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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 & Eva Steiner, 2017. "The Interrelationships between REIT Capital Structure and Investment," Abacus, Accounting Foundation, University of Sydney, vol. 53(3), pages 371-394, September.
  3. Jamie Alcock & Anthony Hatherley, 2017. "Characterizing the Asymmetric Dependence Premium," Review of Finance, European Finance Association, vol. 21(4), pages 1701-1737.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  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, December.
  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, September.
  16. 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.
  17. 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.
  18. 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.
  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 & Anthony Hatherley, 2017. "Characterizing the Asymmetric Dependence Premium," Review of Finance, European Finance Association, vol. 21(4), pages 1701-1737.

    Cited by:

    1. Jamie Alcock & Eva Steiner, 2018. "Fundamental Drivers of Dependence in REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 57(1), pages 4-42, July.

  3. 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.

    Cited by:

    1. Yi Jiang & Stewart Jones, 2018. "Corporate distress prediction in China: a machine learning approach," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(4), pages 1063-1109, December.

  4. 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. Dong Chen & Yanmin Gao & Mayank Kaul, & Charles Ka Yui Leung & Desmond Tsang, 2015. "The Role of Sponsor and External Management on the Capital Structure of Asian-Pacific REITs: The Case of Australia, Japan, and Singapore," ISER Discussion Paper 0920, Institute of Social and Economic Research, Osaka University.
    2. 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.
    3. Robert W Faff & Stephen Gray & Kelvin Jui Keng Tan, 2016. "A contemporary view of corporate finance theory, empirical evidence and practice," Australian Journal of Management, Australian School of Business, vol. 41(4), pages 662-686, November.
    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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. Kenneth Yung & DeQing Diane Li & Qian Susan Sun, 2015. "CEO overconfidence and financial policies of real estate investment trusts (REITs)," Journal of Property Research, Taylor & Francis Journals, vol. 32(4), pages 384-406, December.

  5. 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. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
    2. Smith, Godfrey, 2013. "Simulated testing of nonparametric measure changes for hedging European options," Finance Research Letters, Elsevier, vol. 10(2), pages 93-101.

  6. 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. Maziar Sahamkhadam & Andreas Stephan, 2019. "Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for the financial crisis," Papers 1912.10328, arXiv.org.
    2. 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.
    3. Grover, Vaibhav, 2015. "Identifying Dependence Structure among Equities in Indian Markets using Copulas," MPRA Paper 66302, University Library of Munich, Germany.
    4. Cathy Ning & Dinghai Xu & Tony Wirjanto, 2014. "Is Volatility Clustering of Asset Returns Asymmetric?," Working Papers 050, Ryerson University, Department of Economics.
    5. 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.
    6. 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.
    7. Andreas Mühlbacher & Thomas Guhr, 2018. "Extreme Portfolio Loss Correlations in Credit Risk," Risks, MDPI, Open Access Journal, vol. 6(3), pages 1-25, July.
    8. 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.
    9. Joscha Beckmann & Theo Berger & Robert Czudaj, 2016. "Oil price and FX-rates dependency," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 477-488, March.
    10. 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.
    11. 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.
    12. Jules Clement Mba & Sutene Mwambi, 2020. "A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 199-214, June.
    13. 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.
    14. Giorgio Arici & Marco Dalai & Riccardo Leonardi & Arnaldo Spalvieri, 2018. "A Communication Theoretic Interpretation of Modern Portfolio Theory Including Short Sales, Leverage and Transaction Costs," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(1), pages 1-11, December.
    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. Manuel Denzer, 2019. "Estimating Causal Effects in Binary Response Models with Binary Endogenous Explanatory Variables - A Comparison of Possible Estimators," Working Papers 1916, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz.
    17. Jules Clement Mba & Edson Pindza & Ur Koumba, 2018. "A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(4), pages 399-418, November.
    18. Hossein Rad & Rand Kwong Yew Low & Robert Faff, 2016. "The profitability of pairs trading strategies: distance, cointegration and copula methods," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1541-1558, October.
    19. Waqas Hanif & Jose Arreola Hernandez & Perry Sadorsky & Seong-Min Yoon, 2020. "Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?," Post-Print hal-02567429, HAL.
    20. Mangold, Benedikt, 2017. "New concepts of symmetry for copulas," FAU Discussion Papers in Economics 06/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    21. Kumar, Satish & Tiwari, Aviral Kumar & Chauhan, Yogesh & Ji, Qiang, 2019. "Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 273-284.
    22. 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.
    23. Kjersti Aas, 2016. "Pair-Copula Constructions for Financial Applications: A Review," Econometrics, MDPI, Open Access Journal, vol. 4(4), pages 1-15, October.
    24. 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.
    25. Marcel Wollschlager & Rudi Schafer, 2015. "Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns," Papers 1506.08054, arXiv.org.
    26. Fernanda Maria Müller & Marcelo Brutti Righi, 2018. "Numerical comparison of multivariate models to forecasting risk measures," Risk Management, Palgrave Macmillan, vol. 20(1), pages 29-50, February.
    27. Yu, Jing-Rung & Paul Chiou, Wan-Jiun & Lee, Wen-Yi & Lin, Shun-Ji, 2020. "Portfolio models with return forecasting and transaction costs," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 118-130.
    28. 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.
    29. 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.
    30. Jorge V. Pérez-Rodríguez, 2020. "Another look at the implied and realised volatility relation: a copula-based approach," Risk Management, Palgrave Macmillan, vol. 22(1), pages 38-64, March.
    31. Sahamkhadam, Maziar & Stephan, Andreas & Östermark, Ralf, 2018. "Portfolio optimization based on GARCH-EVT-Copula forecasting models," International Journal of Forecasting, Elsevier, vol. 34(3), pages 497-506.
    32. Marwa Talbi & Rihab Bedoui & Christian de Peretti & Lotfi Belkacem, 2020. "Is the role of precious metals as precious as they are? Revisiting the role of precious metals for the G-7 stock markets: A multivariate vine copula and BiVaR approaches," Working Papers hal-01664146, HAL.
    33. Vahid Ranjbar & Gholamreza Hesamian, 2020. "Copula function for fuzzy random variables: applications in measuring association between two fuzzy random variables," Statistical Papers, Springer, vol. 61(1), pages 503-522, February.
    34. Beatrice D. Simo-Kengne & Kofi A. Ababio & Jules Mba & Ur Koumba, 2018. "Behavioral portfolio selection and optimization: an application to international stocks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(3), pages 311-328, August.
    35. Hossein Rad & Rand Low & Joelle Miffre & Robert Faff, 2020. "Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?," Post-Print hal-02868473, HAL.
    36. BenSaïda, Ahmed, 2018. "The contagion effect in European sovereign debt markets: A regime-switching vine copula approach," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 153-165.
    37. Manner, Hans & Alavi Fard, Farzad & Pourkhanali, Armin & Tafakori, Laleh, 2019. "Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae," Energy Economics, Elsevier, vol. 78(C), pages 143-164.
    38. 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.
    39. 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.
    40. 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.

