Journal of Empirical Finance
2008, Volume 15, Issue 2
- 232-250 Noise trading and the price formation process
by Berkman, Henk & Koch, Paul D.
- 251-264 The factor structure of time-varying conditional volume
by Chang, Eric C. & Cheng, Joseph W. & Pinegar, J. Michael
- 265-286 Finite sample accuracy and choice of sampling frequency in integrated volatility estimation
by Nielsen, Morten Ørregaard & Frederiksen, Per
- 287-309 Increasing correlations or just fat tails?
by Campbell, Rachel A.J. & Forbes, Catherine S. & Koedijk, Kees G. & Kofman, Paul
- 310-331 Simulation-based pricing of convertible bonds
by Ammann, Manuel & Kind, Axel & Wilde, Christian
- 332-341 Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models
by Asai, Manabu
- 342-362 Estimation of an adaptive stock market model with heterogeneous agents
by Amilon, Henrik
2008, Volume 15, Issue 1
- 1-16 A functional approach to the price impact of stock trades and the implied true price
by Huang, Roger D. & Ting, Christopher
- 17-40 Why effective spreads on NASDAQ were higher than on the New York stock exchange in the 1990s
by Benston, George J. & Wood, Robert A.
- 41-63 Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution
by Choi, Pilsun & Nam, Kiseok
- 64-79 Volatility of stock price as predicted by patent data: An MGARCH perspective
by Chow, William W. & Fung, Michael K.
- 80-110 It takes a model to beat a model: Volatility bounds
by Liu, Ludan
- 111-130 The ordered qualitative model for credit rating transitions
by Feng, D. & Gourieroux, C. & Jasiak, J.
- 131-144 Volatility clustering and the bid-ask spread: Exchange rate behavior in early Renaissance Florence
by Booth, G. Geoffrey & Gurun, Umit G.
2007, Volume 14, Issue 5
- 590-610 Predictable behavior, profits, and attention
by Seasholes, Mark S. & Wu, Guojun
- 611-635 Is CEO certification of earnings numbers value-relevant?
by Bhattacharya, Utpal & Groznik, Peter & Haslem, Bruce
- 636-661 Order dynamics: Recent evidence from the NYSE
by Ellul, Andrew & Holden, Craig W. & Jain, Pankaj & Jennings, Robert
- 662-693 Rating mutual funds: Construction and information content of an investor-cost based rating of Danish mutual funds
by Bechmann, Ken L. & Rangvid, Jesper
- 694-717 Semiparametric estimation of a characteristic-based factor model of common stock returns
by Connor, Gregory & Linton, Oliver
- 718-735 Are ex[hyphen (true graphic)]day dividend clientele effects dead? Dividend yield versus dividend size
by Jakob, Keith J. & Ma, Tongshu
- 736-755 Are there Monday effects in stock returns: A stochastic dominance approach
by Cho, Young-Hyun & Linton, Oliver & Whang, Yoon-Jae
- 756-782 Modeling the Euro overnight rate
by Benito, Francis & Leon, Angel & Nave, Juan
- 783-817 Modelling multiple term structures of defaultable bonds with common and idiosyncratic state variables
by Lekkos, Ilias
- 818-835 A simulation estimator for testing the time homogeneity of credit rating transitions
by Kiefer, Nicholas M. & Larson, C. Erik
2007, Volume 14, Issue 4
- 443-464 International conditional asset allocation under specification uncertainty
by Barras, Laurent
- 465-498 International capital asset pricing: Evidence from options
by Mo, Henry & Wu, Liuren
- 499-522 Official interventions and the forward premium anomaly
by Mark, Nelson C. & Moh, Young-Kyu
- 523-545 Does the response of competitors to privatization announcements reflect competitive or industry-wide information effects? International evidence
by Otchere, Isaac
- 546-563 Indirect robust estimation of the short-term interest rate process
by Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio
- 564-583 Multivariate autoregressive modeling of time series count data using copulas
by Heinen, Andreas & Rengifo, Erick
2007, Volume 14, Issue 3
- 261-286 Sources of contrarian profits in the Japanese stock market
by Chou, Pin-Huang & Wei, K.C. John & Chung, Huimin
- 287-309 Are IPOs really overpriced?
by Zheng, Steven X.
