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Details about Adlai Julian Fisher

Homepage:https://sites.google.com/view/adlai-fisher
Workplace:Finance Division, Sauder School of Business, University of British Columbia, (more information at EDIRC)

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

  1. A Multifractal Model of Asset Returns
    Working Papers, HAL
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1997) Downloads 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) Downloads View citations (9)
  2. Large Deviation Theory and the Distribution of Price Changes
    Working Papers, HAL
  3. Multifractality of US Dollar/Deutsche Mark Exchange Rates
    Working Papers, HAL
  4. 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) Downloads View citations (4)

    See also Journal Article Multifrequency news and stock returns, Journal of Financial Economics, Elsevier (2007) Downloads View citations (43) (2007)

2009

  1. Multifractal Volatility: Theory, Estimation and Forecasting
    Post-Print, HAL

2008

  1. Multifractal Volatility: Theory, Forecasting and Pricing
    Post-Print, HAL View citations (66)
  2. Multifrequency jump-diffusions: An equilibrium approach
    Post-Print, HAL View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads

    See also Journal Article Multifrequency jump-diffusions: An equilibrium approach, Journal of Mathematical Economics, Elsevier (2008) Downloads View citations (10) (2008)

2006

  1. Volatility Comovement: a multifrequency approach
    Post-Print, HAL View citations (57)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (6)

    See also Journal Article Volatility comovement: a multifrequency approach, Journal of Econometrics, Elsevier (2006) Downloads View citations (62) (2006)

2004

  1. Corporate Investment and Asset Price Dynamics: Implications for Post-SEO Performance
    2004 Meeting Papers, Society for Economic Dynamics View citations (189)
  2. How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes
    Post-Print, HAL View citations (131)

2003

  1. Regime-Switching and the Estimation of Multifractal Processes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (20)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2003) Downloads View citations (6)

2002

  1. 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) Downloads View citations (168) (2002)

2001

  1. 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) Downloads

    See also Journal Article Forecasting multifractal volatility, Journal of Econometrics, Elsevier (2001) Downloads View citations (140) (2001)

1999

  1. 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- Downloads

1997

  1. Large Deviations and the Distribution of Price Changes
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (39)
  2. Multifractality of Deutschemark/US Dollar Exchange Rates
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (38)

Journal Articles

2022

  1. Macroeconomic Attention and Announcement Risk Premia
    The Review of Financial Studies, 2022, 35, (11), 5057-5093 Downloads View citations (24)

2018

  1. Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics
    Journal of Financial and Quantitative Analysis, 2018, 53, (2), 937-963 Downloads View citations (3)

2016

  1. Horizon Effects in Average Returns: The Role of Slow Information Diffusion
    The Review of Financial Studies, 2016, 29, (8), 2241-2281 Downloads View citations (12)

2015

  1. What is beneath the surface? Option pricing with multifrequency latent states
    Journal of Econometrics, 2015, 187, (2), 498-511 Downloads View citations (6)

2014

  1. Leaders, Followers, and Risk Dynamics in Industry Equilibrium
    Journal of Financial and Quantitative Analysis, 2014, 49, (2), 321-349 Downloads View citations (9)

2011

  1. Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas
    Journal of Financial Economics, 2011, 102, (2), 363-389 Downloads View citations (53)
  2. Monetary policy and corporate default
    Journal of Monetary Economics, 2011, 58, (5), 480-494 Downloads View citations (23)

2010

  1. SEO Risk Dynamics
    The Review of Financial Studies, 2010, 23, (11), 4026-4077 Downloads View citations (32)

2008

  1. Multifrequency jump-diffusions: An equilibrium approach
    Journal of Mathematical Economics, 2008, 44, (2), 207-226 Downloads View citations (10)
    See also Working Paper Multifrequency jump-diffusions: An equilibrium approach, Post-Print (2008) View citations (6) (2008)
  2. Reputation and Managerial Truth‐Telling as Self‐Insurance
    Journal of Economics & Management Strategy, 2008, 17, (2), 489-540 Downloads

2007

  1. Multifrequency news and stock returns
    Journal of Financial Economics, 2007, 86, (1), 178-212 Downloads View citations (43)
    See also Working Paper Multifrequency News and Stock Returns, Working Papers (2011) (2011)

2006

  1. Corporate Investment and Asset Price Dynamics: Implications for SEO Event Studies and Long‐Run Performance
    Journal of Finance, 2006, 61, (3), 1009-1034 Downloads View citations (127)
  2. Volatility comovement: a multifrequency approach
    Journal of Econometrics, 2006, 131, (1-2), 179-215 Downloads View citations (62)
    See also Working Paper Volatility Comovement: a multifrequency approach, Post-Print (2006) View citations (57) (2006)

2002

  1. Multifractality In Asset Returns: Theory And Evidence
    The Review of Economics and Statistics, 2002, 84, (3), 381-406 Downloads View citations (168)
    See also Working Paper Multifractality in Asset Returns: Theory and Evidence, Post-Print (2002) View citations (149) (2002)

2001

  1. Forecasting multifractal volatility
    Journal of Econometrics, 2001, 105, (1), 27-58 Downloads View citations (140)
    See also Working Paper Forecasting multifractal volatility, Post-Print (2001) View citations (139) (2001)

Books

2008

  1. Multifractal Volatility
    Elsevier Monographs, Elsevier Downloads View citations (27)
 
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