  7. 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 & 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.
    3. Jamie Alcock & Eva Steiner, 2018. "Fundamental Drivers of Dependence in REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 57(1), pages 4-42, July.
    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. 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.
    6. 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.

  8. 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, 2017. "The Interrelationships between REIT Capital Structure and Investment," Abacus, Accounting Foundation, University of Sydney, vol. 53(3), pages 371-394, September.
    3. Cuneyt Orman & Bulent Koksal, 2015. "Structure Of Debt Maturity Across Firm Types," IPEK Working Papers 1504, Ipek University, Department of Economics.
    4. 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.
    5. Juhyun Jung & Kathleen Herbohn & Peter Clarkson, 2018. "Carbon Risk, Carbon Risk Awareness and the Cost of Debt Financing," Journal of Business Ethics, Springer, vol. 150(4), pages 1151-1171, July.
    6. Robert W Faff & Stephen Gray & Kelvin Jui Keng Tan, 2016. "A contemporary view of corporate finance theory, empirical evidence and practice," Australian Journal of Management, Australian School of Business, vol. 41(4), pages 662-686, November.
    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. Jorge A. Muñoz-Mendoza & Sandra M. Sepúlveda-Yelpo & Carmen L. Veloso-Ramos & Carlos L. Delgado-Fuentealba, 2019. "Effects of foreign ownership and International Financial Reporting Standards on debt maturity in Chilean firms," Estudios Gerenciales, Universidad Icesi, vol. 35(153), pages 416-428, December.
    9. Jorge A. Muñoz-Mendoza & Sandra M. Sepúlveda-Yelpo & Carmen L. Veloso-Ramos & Carlos L. Delgado-Fuentealba, 2019. "Effects of foreign ownership and International Financial Reporting Standards on debt maturity in Chilean firms," Estudios Gerenciales, Universidad Icesi, vol. 35(153), pages 416-428, December.
    10. Orman, Cüneyt & Bülent, Köksal, 2015. "Structure of Debt Maturity across the Firm Type Spectrum," MPRA Paper 64860, University Library of Munich, Germany.
    11. Jorge A. Muñoz Mendoza & Sandra M. Sepúlveda Yelpo & Carmen L. Veloso Ramos, 2019. "Non-linear Effects of Ownership Structure, Growth Opportunities and Leverage on Debt Maturity in Chilean Firms," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(1), pages 21-40, Enero-Mar.
    12. Phan, Quynh Trang, 2018. "Corporate debt and investment with financial constraints: Vietnamese listed firms," Research in International Business and Finance, Elsevier, vol. 46(C), pages 268-280.
    13. 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.
    14. 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.
    15. Yushu Zhu, 2017. "Call it good, bad or no news? The valuation effect of debt issues," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(4), pages 1203-1229, December.
    16. 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.
    17. Pan, Zheyao & Tan, Kelvin Jui Keng, 2019. "The role of blockholders in the corporate debt maturity structure," Economics Letters, Elsevier, vol. 185(C).
    18. Soon Suk Yoon & Hyo Jin Kim & Hongbok Lee & Doug Waggle, 2017. "Financing preferences: evidence from the Korean market," Applied Economics, Taylor & Francis Journals, vol. 49(44), pages 4501-4520, September.
    19. 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.

