Details about Ian Domowitz

Access statistics for papers by Ian Domowitz.

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Short-id: pdo3

Working Papers

2000

1. Liquidity, Volatility, and Equity Trading Costs Across Countries and Over Time
   William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan View citations (15)
   See also Journal Article Liquidity, Volatility and Equity Trading Costs Across Countries and Over Time, International Finance, Wiley Blackwell (2001) View citations (118) (2001)

1997

2. A Consistent Nonparametric Test of Ergodicity for Time Series with Applications
   Working papers, Wisconsin Madison - Social Systems View citations (4)
   See also Journal Article A consistent nonparametric test of ergodicity for time series with applications, Journal of Econometrics, Elsevier (2001) View citations (10) (2001)
3. Financial Market Structure and the Ergocicity of Prices
   Working papers, Wisconsin Madison - Social Systems
4. Liquidity-Corrected Variance Ratios and the Effect of Foreign Equity Ownership on Information in an Emerging Market
   Working Papers, Duke University, Department of Economics
5. Noise In the Price Discovery Process: A Comparison of Periodicand Continuous Auctions
   Working Papers, Duke University, Department of Economics

1993

6. A Consistent Test of Stationary Ergodicity
   Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences
   See also Journal Article A Consistent Test of Stationary-Ergodicity, Econometric Theory, Cambridge University Press (1993) View citations (14) (1993)

1992

7. A Taxonomy of Automated Trade Execution Systems
   IMF Working Papers, International Monetary Fund View citations (3)
   See also Journal Article A taxonomy of automated trade execution systems, Journal of International Money and Finance, Elsevier (1993) View citations (26) (1993)
8. Automating the Price Discovery Process: Some International Comparisons and Regulatory Implications
   IMF Working Papers, International Monetary Fund View citations (11)

1991

9. Equally Open and Competitive: Regulatory Approval of Automated Trade Execution in the Future Markets
   Working Papers, Columbia - Center for Futures Markets View citations (1)
   See also Journal Article Equally open and competitive: Regulatory approval of automated trade execution in the futures markets, Journal of Futures Markets, John Wiley & Sons, Ltd. (1993) View citations (5) (1993)
10. The Electronic Order Book and Automated Trade Execution in the Furure Market
    Working Papers, Columbia - Center for Futures Markets

1990

11. Automated trade execution systems
    Proceedings, Federal Reserve Bank of Chicago View citations (3)

1988

12. A TEST OF THE HARRIS ERGODICITY OF STATIONARY DYNAMICAL ECONOMIC MODELS
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER)

1986

13. Business Cycles and Oligopoly Supergames: Some Empirical Evidence on Prices and Margins
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
14. Error correction, forward-looking behavior, and dynamic international money demand
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (1)
15. Market Structure and Cyclical Fluctuations in U.S. Manufacturing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (119)
    See also Journal Article Market Structure and Cyclical Fluctuations in U.S. Manufacturing, The Review of Economics and Statistics, MIT Press (1988) View citations (206) (1988)

1985

16. Inference in the Explosive First-Order Linear Dynamic Regression Model
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science

1982

17. The Linear Model With Stochastic Regressors and Heteroscedastic Dependent Errors
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science View citations (4)
18. Using Weighted Nonlinear Least Squares to Estimate Fish Population Dynamics Models
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science

Undated

19. Country and Currency Risk Premia in an Emerging Market
    IPR working papers, Institute for Policy Resarch at Northwestern University View citations (3)
    See also Journal Article Country and Currency Risk Premia in an Emerging Market, Journal of Financial and Quantitative Analysis, Cambridge University Press (1998) View citations (33) (1998)
20. Incentives and Bankruptcy Chapter Choice: Evidence from the Reform Act of 1978
    IPR working papers, Institute for Policy Resarch at Northwestern University View citations (1)
    See also Journal Article Incentives and Bankruptcy Chapter Choice: Evidence from the Reform Act of 1978, The Journal of Legal Studies, University of Chicago Press (1999) View citations (2) (1999)
21. Personal Bankruptcy in the United States
    IPR working papers, Institute for Policy Resarch at Northwestern University
22. Personal Liabilities and Bankruptcy Reform: An International Perspective
    IPR working papers, Institute for Policy Resarch at Northwestern University View citations (12)
    See also Journal Article Personal Liabilities and Bankruptcy Reform: An International Perspective, International Finance, Wiley Blackwell (1998) View citations (9) (1998)
23. Regulation of Automated Trading Systems
    IPR working papers, Institute for Policy Resarch at Northwestern University View citations (2)
24. The Market for Equity Markets: The Classification and Regulation of Automated Trading Systems
    IPR working papers, Institute for Policy Resarch at Northwestern University
25. Two Hundred Years of Bankruptcy: A Tale of Legislation and Economic Fluctuations
    IPR working papers, Institute for Policy Resarch at Northwestern University View citations (12)

