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Journal of Empirical Finance

1993 - 2016

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

From Elsevier
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Volume 38, issue PB, 2016

Special issue of the Journal of Empirical Finance Guest Editors' introduction pp. 513-515 Downloads
Neil Kellard and A.M. Robert Taylor
Bubbling over! The behaviour of oil futures along the yield curve pp. 516-533 Downloads
Daniel Tsvetanov, Jerry Coakley and Neil Kellard
Strict stationarity, persistence and volatility forecasting in ARCH(∞) processes pp. 534-547 Downloads
James Davidson and Xiaoyu Li
Tests for explosive financial bubbles in the presence of non-stationary volatility pp. 548-574 Downloads
David I. Harvey, Stephen J. Leybourne, Robert Sollis and A.M. Robert Taylor
Testing against changing correlation pp. 575-589 Downloads
Andrew Harvey and Stephen Thiele
Asset pricing with financial bubble risk pp. 590-622 Downloads
Ji Hyung Lee and Peter C.B. Phillips
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets pp. 623-639 Downloads
Sepideh Dolatabadi, Morten Nielsen and Ke Xu
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) pp. 640-663 Downloads
Arianna Agosto, Giuseppe Cavaliere, Dennis Kristensen and Anders Rahbek
Testing the martingale hypothesis for gross returns pp. 664-689 Downloads
Oliver Linton and Ekaterina Smetanina
A time varying DSGE model with financial frictions pp. 690-716 Downloads
Ana Beatriz Galvão, Liudas Giraitis, George Kapetanios and Katerina Petrova
The shine of precious metals around the global financial crisis pp. 717-738 Downloads
Isabel Figuerola-Ferretti and J. Roderick McCrorie
The exact discretisation of CARMA models with applications in finance pp. 739-761 Downloads
Michael A. Thornton and Marcus J. Chambers
Duality in mean-variance frontiers with conditioning information pp. 762-785 Downloads
Francisco Peñaranda and Enrique Sentana

Volume 37, issue C, 2016

Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility pp. 1-19 Downloads
Jaba Ghonghadze and Thomas Lux
Are idiosyncratic volatility and MAX priced in the Canadian market? pp. 20-36 Downloads
Anas Aboulamer and Lawrence Kryzanowski
Leverage changes and growth options in mergers and acquisitions pp. 37-58 Downloads
Elettra Agliardi, Amir Amel-Zadeh and Nicos Koussis
Stochastic correlation and risk premia in term structure models pp. 59-78 Downloads
Carl Chiarella, Chih-Ying Hsiao and Thuy-Duong Tô
Anticipatory effects in the FTSE 100 index revisions pp. 79-90 Downloads
Marcelo Fernandes and João Mergulhão
Dynamic asymmetries in house price cycles: A generalized smooth transition model pp. 91-103 Downloads
Alessandra Canepa and Emilio Zanetti Chini
Comparing logit-based early warning systems: Does the duration of systemic banking crises matter? pp. 104-116 Downloads
Giovanni Caggiano, Pietro Calice, Leone Leonida and George Kapetanios
Investigating United Kingdom's monetary policy with Macro-Factor Augmented Dynamic Nelson–Siegel models pp. 117-127 Downloads
Jared Levant and Jun Ma
Bond portfolio optimization using dynamic factor models pp. 128-158 Downloads
João F. Caldeira, Guilherme Moura and Andre Santos
Public news arrival and the idiosyncratic volatility puzzle pp. 159-172 Downloads
Yanlin Shi, Wai-Man Liu and Kin-Yip Ho
Credit market freedom and cost efficiency in US state banking pp. 173-185 Downloads
Georgios Chortareas, George Kapetanios and Alexia Ventouri
Private information and limitations of Heckman's estimator in banking and corporate finance research pp. 186-195 Downloads
Randall C. Campbell and Gregory L. Nagel
On the relationship between conditional jump intensity and diffusive volatility pp. 196-213 Downloads
Gang Li and Chu Zhang
Macro-economic determinants of European stock and government bond correlations: A tale of two regions pp. 214-232 Downloads
Erica R. Perego and Wessel N. Vermeulen
The benefits of improved covariance estimation pp. 233-246 Downloads
H.J. Turtle and Kainan Wang
The economic value of predicting bond risk premia pp. 247-267 Downloads
Lucio Sarno, Paul Schneider and Christian Wagner
Capital asset pricing model: A time-varying volatility approach pp. 268-281 Downloads
Kun Ho Kim and Taejin Kim
Limits to mutual funds' ability to rely on mean/variance optimization pp. 282-292 Downloads
Iordanis Karagiannidis and Nadia Vozlyublennaia
Location and excess comovement pp. 293-308 Downloads
Aditya Kaul, Vikas Mehrotra and Carmen Stefanescu

