Details about Bruce Mizrach

Access statistics for papers by Bruce Mizrach.

Last updated 2013-06-04. Update your information in the RePEc Author Service.

Short-id: pmi12

Working Papers

2011

1. A Structural Approach To Information Shares
   Departmental Working Papers, Rutgers University, Department of Economics View citations (2)
2. Skyscraper Height and the Business Cycle: International Time Series Evidence
   Working Papers Rutgers University, Newark, Department of Economics, Rutgers University, Newark

2010

3. Tail Return Analysis of Bear Stearns Credit Default Swaps
   Departmental Working Papers, Rutgers University, Department of Economics
   See also Journal Article in Economic Modelling (2010)
4. The Market Microstructure of the European Climate Exchange
   Departmental Working Papers, Rutgers University, Department of Economics View citations (1)

2009

5. An Empirical Analysis of the Shanghai and Shenzen Limit Order Books
   CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster
6. Integration of the Global Emissions Trading Markets
   Departmental Working Papers, Rutgers University, Department of Economics View citations (3)
7. The microstructure of a U.S. Treasury ECN: the BrokerTec platform
   Staff Reports, Federal Reserve Bank of New York View citations (7)
   Also in Departmental Working Papers, Rutgers University, Department of Economics (2008) View citations (6)

2008

8. Jump and Cojump Risk in Subprime Home Equity Derivatives
   Departmental Working Papers, Rutgers University, Department of Economics View citations (7)

2007

9. Information shares in the U.S. treasury market
   Working Papers, Federal Reserve Bank of St. Louis View citations (4)
   See also Journal Article in Journal of Banking & Finance (2008)
10. Is Talk Cheap Online: Strategic Interaction in A Stock Trading Chat Room
    Departmental Working Papers, Rutgers University, Department of Economics
11. Recovering Probabilistic Information From Options Prices and the Underlying
    Departmental Working Papers, Rutgers University, Department of Economics
12. The microstructure of the U.S. treasury market
    Working Papers, Federal Reserve Bank of St. Louis View citations (5)

2006

13. Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility
    Departmental Working Papers, Rutgers University, Department of Economics View citations (2)
    See also Journal Article in Competition and Regulation in Network Industries (2006)
14. Does The Stock Market Punish Corporate Malfeasance? A Case Study of Citigroup
    Departmental Working Papers, Rutgers University, Department of Economics
15. Highs and Lows: A Behavioral and Technical Analysis
    Departmental Working Papers, Rutgers University, Department of Economics
    See also Journal Article in Applied Financial Economics (2009)
16. Nonlinear Time Series Analysis
    Departmental Working Papers, Rutgers University, Department of Economics View citations (3)
17. The Transition to Electronic Trading in the Secondary Treasury Market
    Departmental Working Papers, Rutgers University, Department of Economics View citations (2)

2005

18. Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts
    CFS Working Paper Series, Center for Financial Studies (CFS)
    See also Journal Article in Journal of Financial Stability (2006)
19. 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)
    See also Journal Article in Journal of Economic Dynamics and Control (2008)

2004

20. 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)
21. Experts Online: An Analysis of Trading Activity in a Public Internet Chat Room
    Departmental Working Papers, Rutgers University, Department of Economics View citations (2)
    See also Journal Article in Journal of Economic Behavior & Organization (2009)
22. The Impact of Monetary Policy on Bond Returns Volatility: A Segmented Markets Approach
    Departmental Working Papers, Rutgers University, Department of Economics
23. 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

24. Analyst Recommendations and Nasdaq Market Making Activity
    Departmental Working Papers, Rutgers University, Department of Economics View citations (1)

2002

25. The Next Tick on Nasdaq: Does Level II Information Matter?
    Departmental Working Papers, Rutgers University, Department of Economics View citations (1)
26. When Did The Smart Money in Enron Lose Its' Smirk?
    Departmental Working Papers, Rutgers University, Department of Economics View citations (3)

2000

27. Should ECNs be SOES-able?
    Departmental Working Papers, Rutgers University, Department of Economics View citations (2)

1998

28. A Markov Switching Cookbook
    Departmental Working Papers, Rutgers University, Department of Economics
29. Methods for Extracting the Implied Distributions in Option Prices
    Departmental Working Papers, Rutgers University, Department of Economics

1997

30. The Volatility Smile and Yield Curve: Probability Densities Implicit in ERM/$ Options
    Departmental Working Papers, Rutgers University, Department of Economics

1996

31. Forecast Comparison in L2
    Departmental Working Papers, Rutgers University, Department of Economics View citations (8)