- 310-332 When is inter-transaction time informative?
by Furfine, Craig
- 333-354 The implied volatility term structure of stock index options
by Mixon, Scott
- 355-382 The ex ante real rate and inflation premium under a habit consumption model
by Madureira, Leonardo
- 383-400 Portfolio selection with heavy tails
by Hyung, Namwon & de Vries, Casper G.
- 401-423 Measuring financial contagion: A Copula approach
by Rodriguez, Juan Carlos
- 424-442 Specification and estimation of discrete time quadratic stochastic volatility models
by Kawakatsu, Hiroyuki
2007, Volume 14, Issue 2
- 131-149 Bayesian inference for generalized linear mixed models of portfolio credit risk
by McNeil, Alexander J. & Wendin, Jonathan P.
- 150-167 Firm-level implications of early stage venture capital investment -- An empirical investigation
by Engel, Dirk & Keilbach, Max
- 168-195 On the premiums of iShares
by Delcoure, Natalya & Zhong, Maosen
- 196-219 The role of trades in price convergence: A study of dual-listed Canadian stocks
by Kaul, Aditya & Mehrotra, Vikas
- 220-247 Estimating the cross-sectional market response to an endogenous event: Naked vs. underwritten calls of convertible bonds
by Scruggs, John T.
- 248-259 Value-at-Risk analysis for long-term interest rate futures: Fat-tail and long memory in return innovations
by Wu, Ping-Tsung & Shieh, Shwu-Jane
2007, Volume 14, Issue 1
- 1-40 CAPM over the long run: 1926-2001
by Ang, Andrew & Chen, Joseph
- 41-58 Why are stock returns and volatility negatively correlated?
by Bae, Jinho & Kim, Chang-Jin & Nelson, Charles R.
- 59-90 The growth in equity market size and trading activity: An international study
by Li, Kai
- 91-119 Conditional coskewness and asset pricing
by Smith, Daniel R.
- 120-130 Asymmetric temporary and permanent stock-price innovations
by Shively, Philip A.
2006, Volume 13, Issue 4-5
- 393-395 Introduction to the special issue on International Finance
by Palm, Franz C. & Werner, Ingrid M. & Wolff, Christian C.P.
- 396-416 Geographic versus industry diversification: Constraints matter
by Ehling, Paul & Ramos, Sofia B.
- 417-443 Sources of gains from international portfolio diversification
by Campa, Jose Manuel & Fernandes, Nuno
- 444-461 Local risk factors in emerging markets: Are they separately priced?
by Carrieri, Francesca & Errunza, Vihang & Majerbi, Basma
- 462-494 Non-synchronous trading and testing for market integration in Central European emerging markets
by Schotman, Peter C. & Zalewska, Anna
- 495-518 Asymmetric foreign exchange risk exposure: Evidence from U.S. multinational firms
by Muller, Aline & Verschoor, Willem F.C.
- 519-549 The impact of the introduction of the Euro on foreign exchange rate risk exposures
by Bartram, Sohnke M. & Karolyi, G. Andrew
- 550-576 Measuring the economic importance of exchange rate exposure
by Doidge, Craig & Griffin, John & Williamson, Rohan
2006, Volume 13, Issue 3
- 249-273 Timing and selectivity of mutual fund managers: An empirical test of the behavioral decision-making theory
by Prather, Larry J. & Middleton, Karen L.
- 274-315 Instability of return prediction models
by Paye, Bradley S. & Timmermann, Allan
- 316-350 Stock market development and internationalization: Do economic fundamentals spur both similarly?
by Claessens, Stijn & Klingebiel, Daniela & Schmukler, Sergio L.
- 351-370 Propensity score matching and abnormal performance after seasoned equity offerings
by Li, Xianghong & Zhao, Xinlei
- 371-388 House prices and rents: An equilibrium asset pricing approach
by Ayuso, Juan & Restoy, Fernando
- 389-391 Note from the Editor, Wayne E. Ferson on Shanken, Jay and Mark I. Weinstein, Economic Forces and the Stock Market Revisited, Journal of Empirical Finance 13, Issue 2, 2006, 129-144
by Ferson, Wayne E.
2006, Volume 13, Issue 2
- 129-144 Economic forces and the stock market revisited
by Shanken, Jay & Weinstein, Mark I.
- 145-182 Manager education and mutual fund performance
by Gottesman, Aron A. & Morey, Matthew R.
