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Content
2014, Volume 29, Issue C
- 287-303 Diagnosing the distribution of GARCH innovations
by Sun, Pengfei & Zhou, Chen
- 304-315 Forecasting the intraday market price of money
by Monticini, Andrea & Ravazzolo, Francesco
- 316-330 Banking sector contingent liabilities and sovereign risk
by Arslanalp, Serkan & Liao, Yin
- 331-342 The dispersion effect in international stock returns
by Leippold, Markus & Lohre, Harald
- 343-368 A framework for tracking changes in the intensity of investment funds' systemic risk
by Jin, Xisong & Nadal De Simone, Francisco
- 369-383 An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange
by Yamamoto, Ryuichi
- 384-401 Counter-cyclical risk aversion
by Kim, Kun Ho
- 402-420 An empirical Bayesian approach to stein-optimal covariance matrix estimation
by Gillen, Benjamin J.
- 421-434 High-order moments and extreme value approach for value-at-risk
by Lin, Chu-Hsiung & Changchien, Chang-Cheng & Kao, Tzu-Chuan & Kao, Wei-Shun
- 435-447 Predicting volatility and correlations with Financial Conditions Indexes
by Opschoor, Anne & van Dijk, Dick & van der Wel, Michel
2014, Volume 28, Issue C
- 1-12 Direct evidence of dividend tax clienteles
by Dahlquist, Magnus & Robertsson, Göran & Rydqvist, Kristian
- 13-35 Trading activity in the equity market and its contingent claims: An empirical investigation
by Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar
- 36-59 Short-sale constraints and the idiosyncratic volatility puzzle: An event study approach
by Jiang, Danling & Peterson, David R. & Doran, James S.
- 60-77 Re-examining the risk–return relationship in Europe: Linear or non-linear trade-off?
by Salvador, Enrique & Floros, Christos & Arago, Vicent
- 78-89 Hedging the time-varying risk exposures of momentum returns
by Martens, Martin & van Oord, Arco
- 90-103 Timescale-dependent stock market comovement: BRICs vs. developed markets
by Lehkonen, Heikki & Heimonen, Kari
- 104-117 On the distribution and estimation of trading costs
by Kourtis, Apostolos
- 118-138 Regime switches in the risk–return trade-off
by Ghysels, Eric & Guérin, Pierre & Marcellino, Massimiliano
- 139-150 Market states and the risk-based explanation of the size premium
by Hur, Jungshik & Pettengill, Glenn & Singh, Vivek
- 151-170 Are regime-shift sources of risk priced in the market?
by Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias
- 171-184 The informational effect and market quality impact of upstairs trading and fleeting orders on the Australian Securities Exchange
by Rose, Annica
- 185-201 Order flow and volatility: An empirical investigation
by Opschoor, Anne & Taylor, Nick & van der Wel, Michel & van Dijk, Dick
- 202-214 Stock liquidity and the Taylor rule
by Jiang, Lei
- 215-229 Converting true returns into reported returns: A general theory of linear smoothing and anti-smoothing
by McKenzie, Michael & Satchell, Stephen & Wongwachara, Warapong
- 230-248 Consumer confidence or the business cycle: What matters more for European expected returns?
by Møller, Stig V. & Nørholm, Henrik & Rangvid, Jesper
- 249-260 Average funds versus average dollars: Implications for mutual fund research
by Clifford, Christopher P. & Jordan, Bradford D. & Riley, Timothy B.
- 261-272 A frequency-domain alternative to long-horizon regressions with application to return predictability
by Sizova, Natalia
- 273-290 Stock returns on option expiration dates: Price impact of liquidity trading
by Chiang, Chin-Han
- 291-320 Modeling hedge fund lifetimes: A dependent competing risks framework with latent exit types
by Haghani, Shermineh
- 321-331 Quantiles of the realized stock–bond correlation and links to the macroeconomy
by Aslanidis, Nektarios & Christiansen, Charlotte
- 332-351 Price and earnings momentum: An explanation using return decomposition
by Mao, Mike Qinghao & Wei, K.C. John
- 352-361 Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation
by Tse, Yiu-Kuen & Dong, Yingjie
- 362-385 How did the financial crisis alter the correlations of U.S. yield spreads?
by Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo
2014, Volume 27, Issue C
- 10-20 Private equity alliances in mergers
by Kim, Tae-Nyun & Palia, Darius
- 21-39 Pay inequalities and managerial turnover
by Kale, Jayant R. & Reis, Ebru & Venkateswaran, Anand
- 40-57 Gentlemen do not talk about money: Remuneration dispersion and firm performance relationship on British boards
by Zalewska, Anna
- 58-74 Family control, expropriation, and investor protection: A panel data analysis of Western European corporations
by Pindado, Julio & Requejo, Ignacio & de la Torre, Chabela
- 75-96 Excessive financial services CEO pay and financial crisis: Evidence from calibration estimation
by Dong, Gang Nathan
- 97-115 CEO compensation and future shareholder returns: Evidence from the London Stock Exchange
by Balafas, Nikolaos & Florackis, Chris
- 116-129 Managerial shareholding policies and retention of vested equity incentives
by Korczak, Piotr & Liu, Xicheng
- 130-144 The effect of concentration and regulation on audit fees: An application of panel data techniques
by Evans, Lawrance & Schwartz, Jeremy
2014, Volume 25, Issue C
- 1-14 Measuring and testing for the systemically important financial institutions
by Castro, Carlos & Ferrari, Stijn
- 15-35 Modelling changes in the unconditional variance of long stock return series
by Amado, Cristina & Teräsvirta, Timo
- 36-51 International cross-listing and price discovery under trading concentration in the domestic market: Evidence from Japanese shares
by Otsubo, Yoichi
- 52-61 Does the market matter for more than investment?
by Smith, Jason
- 62-82 Using local Gaussian correlation in a nonlinear re-examination of financial contagion
by Støve, Bård & Tjøstheim, Dag & Hufthammer, Karl Ove
- 83-94 Firm opacity and financial market information asymmetry
by Ravi, Rahul & Hong, Youna
- 95-111 Risk-free rate effects on conditional variances and conditional correlations of stock returns
by Palandri, Alessandro
- 112-133 Pricing of liquidity risks: Evidence from multiple liquidity measures
by Kim, Soon-Ho & Lee, Kuan-Hui
- 134-148 Intraday asymmetric liquidity and asymmetric volatility in FTSE-100 futures market
by Xiang, Ju & Zhu, Xiaoneng
2013, Volume 24, Issue C
- 1-9 Detecting synchronous cycles in financial time series of unequal length
by Reschenhofer, Erhard & Lingler, Michaela
- 10-23 An intra-week efficiency analysis of bookie-quoted NFL betting lines in NYC
by Miller, Thomas W. & Rapach, David E.
- 24-41 Linear-price term structure models
by Gourieroux, C. & Monfort, A.
- 42-62 Valuation of collateralized debt obligations with hierarchical Archimedean copulae
by Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap
- 63-77 The development of emerging stock markets and the demand for cross-listing
by Korczak, Adriana & Korczak, Piotr
- 78-93 Autocorrelation and partial price adjustment
by Anderson, Robert M. & Eom, Kyong Shik & Hahn, Sang Buhm & Park, Jong-Ho
- 94-107 Dividend privileges and the value of voting rights: Evidence from Italy
by Bigelli, Marco & Croci, Ettore
- 108-115 Volatility timing: How best to forecast portfolio exposures
by Clements, A. & Silvennoinen, A.
- 116-120 Estimating PIN for firms with high levels of trading
by Jackson, David
- 121-137 Risk spillovers in international equity portfolios
by Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo
- 138-150 Bond vs stock market's Q: Testing for stability across frequencies and over time
by Gallegati, Marco & Ramsey, James B.
- 151-165 Are there diversification benefits of increasing noninterest income in the Chinese banking industry?
by Li, Li & Zhang, Yu
- 166-181 Modeling the relationship between European carbon permits and certified emission reductions
by Koop, Gary & Tole, Lise
2013, Volume 23, Issue C
- 1-15 Illiquidity shocks and the comovement between stocks: New evidence using smooth transition
by Chelley-Steeley, Patricia & Lambertides, Neophytos & Savva, Christos S.