Journal Articles

2005

1. Liquidity commonality and return co-movement
   Journal of Financial Markets, 2005, 8, (4), 351-376 View citations (59)

2002

2. Liquidity, Transaction Costs, and Reintermediation in Electronic Markets
   Journal of Financial Services Research, 2002, 22, (1), 141-157 View citations (8)

2001

3. A consistent nonparametric test of ergodicity for time series with applications
   Journal of Econometrics, 2001, 102, (2), 365-398 View citations (10)
   See also Working Paper A Consistent Nonparametric Test of Ergodicity for Time Series with Applications, Working papers (1997) View citations (4) (1997)
4. Liquidity, Volatility and Equity Trading Costs Across Countries and Over Time
   International Finance, 2001, 4, (2), 221-255 View citations (118)
   See also Working Paper Liquidity, Volatility, and Equity Trading Costs Across Countries and Over Time, William Davidson Institute Working Papers Series (2000) View citations (15) (2000)
5. On the Road to Reg ATS: A Critical History of the Regulation of Automated Trading Systems
   International Finance, 2001, 4, (2), 279-302 View citations (1)

2000

6. The Impact of Foreign Equity Ownership on Emerging Market Share Price Volatility
   International Finance, 2000, 3, (1), 95-122 View citations (5)

1999

7. Determinants of the Consumer Bankruptcy Decision
   Journal of Finance, 1999, 54, (1), 403-420 View citations (118)
8. Incentives and Bankruptcy Chapter Choice: Evidence from the Reform Act of 1978
   The Journal of Legal Studies, 1999, 28, (2), 461-87 View citations (2)
   See also Working Paper Incentives and Bankruptcy Chapter Choice: Evidence from the Reform Act of 1978, IPR working papers View citations (1)
9. Pricing behavior in an off-hours computerized market
   Journal of Empirical Finance, 1999, 6, (5), 583-607 View citations (4)

1998

10. Country and Currency Risk Premia in an Emerging Market
    Journal of Financial and Quantitative Analysis, 1998, 33, (2), 189-216 View citations (33)
    See also Working Paper Country and Currency Risk Premia in an Emerging Market, IPR working papers View citations (3)
11. Personal Liabilities and Bankruptcy Reform: An International Perspective
    International Finance, 1998, 1, (1), 127-159 View citations (9)
    See also Working Paper Personal Liabilities and Bankruptcy Reform: An International Perspective, IPR working papers View citations (12)

1997

12. Market Segmentation and Stock Prices: Evidence from an Emerging Market
    Journal of Finance, 1997, 52, (3), 1059-85 View citations (117)
13. Order flow and the bid-ask spread: An empirical probability model of screen-based trading
    Journal of Economic Dynamics and Control, 1997, 21, (8-9), 1471-1491 View citations (26)

1995

14. Electronic derivatives exchanges: Implicit mergers, network externalities, and standardization
    The Quarterly Review of Economics and Finance, 1995, 35, (2), 163-175 View citations (22)

1994

15. Auctions as algorithms: Computerized trade execution and price discovery
    Journal of Economic Dynamics and Control, 1994, 18, (1), 29-60 View citations (68)

