EconPapers has moved to http://econpapers.repec.org! Please update your bookmarks.
Details about Bruce Mizrach
Access statistics for papers by Bruce Mizrach.
Last updated 2008-06-25. Update your information in the RePEc Author Service .
Short-id: pmi12
Jump to
Journal Articles Editor
Working Papers
2008
Jump and Cojump Risk in Subprime Home Equity Derivatives
Departmental Working Papers, Rutgers University, Department of Economics
The Microstructure of a U.S. Treasury ECN: The Brokertec Platform
Departmental Working Papers, Rutgers University, Department of Economics
2007
Is Talk Cheap Online: Strategic Interaction in A Stock Trading Chat Room
Departmental Working Papers, Rutgers University, Department of Economics
Recovering Probabilistic Information From Options Prices and the Underlying
Departmental Working Papers, Rutgers University, Department of Economics
The microstructure of the U.S. treasury market
Working Papers, Federal Reserve Bank of St. Louis
2006
Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility
Departmental Working Papers, Rutgers University, Department of Economics View citations
Does The Stock Market Punish Corporate Malfeasance? A Case Study of Citigroup
Departmental Working Papers, Rutgers University, Department of Economics
Highs and Lows: A Behavioral and Technical Analysis
Departmental Working Papers, Rutgers University, Department of Economics
Nonlinear Time Series Analysis
Departmental Working Papers, Rutgers University, Department of Economics View citations
Price discovery in the U.S. treasury market
Working Papers, Federal Reserve Bank of St. Louis View citations
The Transition to Electronic Trading in the Secondary Treasury Market
Departmental Working Papers, Rutgers University, Department of Economics View citations
2005
Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision
Computing in Economics and Finance 2005, Society for Computational Economics
Also in
Departmental Working Papers, Rutgers University, Department of Economics (2004)
2004
A Video Interview of Buz Brock
Departmental Working Papers, Rutgers University, Department of Economics See Also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2005)
Experts Online: An Analysis of Trading Activity in a Public Internet Chat Room
Departmental Working Papers, Rutgers University, Department of Economics
The Impact of Monetary Policy on Bond Returns Volatility: A Segmented Markets Approach
Departmental Working Papers, Rutgers University, Department of Economics
The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics
Computing in Economics and Finance 2004, Society for Computational Economics
Also in
Departmental Working Papers, Rutgers University, Department of Economics (2004)
2003
Analyst Recommendations and Nasdaq Market Making Activity
Departmental Working Papers, Rutgers University, Department of Economics View citations
2002
The Next Tick on Nasdaq: Does Level II Information Matter?
Departmental Working Papers, Rutgers University, Department of Economics View citations
When Did The Smart Money in Enron Lose Its' Smirk?
Departmental Working Papers, Rutgers University, Department of Economics View citations
2000
Should ECNs be SOES-able?
Departmental Working Papers, Rutgers University, Department of Economics View citations
1998
A Markov Switching Cookbook
Departmental Working Papers, Rutgers University, Department of Economics
Methods for Extracting the Implied Distributions in Option Prices
Departmental Working Papers, Rutgers University, Department of Economics
1997
The Volatility Smile and Yield Curve: Probability Densities Implicit in ERM/$ Options
Departmental Working Papers, Rutgers University, Department of Economics
1996
Forecast Comparison in L2
Departmental Working Papers, Rutgers University, Department of Economics View citations
1995
A Simple Nonparametric Test for Independence
Departmental Working Papers, Rutgers University, Department of Economics View citations
Real Versus Pseudo-International Systemic Risk: Some Lessons from History
NBER Working Papers, National Bureau of Economic Research, Inc View citations
1993
Target zone models with stochastic realignments: an econometric evaluation
Research Paper, Federal Reserve Bank of New York View citations See Also Journal Article in Journal of International Money and Finance (1995)
Journal Articles
2008
The next tick on Nasdaq
Quantitative Finance , 2008, 8 , (1), 19-40
2006
Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts
Journal of Financial Stability , 2006, 2 , (1), 28-54 View citations
The Enron Bankruptcy: When did the options market in Enron lose it’s smirk?
Review of Quantitative Finance and Accounting , 2006, 27 , (4), 365-382
The transition to electronic communications networks in the secondary treasury market
Review , 2006, (Nov), 527-542 View citations
2005
A Video Interview of Buz Brock
Studies in Nonlinear Dynamics & Econometrics , 2005, 9 , (1), 1308-1308 See Also Working Paper (2004)
1996
Determining delay times for phase space reconstruction with application to the FF/DM exchange rate
Journal of Economic Behavior & Organization , 1996, 30 , (3), 369-381
1995
New evidence on the effectiveness of foreign exchange market intervention
European Economic Review , 1995, 39 , (3-4), 501-508
Target zone models with stochastic realignments: an econometric evaluation
Journal of International Money and Finance , 1995, 14 , (5), 641-657 View citations See Also Working Paper (1993)
1994
Exchange rate theory: Chaotic models of foreign exchange markets: Paul De Grauwe, Hans Dewachter, and Mark Embrechts, (Oxford: Blackwell) ISBN# 0-631-18016-8, 1993
Journal of Economic Behavior & Organization , 1994, 25 , (3), 473-475
1992
Multivariate Nearest-Neighbor Forecasts of EMS Exchange Rates
Journal of Applied Econometrics , 1992, 7 , (S), S151-63 View citations
On Determining the Dimension of Real-Time Stock-Price Data
Journal of Business & Economic Statistics , 1992, 10 , (3), 367-74 View citations
The distribution of the Theil U-statistic in bivariate normal populations
Economics Letters , 1992, 38 , (2), 163-167 View citations
The state of economic dynamics: A review essay
Journal of Economic Dynamics and Control , 1992, 16 , (1), 175-190
1991
Managing the Dollar: Has the Plaza Agreement Mattered?
Journal of Money, Credit and Banking , 1991, 23 , (4), 742-51 View citations
Nonconvexities in a stochastic control problem with learning
Journal of Economic Dynamics and Control , 1991, 15 , (3), 515-538 View citations
1990
A liquidity-in-advance model of the demand for money under price uncertainty
Journal of Monetary Economics , 1990, 26 , (1), 143-159 View citations
1986
The Stability of Money Demand and Forecasting through Changes in Regimes [The Demand for Money Revisited] [The Case of the Missing Money]
The Review of Economics and Statistics , 1986, 68 , (2), 324-28
Editor
Studies in Nonlinear Dynamics & Econometrics
Berkeley Electronic Press