- 16-32 Variance risk premiums in foreign exchange markets
by Ammann, Manuel & Buesser, Ralf
- 33-47 Value at risk forecasts by extreme value models in a conditional duration framework
by Herrera, Rodrigo & Schipp, Bernhard
- 48-67 Implied liquidity: Model sensitivity
by Albrecher, Hansjoerg & Guillaume, Florence & Schoutens, Wim
- 68-83 What do price discovery metrics really measure?
by Putniņš, Tālis J.
- 84-92 Informational role of market makers: The case of exchange traded CFDs
by Lepone, Andrew & Yang, Jin Young
- 93-116 Testing for monotonicity in expected asset returns
by Romano, Joseph P. & Wolf, Michael
- 117-141 The disciplinary effect of subordinated debt on bank risk taking
by Nguyen, Tu
- 142-161 The information content of risk-neutral skewness for volatility forecasting
by Byun, Suk Joon & Kim, Jun Sik
- 162-172 Misclassification of the dependent variable in a debt–repayment behavior context
by Aller, Carlos & González Chapela, Jorge
- 173-186 The forward premium in electricity futures
by Bunn, Derek W. & Chen, Dipeng
- 187-190 Aggregate investor preferences and beliefs: A comment
by Post, Thierry & Kopa, Miloš
- 191-205 Comoment risk and stock returns
by Lambert, M. & Hübner, G.
2013, Volume 22, Issue C
- 1-15 Advertising investments, information asymmetry, and insider gains
by Joseph, Kissan & Wintoki, M. Babajide
- 16-29 Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach
by Akay, Ozgur (Ozzy) & Senyuz, Zeynep & Yoldas, Emre
- 30-51 Understanding industry betas
by Baele, Lieven & Londono, Juan M.
- 52-66 Equilibrium exchange rate determination and multiple structural changes
by Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald
- 67-77 Does mortality improvement increase equity risk premiums? A risk perception perspective
by Huang, Rachel J. & Miao, Jerry C.Y. & Tzeng, Larry Y.
- 78-93 Term structure dynamics with macro-factors using high frequency data
by Kim, Hwagyun & Park, Hail
- 94-112 Long memory and tail dependence in trading volume and volatility
by Rossi, Eduardo & Santucci de Magistris, Paolo
- 113-127 What do the Fama–French factors add to C-CAPM?
by Abhakorn, Pongrapeeporn & Smith, Peter N. & Wickens, Michael R.
- 128-139 An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil
by Li, Minqiang
- 140-158 On detection of volatility spillovers in overlapping stock markets
by Kohonen, Anssi
- 159-175 Stakeholder relations and stock returns: On errors in investors' expectations and learning
by Borgers, Arian & Derwall, Jeroen & Koedijk, Kees & ter Horst, Jenke
2013, Volume 21, Issue C
- 1-14 The issuance of callable bonds under information asymmetry
by Choi, Seungmook & Jameson, Mel & Jung, Mookwon
- 15-35 Sovereign default risk premia: Evidence from the default swap market
by Zinna, Gabriele
- 36-53 No-arbitrage implied volatility functions: Empirical evidence from KOSPI 200 index options
by Kim, Namhyoung & Lee, Jaewook
- 54-68 Does monetary policy determine stock market liquidity? New evidence from the euro zone
by Fernández-Amador, Octavio & Gächter, Martin & Larch, Martin & Peter, Georg
- 69-85 A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?
by Wagner, Niklas & Winter, Elisabeth
- 86-101 Performance, stock selection and market timing of the German equity mutual fund industry
by Cuthbertson, Keith & Nitzsche, Dirk
- 102-120 Credit risk in covered bonds
by Prokopczuk, Marcel & Siewert, Jan B. & Vonhoff, Volker
- 121-131 The discretionary effect of CEOs and board chairs on corporate governance structures
by Arena, Matteo P. & Braga-Alves, Marcus V.
- 132-141 On the risk return relationship
by Wang, Jianxin & Yang, Minxian
- 142-155 Are short sellers incrementally informed prior to earnings announcements?
by Blau, Benjamin M. & Pinegar, J. Michael
- 156-173 What style-timing skills do mutual fund “stars” possess?
by Chen, Li-Wen & Adams, Andrew & Taffler, Richard
- 174-194 Stressing correlations and volatilities — A consistent modeling approach
by Becker, Christoph & Schmidt, Wolfgang M.
