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Philip Alexander Stork

Personal Details

First Name:Philip
Middle Name:Alexander
Last Name:Stork
Suffix:
RePEc Short-ID:pst361
+31205983651

Affiliation

(50%) School of Business and Economics
Vrije Universiteit Amsterdam

Amsterdam, Netherlands
http://sbe.vu.nl/

:


RePEc:edi:fewvunl (more details at EDIRC)

(50%) Tinbergen Instituut

Amsterdam, Netherlands
http://www.tinbergen.nl/

: +31 (0)20 598 4580

Gustav Mahlerplein 117, 1082 MS Amsterdam
RePEc:edi:tinbenl (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017. "Single stock call options as lottery tickets," CFS Working Paper Series 566, Center for Financial Studies (CFS).
  2. Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017. "Implied volatility sentiment: A tale of two tails," CFS Working Paper Series 565, Center for Financial Studies (CFS).
  3. Luiz Felix & Roman Kraussl & Philip Stork, 2016. "Single Stock Call Options as Lottery Tickets - Overpricing and Investor Sentiment," Tinbergen Institute Discussion Papers 16-022/IV, Tinbergen Institute, revised 26 Jan 2018.
  4. Koedijk, Kees & Slager, Alfred & Stork, Philip, 2015. "Investing in Systematic Factor Premiums," CEPR Discussion Papers 10824, C.E.P.R. Discussion Papers.
  5. Roman Kräussl & Luiz Félix & Philip Stork, 2014. "The 2011 European Short Sale Ban: An Option Market Perspective," LSF Research Working Paper Series 14-02, Luxembourg School of Finance, University of Luxembourg.
  6. Maarten van Oordt & Philip Stork & Casper de Vries, 2013. "On agricultural commodities' extreme price risk," DNB Working Papers 403, Netherlands Central Bank, Research Department.
  7. Amelia Pais & Philip A. Stork, 2013. "Short-Selling, Leverage and Systemic Risk," Tinbergen Institute Discussion Papers 13-186/IV/DSF68, Tinbergen Institute.
  8. Félix, Luiz & Kräussl, Roman & Stork, Philip, 2013. "The 2011 European short sale ban on financial stocks: A cure or a curse?," CFS Working Paper Series 2013/17, Center for Financial Studies (CFS).
  9. Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2011. "Risk measures for autocorrelated hedge fund returns," Temi di discussione (Economic working papers) 831, Bank of Italy, Economic Research and International Relations Area.
  10. Koedijk, K.G. & Stork, P.A. & de Vries, C., 1994. "Between Realignments and Intervention: the Belgian Franc in the European Monetary System," Papers 94-001, Purdue University, Krannert School of Management - Center for International Business Education and Research (CIBER).
  11. Stork, P. & Viaene, J.M., 1991. "Policy Optimization Using a Lexicographic Preference Ordering," Papers 9106-g, Erasmus University of Rotterdam - Institute for Economic Research.