Volume 36, issue C, 2016

Uncovered interest parity: The long and the short of it pp. 1-7 Downloads
James Lothian
A study of analyst-run mutual funds: The abilities and roles of buy-side analysts pp. 8-29 Downloads
Gjergji Cici and Claire Rosenfeld
Time-varying integration of the sovereign bond markets in European post-transition economies pp. 30-40 Downloads
Petra Posedel Šimović, Marina Tkalec, Maruška Vizek and Junsoo Lee
Dynamic conditional correlation multiplicative error processes pp. 41-67 Downloads
Taras Bodnar and Nikolaus Hautsch
A test of asymmetric comovement for state-dependent stock returns pp. 68-85 Downloads
Kaihua Deng
Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective pp. 86-99 Downloads
Marco Bee, Debbie J. Dupuis and Luca Trapin
Exchange rates and commodity prices: Measuring causality at multiple horizons pp. 100-120 Downloads
Hui Jun Zhang, Jean-Marie Dufour and John W. Galbraith
On the properties of the constrained Hansen–Jagannathan distance pp. 121-150 Downloads
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Liquidation discount—a novel application of ARFIMA–GARCH pp. 151-161 Downloads
Ranjodh B. Singh, John Gould, Felix Chan and Joey Wenling Yang
The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility pp. 162-180 Downloads
Sung Je Byun
Risk and return of short-duration equity investments pp. 181-198 Downloads
Georg Cejnek and Otto Randl

Volume 35, issue C, 2016

Corporate payout smoothing: A variance decomposition approach pp. 1-13 Downloads
Edward C. Hoang and Indrit Hoxha
Inflation illusion and stock returns pp. 14-24 Downloads
William O. Brown, Dayong Huang and Fang Wang
Air pollution and stock returns: Evidence from a natural experiment pp. 25-42 Downloads
Gabriele M. Lepori
Using Merton model for default prediction: An empirical assessment of selected alternatives pp. 43-67 Downloads
Zvika Afik, Ohad Arad and Koresh Galil
A risk-return explanation of the momentum-reversal “anomaly” pp. 68-77 Downloads
G. Geoffrey Booth, Hung-Gay Fung and Wai Kin Leung
Market uncertainty, expected volatility and the mispricing of S&P 500 index futures pp. 78-98 Downloads
Anthony H. Tu, Wen-Liang G. Hsieh and Wei-Shao Wu
Is there a bubble in the art market? pp. 99-109 Downloads
Roman Kräussl, Thorsten Lehnert and Nicolas Martelin
Conditional portfolio allocation: Does aggregate market liquidity matter? pp. 110-135 Downloads
Tarik Bazgour, Cedric Heuchenne and Danielle Sougné
Political affiliation and dividend tax avoidance: Evidence from the 2013 fiscal cliff pp. 136-149 Downloads
Urs Peyer and Theo Vermaelen
Are target leverage ratios stable? Investigating the impact of corporate asset restructuring pp. 150-168 Downloads
Douglas O. Cook, Xudong Fu and Tian Tang
Silverback CEOs: Age, experience, and firm value pp. 169-188 Downloads
Brandon N. Cline and Adam S. Yore
Page updated 2016-09-29