Details about Ian Domowitz

Access statistics for papers by Ian Domowitz.

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Short-id: pdo3

Working Papers

2000

1. Liquidity, Volatility, and Equity Trading Costs Across Countries and Over Time
   William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan Stephen M. Ross Business School View citations
   See also Journal Article in International Finance (2001)

1997

2. A Consistent Nonparametric Test of Ergodicity for Time Series with Applications
   Working papers, Wisconsin Madison - Social Systems View citations
   See also Journal Article in Journal of Econometrics (2001)
3. Financial Market Structure and the Ergocicity of Prices
   Working papers, Wisconsin Madison - Social Systems
4. Liquidity-Corrected Variance Ratios and the Effect of Foreign Equity Ownership on Information in an Emerging Market
   Working Papers, Duke University, Department of Economics
5. Noise In the Price Discovery Process: A Comparison of Periodicand Continuous Auctions
   Working Papers, Duke University, Department of Economics

1993

6. A Consistent Test of Stationary Ergodicity
   Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences View citations
   See also Journal Article in Econometric Theory (1993)

1992

7. A Taxonomy of Automated Trade Execution Systems
   IMF Working Papers, International Monetary Fund View citations
   See also Journal Article in Journal of International Money and Finance (1993)
8. Automating the Price Discovery Process - Some International Comparisons and Regulatory Implications
   IMF Working Papers, International Monetary Fund View citations

1991

9. Equally Open and Competitive: Regulatory Approval of Automated Trade Execution in the Future Markets
   Working Papers, Columbia - Center for Futures Markets View citations
10. The Electronic Order Book and Automated Trade Execution in the Furure Market
    Working Papers, Columbia - Center for Futures Markets

1988

11. A TEST OF THE HARRIS ERGODICITY OF STATIONARY DYNAMICAL ECONOMIC MODELS
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER)
12. Business Cycles and Oligopoly Supergames: Some Empirical Evidence on Prices and Margins
    NBER Working Papers, National Bureau of Economic Research, Inc
13. Market Structure and Cyclical Fluctuations in U.S. Manufacturing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in The Review of Economics and Statistics (1988)

1986

14. Error correction, forward-looking behavior, and dynamic international money demand
    Research Working Paper, Federal Reserve Bank of Kansas City View citations

1985

15. Inference in the Explosive First-Order Linear Dynamic Regression Model
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science

1982

16. The Linear Model With Stochastic Regressors and Heteroscedastic Dependent Errors
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science
17. Using Weighted Nonlinear Least Squares to Estimate Fish Population Dynamics Models
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science

Undated

18. Country and Currency Risk Premia in an Emerging Market
    IPR working papers, Institute for Policy Resarch at Northwestern University View citations
    See also Journal Article in Journal of Financial and Quantitative Analysis (1998)
19. Incentives and Bankruptcy Chapter Choice: Evidence from the Reform Act of 1978
    IPR working papers, Institute for Policy Resarch at Northwestern University
    See also Journal Article in Journal of Legal Studies (1999)
20. Personal Bankruptcy in the United States
    IPR working papers, Institute for Policy Resarch at Northwestern University
21. Personal Liabilities and Bankruptcy Reform: An International Perspective
    IPR working papers, Institute for Policy Resarch at Northwestern University View citations
    See also Journal Article in International Finance (1998)
22. Regulation of Automated Trading Systems
    IPR working papers, Institute for Policy Resarch at Northwestern University
23. The Market for Equity Markets: The Classification and Regulation of Automated Trading Systems
    IPR working papers, Institute for Policy Resarch at Northwestern University
24. Two Hundred Years of Bankruptcy: A Tale of Legislation and Economic Fluctuations
    IPR working papers, Institute for Policy Resarch at Northwestern University View citations

Journal Articles

2005

1. Liquidity commonality and return co-movement
   Journal of Financial Markets, 2005, 8, (4), 351-376 View citations

2002

2. Liquidity, Transaction Costs, and Reintermediation in Electronic Markets
   Journal of Financial Services Research, 2002, 22, (1), 141-157 View citations

2001

3. A consistent nonparametric test of ergodicity for time series with applications
   Journal of Econometrics, 2001, 102, (2), 365-398 View citations
   See also Working Paper (1997)
4. Liquidity, Volatility and Equity Trading Costs across Countries and over Time
   International Finance, 2001, 4, (2), 221-55 View citations
   See also Working Paper (2000)
5. On the Road to Reg ATS: A Critical History of the Regulation of Automated Trading Systems
   International Finance, 2001, 4, (2), 279-302

2000

6. The Impact of Foreign Equity Ownership on Emerging Market Share Price Volatility
   International Finance, 2000, 3, (1), 95-122 View citations

