Journal of Empirical Finance

1993 - 2013

Edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

from Elsevier
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Volume 7, issue 5, 2000

An empirical investigation of trading on asymmetric information and heterogeneous prior beliefs pp. 417-454

Paul Brockman and Dennis Y. Chung

Information diffusion in electronic and floor trading pp. 455-478

Günter Franke and Dieter Hess

Bivariate FIGARCH and fractional cointegration pp. 509-530

Celso Brunetti and Christopher L. Gilbert

Value-at-Risk: a multivariate switching regime approach pp. 531-554

Monica Billio and Loriana Pelizzon

Volume 7, issue 3-4, 2000

Sensitivity analysis of Values at Risk pp. 225-245

Christian S. Gourieroux, J. P. Laurent and Olivier Scaillet

Portfolio selection with limited downside risk pp. 247-269

Dennis W. Jansen, Kees G. Koedijk and Casper G. de Vries

Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach pp. 271-300

Alexander J. McNeil and Rudiger Frey

Horizon sensitivity of the inflation hedge of stocks pp. 301-315

Peter C. Schotman and Mark Schweitzer

Firms, do you know your currency risk exposure? Survey results pp. 317-344

Claudio Loderer and Karl Pichler

Volatility dynamics under duration-dependent mixing pp. 345-372

John M. Maheu and Tom McCurdy

Stochastic correlation across international stock markets pp. 373-388

Clifford A. Ball and Walter N. Torous

Diagnosing and treating the fat tails in financial returns data pp. 389-416

Stefan Mittnik, Marc S. Paolella and Svetlozar T. Rachev

Volume 7, issue 2, 2000

Conditional event studies, anticipation, and asymmetric information: the case of seasoned equity issues and pre-issue information releases pp. 113-141

Lin Guo and Timothy S. Mech

Three analyses of the firm size premium pp. 143-153

Joel L. Horowitz, Tim Loughran and N. E. Savin

Visualizing time-varying correlations across stock markets pp. 155-172

Patrick Groenen and Philip Hans Franses

The ordered mean difference as a portfolio performance measure pp. 195-223

Roger J. Bowden

Volume 7, issue 1, 2000

Measuring the market impact of hedge funds pp. 1-36

William Fung and David A. Hsieh

Factors affecting the yields on noninvestment grade bond indices: a cointegration analysis pp. 57-86

Theodore M. Barnhill , Fred Joutz and William F. Maxwell

Coincident and leading indicators of the stock market pp. 87-111

Marcelle Chauvet and Simon Potter

Volume 6, issue 5, 1999

Computing value at risk with high frequency data pp. 431-455

Andrea Beltratti and Claudio Morana

Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon pp. 457-477

Torben G. Andersen, Tim Bollerslev and Steve Lange

The intraday multivariate structure of the Eurofutures markets pp. 479-513

Giuseppe Ballocchi, Michel M Dacorogna, Carl M. Hopman, Ulrich A. Muller and Richard Olsen

Multivariate extremes for models with constant conditional correlations pp. 515-553

Catalin Starica

Speculative attacks to currency target zones: A market microstructure approach pp. 555-582

Jose M. Carrera

Pricing behavior in an off-hours computerized market pp. 583-607

Mark Coppejans and Ian Domowitz

Volume 6, issue 4, 1999

Multivariate unit root tests of the PPP hypothesis pp. 335-353

Renato Flores, Philippe Jorion, Pierre-Yves Preumont and Ariane Szafarz

Mean reversion in Southeast Asian stock markets pp. 355-384

Dimitrios Malliaropulos and Richard Priestley

Cross-correlations and cross-bicorrelations in Sterling exchange rates pp. 385-404

Chris Brooks and Melvin J. Hinich

Anomalous security price behavior following management earnings forecasts pp. 405-429

Chao-Shin Liu and David A. Ziebart

Volume 6, issue 3, 1999

Testing multi-beta asset pricing models pp. 219-241

Raja Velu and Guofu Zhou

An empirical analysis of intertemporal asset pricing models with transaction costs and habit persistence pp. 243-265

Wessel Marquering and Marno Verbeek

The behaviour of some UK equity indices: An application of Hurst and BDS tests1 pp. 267-282

Kwaku K. Opong, Gwyneth Mulholland, Alan F. Fox and Kambiz Farahmand

Structural change and time dependence in models of stock returns pp. 283-308

Dongcheol Kim and Stanley J. Kon

A primer on hedge funds pp. 309-331

William Fung and David A. Hsieh

Volume 6, issue 2, 1999

The hazards of mutual fund underperformance: A Cox regression analysis pp. 121-152

Asger Lunde, Allan Timmermann and David Blake

Financial derivatives introduction and stock return volatility in an emerging market without clearinghouse: The Mexican experience pp. 153-176

Fausto Hernandez-Trillo

Target zones and conditional volatility: The role of realignments pp. 177-192

Christopher J. Neely

Real exchange rates and nontradables: A relative price approach pp. 193-215

Vikas Kakkar and Masao Ogaki

Volume 6, issue 1, 1999

Economic determinants of evolution in international stock market integration pp. 1-27

Kevin Bracker, Diane Scott Docking and Paul D. Koch

The dynamics of dividends, earnings and prices: evidence and implications for dividend smoothing and signaling pp. 29-58

Chung Chen and Chunchi Wu

A nonparametric examination of market information: application to technical trading rules pp. 59-85

David H. Goldbaum

Econometrics of efficient fitted portfolios pp. 87-118

Christian S. Gourieroux and F. Jouneau

Volume 5, issue 4, 1998

Predicting the duration and reversal probability of leveraged buyouts pp. 299-315

Linda M. Van de Gucht and William T. Moore

The predictability of security returns with simple technical trading rules pp. 347-359

Ramazan Gencay

Information transmission and causality in the Italian Treasury bond market pp. 361-384

Antonio Scalia

Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1 pp. 385-396

Chang-Jin Kim and Charles R. Nelson

Volatility and cross correlation across major stock markets pp. 397-416

Latha Ramchand and Raul Susmel

Volume 5, issue 3, 1998

Time to maturity in the basis of stock market indices: Evidence from the S&P 500 and the MMI pp. 177-195

Marie-Claude Beaulieu

Hedging foreign currency portfolios pp. 197-220

Louis Gagnon, Gregory J. Lypny and Tom McCurdy

Real interest rates and shifts in macroeconomic volatility pp. 241-261

Kees Koedijk, Clemens J.M. Kool and Francois Nissen

On the hypothesis of psychological barriers in stock markets and Benford's Law pp. 263-279

Marc J. K. De Ceuster, Geert Dhaene and Tom Schatteman

International evidence on the stock market and aggregate economic activity pp. 281-296

Yin-Wong Cheung and Lilian K. Ng

Volume 5, issue 2, 1998

Expected stock returns, risk premiums and volatilities of economic factors1 pp. 69-97

Yuming Li

Endogenous risk in rational-expectations commodity models: A multivariate generalized ARCH-M approach pp. 99-129

Matthew T. Holt and Satheesh Aradhyula

Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1 pp. 131-154

Chang-Jin Kim, Charles R. Nelson and Richard Startz

Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models pp. 155-173

Jon Danielsson

Volume 5, issue 1, 1998

Testing for asymmetric information and inventory control effects in market maker behaviour on the London Stock Exchange pp. 1-25

Andy Snell and Ian Tonks

Post-takeover returns: The UK evidence pp. 27-46

Chris Higson and Jamie Elliott

Testing for spurious causality in exchange rates pp. 47-66

Eric Michel Renault, Khalid Sekkat and Ariane Szafarz