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Jamie Alcock

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. 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).

    Cited by:

    1. Andrew Baum & Nick Colley, 2017. "Can Real Estate Investors Avoid Specific Risk?," Abacus, Accounting Foundation, University of Sydney, vol. 53(3), pages 395-430, September.

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.

    Cited by:

    1. Rehman, Mobeen Ur & Shahzad, Syed Jawad Hussain & Ahmad, Nasir & Vo, Xuan Vinh, 2022. "Dependence dynamics of US REITs," International Review of Financial Analysis, Elsevier, vol. 81(C).

  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. Alcock, Jamie & Sinagl, Petra, 2022. "International determinants of asymmetric dependence in investment returns," Journal of International Money and Finance, Elsevier, vol. 122(C).
    2. 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 & 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.

    Cited by:

    1. Yu, Xisheng, 2021. "A unified entropic pricing framework of option: Using Cressie-Read family of divergences," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    2. Adrian Gepp & Geoff Harris & Bruce Vanstone, 2020. "Financial applications of semidefinite programming: a review and call for interdisciplinary research," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3527-3555, December.

  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.

    Cited by:

    1. Rodica Baciu & Brezeanu Petre, 2018. "Impact Of Financial Structure On Return On Equity: Evidence From Wholesale Of Motor Vehicle Parts And Accessories Industry," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 6(4), pages 38-47.
    2. 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.
    3. Baciu (Boanta) Rodica & Brezeanu Petre & Adrian Simon, 2020. "The Influence of Bank Credit on Financial Structure and Financial Return for the Romanian Companies Active in Car Parts Distribution," Accounting and Finance Research, Sciedu Press, vol. 9(2), pages 1-73, May.
    4. Ali Shaddady, 2022. "Business environment, political risk, governance, Shariah compliance and efficiency in insurance companies in the MENA region," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 47(4), pages 861-904, October.
    5. 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.

  5. 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. Jianfu Shen & Kwong Wing Chau, 2022. "The Effect of Access to the Public Debt Market on Corporate Financing Decisions: The Case of REITs," Sustainability, MDPI, vol. 14(13), pages 1-19, June.
    2. 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.
    3. Elizabeth Devos & Erik Devos & He Li & Desmond Tsang, 2022. "Operating Lease as Alternative Financing for REITs: a Viable Strategy or a Sign of Trouble?," The Journal of Real Estate Finance and Economics, Springer, vol. 65(2), pages 153-180, August.
    4. Stewart Jones & Nurul Alam, 2019. "A machine learning analysis of citation impact among selected Pacific Basin journals," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(4), pages 2509-2552, December.

  6. 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. 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.
    2. Smith, Godfrey, 2013. "Simulated testing of nonparametric measure changes for hedging European options," Finance Research Letters, Elsevier, vol. 10(2), pages 93-101.
    3. Chen, Rongda & Zhou, Hanxian & Yu, Lean & Jin, Chenglu & Zhang, Shuonan, 2021. "An efficient method for pricing foreign currency options," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    4. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.

  7. 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. 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.
    2. Irem Demirci & Piet Eichholtz & Erkan Yönder, 2020. "Corporate Diversification and the Cost of Debt," The Journal of Real Estate Finance and Economics, Springer, vol. 61(3), pages 316-368, October.
    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.
    4. 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.
    5. 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.
    6. 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.
    7. Chen, Dong & Gao, Yanmin & Kaul, Mayank & Leung, Charles Ka Yui & Tsang, Desmond, 2014. "The role of sponsor and external management on the capital structure of Asian-Pacific REITs: the case of Australia, Japan, and Singapore," MPRA Paper 60490, University Library of Munich, Germany.
    8. 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.
    9. 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.
    10. Casino-Martínez, Alejandro & López-Gracia, José & Mestre-Barberá, Reyes & Peiró-Giménez, Amado, 2019. "An agency approach to debt maturity of unlisted and listed firms in the European setting," European Management Journal, Elsevier, vol. 37(3), pages 339-352.
    11. 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.
    12. 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.

  8. 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. Ying Zhang & J. Andrew Hansz, 2022. "Industry Concentration and U.S. REIT Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(1), pages 247-267, March.
    2. 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.
    3. Masatomo Suzuki & Seow Eng Ong & Yasushi Asami & Chihiro Shimizu, 2023. "Long-Run Renewal of REIT Property Portfolio Through Strategic Divestment," The Journal of Real Estate Finance and Economics, Springer, vol. 66(1), pages 1-40, January.
    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. Ying Zhang & J. Andrew Hansz & Wikrom Prombutr, 2022. "Economic Policy Uncertainty and Real Estate Market: Evidence from U.S. REITs," International Real Estate Review, Global Social Science Institute, vol. 25(1), pages 55-87.
    6. 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.
    7. 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 & 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.
    9. 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.
    10. Daoju Peng & Jianfu Shen & Simon Yu Kit Fung & Eddie C. M. Hui & Kwokyuen Fan, 2024. "The Valuation Effect and Consequences of Clawback Adoption in Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 68(2), pages 274-317, February.