- 195-213 An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions
by Cheng, Teng Yuan & Lee, Chun I & Lin, Chao Hsien
- 214-222 Multi-period credit default prediction with time-varying covariates
by Orth, Walter
- 223-240 Corporate boards' political ideology diversity and firm performance
by Kim, Incheol & Pantzalis, Christos & Park, Jung Chul
- 241-250 Ranking of finance journals: Some Google Scholar citation perspectives
by Chan, Kam C. & Chang, Chih-Hsiang & Chang, Yuanchen
2013, Volume 20, Issue C
- 1-17 Two-pass estimation of risk premiums with multicollinear and near-invariant betas
by Ahn, Seung C. & Perez, M. Fabricio & Gadarowski, Christopher
- 18-29 Liquidity and firm investment: Evidence for Latin America
by Muñoz, Francisco
- 30-41 Do strategic alliances in a developing country create firm value? Evidence from Korean firms
by Lee, Hyunchul & Cho, Euije & Cheong, Chongcheul & Kim, Jinsu
- 42-62 Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices
by Perron, Pierre & Chun, Sungju & Vodounou, Cosme
- 63-82 The international evidence on discouraged small businesses
by Chakravarty, Sugato & Xiang, Meifang
- 83-95 The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts
by Varneskov, Rasmus & Voev, Valeri
- 96-101 A global approach to mutual funds market timing ability
by Bodson, Laurent & Cavenaile, Laurent & Sougné, Danielle
- 102-108 Aggregational Gaussianity and barely infinite variance in financial returns
by Antypas, Antonios & Koundouri, Phoebe & Kourogenis, Nikolaos
- 109-129 What do professional forecasters' stock market expectations tell us about herding, information extraction and beauty contests?
by Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas
- 130-146 Another look at the cross-section and time-series of stock returns: 1951 to 2011
by Du, Ding
2012, Volume 19, Issue 5
- 627-639 Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts
by Benavides, Guillermo & Capistrán, Carlos
- 640-652 Drug approval decisions: A note on stock liquidity effects
by Himmelmann, Achim & Schiereck, Dirk
- 653-674 Product market relationships and cost of bank loans: Evidence from strategic alliances
by Fang, Yiwei & Francis, Bill & Hasan, Iftekhar & Wang, Haizhi
- 675-685 Short-term predictability of equity returns along two style dimensions
by Shynkevich, Andrei
- 686-701 Fractal market time
by McCulloch, James
- 702-720 Speed of convergence to market efficiency: The role of ECNs
by Chung, Dennis Y. & Hrazdil, Karel
- 721-740 Optimal portfolio choice in real terms: Measuring the benefits of TIPS
by Cartea, Álvaro & Saúl, Jonatan & Toro, Juan
- 741-761 A new country risk index for emerging markets: A stochastic dominance approach
by Agliardi, Elettra & Agliardi, Rossella & Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas
- 762-781 Relationship lending and firm innovativeness
by Giannetti, Caterina
- 782-795 Nonlinearity and smoothing in venture capital performance data
by McKenzie, Michael & Satchell, Stephen & Wongwachara, Warapong
- 796-818 The cross-section of stock returns in frontier emerging markets
by de Groot, Wilma & Pang, Juan & Swinkels, Laurens
- 819-830 A meta-analysis of the equity premium
by van Ewijk, Casper & de Groot, Henri L.F. & Santing, A.J. (Coos)
2012, Volume 19, Issue 4
- 411-426 The impact of capital market competition on relationship banking: Evidence from the Japanese experience
by Fraser, Donald R. & Rhee, S. Ghon & Shin, G. Hwan
- 427-453 A simple approach to standardized-residuals-based higher-moment tests
by Chen, Yi-Ting
- 454-464 Smooth transition patterns in the realized stock–bond correlation
by Aslanidis, Nektarios & Christiansen, Charlotte
- 465-482 Asymmetric capital structure adjustments: New evidence from dynamic panel threshold models
by Dang, Viet Anh & Kim, Minjoo & Shin, Yongcheol
- 483-496 Stock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors
by Liu, Xinyi & Margaritis, Dimitris & Wang, Peiming
- 497-510 The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium
by Gospodinov, Nikolay & Jamali, Ibrahim
- 511-527 Sampling error and double shrinkage estimation of minimum variance portfolios
by Candelon, B. & Hurlin, C. & Tokpavi, S.
