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Details about Adlai Julian Fisher

Homepage:http://finance.sauder.ubc.ca/~fisher
Workplace:Finance Division, Sauder School of Business, University of British Columbia, (more information at EDIRC)

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Short-id: pfi214


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Working Papers

2006

  1. Multifrequency Jump-Diffusions: An Equilibrium Approach
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Mathematical Economics (2008)

2005

  1. Multifrequency News and Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    See also Journal Article in Journal of Financial Economics (2007)

2004

  1. Corporate Investment and Asset Price Dynamics: Implications for Post-SEO Performance
    2004 Meeting Papers, Society for Economic Dynamics View citations (119)
  2. Volatility Comovement: A Multifrequency Approach
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    See also Journal Article in Journal of Econometrics (2006)

2003

  1. Regime-Switching and the Estimation of Multifractal Processes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (17)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2003) Downloads View citations (3)

1999

  1. A Multifractal Model of Assets Returns
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- Downloads View citations (8)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1997) Downloads View citations (75)
  2. Forecasting Multifractal Volatility
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- Downloads
    See also Journal Article in Journal of Econometrics (2001)
  3. 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 (22)
  2. Multifractality of Deutschemark/US Dollar Exchange Rates
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (33)

Journal Articles

2010

  1. SEO Risk Dynamics
    Review of Financial Studies, 2010, 23, (11), 4026-4077 Downloads View citations (17)

2008

  1. Multifrequency jump-diffusions: An equilibrium approach
    Journal of Mathematical Economics, 2008, 44, (2), 207-226 Downloads View citations (9)
    See also Working Paper (2006)
  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 (32)
    See also Working Paper (2005)

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 (91)
  2. Volatility comovement: a multifrequency approach
    Journal of Econometrics, 2006, 131, (1-2), 179-215 Downloads View citations (50)
    See also Working Paper (2004)

2002

  1. Multifractality In Asset Returns: Theory And Evidence
    The Review of Economics and Statistics, 2002, 84, (3), 381-406 Downloads View citations (124)

2001

  1. Forecasting multifractal volatility
    Journal of Econometrics, 2001, 105, (1), 27-58 Downloads View citations (109)
    See also Working Paper (1999)
 
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