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Details about Gregory Connor

E-mail:
Homepage:http://economics.nuim.ie/staff/connor/index.shtml
Workplace:Department of Economics, Finance and Accounting, Maynooth University, (more information at EDIRC)

Access statistics for papers by Gregory Connor.

Last updated 2019-06-12. Update your information in the RePEc Author Service.

Short-id: pco532


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Working Papers

2016

  1. -Adjusted p-values for genome-wide regression analysis with non-normally distributed quantitative phenotypes
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth Downloads

2015

  1. Restructuring and Recovery of the Irish Financial Sector: An Economic Case History V2
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth Downloads View citations (3)

2014

  1. A Performance Comparison of Large-n Factor Estimators
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth Downloads
    See also Journal Article in Review of Asset Pricing Studies (2018)
  2. Unpublished Appendix:Ancillary Results and Robustness Checks on a Probit Model of Irish Mortgage Defaults
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth Downloads View citations (1)

2013

  1. Irish Mortgage Default Optionality
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth Downloads

2012

  1. A Coasean Approach to Bank Resolution Policy in the Eurozone
    FMG Special Papers, Financial Markets Group Downloads View citations (1)
    Also in Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth (2012) Downloads View citations (2)
  2. Dynamic Stock Market Covariances in the Eurozone
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth Downloads View citations (2)
    See also Journal Article in Journal of International Money and Finance (2013)

2010

  1. Sliding Doors Cost Measurement.A Restrictive Approach to Analyzing the Net Economic Cost of Policy Decisions and an Application to Irish Financial Regulation
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth Downloads
  2. The U.S. and Irish Credit Crises: Their Distinctive Differences and Common Features
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth Downloads View citations (5)
    See also Journal Article in Journal of International Money and Finance (2012)

2009

  1. Market Dispersion and the Profitability of Hedge Funds
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth Downloads View citations (2)
  2. The Risky Lending Gap
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth Downloads

2007

  1. Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (10)
    Also in FMG Discussion Papers, Financial Markets Group (2007) Downloads View citations (10)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) Downloads View citations (10)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) Downloads View citations (10)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2007) Downloads View citations (8)

2006

  1. Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006) Downloads

    See also Journal Article in Journal of Empirical Finance (2007)

2004

  1. (IAM Series No 002) An Intro to Hedge Funds
    FMG Discussion Papers, Financial Markets Group Downloads
  2. An Introduction to hedge funds
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (2)

2001

  1. A Structured GARCH Model of Daily Equity Return Volatility
    FMG Discussion Papers, Financial Markets Group Downloads
  2. Tests of the Fama Model in India
    FMG Discussion Papers, Financial Markets Group Downloads
  3. Tests of the Fama and French model in India
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (5)

2000

  1. Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns
    FMG Discussion Papers, Financial Markets Group Downloads View citations (1)

1995

  1. Optimal Cash Management for Investment Funds
    Research Program in Finance Working Papers, University of California at Berkeley View citations (1)

1990

  1. The Relationship Between Non- Arbitrage and Recursive Competitive Equilibrium Pricing
    Research Program in Finance Working Papers, University of California at Berkeley

1988

  1. The Attributes, Behavior and Performance of U.S. Mutual Funds
    Research Program in Finance Working Papers, University of California at Berkeley View citations (12)

1987

  1. An Intertemporal Equilibrium Beta Pricing Model
    Research Program in Finance Working Papers, University of California at Berkeley View citations (2)
  2. Estimating Pervasive Economic Factors with Missing Observations
    Research Program in Finance Working Papers, University of California at Berkeley View citations (21)
  3. New Cross-Sectional Regression Tests of Beta Pricing Models
    Research Program in Finance Working Papers, University of California at Berkeley
  4. Risk and Return in an Equilibrium APT
    Research Program in Finance Working Papers, University of California at Berkeley View citations (13)

Journal Articles

2018

  1. A Performance Comparison of Large-n Factor Estimators
    Review of Asset Pricing Studies, 2018, 8, (1), 153-182 Downloads
    See also Working Paper (2014)

2015

  1. A Synthesis of Two Factor Estimation Methods
    Journal of Financial and Quantitative Analysis, 2015, 50, (4), 825-842 Downloads View citations (2)
  2. Strategic, unaffordability and dual-trigger default in the Irish mortgage market
    Journal of Housing Economics, 2015, 28, (C), 59-75 Downloads View citations (4)

2013

  1. Dynamic stock market covariances in the Eurozone
    Journal of International Money and Finance, 2013, 37, (C), 353-370 Downloads View citations (15)
    See also Working Paper (2012)

2012

  1. Efficient Semiparametric Estimation of the Fama–French Model and Extensions
    Econometrica, 2012, 80, (2), 713-754 Downloads View citations (40)
  2. Sliding Doors Cost Measurement: The Net Economic Cost of Lax Regulation of the Irish Banking Sector
    The World Economy, 2012, 35, (10), 1256-1276 Downloads View citations (3)
  3. The U.S. and Irish credit crises: Their distinctive differences and common features
    Journal of International Money and Finance, 2012, 31, (1), 60-79 Downloads View citations (23)
    See also Working Paper (2010)

2007

  1. Semiparametric estimation of a characteristic-based factor model of common stock returns
    Journal of Empirical Finance, 2007, 14, (5), 694-717 Downloads View citations (26)
    See also Working Paper (2006)

2006

  1. Regulating the output characteristics of tidal current power stations to facilitate better base load matching over the lunar cycle
    Renewable Energy, 2006, 31, (2), 173-180 Downloads View citations (19)
  2. The common and specific components of dynamic volatility
    Journal of Econometrics, 2006, 132, (1), 231-255 Downloads View citations (27)

1993

  1. A Test for the Number of Factors in an Approximate Factor Model
    Journal of Finance, 1993, 48, (4), 1263-91 Downloads View citations (221)

1988

  1. Risk and return in an equilibrium APT: Application of a new test methodology
    Journal of Financial Economics, 1988, 21, (2), 255-289 Downloads View citations (202)

1986

  1. Performance measurement with the arbitrage pricing theory: A new framework for analysis
    Journal of Financial Economics, 1986, 15, (3), 373-394 Downloads View citations (247)

1985

  1. Arbitrage Pricing Theory: The Way Forward
    Australian Journal of Management, 1985, 10, (1), 109-130 Downloads View citations (1)

1984

  1. A unified beta pricing theory
    Journal of Economic Theory, 1984, 34, (1), 13-31 Downloads View citations (75)

Books

2010

  1. Portfolio Risk Analysis
    Economics Books, Princeton University Press View citations (12)

Chapters

2010

  1. Introduction
    A chapter in Portfolio Risk Analysis, 2010 Downloads
 
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