- 183-202 Interpreting the predictive power of the consumption-wealth ratio
by Hahn, Jaehoon & Lee, Hangyong
- 203-230 Volatility estimation via hidden Markov models
by Rossi, Alessandro & Gallo, Giampiero M.
- 231-247 In-sample vs. out-of-sample tests of stock return predictability in the context of data mining
by Rapach, David E. & Wohar, Mark E.
2006, Volume 13, Issue 1
- 1-23 Are investors moonstruck? Lunar phases and stock returns
by Yuan, Kathy & Zheng, Lu & Zhu, Qiaoqiao
- 24-48 Momentum and mean reversion across national equity markets
by Balvers, Ronald J. & Wu, Yangru
- 49-78 The implications of IPO underpricing for the firm and insiders: Tests of asymmetric information theories
by Kennedy, Duane B. & Sivakumar, Ranjini & Vetzal, Kenneth R.
- 79-112 Information content and other characteristics of the daily cross-sectional dispersion in stock returns
by Connolly, Robert & Stivers, Chris
- 113-128 A re-examination of the asymmetric power ARCH model
by Karanasos, Menelaos & Kim, Jinki
2005, Volume 12, Issue 5
- 613-628 Testing forward rate unbiasedness allowing for persistent regressors
by Liu, Wei & Maynard, Alex
- 629-649 Entry, exit and trading profits: A look at the trading strategies of a proprietary trading team
by Garvey, Ryan & Murphy, Anthony
- 650-665 The relationship between stock returns and volatility in international stock markets
by Li, Qi & Yang, Jian & Hsiao, Cheng & Chang, Young-Jae
- 666-685 Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness
by Hueng, C. James & McDonald, James B.
2005, Volume 12, Issue 4
- 511-532 Ownership concentration and executive compensation in closely held firms: Evidence from Hong Kong
by Cheung, Yan-Leung & Stouraitis, Aris & Wong, Anita W.S.
- 533-555 Order imbalance and liquidity supply: Evidence from the bubble burst of Nasdaq stocks
by Li, Mingsheng & McCormick, Timothy & Zhao, Xin
- 556-575 Evaluating the importance of missing risk factors using the optimal orthogonal portfolio approach
by Asgharian, Hossein & Hansson, Bjorn
- 576-611 Pricing American options when the underlying asset follows GARCH processes
by Stentoft, Lars
2005, Volume 12, Issue 3
- 353-373 Index futures arbitrage before and after the introduction of sixteenths on the NYSE
by Henker, Thomas & Martens, Martin
- 374-417 Equilibrium analysis of volatility clustering
by Vanden, Joel M.
- 418-434 Regime shifts in interest rate volatility
by Sun, Licheng
- 435-444 The relationship between stock returns and inflation: new evidence from wavelet analysis
by Kim, Sangbae & In, Francis
- 445-475 Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
by Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie
- 476-489 Testing for contagion: a conditional correlation analysis
by Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola
- 490-509 STAR and ANN models: forecasting performance on the Spanish "Ibex-35" stock index
by Perez-Rodriguez, Jorge V. & Torra, Salvador & Andrada-Felix, Julian
2005, Volume 12, Issue 2
- 219-238 Index futures and positive feedback trading: evidence from major stock exchanges
by Antoniou, Antonios & Koutmos, Gregory & Pericli, Andreas
- 239-268 The pricing discount for limited liquidity: evidence from SWX Swiss Exchange and the Nasdaq
by Loderer, Claudio & Roth, Lukas
- 269-290 Price limit performance: evidence from transactions data and the limit order book
by Chan, Soon Huat & Kim, Kenneth A. & Rhee, S. Ghon
- 291-316 Winter blues and time variation in the price of risk
by Garrett, Ian & Kamstra, Mark J. & Kramer, Lisa A.
- 317-338 Trading volume and contract rollover in futures contracts
by Holmes, Phil & Rougier, Jonathan
- 339-352 A comparison of extreme value theory approaches for determining value at risk
by Brooks, C. & Clare, A.D. & Dalle Molle, J.W. & Persand, G.
2005, Volume 12, Issue 1
- 1-41 The econometrics of efficient portfolios
by Gourieroux, C. & Monfort, A.
- 43-76 Chasing trends: recursive moving average trading rules and internet stocks
by Fong, Wai Mun & Yong, Lawrence H. M.