1993

16. A Consistent Test of Stationary-Ergodicity
    Econometric Theory, 1993, 9, (4), 589-601 View citations (14)
    See also Working Paper A Consistent Test of Stationary Ergodicity, Working Papers (1993) (1993)
17. A taxonomy of automated trade execution systems
    Journal of International Money and Finance, 1993, 12, (6), 607-631 View citations (26)
    See also Working Paper A Taxonomy of Automated Trade Execution Systems, IMF Working Papers (1992) View citations (3) (1992)
18. Equally open and competitive: Regulatory approval of automated trade execution in the futures markets
    Journal of Futures Markets, 1993, 13, (1), 93-113 View citations (5)
    See also Working Paper Equally Open and Competitive: Regulatory Approval of Automated Trade Execution in the Future Markets, Working Papers (1991) View citations (1) (1991)
19. Market Structure and Cyclical Fluctuations in U.S. Manufacturing: Reply
    The Review of Economics and Statistics, 1993, 75, (4), 734-35 View citations (1)
20. The Impact of the Bankruptcy Reform Act of 1978 on Consumer Bankruptcy
    Journal of Law and Economics, 1993, 36, (2), 803-35 View citations (24)
21. Trading Patterns and Prices in the Interbank Foreign Exchange Market
    Journal of Finance, 1993, 48, (4), 1421-43 View citations (212)

1990

22. Interpreting an Error Correction Model: Partial Adjustment, Forward-Looking Behaviour, and Dynamic International Money Demand
    Journal of Applied Econometrics, 1990, 5, (1), 29-46 View citations (9)
23. The mechanics of automated trade execution systems
    Journal of Financial Intermediation, 1990, 1, (2), 167-194 View citations (23)

1989

24. Asset Substitution, Money Demand, and the Inflation Process in Brazil
    Journal of Money, Credit and Banking, 1989, 21, (1), 78-89 View citations (10)

1988

25. Market Structure and Cyclical Fluctuations in U.S. Manufacturing
    The Review of Economics and Statistics, 1988, 70, (1), 55-66 View citations (206)
    See also Working Paper Market Structure and Cyclical Fluctuations in U.S. Manufacturing, NBER Working Papers (1986) View citations (119) (1986)
26. Thinking one step ahead: The use of conjectures in competitor analysis
    Strategic Management Journal, 1988, 9, (5), 431-442 View citations (8)

1987

27. An error-correction approach to money demand: The case of Sudan
    Journal of Development Economics, 1987, 26, (2), 257-275 View citations (40)
28. Oligopoly Supergames: Some Empirical Evidence on Prices and Margins
    Journal of Industrial Economics, 1987, 35, (4), 379-98 View citations (48)

1986

29. Business Cycles and the Relationship Between Concentration and Price-Cost Margins
    RAND Journal of Economics, 1986, 17, (1), 1-17 View citations (251)
30. The Intertemporal Stability of the Concentration-Margins Relationship
    Journal of Industrial Economics, 1986, 35, (1), 13-34 View citations (17)

1985

31. Conditional variance and the risk premium in the foreign exchange market
    Journal of International Economics, 1985, 19, (1-2), 47-66 View citations (206)
32. Industry margins and the business cycle: Some new microeconomic evidence
    Economics Letters, 1985, 19, (1), 73-77
33. New Directions in Non-linear Estimation with Dependent Observations
    Canadian Journal of Economics, 1985, 18, (1), 1-27 View citations (2)

1984

34. Nonlinear Regression with Dependent Observations
    Econometrica, 1984, 52, (1), 143-61 View citations (145)

1982

35. Misspecified models with dependent observations
    Journal of Econometrics, 1982, 20, (1), 35-58 View citations (60)

1981

36. A model of commercial energy demand
    Energy, 1981, 6, (12), 1451-1465

Chapters

2006

1. Electronic Limit Order Books and Market Resiliency: Theory, Evidence, and Practice
   Chapter 2 in Advances In Quantitative Analysis Of Finance And Accounting Essays in Microstructure in Honor of David K Whitcomb, 2006, pp 19-37 View citations (2)

1996

2. An Exchange Is a Many-Splendored Thing: The Classification and Regulation of Automated Trading Systems
   A chapter in The Industrial Organization and Regulation of the Securities Industry, 1996, pp 93-124 View citations (2)