1999

7. Determinants of the Consumer Bankruptcy Decision
   Journal of Finance, 1999, 54, (1), 403-420 View citations
8. Incentives and Bankruptcy Chapter Choice: Evidence from the Reform Act of 1978
   Journal of Legal Studies, 1999, 28, (2), 461-87
   See also Working Paper
9. Pricing behavior in an off-hours computerized market
   Journal of Empirical Finance, 1999, 6, (5), 583-607 View citations

1998

10. Country and Currency Risk Premia in an Emerging Market
    Journal of Financial and Quantitative Analysis, 1998, 33, (02), 189-216 View citations
    See also Working Paper
11. International Cross-Listing and Order Flow Migration: Evidence from an Emerging Market
    Journal of Finance, 1998, 53, (6), 2001-2027 View citations
12. Personal Liabilities and Bankruptcy Reform: An International Perspective
    International Finance, 1998, 1, (1), 127-59 View citations
    See also Working Paper

1997

13. Market Segmentation and Stock Prices: Evidence from an Emerging Market
    Journal of Finance, 1997, 52, (3), 1059-85 View citations
14. Order flow and the bid-ask spread: An empirical probability model of screen-based trading
    Journal of Economic Dynamics and Control, 1997, 21, (8-9), 1471-1491 View citations

1995

15. Electronic derivatives exchanges: Implicit mergers, network externalities, and standardization
    The Quarterly Review of Economics and Finance, 1995, 35, (2), 163-175 View citations

1994

16. Auctions as algorithms: Computerized trade execution and price discovery
    Journal of Economic Dynamics and Control, 1994, 18, (1), 29-60 View citations

1993

17. A Consistent Test of Stationary-Ergodicity
    Econometric Theory, 1993, 9, (04), 589-601
    See also Working Paper (1993)
18. A taxonomy of automated trade execution systems
    Journal of International Money and Finance, 1993, 12, (6), 607-631 View citations
    See also Working Paper (1992)
19. Market Structure and Cyclical Fluctuations in U.S. Manufacturing: Reply
    The Review of Economics and Statistics, 1993, 75, (4), 734-35
20. The Impact of the Bankruptcy Reform Act of 1978 on Consumer Bankruptcy
    Journal of Law & Economics, 1993, 36, (2), 803-35 View citations
21. Trading Patterns and Prices in the Interbank Foreign Exchange Market
    Journal of Finance, 1993, 48, (4), 1421-43 View citations

1990

22. Automated trade execution systems
    Proceedings, 1990, 227-251 View citations
23. Interpreting an Error Correction Model: Partial Adjustment, Forward-Looking Behaviour, and Dynamic International Money Demand
    Journal of Applied Econometrics, 1990, 5, (1), 29-46 View citations
24. The mechanics of automated trade execution systems
    Journal of Financial Intermediation, 1990, 1, (2), 167-194 View citations

1989

25. Asset Substitution, Money Demand, and the Inflation Process in Brazil
    Journal of Money, Credit and Banking, 1989, 21, (1), 78-89 View citations

1988

26. Market Structure and Cyclical Fluctuations in U.S. Manufacturing
    The Review of Economics and Statistics, 1988, 70, (1), 55-66 View citations
    See also Working Paper (1988)

1987

27. An error-correction approach to money demand: The case of Sudan
    Journal of Development Economics, 1987, 26, (2), 257-275 View citations
28. Oligopoly Supergames: Some Empirical Evidence on Prices and Margins
    Journal of Industrial Economics, 1987, 35, (4), 379-98 View citations

1986

29. Business Cycles and the Relationship Between Concentration and Price-Cost Margins
    RAND Journal of Economics, 1986, 17, (1), 1-17 View citations
30. The Intertemporal Stability of the Concentration-Margins Relationship
    Journal of Industrial Economics, 1986, 35, (1), 13-34 View citations

1985

31. Conditional variance and the risk premium in the foreign exchange market
    Journal of International Economics, 1985, 19, (1-2), 47-66 View citations
32. Industry margins and the business cycle: Some new microeconomic evidence
    Economics Letters, 1985, 19, (1), 73-77
33. New Directions in Non-linear Estimation with Dependent Observations
    Canadian Journal of Economics, 1985, 18, (1), 1-27 View citations

1984

34. Nonlinear Regression with Dependent Observations
    Econometrica, 1984, 52, (1), 143-61 View citations

1983

35. Comment
    Econometric Reviews, 1983, 2, (2), 219-222

1982

36. Misspecified models with dependent observations
    Journal of Econometrics, 1982, 20, (1), 35-58 View citations

Chapters

1996

1. An Exchange Is a Many-Splendored Thing: The Classification and Regulation of Automated Trading Systems
   A chapter in The Industrial Organization and Regulation of the Securities Industry, 1996, pp 93-124