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Information about:
Bruce Mizrach

Personal Details | Affiliation | Works
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Personal Details

First Name: Bruce
Middle Name:
Last Name: Mizrach
Suffix:

RePEc Short-ID: pmi12

Email:
Homepage: http://snde.rutgers.edu
Postal Address: Department of Economics Rutgers University 75 Hamilton Street New Brunswick, NJ 08901
Phone: (732) 932-8261

Affiliation

(in no particular order)

Works

| Working papers | Articles | Editor | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Bruce Mizrach, 2008. "Jump and Cojump Risk in Subprime Home Equity Derivatives," Departmental Working Papers 200802, Rutgers University, Department of Economics.

  2. Michael Fleming & Bruce Mizrach, 2008. "The Microstructure of a U.S. Treasury ECN: The Brokertec Platform," Departmental Working Papers 200803, Rutgers University, Department of Economics.
    Other versions:

  3. Bruce Mizrach & Christopher J. Neely, 2007. "Information shares in the U.S. treasury market," Working Papers 2005-070, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

  4. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis. [Downloadable!]

  5. Jie Lu & Bruce Mizrach, 2007. "Is Talk Cheap Online: Strategic Interaction in A Stock Trading Chat Room," Departmental Working Papers 200701, Rutgers University, Department of Economics. [Downloadable!]

  6. Bruce Mizrach, 2007. "Recovering Probabilistic Information From Options Prices and the Underlying," Departmental Working Papers 200702, Rutgers University, Department of Economics. [Downloadable!]

  7. Bruce Mizrach & Susan Zhang Weerts, 2006. "Does The Stock Market Punish Corporate Malfeasance? A Case Study of Citigroup," Departmental Working Papers 200601, Rutgers University, Department of Economics. [Downloadable!]

  8. Bruce Mizrach & Susan Weerts, 2006. "Highs and Lows: A Behavioral and Technical Analysis," Departmental Working Papers 200610, Rutgers University, Department of Economics. [Downloadable!]
    Published as:

  9. Bruce Mizrach, 2006. "Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility," Departmental Working Papers 200602, Rutgers University, Department of Economics. [Downloadable!]

  10. Bruce Mizrach & Chris Neely, 2006. "The Transition to Electronic Trading in the Secondary Treasury Market," Departmental Working Papers 200603, Rutgers University, Department of Economics.

  11. Bruce Mizrach, 2006. "Nonlinear Time Series Analysis," Departmental Working Papers 200604, Rutgers University, Department of Economics. [Downloadable!]

  12. Bruce Mizrach & Filippo Occhino, 2004. "The Impact of Monetary Policy on Bond Returns Volatility: A Segmented Markets Approach," Departmental Working Papers 200402, Rutgers University, Department of Economics. [Downloadable!]

  13. Bruce Mizrach & Susan Weerts, 2004. "Experts Online: An Analysis of Trading Activity in a Public Internet Chat Room," Departmental Working Papers 200412, Rutgers University, Department of Economics. [Downloadable!]

  14. Oleg Korenok & Bruce Mizrach & Stan Radchenko, 2004. "The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics," Departmental Working Papers 200405, Rutgers University, Department of Economics. [Downloadable!]
    Other versions:

  15. David Goldbaum & Bruce Mizrach, 2004. "Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision," Departmental Working Papers 200414, Rutgers University, Department of Economics.
    Other versions:
    Published as:

  16. Bruce Mizrach, 2004. "A Video Interview of Buz Brock," Departmental Working Papers 200417, Rutgers University, Department of Economics. [Downloadable!]
    Published as:

  17. Bruce Mizrach, 2003. "Analyst Recommendations and Nasdaq Market Making Activity," Departmental Working Papers 200307, Rutgers University, Department of Economics. [Downloadable!]

  18. Bruce Mizrach, 2002. "The Next Tick on Nasdaq: Does Level II Information Matter?," Departmental Working Papers 200202, Rutgers University, Department of Economics. [Downloadable!]

