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Details about Richard D. F. Harris

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Workplace:School of Economics, University of Bristol, (more information at EDIRC)

Access statistics for papers by Richard D. F. Harris.

Last updated 2020-02-23. Update your information in the RePEc Author Service.

Short-id: pha750


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Working Papers

2019

  1. Have FSRs got news for you? Evidence from the impact of Financial Stability Reports on market activity
    Bank of England working papers, Bank of England Downloads

2016

  1. Financial market volatility, macroeconomic fundamentals and investor sentiment
    Bank of England working papers, Bank of England Downloads View citations (3)
    See also Journal Article in Journal of Banking & Finance (2018)
  2. Systematic tail risk
    Bank of England working papers, Bank of England Downloads
  3. The dynamic Black-Litterman approach to asset allocation
    Bank of England working papers, Bank of England Downloads
    See also Journal Article in European Journal of Operational Research (2017)

2015

  1. Extreme downside risk and financial crises
    Bank of England working papers, Bank of England Downloads View citations (2)

2010

  1. A Cyclical Model of Exchange Rate Volatility
    Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2011)

2005

  1. Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2005) Downloads

2002

  1. Stock Returns Following Profit Warnings: A Test of Models of Behavioural Finance
    Royal Economic Society Annual Conference 2002, Royal Economic Society Downloads View citations (2)

1999

  1. Does Job Matching Explain Job Satisfaction? Evidence for UK Graduates
    Discussion Papers, University of Exeter, Department of Economics

1998

  1. A Test of the Expectations Hypothesis of the Term Structure Using Cross-Section Data
    Discussion Papers, University of Exeter, Department of Economics View citations (3)
  2. Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors
    Discussion Papers, University of Exeter, Department of Economics
  3. The Gilt-Equity Yield Ratio and the Predictability of UK and US Equity Returns
    Discussion Papers, University of Exeter, Department of Economics
    See also Journal Article in Journal of Business Finance & Accounting (2000)

1997

  1. Analyst Optimism and the Magnitude of Earnings Growth
    Discussion Papers, University of Exeter, Department of Economics View citations (1)
  2. Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends
    Discussion Papers, University of Exeter, Department of Economics
  3. Tests of the Expectations Hypothesis of the Term Structure in a Model with Bayesian Learning
    Discussion Papers, University of Exeter, Department of Economics View citations (2)

1996

  1. Irrational Analysts' Expectations as a Cause of Excess Volatility in Stock Prices
    Discussion Papers, University of Exeter, Department of Economics View citations (6)
    See also Journal Article in Economic Journal (1997)
  2. Why Does the Ratio of Book to Market Value of Equity Explain Cross-Section Stock Returns?
    Discussion Papers, University of Exeter, Department of Economics View citations (1)

Journal Articles

2019

  1. Extreme downside risk and market turbulence
    Quantitative Finance, 2019, 19, (11), 1875-1892 Downloads View citations (1)
  2. Model-based earnings forecasts vs. financial analysts' earnings forecasts
    The British Accounting Review, 2019, 51, (4), 424-437 Downloads
  3. Option‐implied betas and the cross section of stock returns
    Journal of Futures Markets, 2019, 39, (1), 94-108 Downloads View citations (1)
  4. Systematic extreme downside risk
    Journal of International Financial Markets, Institutions and Money, 2019, 61, (C), 128-142 Downloads View citations (1)

2018

  1. Financial market Volatility, macroeconomic fundamentals and investor Sentiment
    Journal of Banking & Finance, 2018, 92, (C), 130-145 Downloads View citations (7)
    See also Working Paper (2016)

2017

  1. Dynamic factor long memory volatility
    Quantitative Finance, 2017, 17, (8), 1205-1221 Downloads
  2. Soft power and exchange rate volatility
    International Finance, 2017, 20, (3), 271-288 Downloads
  3. The dynamic Black–Litterman approach to asset allocation
    European Journal of Operational Research, 2017, 259, (3), 1085-1096 Downloads View citations (2)
    See also Working Paper (2016)
  4. The intrinsic value of gold: An exchange rate-free price index
    Journal of International Money and Finance, 2017, 79, (C), 203-217 Downloads View citations (4)

2015

  1. Ambiguity aversion and stock market participation: An empirical analysis
    Journal of Banking & Finance, 2015, 58, (C), 57-70 Downloads View citations (11)
  2. Can behavioral biases explain the rejections of the expectation hypothesis of the term structure of interest rates?
    Journal of Banking & Finance, 2015, 58, (C), 179-193 Downloads View citations (2)

2013

  1. Dynamic hedge fund portfolio construction: A semi-parametric approach
    Journal of Banking & Finance, 2013, 37, (1), 139-149 Downloads View citations (11)
  2. Long memory conditional volatility and asset allocation
    International Journal of Forecasting, 2013, 29, (2), 258-273 Downloads View citations (4)