  9. 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.

    Cited by:

    1. Keith Anderson & Tomasz Zastawniak, 2017. "Glamour, value and anchoring on the changing /," The European Journal of Finance, Taylor & Francis Journals, vol. 23(5), pages 375-406, April.

  10. 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. Ye Du & Shan Xue & Yanchu Liu, 2019. "Robust upper bounds for American put options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 3-14, January.
    3. Weiping Li & Su Chen, 2018. "The Early Exercise Premium In American Options By Using Nonparametric Regressions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-29, November.
    4. 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.

  11. 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, December.

    Cited by:

    1. Nicola J. Beatson & David A. G. Berg & Jeffrey K. Smith, 2020. "The influence of self‐efficacy beliefs and prior learning on performance," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(2), pages 1271-1294, June.
    2. Averil Cook, 2010. "Improving the Success Rate in Statistics," Discussion Papers Series 415, School of Economics, University of Queensland, Australia.
    3. 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.
    4. Beatson, Nicola & Gabriel, Cle-Anne & Howell, Angela & Scott, Stephen & van der Meer, Jacques & Wood, Lincoln C., 2020. "Just opt in: How choosing to engage with technology impacts business students’ academic performance," Journal of Accounting Education, Elsevier, vol. 50(C).
    5. Paul Gerrans & Richard Heaney, 2019. "The impact of undergraduate personal finance education on individual financial literacy, attitudes and intentions," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(1), pages 177-217, March.

  12. 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. Weiping Li & Su Chen, 2018. "The Early Exercise Premium In American Options By Using Nonparametric Regressions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-29, November.
    4. 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.

  13. 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, September.

    Cited by:

    1. Rand Kwong Yew Low, 2018. "Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 423-463, November.
    2. 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).
    3. 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.
    4. 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.
    5. Jamie Alcock & Eva Steiner, 2018. "Fundamental Drivers of Dependence in REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 57(1), pages 4-42, July.
    6. Robert B. Durand & Markus Junker & Alex Szimayer, 2010. "The flight‐to‐quality effect: a copula‐based analysis," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(2), pages 281-299, June.
    7. Christoffersen, Peter & Langlois, Hugues, 2013. "The Joint Dynamics of Equity Market Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(5), pages 1371-1404, October.
    8. 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.
    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. 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. Larsen, Ryan A. & Leatham, David J. & Mjelde, James W. & Wolfley, Jared L., 2008. "Geographical Diversification: An Application of Copula Based CVaR," 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.

  14. 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. 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.
    2. Christian Pierdzioch & Daniel Hartmann, 2013. "Forecasting Eurozone real-estate returns," Applied Financial Economics, Taylor & Francis Journals, vol. 23(14), pages 1185-1196, July.
    3. 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.
    4. Philip Gray, 2008. "Economic significance of predictability in Australian equities," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(5), pages 783-805, December.

  15. 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. Francisco Martínez-Sánchez & Miguel González-Maestre, 2012. "Quality choice and advertising regulation in broadcasting markets," Working Papers. Serie AD 2012-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    2. 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.
    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.

  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.

    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.
    3. Barletta, Andrea & Santucci de Magistris, Paolo & Sloth, David, 2019. "It only takes a few moments to hedge options," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 251-269.

  17. 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. 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.
    2. 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.
    3. 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.
    4. Manfred GILLI & Peter WINKER, 2008. "A review of heuristic optimization methods in econometrics," Swiss Finance Institute Research Paper Series 08-12, Swiss Finance Institute.

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