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Journal of Empirical Finance

1993 - 2015

Current editor(s): R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

from Elsevier
Series data maintained by Zhang, Lei ().

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Volume 31, issue C, 2015

Testing of a market fraction model and power-law behaviour in the DAX 30 pp. 1-17 Downloads
Xuezhong He and Youwei Li
Understanding the term structure of credit default swap spreads pp. 18-35 Downloads
Bing Han and Yi Zhou
Market proxies as factors in linear asset pricing models: Still living with the roll critique pp. 36-53 Downloads
Todd Prono
The impact of ECB macro-announcements on bid–ask spreads of European blue chips pp. 54-71 Downloads
Tobias R. Rühl and Michael Stein
Time-variations in commodity price jumps pp. 72-84 Downloads
Laszlo Diewald, Marcel Prokopczuk and Chardin Wese Simen
ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models pp. 85-108 Downloads
Michael Creel and Dennis Kristensen

Volume 30, issue C, 2015

Bond and stock market response to unexpected dividend changes pp. 1-15 Downloads
Hui-Ju Tsai and Yangru Wu
Explaining the default risk anomaly by the two-beta model pp. 16-33 Downloads
Chung-Ying Yeh, Junming Hsu, Kai-Li Wang and Che-Hui Lin
Heuristic learning in intraday trading under uncertainty pp. 34-49 Downloads
Stelios D. Bekiros
Do stock returns rebound after bear markets? An empirical analysis from five OECD countries pp. 50-61 Downloads
Songlin Zeng and Frédérique Bec
It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model pp. 62-78 Downloads
Stefano Grassi and Paolo Santucci de Magistris
Market volatility and momentum pp. 79-91 Downloads
Kevin Q. Wang and Jianguo Xu
Measuring private information in a specialist market pp. 92-119 Downloads
Christopher G. Lamoureux and Qin Wang
Dynamic copula models and high frequency data pp. 120-135 Downloads
Irving De Lira Salvatierra and Andrew J. Patton

Volume 29, issue C, 2014

House prices, expectations, and time-varying fundamentals pp. 3-25 Downloads
Paolo Gelain and Kevin Lansing
On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets pp. 26-40 Downloads
Christian Conrad, Karin Loch and Daniel Rittler
Level shifts in stock returns driven by large shocks pp. 41-51 Downloads
Yiannis Dendramis, George Kapetanios and Elias Tzavalis
Time variation in the standard forward premium regression: Some new models and tests pp. 52-63 Downloads
Richard T. Baillie and Dooyeon Cho
Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns pp. 64-79 Downloads
Claudio Morana
A dynamic intraday measure of the probability of informed trading and firm-specific return variation pp. 80-94 Downloads
Sanders Chang, Lenisa V. Chang and F. Albert Wang
Persistence in the banking industry: Fractional integration and breaks in memory pp. 95-112 Downloads
Uwe Hassler, Paulo Rodrigues and Antonio Rubia
Modelling stock volatilities during financial crises: A time varying coefficient approach pp. 113-128 Downloads
Menelaos Karanasos, Alexandros G. Paraskevopoulos, Faek Menla Ali, Michail Karoglou and Stavroula Yfanti
Bandwidth selection by cross-validation for forecasting long memory financial time series pp. 129-143 Downloads
Richard T. Baillie, George Kapetanios and Fotis Papailias
Unit root vector autoregression with volatility induced stationarity pp. 144-167 Downloads
Heino Bohn Nielsen and Anders Rahbek
Robust tests for a linear trend with an application to equity indices pp. 168-185 Downloads
Sam Astill, David . Harvey, Stephen J. Leybourne and Robert Taylor
Long memory dynamics for multivariate dependence under heavy tails pp. 187-206 Downloads
Pawel Janus, Siem Jan Koopman and André Lucas
A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models pp. 207-229 Downloads
Luc Bauwens, Bruno De Backer and Arnaud Dufays
An empirical investigation of methods to reduce transaction costs pp. 230-246 Downloads
Ted Moorman
The real effects of financial constraints: Evidence from a debt subsidization program targeted at strategic firms pp. 247-265 Downloads
Yulia Davydova and Vladimir Sokolov
Production efficiency uncertainty and corporate credit risk: Structural form credit model perspectives pp. 266-280 Downloads
Tsung-Kang Chen, Hsien-Hsing Liao and Wei-Lun Chen
Political uncertainty and bank loan contracting pp. 281-286 Downloads
Bill B. Francis, Iftekhar Hasan and Yun Zhu
Diagnosing the distribution of GARCH innovations pp. 287-303 Downloads
Pengfei Sun and Chen Zhou
Forecasting the intraday market price of money pp. 304-315 Downloads
Andrea Monticini and Francesco Ravazzolo
Banking sector contingent liabilities and sovereign risk pp. 316-330 Downloads
Serkan Arslanalp and Yin Liao
The dispersion effect in international stock returns pp. 331-342 Downloads
Markus Leippold and Harald Lohre
A framework for tracking changes in the intensity of investment funds' systemic risk pp. 343-368 Downloads
Xisong Jin and Francisco Nadal De Simone
An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange pp. 369-383 Downloads
Ryuichi Yamamoto
Counter-cyclical risk aversion pp. 384-401 Downloads
Kun Ho Kim
An empirical Bayesian approach to stein-optimal covariance matrix estimation pp. 402-420 Downloads
Benjamin J. Gillen
High-order moments and extreme value approach for value-at-risk pp. 421-434 Downloads
Chu-Hsiung Lin, Chang-Cheng Changchien, Tzu-Chuan Kao and Wei-Shun Kao
Predicting volatility and correlations with Financial Conditions Indexes pp. 435-447 Downloads
Anne Opschoor, Dick van Dijk and Michel van der Wel