Articles

  1. Félix, Luiz & Kräussl, Roman & Stork, Philip, 2016. "The 2011 European short sale ban: A cure or a curse?," Journal of Financial Stability, Elsevier, vol. 25(C), pages 115-131.
  2. Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2015. "Risk Measures for Autocorrelated Hedge Fund Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 13(4), pages 868-895.
  3. Sherry Bartz & Alexander Molchanov & Philip Stork, 2013. "When a celebrity endorser is disgraced: A twenty-five-year event study," Marketing Letters, Springer, vol. 24(2), pages 131-141, June.
  4. Gregory-Allen, Russell & Lu, Helen & Stork, Philip, 2012. "Asymmetric extreme tails and prospective utility of momentum returns," Economics Letters, Elsevier, vol. 117(1), pages 295-297.
  5. Pais, Amelia & Stork, Philip A., 2012. "Short-selling bans and contagion risk," Journal of Financial Transformation, Capco Institute, vol. 35, pages 109-122.
  6. Pais, Amelia & Stork, Philip A., 2011. "Contagion risk in the Australian banking and property sectors," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 681-697, March.
  7. Philip A. Stork, 2011. "The intertemporal mechanics of European stock price momentum," Studies in Economics and Finance, Emerald Group Publishing, vol. 28(3), pages 217-232, August.
  8. Haina Ding & Alexander Molchanov & Philip Stork, 2011. "The value of celebrity endorsements: A stock market perspective," Marketing Letters, Springer, vol. 22(2), pages 147-163, June.
  9. Kees G. Koedijk & Philip A. Stork & Casper G. De Vries, 1998. "An EMS target zone model in discrete time," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(1), pages 31-48.
  10. Koedijk, Kees G. & Mizrach, Bruce & Stork, Philip A. & de Vries, Casper G., 1995. "New evidence on the effectiveness of foreign exchange market intervention," European Economic Review, Elsevier, vol. 39(3-4), pages 501-508, April.
  11. Koedijk, Kees G. & Stork, Philip A., 1994. "Should we care? psychological barriers in stock markets," Economics Letters, Elsevier, vol. 44(4), pages 427-432, April.
  12. Koedijk, Kees G. & Stork, Philip A. & de Vries, Casper G., 1992. "Differences between foreign exchange rate regimes: The view from the tails," Journal of International Money and Finance, Elsevier, vol. 11(5), pages 462-473, October.
  13. Stork, P. & Viaene, J. -M., 1992. "Policy optimization by lexicographic preference ordering," Journal of Policy Modeling, Elsevier, vol. 14(5), pages 655-673, October.

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

  1. Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017. "Single stock call options as lottery tickets," CFS Working Paper Series 566, Center for Financial Studies (CFS).

    Cited by:

    1. Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017. "Implied volatility sentiment: A tale of two tails," CFS Working Paper Series 565, Center for Financial Studies (CFS).

  2. Roman Kräussl & Luiz Félix & Philip Stork, 2014. "The 2011 European Short Sale Ban: An Option Market Perspective," LSF Research Working Paper Series 14-02, Luxembourg School of Finance, University of Luxembourg.

    Cited by:

    1. Ferrari, Massimo & Guagliano, Claudia & Mazzacurati, Julien, 2017. "Collateral scarcity premia in euro area repo markets," ESRB Working Paper Series 55, European Systemic Risk Board.

  3. Maarten van Oordt & Philip Stork & Casper de Vries, 2013. "On agricultural commodities' extreme price risk," DNB Working Papers 403, Netherlands Central Bank, Research Department.

    Cited by:

    1. Just, Małgorzata & Śmiglak-Krajewska, Magdalena, 5. "Extreme Price Risk On The Market Of Rapeseeds And Processed Rapeseed Products In Poland," Roczniki (Annals), Polish Association of Agricultural Economists and Agribusiness - Stowarzyszenie Ekonomistow Rolnictwa e Agrobiznesu (SERiA), issue 5.
    2. Just, Małgorzata & Śmiglak-Krajewska, Magdalena, 2015. "Extreme Price Risk on the Market of Soybean Meal," Problems of World Agriculture / Problemy Rolnictwa Åšwiatowego, WydziaÅ‚ Nauk Ekonomicznych, Uniwersytet Warszawski, vol. 15(30).

  4. Amelia Pais & Philip A. Stork, 2013. "Short-Selling, Leverage and Systemic Risk," Tinbergen Institute Discussion Papers 13-186/IV/DSF68, Tinbergen Institute.

    Cited by:

    1. Tolga Umut Kuzubas & Burak Saltoglu & Can Sever, 2014. "Systemic Risk and Heterogeneous Leverage in Banking Network: Implications for Banking Regulation," Working Papers 2014/01, Bogazici University, Department of Economics.

Articles

  1. Félix, Luiz & Kräussl, Roman & Stork, Philip, 2016. "The 2011 European short sale ban: A cure or a curse?," Journal of Financial Stability, Elsevier, vol. 25(C), pages 115-131.