  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.

    Cited by:

    1. Belke, Ansgar & Klose, Jens, 2019. "Safe haven flows, natural interest rates and secular stagnation: Empirical evidence for euro area countries," Ruhr Economic Papers 831, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    2. Rad, Hossein & Low, Rand Kwong Yew & Miffre, Joëlle & Faff, Robert, 2020. "Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 164-180.
    3. Khamis Hamed Al‐Yahyaee & Syed Jawad Hussain Shahzad & Walid Mensi & Seong‐Min Yoon, 2021. "Is there a systemic risk between Sharia, Sukuk, and GCC stock markets? A ΔCoVaR risk metric‐based copula approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2904-2926, April.
    4. Grover, Vaibhav, 2015. "Identifying Dependence Structure among Equities in Indian Markets using Copulas," MPRA Paper 66302, University Library of Munich, Germany.
    5. Huang, Jiexiang & Guo, Wei & Zhang, Jin E., 2020. "Do stocks outperform bank deposits in China?," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
    6. 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.
    7. 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.
    8. Yuhao Liu & Petar M. Djurić & Young Shin Kim & Svetlozar T. Rachev & James Glimm, 2021. "Systemic Risk Modeling with Lévy Copulas," JRFM, MDPI, vol. 14(6), pages 1-20, June.
    9. 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.
    10. Hanif, Waqas & Mensi, Walid & Vo, Xuan Vinh & BenSaïda, Ahmed & Hernandez, Jose Arreola & Kang, Sang Hoon, 2023. "Dependence and risk management of portfolios of metals and agricultural commodity futures," Resources Policy, Elsevier, vol. 82(C).
    11. Giorgio Arici & Marco Dalai & Riccardo Leonardi & Arnaldo Spalvieri, 2018. "A Communication Theoretic Interpretation of Modern Portfolio Theory Including Short Sales, Leverage and Transaction Costs," JRFM, MDPI, vol. 12(1), pages 1-11, December.
    12. 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.
    13. Sahamkhadam, Maziar & Stephan, Andreas & Östermark, Ralf, 2022. "Copula-based Black–Litterman portfolio optimization," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1055-1070.
    14. 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.
    15. Mangold, Benedikt, 2017. "New concepts of symmetry for copulas," FAU Discussion Papers in Economics 06/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, revised 2017.
    16. Marcel Wollschlager & Rudi Schafer, 2015. "Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns," Papers 1506.08054, arXiv.org.
    17. Hanif, Waqas & Arreola Hernandez, Jose & Sadorsky, Perry & Yoon, Seong-Min, 2020. "Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    18. 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.
    19. 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.
    20. Sleire, Anders D. & Støve, Bård & Otneim, Håkon & Berentsen, Geir Drage & Tjøstheim, Dag & Haugen, Sverre Hauso, 2022. "Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations," Finance Research Letters, Elsevier, vol. 46(PB).
    21. Maziar Sahamkhadam & Andreas Stephan, 2023. "Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for global financial crises," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2139-2166, December.
    22. 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.
    23. Hossein Rad & Rand Kwong Yew Low & Joelle Miffre & Robert Faff, 2022. "The Strategic Allocation to Style-Integrated Portfolios of Commodity Futures," Post-Print hal-03881976, HAL.
    24. 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.
    25. John Weirstrass Muteba Mwamba & Sutene Mwambetania Mwambi, 2021. "Assessing Market Risk in BRICS and Oil Markets: An Application of Markov Switching and Vine Copula," IJFS, MDPI, vol. 9(2), pages 1-22, May.
    26. 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.
    27. Michael Senescall & Rand Kwong Yew Low, 2024. "Quantitative Portfolio Management: Review and Outlook," Mathematics, MDPI, vol. 12(18), pages 1-25, September.
    28. 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.
    29. 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.
    30. Jose Arreola Hernandez & Sang Hoon Kang & Seong‐Min Yoon, 2022. "Interdependence and portfolio optimisation of bank equity returns from developed and emerging Europe," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 678-696, January.
    31. Hanif, Waqas & Areola Hernandez, Jose & Troster, Victor & Kang, Sang Hoon & Yoon, Seong-Min, 2022. "Nonlinear dependence and spillovers between cryptocurrency and global/regional equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
    32. 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.
    33. 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.
    34. 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.
    35. 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.
    36. Lööf, Hans & Sahamkhadam, Maziar & Stephan, Andreas, 2022. "Incorporating ESG into optimal stock portfolios for the global timber & forestry industry," Working Paper Series in Economics and Institutions of Innovation 490, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
    37. 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.
    38. 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.
    39. Anulekha Dhara & Bikramjit Das & Karthik Natarajan, 2021. "Worst-Case Expected Shortfall with Univariate and Bivariate Marginals," INFORMS Journal on Computing, INFORMS, vol. 33(1), pages 370-389, January.
    40. Cathy Ning & Dinghai Xu & Tony Wirjanto, 2014. "Is Volatility Clustering of Asset Returns Asymmetric?," Working Papers 050, Toronto Metropolitan University, Department of Economics.
    41. Andreas Mühlbacher & Thomas Guhr, 2018. "Extreme Portfolio Loss Correlations in Credit Risk," Risks, MDPI, vol. 6(3), pages 1-25, July.
    42. Han, Yingwei & Li, Jie, 2022. "Should investors include green bonds in their portfolios? Evidence for the USA and Europe," International Review of Financial Analysis, Elsevier, vol. 80(C).
    43. 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.
    44. 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.
    45. Alcock, Jamie & Sinagl, Petra, 2022. "International determinants of asymmetric dependence in investment returns," Journal of International Money and Finance, Elsevier, vol. 122(C).
    46. 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.
    47. Pham, Linh & Nguyen, Canh Phuc, 2021. "Asymmetric tail dependence between green bonds and other asset classes," Global Finance Journal, Elsevier, vol. 50(C).
    48. Wei Huang & Meng-Shiuh Chang, 2021. "Gold and Government Bonds as Safe-Haven Assets Against Stock Market Turbulence in China," SAGE Open, , vol. 11(1), pages 21582440219, January.
    49. Abuzayed, Bana & Al-Fayoumi, Nedal, 2021. "Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    50. 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.
    51. Akhtaruzzaman, Md & Banerjee, Ameet Kumar & Boubaker, Sabri & Moussa, Faten, 2023. "Does green improve portfolio optimisation?," Energy Economics, Elsevier, vol. 124(C).
    52. Wu, Chih-Chiang & Chen, Wei-Peng & Korsakul, Nattawadee, 2021. "Extreme linkages between foreign exchange and general financial markets," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
    53. 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.
    54. Emmanuel Afuecheta & Saralees Nadarajah & Stephen Chan, 2021. "A Statistical Analysis of Global Economies Using Time Varying Copulas," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1167-1194, December.
    55. 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.
    56. Conlon, Thomas & Cotter, John & Kovalenko, Illia & Post, Thierry, 2023. "A financial modeling approach to industry exchange-traded funds selection," Journal of Empirical Finance, Elsevier, vol. 74(C).
    57. Maziar Sahamkhadam, 2021. "Dynamic copula-based expectile portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 209-223, May.
    58. Han, Xuyuan & Liu, Zhenya & Wang, Shixuan, 2022. "An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting," Journal of Commodity Markets, Elsevier, vol. 25(C).
    59. 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.
    60. Beatriz de la Flor & Javier Ojea-Ferreiro & Eva Ferreira, 2022. "The Hedging Cost of Forgetting the Exchange Rate," Documentos de Trabajo del ICAE 2022-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    61. 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.
    62. 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.
    63. Kjersti Aas, 2016. "Pair-Copula Constructions for Financial Applications: A Review," Econometrics, MDPI, vol. 4(4), pages 1-15, October.
    64. 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.
    65. 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.
    66. 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.
    67. 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.