Volume 28, issue C, 2014

Direct evidence of dividend tax clienteles pp. 1-12 Downloads
Magnus Dahlquist, Göran Robertsson and Kristian Rydqvist
Trading activity in the equity market and its contingent claims: An empirical investigation pp. 13-35 Downloads
Richard Roll, Eduardo Schwartz and Avanidhar Subrahmanyam
Short-sale constraints and the idiosyncratic volatility puzzle: An event study approach pp. 36-59 Downloads
Danling Jiang, David R. Peterson and James S. Doran
Re-examining the risk–return relationship in Europe: Linear or non-linear trade-off? pp. 60-77 Downloads
Enrique Salvador, Christos Floros and Vicent Arago
Hedging the time-varying risk exposures of momentum returns pp. 78-89 Downloads
Martin Martens and Arco Van Oord
Timescale-dependent stock market comovement: BRICs vs. developed markets pp. 90-103 Downloads
Heikki Lehkonen and Kari Heimonen
On the distribution and estimation of trading costs pp. 104-117 Downloads
Apostolos Kourtis
Regime switches in the risk–return trade-off pp. 118-138 Downloads
Eric Ghysels, Pierre Guérin and Massimiliano Marcellino
Market states and the risk-based explanation of the size premium pp. 139-150 Downloads
Jungshik Hur, Glenn Pettengill and Vivek Singh
Are regime-shift sources of risk priced in the market? pp. 151-170 Downloads
Kyriakos Chourdakis, Yiannis Dendramis and Elias Tzavalis
The informational effect and market quality impact of upstairs trading and fleeting orders on the Australian Securities Exchange pp. 171-184 Downloads
Annica Rose
Order flow and volatility: An empirical investigation pp. 185-201 Downloads
Anne Opschoor, Nick Taylor, Michel van der Wel and Dick van Dijk
Stock liquidity and the Taylor rule pp. 202-214 Downloads
Lei Jiang
Converting true returns into reported returns: A general theory of linear smoothing and anti-smoothing pp. 215-229 Downloads
Michael McKenzie, Stephen Satchell and Warapong Wongwachara
Consumer confidence or the business cycle: What matters more for European expected returns? pp. 230-248 Downloads
Stig V. Møller, Henrik Nørholm and Jesper Rangvid
Average funds versus average dollars: Implications for mutual fund research pp. 249-260 Downloads
Christopher P. Clifford, Bradford Jordan and Timothy B. Riley
A frequency-domain alternative to long-horizon regressions with application to return predictability pp. 261-272 Downloads
Natalia Sizova
Stock returns on option expiration dates: Price impact of liquidity trading pp. 273-290 Downloads
Chin-Han Chiang
Modeling hedge fund lifetimes: A dependent competing risks framework with latent exit types pp. 291-320 Downloads
Shermineh Haghani
Quantiles of the realized stock–bond correlation and links to the macroeconomy pp. 321-331 Downloads
Nektarios Aslanidis and Charlotte Christiansen
Price and earnings momentum: An explanation using return decomposition pp. 332-351 Downloads
Mike Qinghao Mao and K.C. John Wei
Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation pp. 352-361 Downloads
Yiu-Kuen Tse and Yingjie Dong
How did the financial crisis alter the correlations of U.S. yield spreads? pp. 362-385 Downloads
Silvio Contessi, Pierangelo De Pace and Massimo Guidolin
Page updated 2015-05-25