 2014. "The $\alpha$-Hypergeometric Stochastic Volatility Model," Papers 1409.5142, arXiv.org.

2012

  1. Jos\'e Da Fonseca & Alessandro Gnoatto & Martino Grasselli, 2012. "A flexible matrix Libor model with smiles," Papers 1203.4786, arXiv.org.
  2. Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2012. "Sentiment Trades and Option Prices," LSF Research Working Paper Series 12-9, Luxembourg School of Finance, University of Luxembourg.

2011

  1. Thorsten Lehnert & Bart Frijn & Aaron Gilbert & Alireza Tourani-Rad, 2011. "Cultural Values, CEO Risk Aversion and Corporate Takeovers," LSF Research Working Paper Series 11-01, Luxembourg School of Finance, University of Luxembourg.

2010

  1. Thorsten Lehnert & Bart Frijns & Remco C.J. Zwinkels, 2010. "Modelling structural changes in the volatility process," LSF Research Working Paper Series 10-05, Luxembourg School of Finance, University of Luxembourg.

2009

  1. Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009. "Behavioral Heterogeneity in the Option Market," LSF Research Working Paper Series 09-07, Luxembourg School of Finance, University of Luxembourg.
  2. Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009. "A Volatility Targeting GARCH model with Time-Varying Coefficients," LSF Research Working Paper Series 09-08, Luxembourg School of Finance, University of Luxembourg.

2005

  1. Gilbert, Aaron & Tourani Rad, Alireza & Wisniewski, Tomasz Piotr, 2005. "The relationship between insider trading and volume-induced return autocorrelation," Working Paper Series 2005,9, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.

2004

  1. Frijns, Bart & Schotman, Peter C, 2004. "Price Discovery in Tick Time," CEPR Discussion Papers 4456, C.E.P.R. Discussion Papers.

2002

  1. B. Frijns & P. Schotman, 2002. "The Dynamics of Dealer Quoting Behavior," Computing in Economics and Finance 2002 235, Society for Computational Economics.

Journal articles

2014

  1. José Da Fonseca & Riadh Zaatour, 2014. "Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(6), pages 548-579, 06.
  2. Da Fonseca José & Grasselli Martino & Ielpo Florian, 2014. "Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 37, May.
  3. Da Fonseca, José & Gottschalk, Katrin, 2014. "Cross-hedging strategies between CDS spreads and option volatility during crises," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 386-400.
  4. Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014. "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 193-203.
  5. Bart Frijns & Qiang Lai & Alireza Tourani-Rad, 2014. "Institutional Trading and Stock Returns: Evidence from China," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 17(01), pages 1450003-1-1.
  6. Scholtus, Martin & van Dijk, Dick & Frijns, Bart, 2014. "Speed, algorithmic trading, and market quality around macroeconomic news announcements," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 89-105.

2013

  1. José Da Fonseca & Katrin Gottschalk, 2013. "A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(6), pages 494-517, 06.
  2. Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013. "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.
  3. Bart Frijns & Aaron Gilbert & Alireza Tourani-Rad, 2013. "Do Criminal Sanctions Deter Insider Trading?," The Financial Review, Eastern Finance Association, vol. 48(2), pages 205-232, 05.
  4. Ihsan Ullah Badshah & Bart Frijns & Alireza Tourani‐Rad, 2013. "Contemporaneous Spill‐Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(6), pages 555-572, 06.
  5. Frijns, Bart & Gilbert, Aaron & Lehnert, Thorsten & Tourani-Rad, Alireza, 2013. "Uncertainty avoidance, risk tolerance and corporate takeover decisions," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2457-2471.
  6. Bart Frijns & Aaron Gilbert & Remco C.J. Zwinkels, 2013. "Market timing ability and mutual funds: a heterogeneous agent approach," Quantitative Finance, Taylor & Francis Journals, vol. 13(10), pages 1613-1620, October.
  7. Ihsan Ullah Badshah, 2013. "Quantile Regression Analysis of the Asymmetric Return‐Volatility Relation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(3), pages 235-265, 03.

2012

  1. Bart Frijns & Dimitris Margaritis & Maria Psillaki, 2012. "Firm efficiency and stock returns," Journal of Productivity Analysis, Springer, vol. 37(3), pages 295-306, June.
  2. Frijns, Bart & Tourani-Rad, Alireza & Indriawan, Ivan, 2012. "Political crises and the stock market integration of emerging markets," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 644-653.

