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Editor: R. T. Baillie
Editor: F. C. Palm
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Editor: Th. J. Vermaelen
Editor: C. C. P. Wolff
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Richard T. Baillie , Geert Bekaert , Franz C. Palm , Theo Vermaelen .
Series handle: RePEc:eee:empfin
ISSN: 0927-5398
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Content
December 2002, Volume 9, Issue 5
- 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.
November 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
August 2002, Volume 9, Issue 3
March 2002, Volume 9, Issue 2
January 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
December 2001, Volume 8, Issue 5
September 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
July 2001, Volume 8, Issue 3
- 219-242 Race to the center: competition for the Nikkei 225 futures trade
by Ito, Takatoshi & Lin, Wen-Ling
- 243-271 The Danish stock and bond markets: comovement, return predictability and variance decomposition
by Engsted, Tom & Tanggaard, Carsten
- 273-296 Volatility in stocks subject to takeover bids: Australian evidence using daily data
by Hutson, Elaine & Kearney, Colm
- 297-323 The joint estimation of term structures and credit spreads
by Houweling, Patrick & Hoek, Jaap & Kleibergen, Frank
- 325-342 Testing and comparing Value-at-Risk measures
by Christoffersen, Peter & Hahn, Jinyong & Inoue, Atsushi
May 2001, Volume 8, Issue 2
- 111-155 Testing for mean-variance spanning: a survey
by DeRoon, Frans A. & Nijman, Theo E.
- 157-170 Liquidity in the forward exchange market
by Moore, Michael J. & Roche, Maurice J.
- 171-199 Layoffs, shareholders' wealth, and corporate performance
by Chen, Peter & Mehrotra, Vikas & Sivakumar, Ranjini & Yu, Wayne W.
- 201-218 An analysis of second time around bankruptcies using a split-population duration model
by Bandopadhyaya, Arindam & Jaggia, Sanjiv
March 2001, Volume 8, Issue 1
- 1-34 Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
by Hafner, Christian M. & Herwartz, Helmut
- 35-54 What causes home asset bias and how should it be measured?
by Glassman, Debra A. & Riddick, Leigh A.
- 55-81 Coskewness and cokurtosis in futures markets
by Christie-David, Rohan & Chaudhry, Mukesh
- 83-110 Recovering the probability density function of asset prices using garch as diffusion approximations
by Fornari, Fabio & Mele, Antonio
December 2000, Volume 7, Issue 5
November 2000, Volume 7, Issue 3-4
- 225-245 Sensitivity analysis of Values at Risk
by Gourieroux, C. & Laurent, J. P. & Scaillet, O.
- 247-269 Portfolio selection with limited downside risk
by Jansen, Dennis W. & Koedijk, Kees G. & de Vries, Casper G.
- 271-300 Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
by McNeil, Alexander J. & Frey, Rudiger
- 301-315 Horizon sensitivity of the inflation hedge of stocks
by Schotman, Peter C. & Schweitzer, Mark
- 317-344 Firms, do you know your currency risk exposure? Survey results
by Loderer, Claudio & Pichler, Karl
- 345-372 Volatility dynamics under duration-dependent mixing
by Maheu, John M. & McCurdy, Thomas H.
- 373-388 Stochastic correlation across international stock markets
by Ball, Clifford A. & Torous, Walter N.
- 389-416 Diagnosing and treating the fat tails in financial returns data
by Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T.
August 2000, Volume 7, Issue 2
- 113-141 Conditional event studies, anticipation, and asymmetric information: the case of seasoned equity issues and pre-issue information releases
by Guo, Lin & Mech, Timothy S.
- 143-153 Three analyses of the firm size premium
by Horowitz, Joel L. & Loughran, Tim & Savin, N. E.
- 155-172 Visualizing time-varying correlations across stock markets
by Groenen, Patrick J. F. & Franses, Philip Hans
- 195-223 The ordered mean difference as a portfolio performance measure
by Bowden, Roger J.
