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Details about Mark Kamstra

E-mail:
Homepage:http://markkamstra.com
Phone:416-736-2100 local 33302
Postal address:Finance - N225 Schulich School of Business York University 4700 Keele St., Toronto ON M3J 1P3 Canada
Workplace:Schulich School of Business, York University, (more information at EDIRC)

Access statistics for papers by Mark Kamstra.

Last updated 2012-03-07. Update your information in the RePEc Author Service.

Short-id: pka66


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Working Papers

2009

  1. The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in Yale School of Management Working Papers, Yale School of Management (2009) Downloads View citations (2)

2004

  1. Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)
    See also Journal Article in Journal of Financial Research (2005)
  2. Winter blues and time variation in the price of risk
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)
    See also Journal Article in Journal of Empirical Finance (2005)

2003

  1. Stare down the barrel and center the crosshairs: Targeting the ex ante equity premium
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)

2002

  1. Winter blues: a SAD stock market cycle
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (2)
    See also Journal Article in American Economic Review (2003)

2001

  1. Rational exuberance: The fundamentals of pricing firms, from blue chip to “dot com”
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)
  2. Volatility Forecasts, Trading Volume and the ARCH vs. Option-Implied Volatility Tradeoff
    Discussion Papers, Department of Economics, Simon Fraser University View citations (1)

1999

  1. Dividends, Earnings and Fundamental Valuation
    Discussion Papers, Department of Economics, Simon Fraser University
  2. The Accuracy of Fundamental Stock Market Price Estimates and a Refinement to the Donaldson-Kamstra Fundamental Estimate
    Computing in Economics and Finance 1999, Society for Computational Economics

1998

  1. Combining Bond Rating Forecasts Using Logit
    Discussion Papers, Department of Economics, Simon Fraser University
    See also Journal Article in The Financial Review (2001)
  2. Losing Sleep at the Market: The Daylight-Savings Anomaly
    Discussion Papers, Department of Economics, Simon Fraser University View citations (23)
    See also Journal Article in American Economic Review (2000)
  3. The Ex Post Rational Price is Certainly Ex Post, It Might Be Rational, But Is It Useful?
    Discussion Papers, Department of Economics, Simon Fraser University

1996

  1. Forecasting Fundamental Asset Return Distributions and Tests for Excess Volatility and Bubbles
    Discussion Papers, Department of Economics, Simon Fraser University View citations (1)

1995

  1. Evolving Artificial Neural Networks to Combine Financial Forecasts
    Discussion Papers, Department of Economics, Simon Fraser University View citations (3)

1991

  1. A Neural Network Test for Heteroskedasticity
    Discussion Papers, Department of Economics, Simon Fraser University View citations (1)

Undated

  1. Forecasting Fundamental Asset Return Distributions
    Computing in Economics and Finance 1997, Society for Computational Economics Downloads View citations (1)

Journal Articles

2010

  1. Estimating the Equity Premium
    Journal of Financial and Quantitative Analysis, 2010, 45, (04), 813-846 Downloads View citations (2)
  2. Trills Instead of T-Bills: It's Time to Replace Part of Government Debt with Shares in GDP
    The Economists' Voice, 2010, 7, (3), 1-5 Downloads View citations (1)

2009

  1. Is it the weather? Comment
    Journal of Banking & Finance, 2009, 33, (3), 578-582 Downloads View citations (8)

2008

  1. The Case for Trills: Giving Canadians and their Pension Funds a Stake in the Wealth of the Nation
    C.D. Howe Institute Commentary, 2008, (271) Downloads View citations (5)

2005

  1. VOLATILITY FORECASTS, TRADING VOLUME, AND THE ARCH VERSUS OPTION-IMPLIED VOLATILITY TRADE-OFF
    Journal of Financial Research, 2005, 28, (4), 519-538 Downloads View citations (9)
    See also Working Paper (2004)
  2. Waiting for returns: using space-time duality to calibrate financial diffusions
    Quantitative Finance, 2005, 5, (3), 237-244 Downloads
  3. Winter blues and time variation in the price of risk
    Journal of Empirical Finance, 2005, 12, (2), 291-316 Downloads View citations (25)
    See also Working Paper (2004)

2003

  1. Pricing firms on the basis of fundamentals
    Economic Review, 2003, (Q1), 49-70 Downloads View citations (2)
  2. Winter Blues: A SAD Stock Market Cycle
    American Economic Review, 2003, 93, (1), 324-343 Downloads View citations (132)
    See also Working Paper (2002)

2002

  1. Losing Sleep at the Market: The Daylight Saving Anomaly: Reply
    American Economic Review, 2002, 92, (4), 1257-1263 Downloads View citations (13)

2001

  1. Combining Bond Rating Forecasts Using Logit
    The Financial Review, 2001, 36, (2), 75-96 View citations (13)
    See also Working Paper (1998)

2000

  1. Losing Sleep at the Market: The Daylight Saving Anomaly
    American Economic Review, 2000, 90, (4), 1005-1011 Downloads View citations (100)
    See also Working Paper (1998)

1998

  1. Combining qualitative forecasts using logit
    International Journal of Forecasting, 1998, 14, (1), 83-93 Downloads View citations (20)

1997

  1. An artificial neural network-GARCH model for international stock return volatility
    Journal of Empirical Finance, 1997, 4, (1), 17-46 Downloads View citations (35)

1996

  1. A New Dividend Forecasting Procedure That Rejects Bubbles in Asset Prices: The Case of 1929's Stock Crash
    Review of Financial Studies, 1996, 9, (2), 333-83 Downloads View citations (22)

1989

  1. Interval forecasting: An analysis based upon ARCH-quantile estimators
    Journal of Econometrics, 1989, 40, (1), 87-96 Downloads View citations (55)
 
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