1995

32. A Simple Nonparametric Test for Independence
    Departmental Working Papers, Rutgers University, Department of Economics View citations (4)
33. New evidence on the effectiveness of foreign exchange market intervention
    Open Access publications from Tilburg University, Tilburg University View citations (1)
    See also Journal Article in European Economic Review (1995)
34. Real Versus Pseudo-International Systemic Risk: Some Lessons from History
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (19)

1993

35. Target zone models with stochastic realignments: an econometric evaluation
    Research Paper, Federal Reserve Bank of New York View citations (2)
    See also Journal Article in Journal of International Money and Finance (1995)

Journal Articles

2012

1. Integration of the global carbon markets
   Energy Economics, 2012, 34, (1), 335-349 View citations (1)

2010

2. Nonlinear Mean Reversion in EMS Exchange Rates
   Brussels Economic Review, 2010, 53, (2), 187-199
3. Tail return analysis of Bear Stearns' credit default swaps
   Economic Modelling, 2010, 27, (6), 1529-1536
   See also Working Paper (2010)

2009

4. A NOTE ON DEMAND AND SUPPLY FACTORS IN MANUFACTURING OUTPUT ASYMMETRIES
   Macroeconomic Dynamics, 2009, 13, (02), 263-277
5. Comment on "Modelling nonlinear comovements between time series"
   Journal of Macroeconomics, 2009, 31, (1), 212-215
6. Experts online: An analysis of trading activity in a public Internet chat room
   Journal of Economic Behavior & Organization, 2009, 70, (1-2), 266-281 View citations (2)
   See also Working Paper (2004)
7. Highs and lows: a behavioural and technical analysis
   Applied Financial Economics, 2009, 19, (10), 767-777
   See also Working Paper (2006)

2008

8. A Video Interview with James Hamilton
   Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (2), 1-5
9. Estimating the intensity of choice in a dynamic mutual fund allocation decision
   Journal of Economic Dynamics and Control, 2008, 32, (12), 3866-3876 View citations (4)
   See also Working Paper (2005)
10. Information shares in the US Treasury market
    Journal of Banking & Finance, 2008, 32, (7), 1221-1233 View citations (10)
    See also Working Paper (2007)
11. The impact of monetary policy on bond returns: A segmented markets approach
    Journal of Economics and Business, 2008, 60, (6), 485-501
12. The next tick on Nasdaq
    Quantitative Finance, 2008, 8, (1), 19-40 View citations (1)

2006

13. 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 (2)
    See also Working Paper (2005)
14. Does SIZE matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility
    Competition and Regulation in Network Industries, 2006, 7, (4), 471-486 View citations (1)
    See also Working Paper (2006)
15. 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 View citations (1)
16. The transition to electronic communications networks in the secondary treasury market
    Review, 2006, (Nov), 527-542 View citations (11)

2005

17. A Video Interview of Buz Brock
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (1), 1-5
    See also Working Paper (2004)

1996

18. 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 View citations (1)

1995

19. New evidence on the effectiveness of foreign exchange market intervention
    European Economic Review, 1995, 39, (3-4), 501-508 View citations (2)
    See also Working Paper (1995)
20. Target zone models with stochastic realignments: an econometric evaluation
    Journal of International Money and Finance, 1995, 14, (5), 641-657 View citations (24)
    See also Working Paper (1993)

1994

21. 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

22. Multivariate Nearest-Neighbor Forecasts of EMS Exchange Rates
    Journal of Applied Econometrics, 1992, 7, (S), S151-63 View citations (16)
23. On Determining the Dimension of Real-Time Stock-Price Data
    Journal of Business & Economic Statistics, 1992, 10, (3), 367-74 View citations (5)
24. The distribution of the Theil U-statistic in bivariate normal populations
    Economics Letters, 1992, 38, (2), 163-167 View citations (8)
25. The state of economic dynamics: A review essay
    Journal of Economic Dynamics and Control, 1992, 16, (1), 175-190

1991

26. Managing the Dollar: Has the Plaza Agreement Mattered?
    Journal of Money, Credit and Banking, 1991, 23, (4), 742-51 View citations (18)
27. Nonconvexities in a stochastic control problem with learning
    Journal of Economic Dynamics and Control, 1991, 15, (3), 515-538 View citations (10)

1990

28. A liquidity-in-advance model of the demand for money under price uncertainty
    Journal of Monetary Economics, 1990, 26, (1), 143-159 View citations (3)

1986

29. 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

Chapters

2012

1. Comment on "Endogenous and Systemic Risk"
   A chapter in Quantifying Systemic Risk, 2012, pp 94-105 View citations (1)