  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.

    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. Wang, Yizhong & Wang, Ting & Chen, Lifang, 2021. "Maturity mismatches of Chinese listed firms," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
    3. Jorge A. Munoz-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.
    4. Mark Wallis, 2021. "The effects of relaxing Australia’s statutory dividend restrictions," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 3685-3733, June.
    5. 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.
    6. 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.
    7. Nguyen, Van Ha & Choi, Bobae & Agbola, Frank W., 2020. "Corporate social responsibility and debt maturity: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    8. Cuneyt Orman & Bulent Koksal, 2015. "Structure Of Debt Maturity Across Firm Types," IPEK Working Papers 1504, Ipek University, Department of Economics.
    9. 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.
    10. Jorge A. Munoz-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.
    11. 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.
    12. 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.
    13. 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.
    14. 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.
    15. Chang, Kai & Ding, Jiehuan & Lou, Qichun & Li, Zesheng & Yang, Jiahui, 2021. "The impact of capital leverage on green firms’ investment: New evidence regarding the size and age effects of Chinese green industries," Finance Research Letters, Elsevier, vol. 38(C).
    16. Faisal Seraj Alnori, 2023. "What do we Know about Corporate Debt Maturity Structure in Saudi Arabia?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(6), pages 1-13.
    17. 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.
    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. Wu, Julia Yonghua & Opare, Solomon & Bhuiyan, Md. Borhan Uddin & Habib, Ahsan, 2022. "Determinants and consequences of debt maturity structure: A systematic review of the international literature," International Review of Financial Analysis, Elsevier, vol. 84(C).
    20. 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.
    21. 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.
    22. Orman, Cüneyt & Bülent, Köksal, 2015. "Structure of Debt Maturity across the Firm Type Spectrum," MPRA Paper 64860, University Library of Munich, Germany.
    23. 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.
    24. 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.
    25. Pan, Zheyao & Tan, Kelvin Jui Keng, 2019. "The role of blockholders in the corporate debt maturity structure," Economics Letters, Elsevier, vol. 185(C).