2011

  1. José Da Fonseca & Martino Grasselli & Florian Ielpo, 2011. "Hedging (Co)Variance Risk With Variance Swaps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(06), pages 899-943.
  2. Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2011. "Modeling structural changes in the volatility process," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 522-532, June.
  3. Bart Frijns & Aaron Gilbert & Alireza Tourani-Rad, 2011. "Heterogeneity and sentiment in the stock market," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 140-151.
  4. Ihsan U. Badshah, 2011. "Return-volatility relationships: cross-country evidence," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 178-190.

2010

  1. Frijns, Bart & Gilbert, Aaron & Tourani-Rad, Alireza, 2010. "The dynamics of price discovery for cross-listed shares: Evidence from Australia and New Zealand," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 498-508, March.
  2. Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2010. "Behavioral heterogeneity in the option market," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2273-2287, November.
  3. Beugelsdijk, Sjoerd & Frijns, Bart, 2010. "A cultural explanation of the foreign bias in international asset allocation," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2121-2131, September.

2009

  1. Frijns, Bart & Schotman, Peter, 2009. "Price discovery in tick time," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 759-776, December.
  2. Chen, Jun & Tse, Yiuman & Williams, Michael, 2009. "Trading location and equity returns: Evidence from US trading of British cross-listed firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 729-741, December.

2008

  1. JosE Da Fonseca & Martino Grasselli & Claudio Tebaldi, 2008. "A multifactor volatility Heston model," Quantitative Finance, Taylor & Francis Journals, vol. 8(6), pages 591-604.
  2. Bart Frijns & Dimitris Margaritis, 2008. "Forecasting daily volatility with intraday data," The European Journal of Finance, Taylor & Francis Journals, vol. 14(6), pages 523-540.
  3. Frijns, Bart & Koellen, Esther & Lehnert, Thorsten, 2008. "On the determinants of portfolio choice," Journal of Economic Behavior & Organization, Elsevier, vol. 66(2), pages 373-386, May.
  4. Bauer, Rob & Frijns, Bart & Otten, Rogér & Tourani-Rad, Alireza, 2008. "The impact of corporate governance on corporate performance: Evidence from Japan," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 236-251, June.
  5. Bart Frijns & Aaron Gilbert & Alireza Tourani-Rad, 2008. "Insider Trading, Regulation, And The Components Of The Bid-Ask Spread," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(3), pages 225-246.
  6. Bart Frijns & Alireza Tourani-Rad & Yajie Zhang, 2008. "The New Zealand implied volatility index," New Zealand Economic Papers, Taylor & Francis Journals, vol. 42(1), pages 103-125.
  7. Rob Beaumont & Marco van Daele & Bart Frijns & Thorsten Lehnert & Aline Muller, 2008. "Investor sentiment, mutual fund flows and its impact on returns and volatility," Managerial Finance, Emerald Group Publishing, vol. 34(11), pages 772-785.

2007

  1. José Fonseca & Martino Grasselli & Claudio Tebaldi, 2007. "Option pricing when correlations are stochastic: an analytical framework," Review of Derivatives Research, Springer, vol. 10(2), pages 151-180, May.

2006

  1. Frijns, Bart & Schotman, Peter C., 2006. "Nonlinear dynamics in Nasdaq dealer quotes," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2246-2266, December.
  2. Bart Frijns, 2006. "Inferring Public and Private Information from Trades and Quotes," The Financial Review, Eastern Finance Association, vol. 41(1), pages 95-117, 02.
  3. Bart Frijns & Farshid Navissi & Alireza Tourani-Rad & Lana Tsai, 2006. "Stock price performance of seasoned equity offerings: completed vs withdrawn," Managerial Finance, Emerald Group Publishing, vol. 32(3), pages 234-246.
  4. Gilbert, Aaron & Tourani-Rad, Alireza & Wisniewski, Tomasz Piotr, 2006. "Do insiders crowd out analysts?," Finance Research Letters, Elsevier, vol. 3(1), pages 40-48, March.

2004

  1. Etebari, Ahmad & Tourani-Rad, Alireza & Gilbert, Aaron, 2004. "Disclosure regulation and the profitability of insider trading: Evidence from New Zealand," Pacific-Basin Finance Journal, Elsevier, vol. 12(5), pages 479-502, November.

2002

  1. Rama Cont & Jose da Fonseca, 2002. "Dynamics of implied volatility surfaces," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 45-60.
  2. Rama Cont & Jose da Fonseca & Valdo Durrleman, 2002. "Stochastic Models of Implied Volatility Surfaces," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 31(2), pages 361-377, 07.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.