- 77-98 Testing dividend signaling models
by Bernhardt, Dan & Douglas, Alan & Robertson, Fiona
- 99-125 Foreign acquisitions by UK limited companies: short- and long-run performance
by Gregory, Alan & McCorriston, Steve
- 127-137 Yet another look at mutual fund tournaments
by Goriaev, Alexei & Nijman, Theo E. & Werker, Bas J. M.
- 139-164 Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects
by Grammig, Joachim & Melvin, Michael & Schlag, Christian
- 165-185 Measuring tail thickness under GARCH and an application to extreme exchange rate changes
by Wagner, Niklas & Marsh, Terry A.
- 187-215 European exchange rate volatility dynamics: an empirical investigation
by Malik, Ali Khalil
- 217-217 Corrigendum to "Mean reversion of industry stock returns in the U.S., 1926-1998" [J. Empir. Finance 11 (2004) 537-551]
by Gropp, Jeffrey
2004, Volume 11, Issue 5
- 629-658 Structural change and long-range dependence in volatility of exchange rates: either, neither or both?
by Morana, Claudio & Beltratti, Andrea
- 659-680 The rise in comovement across national stock markets: market integration or IT bubble?
by Brooks, Robin & Del Negro, Marco
- 681-694 Analysis of intraday herding behavior among the sector ETFs
by Gleason, Kimberly C. & Mathur, Ike & Peterson, Mark A.
- 695-708 The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach
by Mazouz, Khelifa
- 709-731 The price adjustment and lead-lag relations between stock returns: microstructure evidence from the Taiwan stock market
by Chiao, Chaoshin & Hung, Ken & Lee, Cheng F.
2004, Volume 11, Issue 4
- 423-427 Introduction to the special issue on behavioral finance
by De Bondt, Werner & Palm, Franz & Wolff, Christian
- 429-459 Return momentum and global portfolio allocations
by Bange, Mary M. & Miller, Thomas Jr.
- 461-481 Do countries or industries explain momentum in Europe?
by Nijman, Theo & Swinkels, Laurens & Verbeek, Marno
- 483-507 Style momentum within the S&P-500 index
by Chen, Hsiu-Lang & De Bondt, Werner
- 509-536 Momentum strategies: some bootstrap tests
by Karolyi, G. Andrew & Kho, Bong-Chan
- 537-551 Mean reversion of industry stock returns in the U.S., 1926-1998
by Gropp, Jeffrey
- 553-584 Predictability of short-horizon returns in international equity markets
by Patro, Dilip K. & Wu, Yangru
- 585-616 Market stress and herding
by Hwang, Soosung & Salmon, Mark
- 617-626 Are forecasts of corporate profits rational? A note and further evidence
by El-Galfy, Ahmed M. & Forbes, William P.
- 627-628 Corrigendum to "Investor sentiment and the near-term stock market" [J. Empirical Finance 11 (2004) 1-27]
by Brown, Gregory W. & Cliff, Michael T.
2004, Volume 11, Issue 3
- 309-329 Regime-switching stochastic volatility and short-term interest rates
by Kalimipalli, Madhu & Susmel, Raul
- 331-351 Overreaction of index futures in Hong Kong
by Kwok-Wah Fung, Alexander & Lam, Kin
- 353-377 Ranking mutual funds using unconventional utility theory and stochastic dominance
by Vinod, H. D.
- 379-398 Modelling daily Value-at-Risk using realized volatility and ARCH type models
by Giot, Pierre & Laurent, Sebastien
- 399-421 Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns
by Granger, Clive W. J. & Hyung, Namwon
2004, Volume 11, Issue 2
- 163-184 An empirical analysis of the role of the trading intensity in information dissemination on the NYSE
by Spierdijk, Laura
- 185-202 Industry momentum strategies and autocorrelations in stock returns
by Pan, Ming-Shiun & Liano, Kartono & Huang, Gow-Cheng
- 203-230 Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework
by Perron, Pierre & Vodounou, Cosme
- 231-246 Pre-holiday effect, large trades and small investor behaviour
by Meneu, Vicente & Pardo, Angel
- 247-275 Small levels of predictability and large economic gains
by Xu, Yexiao
- 277-308 Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure
by De Rossi, Giuliano
2004, Volume 11, Issue 1
- 1-27 Investor sentiment and the near-term stock market
by Brown, Gregory W. & Cliff, Michael T.
- 29-53 Evaluating style analysis
by ter Horst, Jenke R. & Nijman, Theo E. & de Roon, Frans A.
