Details about Cornelis A. Los

Access statistics for papers by Cornelis A. Los.

Last updated 2008-08-24. Update your information in the RePEc Author Service.

Short-id: plo23

Working Papers

2008

1. Investment Model Uncertainty and Fair Pricing
   MPRA Paper, University Library of Munich, Germany

2005

2. Long Memory Options: LM Evidence and Simulations
   Finance, EconWPA
   See Also Journal Article in Research in International Business and Finance (2007)
3. Measurement of Financial Risk Persistence
   Finance, EconWPA View citations
4. Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate
   Finance, EconWPA
5. Persistence Characteristics of the Chinese Stock Markets
   Finance, EconWPA View citations
   See Also Journal Article in International Review of Financial Analysis (2008)
6. The Degree of Stability of Price Diffusion
   Finance, EconWPA
7. Were Cobb and Douglas Prejudiced? A Critical Re-analysis of their 1928 Production Model Identification
   Econometrics, EconWPA

2004

8. Dynamic Risk Profile of the US Term Structure by Wavelet MRA
   Finance, EconWPA
9. Galton's Error and the Under-Representation of Systematic Risk
   Finance, EconWPA
   See Also Journal Article in Journal of Banking & Finance (1999)
10. Long Memory Options: Valuation
    Finance, EconWPA View citations
11. Long-Term Dependence Characteristics of European Stock Indices
    Finance, EconWPA
12. Measuring Financial Cash Flow and Term Structure Dynamics
    Finance, EconWPA
13. Measuring the Degree of Efficiency of Financial Market
    Finance, EconWPA
14. Model Uncertainty, Complexity and Rank in Finance
    Econometrics, EconWPA
15. Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash
    Finance, EconWPA
16. Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data
    Finance, EconWPA View citations
17. Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets
    Finance, EconWPA
    See Also Journal Article in Journal of Multinational Financial Management (1999)
18. Optimal Asian Multi-Currency Strategy Portfolios with Exact Risk Attribution
    Finance, EconWPA View citations
19. Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries
    Finance, EconWPA View citations
    See Also Journal Article in Journal of Multinational Financial Management (1998)
20. Persistence Characteristics of Latin American Financial Markets
    Finance, EconWPA
    Also in
    Finance, EconWPA (2004)
    See Also Journal Article in Journal of Multinational Financial Management (2006)
21. System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets
    International Finance, EconWPA
    See Also Journal Article in Journal of Banking & Finance (2006)
22. The 1998 Third Annual Survey of Risk Management Practices of Unit Trusts in Singapore
    Finance, EconWPA
23. The Changing Concept of Financial Risk
    Finance, EconWPA
24. The Fed’s Consistent Monetary Policy: A Long Term Perspective
    Macroeconomics, EconWPA
25. The Unscientific Incompleteness and Bias of Unidirectional Projections (= Regressions): A Questionnaire
    Econometrics, EconWPA View citations
26. Valuation of Six Asian Stock Markets: Financial System Identification in Noisy Environments
    Finance, EconWPA
27. Visualization of Chaos for Finance Majors
    Finance, EconWPA View citations
28. Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997
    Finance, EconWPA View citations
    See Also Journal Article in International Review of Financial Analysis (2005)
29. When to Put All Your Eggs in One Basket.....When Diversification Increases Portfolio Risk!
    Finance, EconWPA View citations
30. Why VAR Fails: Long Memory and Extreme Events in Financial Markets
    Finance, EconWPA View citations
    See Also Journal Article in The Icfai Journal of Financial Economics (2005)

1987

31. Identification of a linear system from inexact data: a three variable example
    Research Paper, Federal Reserve Bank of New York View citations
32. The prejudices of least squares, principal components and common factor schemes
    Research Paper, Federal Reserve Bank of New York View citations

1986

33. Collinearity analysis of a simple money demand equation
    Research Paper, Federal Reserve Bank of New York View citations
34. Quality control of empirical econometrics: a status report
    Research Paper, Federal Reserve Bank of New York View citations
35. The ghost in the box: comment on "what will take the con out of econometrics."
    Research Paper, Federal Reserve Bank of New York
36. Why there is still no empirical evidence for a money equation! Comments on "an historical perspective to the econometrics of money and income."
    Research Paper, Federal Reserve Bank of New York

Journal Articles

2008

1. Persistence characteristics of the Chinese stock markets
   International Review of Financial Analysis, 2008, 17, (1), 64-82
   See Also Working Paper (2005)

2007

2. Long memory options: LM evidence and simulations
   Research in International Business and Finance, 2007, 21, (2), 260-280 View citations
   See Also Working Paper (2005)

2006

3. Persistence characteristics of Latin American financial markets
   Journal of Multinational Financial Management, 2006, 16, (3), 269-290
   See Also Working Paper (2004)
4. System identification in noisy data environments: An application to six Asian stock markets
   Journal of Banking & Finance, 2006, 30, (7), 1997-2024
   See Also Working Paper (2004)
5. VISUALIZATION OF THE ROAD TO CHAOS FOR FINANCE AND ECONOMICS MAJORS
   The Icfai Journal of Financial Economics, 2006, IV, (4), 7-34 View citations

2005

6. Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997
   International Review of Financial Analysis, 2005, 14, (2), 211-246
   See Also Working Paper (2004)
7. Why VaR FailsLong Memory and Extreme Events in Financial Markets
   The Icfai Journal of Financial Economics, 2005, III, (3), 19-36
   See Also Working Paper (2004)

1999

8. Galton's Error and the under-representation of systematic risk
   Journal of Banking & Finance, 1999, 23, (12), 1793-1829 View citations
   See Also Working Paper (2004)
9. Nonparametric testing of the high-frequency efficiency of the 1997 Asian foreign exchange markets
   Journal of Multinational Financial Management, 1999, 9, (3-4), 265-289
   See Also Working Paper (2004)

1998

10. Optimal multi-currency investment strategies with exact attribution in three Asian countries
    Journal of Multinational Financial Management, 1998, 8, (2-3), 169-198 View citations
    See Also Working Paper (2004)

1991

11. A Scientific View of Economic Data Analysis
    Eastern Economic Journal, 1991, 17, (1), 61-71 View citations
    Also in
    Eastern Economic Journal, 1991, 17, (1), 61-71 (1991) View citations
12. A Scientific View of Economic Data Analysis: Reply
    Eastern Economic Journal, 1991, 17, (4), 526-531 View citations
    Also in
    Eastern Economic Journal, 1991, 17, (4), 526-531 (1991) View citations

1985

13. Measurement Problems of Inflation Disaggregation
    Journal of Business & Economic Statistics, 1985, 3, (3), 244-53