    Cited by:

    1. Alessandro Beber & Daniela Fabbri & Marco Pagano & Saverio Simonelli, 2016. "Short-Selling Bans and Bank Stability," EIEF Working Papers Series 1604, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2017.
    2. Luiz Felix & Roman Kraussl & Philip Stork, 2016. "Single Stock Call Options as Lottery Tickets - Overpricing and Investor Sentiment," Tinbergen Institute Discussion Papers 16-022/IV, Tinbergen Institute, revised 26 Jan 2018.
    3. Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017. "Single stock call options as lottery tickets," CFS Working Paper Series 566, Center for Financial Studies (CFS).
    4. Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.

  2. Gregory-Allen, Russell & Lu, Helen & Stork, Philip, 2012. "Asymmetric extreme tails and prospective utility of momentum returns," Economics Letters, Elsevier, vol. 117(1), pages 295-297.

    Cited by:

    1. Koedijk, Kees & Slager, Alfred & Stork, Philip, 2015. "Investing in Systematic Factor Premiums," CEPR Discussion Papers 10824, C.E.P.R. Discussion Papers.
    2. Saralees Nadarajah & Emmanuel Afuecheta & Stephen Chan, 2015. "GARCH modeling of five popular commodities," Empirical Economics, Springer, vol. 48(4), pages 1691-1712, June.

  3. Pais, Amelia & Stork, Philip A., 2012. "Short-selling bans and contagion risk," Journal of Financial Transformation, Capco Institute, vol. 35, pages 109-122.

    Cited by:

    1. Amelia Pais & Philip A. Stork, 2013. "Short-Selling, Leverage and Systemic Risk," Tinbergen Institute Discussion Papers 13-186/IV/DSF68, Tinbergen Institute.

  4. Pais, Amelia & Stork, Philip A., 2011. "Contagion risk in the Australian banking and property sectors," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 681-697, March.

    Cited by:

    1. Fedorova, Elena, 2011. "Transfer of financial risk in emerging eastern European stock markets : A sectoral perspective," BOFIT Discussion Papers 24/2011, Bank of Finland, Institute for Economies in Transition.
    2. Straetmans, Stefan & Chaudhry, Sajid M., 2015. "Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis," Journal of International Money and Finance, Elsevier, vol. 58(C), pages 191-223.
    3. Leila Gharbi & Khamoussi Halioui, 2011. "La juste valeur des instruments financiers : Un nouveau canal de contagion ?," Post-Print hal-00650435, HAL.
    4. Bandyopadhyay, Satiprasad & Jha, Ranjini & Kennedy, Duane, 2017. "The effect of the US subprime crisis on Canadian banks," Advances in accounting, Elsevier, vol. 36(C), pages 58-74.
    5. Paolo Emilio Mistrulli, 2007. "Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns," Temi di discussione (Economic working papers) 641, Bank of Italy, Economic Research and International Relations Area.
    6. Lee, Chien-Chiang & Lee, Chi-Chuan & Zeng, Jhih-Hong & Hsu, Yu-Ling, 2017. "Peer bank behavior, economic policy uncertainty, and leverage decision of financial institutions," Journal of Financial Stability, Elsevier, vol. 30(C), pages 79-91.
    7. Eli Beracha & Hilla Skiba, 2013. "Findings from a Cross-Sectional Housing Risk-Factor Model," The Journal of Real Estate Finance and Economics, Springer, vol. 47(2), pages 289-309, August.
    8. Amelia Pais & Philip A. Stork, 2013. "Short-Selling, Leverage and Systemic Risk," Tinbergen Institute Discussion Papers 13-186/IV/DSF68, Tinbergen Institute.
    9. María Rodríguez-Moreno & Sergio Mayordomo & Juan Ignacio Peña, 2012. "Derivatives Holdings and Systemic Risk in the U.S. Banking Sector," Faculty Working Papers 21/12, School of Economics and Business Administration, University of Navarra.
    10. Maarten R.C. van Oordt & Chen Zhou, 2011. "The simple econometrics of tail dependence," DNB Working Papers 296, Netherlands Central Bank, Research Department.
    11. Salim, Ruhul & Arjomandi, Amir & Seufert, Juergen Heinz, 2016. "Does corporate governance affect Australian banks' performance?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 113-125.
    12. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2015. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 71-79.
    13. Yang, Hsin-Feng & Liu, Chih-Liang & Chou, Ray Yeutien, 2014. "Interest rate risk propagation: Evidence from the credit crunch," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 242-264.
    14. Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, vol. 25(3), pages 521-570, July.
    15. Chang, Guang-Di & Chen, Chia-Shih, 2014. "Evidence of contagion in global REITs investment," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 148-158.
    16. Wang, Yi-Chen & Wang, Ching-Wen & Huang, Chia-Hsing, 2015. "The impact of unconventional monetary policy on the tail risks of stock markets between U.S. and Japan," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 41-51.
    17. Akhter, Selim & Daly, Kevin, 2017. "Contagion risk for Australian banks from global systemically important banks: Evidence from extreme events," Economic Modelling, Elsevier, vol. 63(C), pages 191-205.
    18. Hilal, Sawsan & Poon, Ser-Huang & Tawn, Jonathan, 2011. "Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2374-2387, September.