May 2000, Volume 7, Issue 1
December 1999, Volume 6, Issue 5
- 431-455 Computing value at risk with high frequency data
by Beltratti, Andrea & Morana, Claudio
- 457-477 Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon
by Andersen, Torben G. & Bollerslev, Tim & Lange, Steve
- 479-513 The intraday multivariate structure of the Eurofutures markets
by Ballocchi, Giuseppe & Dacorogna, Michel M. & Hopman, Carl M. & Muller, Ulrich A. & Olsen, Richard B.
- 515-553 Multivariate extremes for models with constant conditional correlations
by Starica, Catalin
- 555-582 Speculative attacks to currency target zones: A market microstructure approach
by Carrera, Jose M.
- 583-607 Pricing behavior in an off-hours computerized market
by Coppejans, Mark & Domowitz, Ian
October 1999, Volume 6, Issue 4
- 335-353 Multivariate unit root tests of the PPP hypothesis
by Flores, Renato & Jorion, Philippe & Preumont, Pierre-Yves & Szafarz, Ariane
- 355-384 Mean reversion in Southeast Asian stock markets
by Malliaropulos, Dimitrios & Priestley, Richard
- 385-404 Cross-correlations and cross-bicorrelations in Sterling exchange rates
by Brooks, Chris & Hinich, Melvin J.
- 405-429 Anomalous security price behavior following management earnings forecasts
by Liu, Chao-Shin & Ziebart, David A.
September 1999, Volume 6, Issue 3
- 219-241 Testing multi-beta asset pricing models
by Velu, Raja & Zhou, Guofu
- 243-265 An empirical analysis of intertemporal asset pricing models with transaction costs and habit persistence
by Marquering, Wessel & Verbeek, Marno
- 267-282 The behaviour of some UK equity indices: An application of Hurst and BDS tests1
by Opong, Kwaku K. & Mulholland, Gwyneth & Fox, Alan F. & Farahmand, Kambiz
- 283-308 Structural change and time dependence in models of stock returns
by Kim, Dongcheol & Kon, Stanley J.
- 309-331 A primer on hedge funds
by Fung, William & Hsieh, David A.
April 1999, Volume 6, Issue 2
January 1999, Volume 6, Issue 1
October 1998, Volume 5, Issue 4
September 1998, Volume 5, Issue 3
- 177-195 Time to maturity in the basis of stock market indices: Evidence from the S&P 500 and the MMI
by Beaulieu, Marie-Claude
- 197-220 Hedging foreign currency portfolios
by Gagnon, Louis & Lypny, Gregory J. & McCurdy, Thomas H.
- 241-261 Real interest rates and shifts in macroeconomic volatility
by Koedijk, Kees & Kool, Clemens & Nissen, Francois
- 263-279 On the hypothesis of psychological barriers in stock markets and Benford's Law
by De Ceuster, Marc J. K. & Dhaene, Geert & Schatteman, Tom
- 281-296 International evidence on the stock market and aggregate economic activity
by Cheung, Yin-Wong & Ng, Lilian K.
June 1998, Volume 5, Issue 2
January 1998, Volume 5, Issue 1
December 1997, Volume 4, Issue 4
June 1997, Volume 4, Issue 2-3
- 73-114 High frequency data in financial markets: Issues and applications
by Goodhart, Charles A. E. & O'Hara, Maureen
- 115-158 Intraday periodicity and volatility persistence in financial markets
by Andersen, Torben G. & Bollerslev, Tim
- 187-212 Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
by Engle, Robert F. & Russell, Jeffrey R.
- 213-239 Volatilities of different time resolutions -- Analyzing the dynamics of market components
by Muller, Ulrich A. & Dacorogna, Michel M. & Dave, Rakhal D. & Olsen, Richard B. & Pictet, Olivier V. & von Weizsacker, Jacob E.