  19. Bruce Mizrach, 2002. "When Did The Smart Money in Enron Lose Its' Smirk?," Departmental Working Papers 200224, Rutgers University, Department of Economics. [Downloadable!]

  20. Bruce Mizrach & Yijie Zhang, 2000. "Should ECNs be SOES-able?," Departmental Working Papers 200010, Rutgers University, Department of Economics. [Downloadable!]

  21. Bruce Mizrach & James Watkins, 1998. "A Markov Switching Cookbook," Departmental Working Papers 199817, Rutgers University, Department of Economics.

  22. Bruce Mizrach, 1998. "Methods for Extracting the Implied Distributions in Option Prices," Departmental Working Papers 199819, Rutgers University, Department of Economics.

  23. Bruce Mizrach, 1997. "The Volatility Smile and Yield Curve: Probability Densities Implicit in ERM/$ Options," Departmental Working Papers 199522, Rutgers University, Department of Economics.

  24. Bruce Mizrach, 1996. "Forecast Comparison in L2," Departmental Working Papers 199524, Rutgers University, Department of Economics. [Downloadable!]

  25. Michael D. Bordo & Bruce Mizrach & Anna J. Schwartz, 1995. "Real Versus Pseudo-International Systemic Risk: Some Lessons from History," NBER Working Papers 5371, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  26. Bruce Mizrach, 1995. "A Simple Nonparametric Test for Independence," Departmental Working Papers 199523, Rutgers University, Department of Economics. [Downloadable!]

  27. Bruce Mizrach, 1993. "Target zone models with stochastic realignments: an econometric evaluation," Research Paper 9302, Federal Reserve Bank of New York.
    Published as:

Articles

  1. Mizrach, Bruce, 2009. "Comment on "Modelling nonlinear comovements between time series"," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 212-215, March. [Downloadable!] (restricted)

  2. Bruce Mizrach & Susan Weerts, 2009. "Highs and lows: a behavioural and technical analysis," Applied Financial Economics, Taylor and Francis Journals, vol. 19(10), pages 767-777. [Downloadable!] (restricted)
    Other versions:

  3. Korenok, Oleg & Mizrach, Bruce & Radchenko, Stanislav, 2009. "A Note On Demand And Supply Factors In Manufacturing Output Asymmetries," Macroeconomic Dynamics, Cambridge University Press, vol. 13(02), pages 263-277, April. [Downloadable!]

  4. Goldbaum, David & Mizrach, Bruce, 2008. "Estimating the intensity of choice in a dynamic mutual fund allocation decision," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3866-3876, December. [Downloadable!] (restricted)
    Other versions:

  5. Bruce Mizrach, 2008. "A Video Interview with James Hamilton," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 12(2), pages 1644-1644. [Downloadable!] (restricted)

  6. Mizrach, Bruce & Occhino, Filippo, 2008. "The impact of monetary policy on bond returns: A segmented markets approach," Journal of Economics and Business, Elsevier, vol. 60(6), pages 485-501. [Downloadable!] (restricted)

  7. Mizrach, Bruce & Neely, Christopher J., 2008. "Information shares in the US Treasury market," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1221-1233, July. [Downloadable!] (restricted)
    Other versions:

  8. Bruce Mizrach, 2008. "The next tick on Nasdaq," Quantitative Finance, Taylor and Francis Journals, vol. 8(1), pages 19-40. [Downloadable!] (restricted)

  9. Bruce Mizrach, 2006. "The Enron Bankruptcy: When did the options market in Enron lose it’s smirk?," Review of Quantitative Finance and Accounting, Springer, vol. 27(4), pages 365-382, December. [Downloadable!] (restricted)

  10. Haas, Markus & Mittnik, Stefan & Mizrach, Bruce, 2006. "Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts," Journal of Financial Stability, Elsevier, vol. 2(1), pages 28-54, April. [Downloadable!] (restricted)
    Other versions:

  11. Bruce Mizrach & Christopher J. Neely, 2006. "The transition to electronic communications networks in the secondary treasury market," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 527-542. [Downloadable!]