2011

  1. A cyclical model of exchange rate volatility
    Journal of Banking & Finance, 2011, 35, (11), 3055-3064 Downloads View citations (5)
    See also Working Paper (2010)
  2. Comparison of the 'turn-of-the-month' and lunar new year return effects in three Chinese markets: Hong Kong, Shanghai and Shenzhen
    Applied Financial Economics, 2011, 21, (13), 917-929 Downloads View citations (4)
  3. Revisiting the expectations hypothesis of the term structure of interest rates
    Journal of Banking & Finance, 2011, 35, (5), 1202-1212 Downloads View citations (7)

2010

  1. Dynamic hedge fund portfolio construction
    International Review of Financial Analysis, 2010, 19, (5), 351-357 Downloads View citations (6)
  2. Estimation of the conditional variance-covariance matrix of returns using the intraday range
    International Journal of Forecasting, 2010, 26, (1), 180-194 Downloads View citations (3)
  3. Hedging and value at risk: A semi‐parametric approach
    Journal of Futures Markets, 2010, 30, (8), 780-794 Downloads View citations (7)
  4. The Limits to Minimum‐Variance Hedging
    Journal of Business Finance & Accounting, 2010, 37, (5‐6), 737-761 Downloads

2009

  1. A momentum trading strategy based on the low frequency component of the exchange rate
    Journal of Banking & Finance, 2009, 33, (9), 1575-1585 Downloads View citations (27)

2008

  1. Retrieving seasonally adjusted quarterly growth rates from annual growth rates that are reported quarterly
    European Journal of Operational Research, 2008, 188, (3), 846-853 Downloads View citations (1)

2007

  1. A simplified approach to modeling the co‐movement of asset returns
    Journal of Futures Markets, 2007, 27, (6), 575-598 Downloads View citations (17)

2006

  1. Bias in the estimation of non-linear transformations of the integrated variance of returns
    Journal of Forecasting, 2006, 25, (7), 481-494 Downloads View citations (1)
  2. Hedging and value at risk
    Journal of Futures Markets, 2006, 26, (4), 369-390 Downloads View citations (17)
  3. Return and Volatility Spillovers Between Large and Small Stocks in the UK
    Journal of Business Finance & Accounting, 2006, 33, (9‐10), 1556-1571 Downloads View citations (5)

2004

  1. Skewness in the conditional distribution of daily equity returns
    Applied Financial Economics, 2004, 14, (3), 195-202 Downloads View citations (12)
  2. Testing for Unit Roots in Dynamic Panels in the Presence of a Deterministic Trend: Re-examining the Unit Root Hypothesis for Real Stock Prices and Dividends
    Econometric Reviews, 2004, 23, (2), 149-166 Downloads View citations (4)
  3. The rational expectations hypothesis and the cross-section of bond yields
    Applied Financial Economics, 2004, 14, (2), 105-112 Downloads View citations (2)
  4. Why does book-to-market value of equity forecast cross-section stock returns?
    International Review of Financial Analysis, 2004, 13, (2), 153-160 Downloads View citations (3)

2003

  1. Contrarian Investment and Macroeconomic Risk
    Journal of Business Finance & Accounting, 2003, 30, (1‐2), 213-256 Downloads View citations (2)
  2. Robust estimation of the optimal hedge ratio
    Journal of Futures Markets, 2003, 23, (8), 799-816 Downloads View citations (8)

2002

  1. Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns
    International Journal of Forecasting, 2002, 18, (3), 409-419 Downloads View citations (21)
  2. How well do theories of job matching explain variations in job satisfaction across education levels? Evidence for UK graduates
    Applied Economics, 2002, 34, (5), 535-548 Downloads View citations (42)

2001

  1. An Analysis of Contrarian Investment Strategies in the UK
    Journal of Business Finance & Accounting, 2001, 28, (9‐10), 1192-1228 Downloads View citations (6)
  2. Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management
    European Journal of Operational Research, 2001, 134, (3), 481-492 Downloads View citations (1)
  3. The Empirical Distribution of UK and US Stock Returns
    Journal of Business Finance & Accounting, 2001, 28, (5‐6), 715-740 Downloads
  4. The empirical distribution of stock returns: evidence from an emerging European market
    Applied Economics Letters, 2001, 8, (6), 367-371 Downloads View citations (6)

2000

  1. The Gilt‐Equity Yield Ratio and the Predictability of UK and US Equity Returns
    Journal of Business Finance & Accounting, 2000, 27, (3‐4), 333-357 Downloads
    See also Working Paper (1998)

1999

  1. Inference for unit roots in dynamic panels where the time dimension is fixed
    Journal of Econometrics, 1999, 91, (2), 201-226 Downloads View citations (425)
  2. The Accuracy, Bias and Efficiency of Analysts’ Long Run Earnings Growth Forecasts
    Journal of Business Finance & Accounting, 1999, 26, (5‐6), 725-755 Downloads View citations (1)

1997

  1. Irrational Analysts' Expectations as a Cause of Excess Volatility in Stock Prices
    Economic Journal, 1997, 107, (441), 359-71 Downloads View citations (10)
    See also Working Paper (1996)
  2. Stock markets and development: A re-assessment
    European Economic Review, 1997, 41, (1), 139-146 Downloads View citations (88)

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