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Jamie Alcock

Personal Details

First Name:Jamie
Middle Name:
Last Name:Alcock
Suffix:
RePEc Short-ID:pal542
[This author has chosen not to make the email address public]
https://sites.google.com/site/jamiealcock/

Affiliation

Discipline of Finance
Business School
University of Sydney

Sydney, Australia
http://sydney.edu.au/business/finance

: +61 2 9351 8083
61 (0)2 9351 6461
Economics and Business Building (H69), Sydney NSW 2006
RePEc:edi:dfusyau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Jamie Alcock & Petra Andrlikova, 2016. "Do Real Estate Investment Trust Investors Value Asymmetric Dependence in returns?," ERES eres2016_93, European Real Estate Society (ERES).
  2. Jamie Alcock & Andrew E. Baum & Nicholas Colley & Eva Steiner, 2013. "On the Performance of Core, Value-Add and Opportunistic Private Equity Real Estate Funds: The Art of Financial Leverage," ERES eres2013_190, European Real Estate Society (ERES).
  3. Jamie Alcock & Eva Steiner, 2013. "Real Risk-Adjusted Performance and Capital Structure: Theory and Evidence from Real Estate Investment Trusts," ERES eres2013_324, European Real Estate Society (ERES).
  4. Andrew E. Baum & Colin Lizieri & Jamie Alcock, 2012. "Capital structure and European property companies," ERES eres2012_197, European Real Estate Society (ERES).
  5. Eva Steiner & Jamie Alcock, 2011. "New Evidence on asymmetric dependence in the returns from U.S. Real Estate Estate Investment Trusts," ERES eres2011_161, European Real Estate Society (ERES).
  6. Jamie Alcock & Eva Steiner & Kelvin Jui Keng Tan, 2010. "On The Relationship Between Leverage And Debt Maturity For Us Real Estate Firms," ERES eres2010_701, European Real Estate Society (ERES).
  7. Kevin Burrage & Jamie Alcock & Monica Barbu, 2003. "A Numerical Solution to American Style Options on Commodities," Computing in Economics and Finance 2003 135, Society for Computational Economics.

Articles

  1. Jamie Alcock & Petra Andrlikova, 2018. "Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 183-216, February.
  2. Jamie Alcock & Anthony Hatherley, 2017. "Characterizing the Asymmetric Dependence Premium," Review of Finance, European Finance Association, vol. 21(4), pages 1701-1737.
  3. Jamie Alcock & Godfrey Smith, 2017. "Non-parametric American option valuation using Cressie–Read divergences," Australian Journal of Management, Australian School of Business, vol. 42(2), pages 252-275, May.
  4. Jamie Alcock & Eva Steiner, 2017. "Unexpected Inflation, Capital Structure, and Real Risk-adjusted Firm Performance," Abacus, Accounting Foundation, University of Sydney, vol. 53(2), pages 273-298, June.
  5. Jamie Alcock & Eva Steiner, 2017. "The Interrelationships between REIT Capital Structure and Investment," Abacus, Accounting Foundation, University of Sydney, vol. 53(3), pages 371-394, September.
  6. Jamie Alcock & Godfrey Smith, 2014. "Testing Alternative Measure Changes in Nonparametric Pricing and Hedging of European Options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(4), pages 320-345, April.
  7. Jamie Alcock & Eva Steiner & Kelvin Tan, 2014. "Joint Leverage and Maturity Choices in Real Estate Firms: The Role of the REIT Status," The Journal of Real Estate Finance and Economics, Springer, vol. 48(1), pages 57-78, January.
  8. Jamie Alcock & John Glascock & Eva Steiner, 2013. "Manipulation in U.S. REIT Investment Performance Evaluation: Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 47(3), pages 434-465, October.
  9. Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy, 2013. "Canonical vine copulas in the context of modern portfolio management: Are they worth it?," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3085-3099.
  10. Jamie Alcock & Frank Finn & Kelvin Jui Keng Tan, 2012. "The determinants of debt maturity in Australian firms," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 52(2), pages 313-341, June.
  11. Jamie Alcock & Thomas Mollee & James Wood, 2011. "Volatile earnings growth, the price of earnings and the Value premium," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 805-815.
  12. Jamie Alcock & Diana Auerswald, 2010. "Empirical tests of canonical nonparametric American option‐pricing methods," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(6), pages 509-532, June.
  13. Jamie Alcock & Sophie Cockcroft & Frank Finn, 2008. "Quantifying the advantage of secondary mathematics study for accounting and finance undergraduates," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(5), pages 697-718.
  14. Jamie Alcock & Trent Carmichael, 2008. "Nonparametric American option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(8), pages 717-748, August.
  15. Anthony Hatherley & Jamie Alcock, 2007. "Portfolio construction incorporating asymmetric dependence structures: a user's guide," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 47(3), pages 447-472.
  16. Alcock, Jamie & Gray, Philip, 2005. "Dynamic, nonparametric hedging of European style contingent claims using canonical valuation," Finance Research Letters, Elsevier, vol. 2(1), pages 41-50, March.
  17. Jamie Alcock & Philip Gray, 2005. "Forecasting Stock Returns Using Model-Selection Criteria," The Economic Record, The Economic Society of Australia, vol. 81(253), pages 135-151, June.
  18. Alcock, Jamie & Docwra, George, 2005. "A simulation analysis of the market effect of the Australian Broadcasting Corporation," Information Economics and Policy, Elsevier, vol. 17(4), pages 407-427, October.
  19. Alcock, Jamie & Burrage, Kevin, 2004. "A genetic estimation algorithm for parameters of stochastic ordinary differential equations," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 255-275, September.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

