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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 32, issue C, 2015

Volatility transmission in global financial markets pp. 3-18 Downloads
Adam Clements, Stan Hurn and V.V. Volkov
Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market pp. 19-34 Downloads
Carl Chiarella, Saskia ter Ellen, Xuezhong He and Eliza Wu
Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms pp. 35-48 Downloads
Bart Frijns, Ivan Indriawan and Alireza Tourani-Rad
The costs of a (nearly) fully independent board pp. 49-62 Downloads
Olubunmi Faleye
The frequency of regime switching in financial market volatility pp. 63-79 Downloads
Ahmed BenSaïda
The dynamics of squared returns under contemporaneous aggregation of GARCH models pp. 80-93 Downloads
Eric Jondeau
R&D investment and distress risk pp. 94-114 Downloads
Wei Zhang
Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz pp. 115-134 Downloads
Georg Mainik, Georgi Mitov and Ludger Rüschendorf
Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting? pp. 135-152 Downloads
Tobias Berens, Gregor N.F. Weiß and Dominik Wied
On financial risk and the safe haven characteristics of Swiss franc exchange rates pp. 153-164 Downloads
Christian Grisse and Thomas Nitschka
Disentangling contagion among sovereign CDS spreads during the European debt crisis pp. 165-179 Downloads
Carmen Broto and Gabriel Pérez-Quirós
Consumption risk and the cross-section of government bond returns pp. 180-200 Downloads
Abhay Abhyankar, Olga Klinkowska and Soyeon Lee
Financial weather derivatives for corn production in Northern China: A comparison of pricing methods pp. 201-209 Downloads
Baojing Sun and Gerrit van Kooten
Information shares of two parallel currency options markets: Trading costs versus transparency/tradability pp. 210-229 Downloads
Louis R. Piccotti and Ben Z. Schreiber

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 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
Page updated 2015-08-29