Details about Adlai Julian Fisher
Access statistics for papers by Adlai Julian Fisher.
Last updated 2023-04-07. Update your information in the RePEc Author Service.
Short-id: pfi214
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Working Papers
2011
- A Multifractal Model of Asset Returns
Working Papers, HAL
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1997) View citations (203) New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) View citations (9)
- Large Deviation Theory and the Distribution of Price Changes
Working Papers, HAL
- Multifractality of US Dollar/Deutsche Mark Exchange Rates
Working Papers, HAL
- Multifrequency News and Stock Returns
Working Papers, HAL
Also in Post-Print, HAL (2007) View citations (41) NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (4)
See also Journal Article Multifrequency news and stock returns, Journal of Financial Economics, Elsevier (2007) View citations (43) (2007)
2009
- Multifractal Volatility: Theory, Estimation and Forecasting
Post-Print, HAL
2008
- Multifractal Volatility: Theory, Forecasting and Pricing
Post-Print, HAL View citations (66)
- Multifrequency jump-diffusions: An equilibrium approach
Post-Print, HAL View citations (6)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) 
See also Journal Article Multifrequency jump-diffusions: An equilibrium approach, Journal of Mathematical Economics, Elsevier (2008) View citations (10) (2008)
2006
- Volatility Comovement: a multifrequency approach
Post-Print, HAL View citations (57)
Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2004) View citations (6)
See also Journal Article Volatility comovement: a multifrequency approach, Journal of Econometrics, Elsevier (2006) View citations (62) (2006)
2004
- Corporate Investment and Asset Price Dynamics: Implications for Post-SEO Performance
2004 Meeting Papers, Society for Economic Dynamics View citations (189)
- How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes
Post-Print, HAL View citations (131)
2003
- Regime-Switching and the Estimation of Multifractal Processes
NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2003) View citations (6)
2002
- Multifractality in Asset Returns: Theory and Evidence
Post-Print, HAL View citations (149)
See also Journal Article Multifractality In Asset Returns: Theory And Evidence, The Review of Economics and Statistics, MIT Press (2002) View citations (168) (2002)
2001
- Forecasting multifractal volatility
Post-Print, HAL View citations (139)
Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) 
See also Journal Article Forecasting multifractal volatility, Journal of Econometrics, Elsevier (2001) View citations (140) (2001)
1999
- Multivariate Stock Returns Around Extreme Events: A Reassessment of Economic Fundamentals and the 1987 Market Crash
New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-
1997
- Large Deviations and the Distribution of Price Changes
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (39)
- Multifractality of Deutschemark/US Dollar Exchange Rates
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (38)
Journal Articles
2022
- Macroeconomic Attention and Announcement Risk Premia
The Review of Financial Studies, 2022, 35, (11), 5057-5093 View citations (24)
2018
- Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics
Journal of Financial and Quantitative Analysis, 2018, 53, (2), 937-963 View citations (3)
2016
- Horizon Effects in Average Returns: The Role of Slow Information Diffusion
The Review of Financial Studies, 2016, 29, (8), 2241-2281 View citations (12)
2015
- What is beneath the surface? Option pricing with multifrequency latent states
Journal of Econometrics, 2015, 187, (2), 498-511 View citations (6)
2014
- Leaders, Followers, and Risk Dynamics in Industry Equilibrium
Journal of Financial and Quantitative Analysis, 2014, 49, (2), 321-349 View citations (9)
2011
- Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas
Journal of Financial Economics, 2011, 102, (2), 363-389 View citations (53)
- Monetary policy and corporate default
Journal of Monetary Economics, 2011, 58, (5), 480-494 View citations (23)
2010
- SEO Risk Dynamics
The Review of Financial Studies, 2010, 23, (11), 4026-4077 View citations (32)
2008
- Multifrequency jump-diffusions: An equilibrium approach
Journal of Mathematical Economics, 2008, 44, (2), 207-226 View citations (10)
See also Working Paper Multifrequency jump-diffusions: An equilibrium approach, Post-Print (2008) View citations (6) (2008)
- Reputation and Managerial Truth‐Telling as Self‐Insurance
Journal of Economics & Management Strategy, 2008, 17, (2), 489-540
2007
- Multifrequency news and stock returns
Journal of Financial Economics, 2007, 86, (1), 178-212 View citations (43)
See also Working Paper Multifrequency News and Stock Returns, Working Papers (2011) (2011)
2006
- Corporate Investment and Asset Price Dynamics: Implications for SEO Event Studies and Long‐Run Performance
Journal of Finance, 2006, 61, (3), 1009-1034 View citations (127)
- Volatility comovement: a multifrequency approach
Journal of Econometrics, 2006, 131, (1-2), 179-215 View citations (62)
See also Working Paper Volatility Comovement: a multifrequency approach, Post-Print (2006) View citations (57) (2006)
2002
- Multifractality In Asset Returns: Theory And Evidence
The Review of Economics and Statistics, 2002, 84, (3), 381-406 View citations (168)
See also Working Paper Multifractality in Asset Returns: Theory and Evidence, Post-Print (2002) View citations (149) (2002)
2001
- Forecasting multifractal volatility
Journal of Econometrics, 2001, 105, (1), 27-58 View citations (140)
See also Working Paper Forecasting multifractal volatility, Post-Print (2001) View citations (139) (2001)
Books
2008
- Multifractal Volatility
Elsevier Monographs, Elsevier View citations (27)
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