- 55-89 Analysis of hedge fund performance
by Capocci, Daniel & Hubner, Georges
- 91-107 Are scientific indicators of patent quality useful to investors?
by Hirschey, Mark & Richardson, Vernon J.
- 109-132 Small sample properties of the GMM specification test based on the Hansen-Jagannathan distance
by Ahn, Seung C. & Gadarowski, Christopher
- 133-161 Option pricing with discrete rebalancing
by Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier
2003, Volume 10, Issue 5
- 533-558 Measuring and modeling systematic risk in factor pricing models using high-frequency data
by Bollerslev, Tim & Zhang, Benjamin Y. B.
- 559-581 Testing for differences in the tails of stock-market returns
by Jondeau, Eric & Rockinger, Michael
- 583-601 A Bayesian analysis of a variance decomposition for stock returns
by Hollifield, Burton & Koop, Gary & Li, Kai
- 603-621 Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
by Ledoit, Olivier & Wolf, Michael
- 623-640 Nonlinear prediction of exchange rates with monetary fundamentals
by Qi, Min & Wu, Yangru
- 641-660 Central bank interventions and jumps in double long memory models of daily exchange rates
by Beine, Michel & Laurent, Sebastien
- 661-681 Preference hierarchies for internal finance, bank loans, bond, and share issues: evidence for Dutch firms
by de Haan, Leo & Hinloopen, Jeroen
2003, Volume 10, Issue 4
- 399-425 A nonparametric test of market timing
by Jiang, Wei
- 427-454 Predicting emerging market currency crashes
by Kumar, Mohan & Moorthy, Uma & Perraudin, William
- 455-477 Disturbing extremal behavior of spot rate dynamics
by Bali, Turan G. & Neftci, Salih N.
- 479-503 Volatility clustering in monthly stock returns
by Jacobsen, Ben & Dannenburg, Dennis
- 505-531 Univariate and multivariate stochastic volatility models: estimation and diagnostics
by Liesenfeld, Roman & Richard, Jean-Francois
2003, Volume 10, Issue 3
- 249-269 Trading activity and stock price volatility: evidence from the London Stock Exchange
by Huang, Roger D. & Masulis, Ronald W.
- 271-303 Stock splits: implications for investor trading costs
by Gray, Stephen F. & Smith, Tom & Whaley, Robert E.
- 305-320 How much do locals contribute to the price discovery process?
by Fong, Kingsley & Zurbruegg, Ralf
- 321-353 Realized volatility in the futures markets
by Thomakos, Dimitrios D. & Wang, Tao
- 355-371 A Bayesian analysis of dual trader informativeness in futures markets
by Chakravarty, Sugato & Li, Kai
- 373-397 Robust GMM analysis of models for the short rate process
by Dell'Aquila, Rosario & Ronchetti, Elvezio & Trojani, Fabio
2003, Volume 10, Issue 1-2
- 3-56 Emerging markets finance
by Bekaert, Geert & Harvey, Campbell R.
- 57-80 Diversification benefits of emerging markets subject to portfolio constraints
by Li, Kai & Sarkar, Asani & Wang, Zhenyu
- 81-103 A simple measure of the intensity of capital controls
by Edison, Hali J. & Warnock, Francis E.
- 105-132 Stock selection strategies in emerging markets
by van der Hart, Jaap & Slagter, Erica & van Dijk, Dick
- 133-168 The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange
by Cho, David D. & Russell, Jeffrey & Tiao, George C. & Tsay, Ruey
- 169-198 Emerging markets and trading costs: lessons from Casablanca
by Ghysels, Eric & Cherkaoui, Mouna
- 199-216 Resolution of corporate distress in East Asia
by Claessens, Stijn & Djankov, Simeon & Klapper, Leora
- 217-248 Income inequality: the aftermath of stock market liberalization in emerging markets
by Das, Mitali & Mohapatra, Sanket
2002, Volume 9, Issue 5
- 475-493 An exploration of the persistence of UK unit trust performance
by Fletcher, Jonathan & Forbes, David
- 495-510 Market timing and return prediction under model instability
by Pesaran, M. Hashem & Timmermann, Allan
- 511-523 The dual contributions of information instruments in return models: magnitude and direction predictability
by Korkie, Bob & Sivakumar, Ranjini & Turtle, Harry
- 525-550 Cross-sectional tests of deterministic volatility functions
by Brandt, Michael W. & Wu, Tao
- 551-562 Estimating daily volatility in financial markets utilizing intraday data
by Bollen, Bernard & Inder, Brett
- 563-588 Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach
by Nam, Kiseok & Pyun, Chong Soo & Arize, Augustine C.