  12. Bruce Mizrach, 2005. "A Video Interview of Buz Brock," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 9(1), pages 1308-1308. [Downloadable!] (restricted)
    Other versions:

  13. Mizrach, Bruce, 1996. "Determining delay times for phase space reconstruction with application to the FF/DM exchange rate," Journal of Economic Behavior & Organization, Elsevier, vol. 30(3), pages 369-381, September. [Downloadable!] (restricted)

  14. Mizrach, Bruce, 1995. "Target zone models with stochastic realignments: an econometric evaluation," Journal of International Money and Finance, Elsevier, vol. 14(5), pages 641-657, October. [Downloadable!] (restricted)
    Other versions:

  15. 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. [Downloadable!] (restricted)

  16. Mizrach, Bruce, 1994. "Exchange rate theory: Chaotic models of foreign exchange markets : Paul De Grauwe, Hans Dewachter, and Mark Embrechts, (Oxford: Blackwell) ISBN# 0-631-18016-8, 1993," Journal of Economic Behavior & Organization, Elsevier, vol. 25(3), pages 473-475, December. [Downloadable!] (restricted)

  17. Mayfield, E Scott & Mizrach, Bruce, 1992. "On Determining the Dimension of Real-Time Stock-Price Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 367-74, July.

  18. Mizrach, Bruce, 1992. "The distribution of the Theil U-statistic in bivariate normal populations," Economics Letters, Elsevier, vol. 38(2), pages 163-167, February. [Downloadable!] (restricted)

  19. Mizrach, Bruce, 1992. "The state of economic dynamics: A review essay," Journal of Economic Dynamics and Control, Elsevier, vol. 16(1), pages 175-190, January. [Downloadable!] (restricted)

  20. Mizrach, B, 1992. "Multivariate Nearest-Neighbor Forecasts of EMS Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S151-63, Suppl. De. [Downloadable!] (restricted)

  21. Klein, Michael & Mizrach, Bruce & Murphy, Robert G, 1991. "Managing the Dollar: Has the Plaza Agreement Mattered?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(4), pages 742-51, November. [Downloadable!] (restricted)

  22. Mizrach, Bruce, 1991. "Nonconvexities in a stochastic control problem with learning," Journal of Economic Dynamics and Control, Elsevier, vol. 15(3), pages 515-538, July. [Downloadable!] (restricted)

  23. Mizrach, Bruce & Santomero, Anthony M., 1990. "A liquidity-in-advance model of the demand for money under price uncertainty," Journal of Monetary Economics, Elsevier, vol. 26(1), pages 143-159, August. [Downloadable!] (restricted)

  24. Mizrach, Bruce & Santomero, Anthony M, 1986. "The Stability of Money Demand and Forecasting through Changes in Regimes [The Demand for Money Revisited] [The Case of the Missing Money]," The Review of Economics and Statistics, MIT Press, vol. 68(2), pages 324-28, May. [Downloadable!] (restricted)

Editor

  1. Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press.

NEP Fields

15 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2006-09-16
  2. NEP-CFN: Corporate Finance (2) 2006-01-24 2006-01-24
  3. NEP-DGE: Dynamic General Equilibrium (1) 2004-06-02
  4. NEP-ECM: Econometrics (2) 2006-09-16 2007-03-10
  5. NEP-ETS: Econometric Time Series (1) 2006-09-16
  6. NEP-FIN: Finance (4) 2005-11-19 2005-12-01 2006-01-24 2006-09-16 Author is listed
  7. NEP-FMK: Financial Markets (5) 2005-12-01 2006-01-24 2006-01-24 2006-09-16 2008-01-05 Author is listed
  8. NEP-LAW: Law & Economics (1) 2006-01-24
  9. NEP-MON: Monetary Economics (1) 2004-06-02
  10. NEP-MST: Market Microstructure (2) 2007-03-10 2008-01-05
Did you know? Citation analysis on IDEAS includes online papers that are freely accessible and whose text could be automatically analyzed, currently about 210000 papers.

This page was last updated on 2009-11-5.

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