    Sorry, no citations of working papers recorded.

Articles

  1. Jamie Alcock & Eva Steiner, 2017. "The Interrelationships between REIT Capital Structure and Investment," Abacus, Accounting Foundation, University of Sydney, vol. 53(3), pages 371-394, September.

    Cited by:

    1. Kelvin Jui Keng Tan, 2017. "Why Do Overconfident REIT CEOs Issue More Debt? Mechanisms and Value Implications," Abacus, Accounting Foundation, University of Sydney, vol. 53(3), pages 319-348, September.

  2. Jamie Alcock & Godfrey Smith, 2014. "Testing Alternative Measure Changes in Nonparametric Pricing and Hedging of European Options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(4), pages 320-345, April.

    Cited by:

    1. Smith, Godfrey, 2013. "Simulated testing of nonparametric measure changes for hedging European options," Finance Research Letters, Elsevier, vol. 10(2), pages 93-101.

  3. Jamie Alcock & Eva Steiner & Kelvin Tan, 2014. "Joint Leverage and Maturity Choices in Real Estate Firms: The Role of the REIT Status," The Journal of Real Estate Finance and Economics, Springer, vol. 48(1), pages 57-78, January.

    Cited by:

    1. Jamie Alcock & John Glascock & Eva Steiner, 2013. "Manipulation in U.S. REIT Investment Performance Evaluation: Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 47(3), pages 434-465, October.
    2. Jamie Alcock & Eva Steiner, 2017. "Unexpected Inflation, Capital Structure, and Real Risk-adjusted Firm Performance," Abacus, Accounting Foundation, University of Sydney, vol. 53(2), pages 273-298, June.
    3. Kelvin Jui Keng Tan, 2017. "Why Do Overconfident REIT CEOs Issue More Debt? Mechanisms and Value Implications," Abacus, Accounting Foundation, University of Sydney, vol. 53(3), pages 319-348, September.
    4. Dong Chen & Yanmin Gao & Mayank Kaul & Charles Ka Yui Leung & Desmond Tsang, 2016. "The Role of Sponsors and External Management on the Capital Structure of Asian-Pacific REITs: The Case of Australia, Japan, and Singapore," International Real Estate Review, Asian Real Estate Society, vol. 19(2), pages 197-221.
    5. Jamie Alcock & Eva Steiner, 2017. "The Interrelationships between REIT Capital Structure and Investment," Abacus, Accounting Foundation, University of Sydney, vol. 53(3), pages 371-394, September.
    6. Kelvin Jui Keng Tan & Jia Min Lee & Robert W. Faff & Kathy Walsh, 2016. "Short-selling pressure and last-resort debt finance: evidence from 144A high-yield risk-adjusted debt," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(4), pages 1149-1185, December.
    7. Emanuela Giacomini & David Ling & Andy Naranjo, 2015. "Leverage and Returns: A Cross-Country Analysis of Public Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 125-159, August.
    8. Bao, Helen X.H. & Gong, Cynthia Miao, 2017. "Reference-dependent analysis of capital structure and REIT performance," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 69(C), pages 38-49.