- 589-603 Testing for constant hedge ratios in commodity markets: a multivariate GARCH approach
by Moschini, GianCarlo & Myers, Robert J.
2002, Volume 9, Issue 4
- 361-371 Physical delivery versus cash settlement: an empirical study on the feeder cattle contract
by Lien, Donald & Tse, Yiu Kuen
- 373-397 Determinants of board composition in New Zealand: a simultaneous equations approach
by Prevost, Andrew K. & Rao, Ramesh P. & Hossain, Mahmud
- 399-430 The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange
by Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Ho, Richard Y. K.
- 431-454 Dividends, nonsynchronous prices, and the returns from trading the Dow Jones Industrial Average
by Day, Theodore E. & Wang, Pingying
- 455-474 Price discovery in floor and screen trading systems
by Theissen, Erik
2002, Volume 9, Issue 3
- 271-285 Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?
by Covrig, Vicentiu & Melvin, Michael
- 287-319 A generalized partially linear model of asymmetric volatility
by Wu, Guojun & Xiao, Zhijie
- 321-342 Bayesian option pricing using asymmetric GARCH models
by Bauwens, Luc & Lubrano, Michel
- 343-360 Let's get "real" about using economic data
by Christoffersen, Peter & Ghysels, Eric & Swanson, Norman R.
2002, Volume 9, Issue 2
- 133-169 Nonparametric tests of conditional mean-variance efficiency of a benchmark portfolio
by Wang, Kevin Q.
- 171-195 Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns
by Bera, Anil K. & Kim, Sangwhan
- 197-223 A censored-GARCH model of asset returns with price limits
by Wei, Steven X.
- 225-255 Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market
by Fiorentini, Gabriele & Leon, Angel & Rubio, Gonzalo
- 257-270 On testing the adequacy of stable processes under conditional heteroscedasticity
by Deo, Rohit S.
2002, Volume 9, Issue 1
- 1-34 Stock selection, style rotation, and risk
by Lucas, Andre & van Dijk, Ronald & Kloek, Teun
- 35-56 Modeling the volatility of the Heath-Jarrow-Morton model: a multifactor GARCH analysis
by Zhou, Anjun
- 57-89 Volatility estimation on the basis of price intensities
by Gerhard, Frank & Hautsch, Nikolaus
- 91-108 Equity option listing in the UK: a comparison of market-based research methodologies
by Hamill, Philip A. & Opong, Kwaku K. & McGregor, Pat
- 109-132 Maximum likelihood estimation of deposit insurance value with interest rate risk
by Duan, Jin-Chuan & Simonato, Jean-Guy
2001, Volume 8, Issue 5
- 451-457 Editor's foreword to the special issue: "On the predictability of asset returns"
by Bekaert, Geert
- 459-491 Why long horizons? A study of power against persistent alternatives
by Campbell, John Y.
- 493-535 The power and size of mean reversion tests
by Daniel, Kent
- 537-572 The independence axiom and asset returns
by Epstein, Larry G. & Zin, Stanley E.
- 573-637 The specification of conditional expectations
by Harvey, Campbell R.
- 639-668 Estimation of a rational expectations model of the term structure
by Melino, Angelo
- 669-694 When units roots matter: excess volatility and excess smoothness of long-term interest rates
by Schotman, Peter C.
- 695-704 The bias of tests for a risk premium in forward exchange rates
by Tauchen, George
2001, Volume 8, Issue 4
- 345-373 Eliminating look-ahead bias in evaluating persistence in mutual fund performance
by ter Horst, Jenke R. & Nijman, Theo E. & Verbeek, Marno
- 375-401 The valuation of IPO and SEO firms
by Koop, Gary & Li, Kai
- 403-426 Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?
by Kim, Chang-Jin & Morley, James C. & Nelson, Charles R.
- 427-449 Tests of asset-pricing models: how important is the iid-normal assumption?
by Groenewold, Nicolaas & Fraser, Patricia
2001, Volume 8, Issue 3
- 219-242 Race to the center: competition for the Nikkei 225 futures trade
by Ito, Takatoshi & Lin, Wen-Ling