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Details about Jamie Alcock

Homepage:https://sites.google.com/site/jamiealcock/
Workplace:Discipline of Finance, Business School, University of Sydney, (more information at EDIRC)

Access statistics for papers by Jamie Alcock.

Last updated 2016-06-16. Update your information in the RePEc Author Service.

Short-id: pal542


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Working Papers

2013

  1. On the Performance of Core, Value-Add and Opportunistic Private Equity Real Estate Funds: The Art of Financial Leverage
    ERES, European Real Estate Society (ERES) Downloads
  2. Real Risk-Adjusted Performance and Capital Structure: Theory and Evidence from Real Estate Investment Trusts
    ERES, European Real Estate Society (ERES) Downloads

2012

  1. Capital structure and European property companies
    ERES, European Real Estate Society (ERES) Downloads

2011

  1. New Evidence on asymmetric dependence in the returns from U.S. Real Estate Estate Investment Trusts
    ERES, European Real Estate Society (ERES) Downloads

2010

  1. ON THE RELATIONSHIP BETWEEN LEVERAGE AND DEBT MATURITY FOR US REAL ESTATE FIRMS
    ERES, European Real Estate Society (ERES) Downloads

2003

  1. A Numerical Solution to American Style Options on Commodities
    Computing in Economics and Finance 2003, Society for Computational Economics

Journal Articles

2014

  1. Joint Leverage and Maturity Choices in Real Estate Firms: The Role of the REIT Status
    The Journal of Real Estate Finance and Economics, 2014, 48, (1), 57-78 Downloads View citations (6)
  2. Testing Alternative Measure Changes in Nonparametric Pricing and Hedging of European Options
    Journal of Futures Markets, 2014, 34, (4), 320-345 Downloads View citations (1)

2013

  1. Canonical vine copulas in the context of modern portfolio management: Are they worth it?
    Journal of Banking & Finance, 2013, 37, (8), 3085-3099 Downloads View citations (17)
  2. Manipulation in U.S. REIT Investment Performance Evaluation: Empirical Evidence
    The Journal of Real Estate Finance and Economics, 2013, 47, (3), 434-465 Downloads View citations (3)

2012

  1. The determinants of debt maturity in Australian firms
    Accounting and Finance, 2012, 52, (2), 313-341 Downloads View citations (7)

2011

  1. Volatile earnings growth, the price of earnings and the Value premium
    Quantitative Finance, 2011, 11, (6), 805-815 Downloads

2010

  1. Empirical tests of canonical nonparametric American option‐pricing methods
    Journal of Futures Markets, 2010, 30, (6), 509-532 Downloads View citations (2)

2008

  1. Nonparametric American option pricing
    Journal of Futures Markets, 2008, 28, (8), 717-748 Downloads View citations (3)
  2. Quantifying the advantage of secondary mathematics study for accounting and finance undergraduates
    Accounting and Finance, 2008, 48, (5), 697-718 Downloads View citations (2)

2007

  1. Portfolio construction incorporating asymmetric dependence structures: a user's guide
    Accounting and Finance, 2007, 47, (3), 447-472 Downloads View citations (7)

2005

  1. A simulation analysis of the market effect of the Australian Broadcasting Corporation
    Information Economics and Policy, 2005, 17, (4), 407-427 Downloads View citations (3)
  2. Dynamic, nonparametric hedging of European style contingent claims using canonical valuation
    Finance Research Letters, 2005, 2, (1), 41-50 Downloads View citations (2)
  3. Forecasting Stock Returns Using Model-Selection Criteria
    The Economic Record, 2005, 81, (253), 135-151 Downloads View citations (3)

2004

  1. A genetic estimation algorithm for parameters of stochastic ordinary differential equations
    Computational Statistics & Data Analysis, 2004, 47, (2), 255-275 Downloads View citations (4)
 
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