  4. Jamie Alcock & John Glascock & Eva Steiner, 2013. "Manipulation in U.S. REIT Investment Performance Evaluation: Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 47(3), pages 434-465, October.

    Cited by:

    1. Jamie Alcock & Eva Steiner & Kelvin Tan, 2014. "Joint Leverage and Maturity Choices in Real Estate Firms: The Role of the REIT Status," The Journal of Real Estate Finance and Economics, Springer, vol. 48(1), pages 57-78, January.
    2. Jamie Alcock & Eva Steiner, 2017. "Unexpected Inflation, Capital Structure, and Real Risk-adjusted Firm Performance," Abacus, Accounting Foundation, University of Sydney, vol. 53(2), pages 273-298, June.
    3. Jamie Alcock & Petra Andrlikova, 2018. "Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 183-216, February.
    4. Bao, Helen X.H. & Gong, Cynthia Miao, 2017. "Reference-dependent analysis of capital structure and REIT performance," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 69(C), pages 38-49.
    5. Rafiq Bhuyan & James Kuhle & Talla Mohammed Al-Deehani & Munir Mahmood, 2015. "Portfolio Diversification Benefits Using Real Estate Investment Trusts – An Experiment with US Common Stocks, Equity Real Estate Investment Trusts, and Mortgage Real Estate Investment Trusts," International Journal of Economics and Financial Issues, Econjournals, vol. 5(4), pages 922-928.

  5. Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy, 2013. "Canonical vine copulas in the context of modern portfolio management: Are they worth it?," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3085-3099.

    Cited by:

    1. Grover, Vaibhav, 2015. "Identifying Dependence Structure among Equities in Indian Markets using Copulas," MPRA Paper 66302, University Library of Munich, Germany.
    2. Cathy Ning & Dinghai Xu & Tony Wirjanto, 2014. "Is Volatility Clustering of Asset Returns Asymmetric?," Working Papers 050, Ryerson University, Department of Economics.
    3. Arreola Hernandez, Jose, 2014. "Are oil and gas stocks from the Australian market riskier than coal and uranium stocks? Dependence risk analysis and portfolio optimization," Energy Economics, Elsevier, vol. 45(C), pages 528-536.
    4. Humphrey, Jacquelyn E. & Benson, Karen L. & Low, Rand K.Y. & Lee, Wei-Lun, 2015. "Is diversification always optimal?," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 521-532.
    5. Arreola Hernandez, Jose & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Al Janabi, Mazin A. M. & Reboredo, Juan Carlos, 2014. "Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach," MPRA Paper 73399, University Library of Munich, Germany, revised Aug 2016.
    6. Mangold, Benedikt, 2017. "New concepts of symmetry for copulas," FAU Discussion Papers in Economics 06/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    7. Reboredo, Juan C., 2015. "Is there dependence and systemic risk between oil and renewable energy stock prices?," Energy Economics, Elsevier, vol. 48(C), pages 32-45.
    8. Marcel Wollschlager & Rudi Schafer, 2015. "Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns," Papers 1506.08054, arXiv.org.
    9. Marwa Talbi & Rihab Bedoui & Lotfi Belkacem & Christian De Peretti, 2018. "Do precious metals act as hedges and safe havens against G-7 stock markets?: A vine copula approach," Working Papers hal-01664146, HAL.
    10. David Walsh-Jones & Daniel Jones & Christoph Reisinger, 2014. "Modelling of dependence in high-dimensional financial time series by cluster-derived canonical vines," Papers 1411.4970, arXiv.org.
    11. Zhang, Bangzheng & Wei, Yu & Yu, Jiang & Lai, Xiaodong & Peng, Zhenfeng, 2014. "Forecasting VaR and ES of stock index portfolio: A Vine copula method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 112-124.
    12. Wanling Huang & André Varella Mollick & Khoa Huu Nguyen, 2017. "Dynamic responses and tail-dependence among commodities, the US real interest rate and the dollar," Empirical Economics, Springer, vol. 53(3), pages 959-997, November.
    13. Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2017. "Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios," European Journal of Operational Research, Elsevier, vol. 259(3), pages 1121-1131.
    14. Jamie Alcock & Petra Andrlikova, 2018. "Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 183-216, February.
    15. Pérez-Rodríguez, Jorge V. & Ledesma-Rodríguez, Francisco & Santana-Gallego, María, 2015. "Testing dependence between GDP and tourism's growth rates," Tourism Management, Elsevier, vol. 48(C), pages 268-282.
    16. Huang, Wanling & Mollick, André Varella & Nguyen, Khoa Huu, 2016. "U.S. stock markets and the role of real interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 231-242.
    17. Kjersti Aas, 2016. "Pair-Copula Constructions for Financial Applications: A Review," Econometrics, MDPI, Open Access Journal, vol. 4(4), pages 1-15, October.
    18. Bekiros, Stelios & Hernandez, Jose Arreola & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2015. "Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios," Resources Policy, Elsevier, vol. 46(P2), pages 1-11.
    19. Stübinger, Johannes & Mangold, Benedikt & Krauss, Christopher, 2016. "Statistical arbitrage with vine copulas," FAU Discussion Papers in Economics 11/2016, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    20. Sukcharoen, Kunlapath & Leatham, David J., 2017. "Hedging downside risk of oil refineries: A vine copula approach," Energy Economics, Elsevier, vol. 66(C), pages 493-507.
    21. Reboredo, Juan C. & Ugolini, Andrea, 2015. "A vine-copula conditional value-at-risk approach to systemic sovereign debt risk for the financial sector," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 98-123.

  6. Jamie Alcock & Frank Finn & Kelvin Jui Keng Tan, 2012. "The determinants of debt maturity in Australian firms," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 52(2), pages 313-341, June.

    Cited by:

    1. Orman, Cüneyt & Köksal, Bülent, 2017. "Debt maturity across firm types: Evidence from a major developing economy," Emerging Markets Review, Elsevier, vol. 30(C), pages 169-199.
    2. Jamie Alcock & Eva Steiner & Kelvin Tan, 2014. "Joint Leverage and Maturity Choices in Real Estate Firms: The Role of the REIT Status," The Journal of Real Estate Finance and Economics, Springer, vol. 48(1), pages 57-78, January.
    3. Cuneyt Orman & Bulent Koksal, 2015. "Structure of Debt Maturity across Firm Types," Working Papers 1521, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    4. Kelvin Jui Keng Tan, 2017. "Why Do Overconfident REIT CEOs Issue More Debt? Mechanisms and Value Implications," Abacus, Accounting Foundation, University of Sydney, vol. 53(3), pages 319-348, September.
    5. Huang, Ronghong & Tan, Kelvin Jui Keng & Faff, Robert W., 2016. "CEO overconfidence and corporate debt maturity," Journal of Corporate Finance, Elsevier, vol. 36(C), pages 93-110.
    6. Jamie Alcock & Eva Steiner, 2017. "The Interrelationships between REIT Capital Structure and Investment," Abacus, Accounting Foundation, University of Sydney, vol. 53(3), pages 371-394, September.
    7. Kelvin Jui Keng Tan & Jia Min Lee & Robert W. Faff & Kathy Walsh, 2016. "Short-selling pressure and last-resort debt finance: evidence from 144A high-yield risk-adjusted debt," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(4), pages 1149-1185, December.
    8. Orman, Cüneyt & Bülent, Köksal, 2015. "Structure of Debt Maturity across the Firm Type Spectrum," MPRA Paper 64860, University Library of Munich, Germany.
    9. Bobinaite, Viktorija, 2015. "Financial sustainability of wind electricity sectors in the Baltic States," Renewable and Sustainable Energy Reviews, Elsevier, vol. 47(C), pages 794-815.
    10. Esther Hormiga & Petra Saá-Pérez & Nieves L. Díaz-Díaz & José Luis Ballesteros-Rodríguez & Inmaculada Aguiar-Diaz, 2017. "The influence of entrepreneurial orientation on the performance of academic research groups: the mediating role of knowledge sharing," The Journal of Technology Transfer, Springer, vol. 42(1), pages 10-32, February.

  7. Jamie Alcock & Diana Auerswald, 2010. "Empirical tests of canonical nonparametric American option‐pricing methods," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(6), pages 509-532, June.

    Cited by:

    1. Yu, Xisheng & Xie, Xiaoke, 2015. "Pricing American options: RNMs-constrained entropic least-squares approach," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 155-173.
    2. Liu, Yanxin & Li, Johnny Siu-Hang & Ng, Andrew Cheuk-Yin, 2015. "Option pricing under GARCH models with Hansen's skewed-t distributed innovations," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 108-125.

  8. Jamie Alcock & Sophie Cockcroft & Frank Finn, 2008. "Quantifying the advantage of secondary mathematics study for accounting and finance undergraduates," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(5), pages 697-718.

    Cited by:

    1. Averil Cook, 2010. "Improving the Success Rate in Statistics," Discussion Papers Series 415, School of Economics, University of Queensland, Australia.
    2. Hunjra, Ahmed Imran & Rehman, Kashif-Ur- & Ahmad, Abrar & Safwan, Nadeem & Rehman, Ijaz-Ur, 2009. "Factors explaining the choice of finance major: students’ perception towards finance profession," MPRA Paper 40687, University Library of Munich, Germany.

  9. Jamie Alcock & Trent Carmichael, 2008. "Nonparametric American option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(8), pages 717-748, August.

    Cited by:

    1. Yu, Xisheng & Xie, Xiaoke, 2015. "Pricing American options: RNMs-constrained entropic least-squares approach," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 155-173.
    2. Walker, Todd B & Haley, M. Ryan, 2009. "Alternative Tilts for Nonparametric Option Pricing," MPRA Paper 17140, University Library of Munich, Germany.
    3. Liu, Yanxin & Li, Johnny Siu-Hang & Ng, Andrew Cheuk-Yin, 2015. "Option pricing under GARCH models with Hansen's skewed-t distributed innovations," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 108-125.

  10. Anthony Hatherley & Jamie Alcock, 2007. "Portfolio construction incorporating asymmetric dependence structures: a user's guide," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 47(3), pages 447-472.