  5. Haina Ding & Alexander Molchanov & Philip Stork, 2011. "The value of celebrity endorsements: A stock market perspective," Marketing Letters, Springer, vol. 22(2), pages 147-163, June.

    Cited by:

    1. Juan Nicolau & María Santa-María, 2013. "Celebrity endorsers' performance on the “ground” and on the “floor”," Marketing Letters, Springer, vol. 24(2), pages 143-149, June.
    2. Zamudio, César, 2016. "Matching with the stars: How brand personality determines celebrity endorsement contract formation," International Journal of Research in Marketing, Elsevier, vol. 33(2), pages 409-427.
    3. Junzhou Zhang & Lei Huang, 2018. "Loss or gain? The impact of Chinese local celebrity endorser scandal on the global market value of the endorsed brands," Journal of Marketing Analytics, Palgrave Macmillan, vol. 6(1), pages 27-39, March.
    4. Karasiewicz Grzegorz & Kowalczuk Martyna, 2014. "Effect of Celebrity Endorsement in Advertising Activities by Product Type," International Journal of Management and Economics, De Gruyter Open, vol. 44(1), pages 74-91, December.
    5. Sherry Bartz & Alexander Molchanov & Philip Stork, 2013. "When a celebrity endorser is disgraced: A twenty-five-year event study," Marketing Letters, Springer, vol. 24(2), pages 131-141, June.
    6. Frank TENKORANG & Bree L. DORITY & Eddery LAM, 2014. "Nba Endgame: Do Salaries Matter?," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 14, pages 51-62, December.
    7. Chien-Wei Chen & Min-Hsien Chiang & Chi-Lin Yang, 2014. "New product preannouncements, advertising investments, and stock returns," Marketing Letters, Springer, vol. 25(2), pages 207-218, June.
    8. Dirk F. Gerritsen & Saskia van Rheenen, 2017. "The value of winning: endorsement returns in individual sports," Marketing Letters, Springer, vol. 28(3), pages 371-384, September.

  6. Kees G. Koedijk & Philip A. Stork & Casper G. De Vries, 1998. "An EMS target zone model in discrete time," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(1), pages 31-48.

    Cited by:

    1. Forbes, C.S. & Kofman, P., 2000. "Bayesian Soft Target Zones," Monash Econometrics and Business Statistics Working Papers 4/00, Monash University, Department of Econometrics and Business Statistics.
    2. Francisco J. Ruge-Murcia, 2000. "Uncovering financial markets' beliefs about inflation targets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 483-512.
    3. Oleg Korenok & Stanislav Radchenko, 2005. "The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications," Working Papers 0505, VCU School of Business, Department of Economics.
    4. Pesaran, M.H. & Samiei, H., 1993. "Limited-Dependaent Rational Expectations Models with Future Expectations," Cambridge Working Papers in Economics 9321, Faculty of Economics, University of Cambridge.
    5. Darvas, Zsolt, 1999. "Az árfolyamsávok empirikus modelljei és a devizaárfolyam sávon belüli előrejelezhetetlensége
      [Empirical models of exchange rate target zones]
      ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 507-529.
    6. Vlaar, P. J. G. & Palm, F. C., 1997. "Inflation differentials and excess returns in the European Monetary System," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 1-20, April.
    7. Neely, Christopher J., 1999. "Target zones and conditional volatility: The role of realignments," Journal of Empirical Finance, Elsevier, vol. 6(2), pages 177-192, April.
    8. Catherine S. Forbes & Paul Kofman, 2000. "Bayesian Target Zones," Econometric Society World Congress 2000 Contributed Papers 0575, Econometric Society.
    9. Peter Carr & Zura Kakushadze, 2015. "FX Options in Target Zone," Papers 1512.01527, arXiv.org, revised Jul 2016.
    10. Anthony D. Hall & Paul Kofman & Ron Guido, 1998. "Limits to Linear Price Behaviour: Target Zones for Futures Prices Regulated By Limits," Research Paper Series 3, Quantitative Finance Research Centre, University of Technology, Sydney.
    11. Beum-Jo Park, 2002. "Asymmetric Volatility of Exchange Rate Returns Under The EMS: Some Evidence From Quantile Regression Approach for Tgarch Models," International Economic Journal, Taylor & Francis Journals, vol. 16(1), pages 105-125.
    12. M. Hashem Pesaran & Francisco J. Ruge-Murcia, 1996. "Limited-dependent rational expectations models with jumps," Discussion Paper / Institute for Empirical Macroeconomics 111, Federal Reserve Bank of Minneapolis.

  7. Koedijk, Kees G. & Mizrach, Bruce & Stork, Philip A. & de Vries, Casper G., 1995. "New evidence on the effectiveness of foreign exchange market intervention," European Economic Review, Elsevier, vol. 39(3-4), pages 501-508, April.

    Cited by:

    1. Ken Miyajima, 2013. "Foreign exchange intervention and expectation in emerging economies," BIS Working Papers 414, Bank for International Settlements.
    2. Helmut Stix, 2007. "Impact of Central Bank Intervention during Periods of Speculative Pressure: Evidence from the European Monetary System," German Economic Review, Verein für Socialpolitik, vol. 8, pages 399-427, August.

  8. Koedijk, Kees G. & Stork, Philip A., 1994. "Should we care? psychological barriers in stock markets," Economics Letters, Elsevier, vol. 44(4), pages 427-432, April.

    Cited by:

    1. Pierdzioch, Christian, 2000. "Noise Traders? Trigger Rates, FX Options, and Smiles," Kiel Working Papers 970, Kiel Institute for the World Economy (IfW).
    2. Brian Lucey & Raj Aggarwal, 2005. "Psychological Barriers in Gold Prices," The Institute for International Integration Studies Discussion Paper Series iiisdp053, IIIS.
    3. Sonnemans, Joep, 2006. "Price clustering and natural resistance points in the Dutch stock market: A natural experiment," European Economic Review, Elsevier, vol. 50(8), pages 1937-1950, November.
    4. Carrera, César, 2015. "Tracking exchange rate management in Latin America," Review of Financial Economics, Elsevier, vol. 25(C), pages 35-41.
    5. Dorfleitner, Gregor & Klein, Christian, 2009. "Psychological barriers in European stock markets: Where are they?," Global Finance Journal, Elsevier, vol. 19(3), pages 268-285.
    6. Eduardo Ley, 1995. "On the Peculiar Distribution of the U.S. Stock Indeces' Digits," Finance 9503002, EconWPA.
    7. De Ceuster, Marc J. K. & Dhaene, Geert & Schatteman, Tom, 1998. "On the hypothesis of psychological barriers in stock markets and Benford's Law," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 263-279, September.
    8. Carrera, César, 2014. "Tracking the Exchange Rate Management in Latin America," Working Papers 2014-020, Banco Central de Reserva del Perú.
    9. Chris Doucouliagos, 2005. "Price exhaustion and number preference: time and price confluence in Australian stock prices," The European Journal of Finance, Taylor & Francis Journals, vol. 11(3), pages 207-221.
    10. Cyree, Ken B. & Domian, Dale L. & Louton, David A. & Yobaccio, Elizabeth J., 1999. "Evidence of psychological barriers in the conditional moments of major world stock indices," Review of Financial Economics, Elsevier, vol. 8(1), pages 73-91, June.
    11. Li, Jun & Yu, Jianfeng, 2012. "Investor attention, psychological anchors, and stock return predictability," Journal of Financial Economics, Elsevier, vol. 104(2), pages 401-419.
    12. Hristos Doucouliagos, 2004. "Number preference in Australian stocks," Applied Financial Economics, Taylor & Francis Journals, vol. 14(1), pages 43-54.
    13. Brown, Philip & Mitchell, Jason, 2008. "Culture and stock price clustering: Evidence from The Peoples' Republic of China," Pacific-Basin Finance Journal, Elsevier, vol. 16(1-2), pages 95-120, January.
    14. Lucey, Michael E. & O'Connor, Fergal A., 2016. "Mind the gap: Psychological barriers in gold and silver prices," Finance Research Letters, Elsevier, vol. 17(C), pages 135-140.
    15. Joep Sonnemans, 2003. "Price Clustering and Natural Resistance Points in the Dutch Stock Market," Tinbergen Institute Discussion Papers 03-043/1, Tinbergen Institute.
    16. Woodhouse, Sam Alan & Singh, Harminder & Bhattacharya, Sukanto & Kumar, Kuldeep, 2016. "Invisible walls: Do psychological barriers really exist in stock index levels?," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 267-278.
    17. Aragon, George O. & Dieckmann, Stephan, 2011. "Stock market trading activity and returns around milestones," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 570-584, September.
    18. Brown, Philip & Chua, Angeline & Mitchell, Jason, 2002. "The influence of cultural factors on price clustering: Evidence from Asia-Pacific stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 10(3), pages 307-332, June.
    19. Mitchell, Jason & Izan, H.Y., 2006. "Clustering and psychological barriers in exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 318-344, October.
    20. Gyamfi-Yeboah, Frank & Ling, David C. & Naranjo, Andy, 2012. "Information, uncertainty, and behavioral effects: Evidence from abnormal returns around real estate investment trust earnings announcements," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1930-1952.

  9. Koedijk, Kees G. & Stork, Philip A. & de Vries, Casper G., 1992. "Differences between foreign exchange rate regimes: The view from the tails," Journal of International Money and Finance, Elsevier, vol. 11(5), pages 462-473, October.

    Cited by:

    1. Lera, Sandro Claudio & Sornette, Didier, 2016. "Quantitative modelling of the EUR/CHF exchange rate during the target zone regime of September 2011 to January 2015," Journal of International Money and Finance, Elsevier, vol. 63(C), pages 28-47.
    2. Cem PAYASLIOGLU, "undated". "A Tail Index Tour across Foreign Exchange Regimes in Turkey," Middle East and North Africa 330400049, EcoMod.
    3. Kai-Li Wang & Christopher Fawson & Christopher B. Barrett & James B. McDonald, 2001. "A flexible parametric GARCH model with an application to exchange rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 521-536.
    4. Andrea Pescatori & Amadou N R Sy, 2007. "Are Debt Crises Adequately Defined?," IMF Staff Papers, Palgrave Macmillan, vol. 54(2), pages 306-337, June.
    5. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
    6. João Nicolau & Paulo M.M. Rodrigues, 2015. "A New Regression-Based Tail Index Estimator: An Application to Exchange Rates," Working Papers w201514, Banco de Portugal, Economics and Research Department.
    7. Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW).
    8. Ibragimov Marat & Khamidov Rufat, 2010. "Heavy-Tailedness and Volatility in Emerging Foreign Exchange Markets: Theory and Empirics," EERC Working Paper Series 10/06e, EERC Research Network, Russia and CIS.
    9. Phornchanok Cumperayot, 2015. "Stability of Thai Baht: Tales from the Tails," PIER Discussion Papers 1., Puey Ungphakorn Institute for Economic Research, revised Sep 2015.
    10. De Grauwe, Paul & Grimaldi, Marianna, 2005. "Heterogeneity of agents, transactions costs and the exchange rate," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 691-719, April.
    11. Broussard, John Paul & Booth, G. Geoffrey, 1998. "The behavior of extreme values in Germany's stock index futures: An application to intradaily margin setting," European Journal of Operational Research, Elsevier, vol. 104(3), pages 393-402, February.
    12. Reza Siregar & Victor Pontines, 2005. "Incidence of Speculative Attacks on Rupiah During the Pre- and Post- 1997 Financial Crisis," School of Economics Working Papers 2005-07, University of Adelaide, School of Economics.
    13. Mohammad Karimi & Marcel-Cristian Voia, 2011. "Identifying Extreme Values of Exchange Market Pressure," Carleton Economic Papers 11-10, Carleton University, Department of Economics.
    14. Pontines, Victor & Siregar, Reza, 2007. "The Yen, the US dollar, and the trade weighted basket of currencies: Does the choice of anchor currencies matter in identifying incidences of speculative attacks?," Japan and the World Economy, Elsevier, vol. 19(2), pages 214-235, March.
    15. Engel, Charles & Hakkio, Craig S, 1996. "The Distribution of Exchange Rates in the EMS," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 1(1), pages 55-67, January.
    16. John Cotter, 2011. "Tail Behaviour of the Euro," Papers 1103.5418, arXiv.org.
    17. Lim, G. C. & Lye, J. N. & Martin, G. M. & Martin*, V. L., 1998. "The distribution of exchange rate returns and the pricing of currency options," Journal of International Economics, Elsevier, vol. 45(2), pages 351-368, August.
    18. Reza Siregar & Victor Pontines, 2004. "Successful and Unsuccessful Attacks: Evaluating the Stability of the East Asian Currencies," Centre for International Economic Studies Working Papers 2004-04, University of Adelaide, Centre for International Economic Studies.
    19. Gu, Zhiye & Ibragimov, Rustam, 2018. "The “Cubic Law of the Stock Returns” in emerging markets," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 182-190.
    20. De Grauwe, Paul & Rovira Kaltwasser, Pablo, 2012. "Animal spirits in the foreign exchange market," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1176-1192.
    21. Lestano & Jacobs, Jan P.A.M., 2004. "A comparison of currency crisis dating methods: East Asia 1970-2002," CCSO Working Papers 200412, University of Groningen, CCSO Centre for Economic Research.
    22. Ibragimov, Marat & Ibragimov, Rustam & Kattuman, Paul, 2013. "Emerging markets and heavy tails," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2546-2559.
    23. Pozo, Susan & Amuedo-Dorantes, Catalina, 2003. "Statistical distributions and the identification of currency crises," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 591-609, August.

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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 9 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. NEP-RMG: Risk Management (5) 2011-12-13 2013-11-22 2013-12-15 2014-11-12 2015-04-25. Author is listed
  2. NEP-FMK: Financial Markets (4) 2011-12-13 2013-11-22 2015-04-25 2017-02-05
  3. NEP-UPT: Utility Models & Prospect Theory (2) 2016-04-16 2017-02-05
  4. NEP-AGR: Agricultural Economics (1) 2013-12-15
  5. NEP-BAN: Banking (1) 2015-04-25
  6. NEP-CFN: Corporate Finance (1) 2015-04-25
  7. NEP-EEC: European Economics (1) 2013-11-22
  8. NEP-MST: Market Microstructure (1) 2013-11-22

Corrections

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