- 528-547 Aggregate investor preferences and beliefs in stock market: A stochastic dominance analysis
by Fang, Yi
- 548-557 Euro money market spreads during the 2007–? financial crisis
by Cassola, Nuno & Morana, Claudio
- 558-582 Taking stock or cashing in? Shareholder style preferences, premiums and the method of payment
by Burch, Timothy R. & Nanda, Vikram & Silveri, Sabatino
- 583-594 Time-varying correlation between stock market returns and real estate returns
by Heaney, Richard & Sriananthakumar, Sivagowry
- 595-609 Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels
by Gospodinov, Nikolay & Hirukawa, Masayuki
- 610-625 Modelling and forecasting liquidity supply using semiparametric factor dynamics
by Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija
2012, Volume 19, Issue 3
- 309-318 Local sports sentiment and returns of locally headquartered stocks: A firm-level analysis
by Chang, Shao-Chi & Chen, Sheng-Syan & Chou, Robin K. & Lin, Yueh-Hsiang
- 319-333 Global style momentum
by Chao, Hsiao-Ying & Collver, Charles & Limthanakom, Natcha
- 334-348 Time-varying performance of international mutual funds
by Turtle, H.J. & Zhang, Chengping
- 349-358 Portfolio returns and manager activity: How to decompose tracking error into security selection and market timing
by Ekholm, Anders G.
- 359-381 Equity order flow and exchange rate dynamics
by Ferreira Filipe, Sara
- 382-394 Common influences, spillover and integration in Chinese stock markets
by Weber, Enzo & Zhang, Yanqun
- 395-408 On the determinants of the implied default barrier
by Dionne, Georges & Laajimi, Sadok
2012, Volume 19, Issue 2
- 175-199 Does information vault Niagara Falls? Cross-listed trading in New York and Toronto
by Chen, Haiqiang & Choi, Paul Moon Sub
- 200-216 Cross-listing and subsequent delisting in foreign markets
by You, Leyuan & Parhizgari, Ali M. & Srivastava, Suresh
- 217-240 When does investor sentiment predict stock returns?
by Chung, San-Lin & Hung, Chi-Hsiou & Yeh, Chung-Ying
- 241-253 Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model
by Engsted, Tom & Pedersen, Thomas Q.
- 254-265 Stock return autocorrelations revisited: A quantile regression approach
by Baur, Dirk G. & Dimpfl, Thomas & Jung, Robert C.
- 266-281 Credit ratings and excess value of diversification
by Chou, Ting-Kai & Cheng, Jia-Chi
- 282-291 On the intraday periodicity duration adjustment of high-frequency data
by Wu, Zhengxiao
- 292-308 Moments of multivariate regime switching with application to risk-return trade-off
by Taamouti, Abderrahim
2012, Volume 19, Issue 1
- 1-25 Financial development and the allocation of external finance
by Bena, Jan & Ondko, Peter
- 26-50 Economic freedom and cross-border venture capital performance
by Wang, Lanfang & Wang, Susheng
- 51-64 Where are the smart investors? New evidence of the smart money effect
by Yu, Hsin-Yi
- 65-78 Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims
by Wang, Zhenyu & Zhang, Xiaoyan
- 79-93 Does the weather have impacts on returns and trading activities in order-driven stock markets? Evidence from China
by Lu, Jing & Chou, Robin K.