    Cited by:

    1. Jian Zhou & Yanmin Gao, 2012. "Tail Dependence in International Real Estate Securities Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 128-151, June.
    2. Zhichao Zhang & Li Ding & Fan Zhang & Zhuang Zhang, 2015. "Optimal Currency Composition for China's Foreign Reserves: A Copula Approach," The World Economy, Wiley Blackwell, vol. 38(12), pages 1947-1965, December.
    3. Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy, 2013. "Canonical vine copulas in the context of modern portfolio management: Are they worth it?," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3085-3099.
    4. Peter Christoffersen & Hugues Langlois, 2011. "The Joint Dynamics of Equity Market Factors," CREATES Research Papers 2011-45, Department of Economics and Business Economics, Aarhus University.
    5. Larsen, Ryan A. & Leatham, David J. & Mjelde, James W. & Wolfley, Jared L., 2008. "Geographical Diversification: An Application of Copula Based CVaR," Proceedings:2008 Agricultural and Rural Finance Markets in Transition, September 25-26, 2008, Kansas City, Missouri 119533, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
    6. Eva Steiner & Jamie Alcock, 2011. "New Evidence on asymmetric dependence in the returns from U.S. Real Estate Estate Investment Trusts," ERES eres2011_161, European Real Estate Society (ERES).
    7. Jamie Alcock & Petra Andrlikova, 2018. "Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 183-216, February.
    8. Larsen, Ryan A. & Vedenov, Dmitry V. & Leatham, David J., 2009. "Enterprise-level risk assessment of geographically diversified commercial farms: a copula approach," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 46763, Southern Agricultural Economics Association.

  11. Alcock, Jamie & Gray, Philip, 2005. "Dynamic, nonparametric hedging of European style contingent claims using canonical valuation," Finance Research Letters, Elsevier, vol. 2(1), pages 41-50, March.

    Cited by:

    1. Smith, Godfrey, 2013. "Simulated testing of nonparametric measure changes for hedging European options," Finance Research Letters, Elsevier, vol. 10(2), pages 93-101.
    2. Yuji Yamada, 2012. "Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(2), pages 149-179, May.

  12. Jamie Alcock & Philip Gray, 2005. "Forecasting Stock Returns Using Model-Selection Criteria," The Economic Record, The Economic Society of Australia, vol. 81(253), pages 135-151, June.

    Cited by:

    1. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2014. "The international business cycle and gold-price fluctuations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 292-305.
    2. Rohloff, Sebastian & Pierdzioch, Christian & Risse, Marian, 2014. "Fluctuations of the Real Exchange Rate, Real Interest Rates, and the Dynamics of the Price of Gold in a Small Open Economy," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100429, Verein für Socialpolitik / German Economic Association.

  13. Alcock, Jamie & Docwra, George, 2005. "A simulation analysis of the market effect of the Australian Broadcasting Corporation," Information Economics and Policy, Elsevier, vol. 17(4), pages 407-427, October.

    Cited by:

    1. Barros, Carlos Pestana & Prieto-Rodriguez, Juan, 2008. "A revenue-neutral tax reform to increase demand for public transport services," Transportation Research Part A: Policy and Practice, Elsevier, vol. 42(4), pages 659-672, May.
    2. Miguel González-Maestre & Francisco Martínez-Sánchez, 2015. "Quality choice and advertising regulation in broadcasting markets," Journal of Economics, Springer, vol. 114(2), pages 107-126, March.
    3. Miguel González-Maestre & Francisco Martínez-Sánchez, 2014. "The role of platform quality and publicly owned platforms in the free-to-air broadcasting industry," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 5(1), pages 105-124, March.

  14. Alcock, Jamie & Burrage, Kevin, 2004. "A genetic estimation algorithm for parameters of stochastic ordinary differential equations," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 255-275, September.

    Cited by:

    1. Winker, Peter & Gilli, Manfred, 2004. "Applications of optimization heuristics to estimation and modelling problems," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 211-223, September.
    2. Gimeno, Ricardo & Nave, Juan M., 2009. "A genetic algorithm estimation of the term structure of interest rates," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2236-2250, April.
    3. Kapetanios, George & Marcellino, Massimiliano & Papailias, Fotis, 2016. "Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 369-382.
    4. Manfred GILLI & Peter WINKER, "undated". "A review of heuristic optimization methods in econometrics," Swiss Finance Institute Research Paper Series 08-12, Swiss Finance Institute.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. No paper was announced in a field specific NEP report

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