- 259-277 High frequency analysis of lead-lag relationships between financial markets
by de Jong, Frank & Nijman, Theo
- 279-293 Do buyers and sellers behave similarly in a limit order book? A high-frequency data examination of the Finnish stock exchange
by Hedvall, Kaj & Niemeyer, Jonas & Rosenqvist, Gunnar
January 1997, Volume 4, Issue 1
December 1996, Volume 3, Issue 4
September 1996, Volume 3, Issue 3
June 1996, Volume 3, Issue 2
May 1996, Volume 3, Issue 1
February 1996, Volume 2, Issue 4
- 295-306 A cross-section test of the present value model
by Bulkley, George & Taylor, Nick
- 307-331 The firm's leverage-cash flow relationship
by Shenoy, Catherine & Koch, Paul D.
- 333-342 Time-varying risk The case of the American computer industry
by Gonzalez-Rivera, Gloria
- 343-357 Purchasing power parity, unit roots, and dynamic structure
by Steigerwald, Douglas G.
- 359-388 Price dynamics in refined petroleum spot and futures markets
by Ng, Victor K. & Pirrong, Stephen Craig
September 1995, Volume 2, Issue 3
- 173-197 The structure of international stock returns and the integration of capital markets
by Heston, Steven L. & Rouwenhorst, K. Geert & Wessels, Roberto E.
- 199-223 Testing for continuous-time models of the short-term interest rate
by Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel
- 225-251 The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data
by Ghose, Devajyoti & Kroner, Kenneth F.
- 253-264 A note on the relationship between GARCH and symmetric stable processes
by Groenendijk, Patrick A. & Lucas, Andre & de Vries, Casper G.
- 265-276 Testing for a time-varying risk premiumin the returns to U.S. farmland
by Hanson, Steven D. & Myers, Robert J.
- 277-293 A statistical correlation dimension
by Mayer-Foulkes, David
June 1995, Volume 2, Issue 2
- 117-133 International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States
by Kim, Sang W. & Rogers, John H.
- 135-151 Stock prices, dividends and retention: Long-run relationships and short-run dynamics
by MacDonald, Ronald & Power, David
- 153-163 Speculative bubbles with stochastic explosive roots: The failure of unit root testing
by Charemza, Wojciech W. & Deadman, Derek F.
- 165-172 Market closures and time-varying volatility in the Australian equity market
by Brailsford, Timothy J.
March 1995, Volume 2, Issue 1
July 1994, Volume 1, Issue 3-4
- 251-278 Noise trading and prime and score premiums
by Barber, Brad M.
- 279-311 Neglected common factors in exchange rate volatility
by Mahieu, Ronald & Schotman, Peter
- 313-341 Alternative constructions of Tobin's q: An empirical comparison
by Perfect, Steven B. & Wiles, Kenneth W.
- 343-364 An objective Bayesian analysis of common stochastic trends in international stock prices and exchange rates
by Koop, Gary
- 365-383 Is excess sensitivity of investment to financial factors constant across firms? Evidence from panel data on Italian companies
by Rondi, Laura & Sembenelli, Alessandro & Zanetti, Giovanni
- 385-420 Target zone modelling and estimation for European Monetary System exchange rates
by Ball, Clifford A. & Roma, Antonio
January 1994, Volume 1, Issue 2
June 1993, Volume 1, Issue 1
- 1-2 Statement by the editors
by Baillie, Richard T. & Palm, Franz C. & Pfann, Gerard A. & Vermaelen, Theo J. & Wolff, Christian C. P.
- 3-31 Common stock offerings across the business cycle : Theory and evidence
by Choe, Hyuk & Masulis, Ronald W. & Nanda, Vikram
- 33-55 The performance of international asset allocation strategies using conditioning information
by Solnik, Bruno
- 57-81 Market behaviour around Canadian stock-split ex-dates
by Kryzanowski, Lawrence & Zhang, Hao
- 83-106 A long memory property of stock market returns and a new model
by Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F.
- 107-131 International asset pricing with alternative distributional specifications
by Harvey, Campbell R. & Zhou, Guofu
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