Details about Bruce Mizrach

Access statistics for papers by Bruce Mizrach.

Last updated 2009-11-10. Update your information in the RePEc Author Service.

Short-id: pmi12

Working Papers

2009

1. The microstructure of a U.S. Treasury ECN: the BrokerTec platform
   Staff Reports, Federal Reserve Bank of New York
   Also in Departmental Working Papers, Rutgers University, Department of Economics (2008) View citations

2008

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

2007

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

2006

7. Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility
   Departmental Working Papers, Rutgers University, Department of Economics View citations
8. Does The Stock Market Punish Corporate Malfeasance? A Case Study of Citigroup
   Departmental Working Papers, Rutgers University, Department of Economics
9. 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)
10. Nonlinear Time Series Analysis
    Departmental Working Papers, Rutgers University, Department of Economics View citations
11. The Transition to Electronic Trading in the Secondary Treasury Market
    Departmental Working Papers, Rutgers University, Department of Economics View citations

2005

12. 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

13. A Video Interview of Buz Brock
    Departmental Working Papers, Rutgers University, Department of Economics
14. Experts Online: An Analysis of Trading Activity in a Public Internet Chat Room
    Departmental Working Papers, Rutgers University, Department of Economics View citations
    See also Journal Article in Journal of Economic Behavior & Organization (2009)
15. The Impact of Monetary Policy on Bond Returns Volatility: A Segmented Markets Approach
    Departmental Working Papers, Rutgers University, Department of Economics
16. 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

17. Analyst Recommendations and Nasdaq Market Making Activity
    Departmental Working Papers, Rutgers University, Department of Economics View citations

2002

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

2000

20. Should ECNs be SOES-able?
    Departmental Working Papers, Rutgers University, Department of Economics View citations

1998

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

1997

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

1996

24. Forecast Comparison in L2
    Departmental Working Papers, Rutgers University, Department of Economics View citations

1995

25. A Simple Nonparametric Test for Independence
    Departmental Working Papers, Rutgers University, Department of Economics View citations
26. Real Versus Pseudo-International Systemic Risk: Some Lessons from History
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1993

27. 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

2009

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

2008

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

2006

10. 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
11. 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
12. The transition to electronic communications networks in the secondary treasury market
    Review, 2006, (Nov), 527-542 View citations

1996

13. 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

14. New evidence on the effectiveness of foreign exchange market intervention
    European Economic Review, 1995, 39, (3-4), 501-508
15. 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

16. 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

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

1991

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

1990

23. 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

24. 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