- 94-108 The investment value of the frequency of analyst recommendation changes for the ordinary investor
by Hobbs, Jeffrey & Kovacs, Tunde & Sharma, Vivek
- 109-122 Geographic diversification and firm value in the financial services industry
by Schmid, Markus M. & Walter, Ingo
- 123-146 Real estate prices: An international study of seasonality's sentiment effect
by Kaplanski, Guy & Levy, Haim
- 147-161 Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models
by Langrock, Roland & MacDonald, Iain L. & Zucchini, Walter
- 162-174 Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach
by Chan, Chia-Ying & de Peretti, Christian & Qiao, Zhuo & Wong, Wing-Keung
2011, Volume 18, Issue 5
- 782-801 The characteristics of informed trading: Implications for asset pricing
by Aslan, Hadiye & Easley, David & Hvidkjaer, Soeren & O'Hara, Maureen
- 802-814 Small-cap equity mutual fund managers as liquidity providers
by Shawky, Hany A. & Tian, Jianbo
- 815-832 The risk appetite of private equity sponsors
by Braun, Reiner & Engel, Nico & Hieber, Peter & Zagst, Rudi
- 833-846 The role of time-varying jump risk premia in pricing stock index options
by Yun, Jaeho
- 847-867 Firm level return–volatility analysis using dynamic panels
by Smith, L. Vanessa & Yamagata, Takashi
- 868-879 Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data
by Kim, Jae H. & Shamsuddin, Abul & Lim, Kian-Ping
- 880-902 American option pricing with discrete and continuous time models: An empirical comparison
by Stentoft, Lars
- 903-914 Understanding liquidity and credit risks in the financial crisis
by Gefang, Deborah & Koop, Gary & Potter, Simon M.
- 915-934 Words that shake traders
by Rosa, Carlo
- 935-952 The fed and the term structure: Addressing simultaneity within a structural VAR model
by Farka, Mira & DaSilva, Amadeu
- 953-971 Nonparametric rank tests for event studies
by Kolari, James W. & Pynnonen, Seppo
- 972-992 Testing conditional factor models: A nonparametric approach
by Li, Yan & Yang, Liyan
September 2011, Volume 18, Issue 4
- 547-569 The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds
by Fung, William & Hsieh, David A.
- 570-584 Stock market trading activity and returns around milestones
by Aragon, George O. & Dieckmann, Stephan
- 585-596 Working for the enemy? The impact of investment banker job changes on deal flow
by Bradley, Daniel & Choi, Hyung-Suk & Clarke, Jonathan
- 597-615 The persistent effects of a false news shock
by Carvalho, Carlos & Klagge, Nicholas & Moench, Emanuel
- 616-633 Are investment and financing anomalies two sides of the same coin?
by Sullivan, Michael & Zhang, Andrew (Jianzhong)
- 634-651 Is unlevered firm volatility asymmetric?
by Daouk, Hazem & Ng, David
- 652-660 A note on the returns from minimum variance investing
by Scherer, Bernd
- 661-691 Testing weak form efficiency on the Toronto Stock Exchange
by Alexeev, Vitali & Tapon, Francis
- 692-710 Modelling and forecasting short-term interest rate volatility: A semiparametric approach
by Hou, Ai Jun & Suardi, Sandy
- 711-727 The economic value of range-based covariance between stock and bond returns with dynamic copulas
by Wu, Chih-Chiang & Liang, Shin-Shun
- 728-742 Checking for asymmetric default dependence in a credit card portfolio: A copula approach
by Crook, Jonathan & Moreira, Fernando
- 743-764 In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008
by Cai, Lili & Swanson, Norman R.
- 765-778 Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions
by Zhu, Dongming & Galbraith, John W.
June 2011, Volume 18, Issue 3
- 379-392 Fixed-income fund performance: Role of luck and ability in tail membership
by Ayadi, Mohamed A. & Kryzanowski, Lawrence
- 393-407 How arbitrage-free is the Nelson-Siegel model?
by Coroneo, Laura & Nyholm, Ken & Vidova-Koleva, Rositsa
- 408-422 Information, speed vs. cost trade-offs, and order routing decisions in U.S. equity markets
by Garvey, Ryan & Wu, Fei
- 423-446 Markets change every day: Evidence from the memory of trade direction
by Axioglou, Christos & Skouras, Spyros
- 447-460 The Monday effect revisited: An alternative testing approach
by Alt, Raimund & Fortin, Ines & Weinberger, Simon
- 461-473 The cross-section of dynamics in idiosyncratic risk
by Vozlyublennaia, Nadia
- 474-487 Information asymmetry in warrants and their underlying stocks on the stock exchange of Thailand
by Visaltanachoti, Nuttawat & Charoenwong, Charlie & Ding, David K.
- 488-505 Stock market momentum, business conditions, and GARCH option pricing models
by Chiang, Min-Hsien & Huang, Hsin-Yi
- 506-521 Residual momentum
by Blitz, David & Huij, Joop & Martens, Martin
- 522-532 Modeling structural changes in the volatility process
by Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J.
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