  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.

    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.

  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.

    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. 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.
    4. Yu, Xisheng, 2021. "A unified entropic pricing framework of option: Using Cressie-Read family of divergences," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    5. 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.
    6. 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.

  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.

    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. 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.
    4. Leiv Opstad & Philip Toney & Torbjørn Årethun, 2023. "Factors Influencing Students’ Choice Of Mathematics In High School And Experience In The Compulsory Business Mathematics Course: Evidence From Norway," Business Education and Accreditation, The Institute for Business and Finance Research, vol. 15(1), pages 1-15.
    5. 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.
    6. 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).
    7. Ali Uyar & Khalil Nimer & Cemil Kuzey, 2023. "Education quality, internet access in schools, and research performance in management and accounting domains: a cross-country investigation," Scientometrics, Springer;Akadémiai Kiadó, vol. 128(10), pages 5441-5475, October.

  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.

    Cited by:

    1. Liu, Qiang & Guo, Shuxin, 2014. "Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 77-89.
    2. 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.
    3. Yao Wang & Jingmei Zhao & Qing Li & Xiangyu Wei, 2024. "Considering momentum spillover effects via graph neural network in option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(6), pages 1069-1094, June.
    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. M. Ryan Haley & Todd B. Walker, 2010. "Alternative tilts for nonparametric option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(10), pages 983-1006, October.
    6. 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.
    7. 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.

  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.

    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. 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.
    3. 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.
    4. Sleire, Anders D. & Støve, Bård & Otneim, Håkon & Berentsen, Geir Drage & Tjøstheim, Dag & Haugen, Sverre Hauso, 2022. "Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations," Finance Research Letters, Elsevier, vol. 46(PB).
    5. 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.
    6. Peter Christoffersen & Hugues Langlois, 2011. "The Joint Dynamics of Equity Market Factors," CREATES Research Papers 2011-45, Department of Economics and Business Economics, Aarhus University.
    7. 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.
    8. 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.
    9. Marcela de Marillac Carvalho & Luiz Otávio de Oliveira Pala & Gabriel Rodrigo Gomes Pessanha & Thelma Sáfadi, 2021. "Asymmetric dependence of intraday frequency components in the Brazilian stock market," SN Business & Economics, Springer, vol. 1(6), pages 1-18, June.
    10. Adrian Gepp & Geoff Harris & Bruce Vanstone, 2020. "Financial applications of semidefinite programming: a review and call for interdisciplinary research," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3527-3555, December.
    11. Wu, Chih-Chiang & Chen, Wei-Peng & Korsakul, Nattawadee, 2021. "Extreme linkages between foreign exchange and general financial markets," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
    12. 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.
    13. 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).
    14. 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.
    15. 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.

  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. 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.
    2. Smith, Godfrey, 2013. "Simulated testing of nonparametric measure changes for hedging European options," Finance Research Letters, Elsevier, vol. 10(2), pages 93-101.
    3. 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.
    4. 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. 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. 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.
    2. Yiwen (Paul) Dou & David R. Gallagher & David Schneider & Terry S. Walter, 2012. "Out-of-sample stock return predictability in Australia," Australian Journal of Management, Australian School of Business, vol. 37(3), pages 461-479, December.
    3. 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.
    4. 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," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100429, Verein für Socialpolitik / German Economic Association.
    5. Jurdi, Doureige J., 2022. "Predicting the Australian equity risk premium," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).

  18. 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. 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.
    2. Miguel González-Maestre & Francisco Martínez-Sánchez, 2015. "Quality choice and advertising regulation in broadcasting markets," Journal of Economics, Springer, vol. 114(2), pages 107-126, March.
    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.

  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.

    Cited by:

    1. 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.
    2. 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.
    3. 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.
    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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