Details about Mark Kamstra
Access statistics for papers by Mark Kamstra.
Last updated 2012-03-07. Update your information in the RePEc Author Service.
Short-id: pka66
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Working Papers
2009
- The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
Also in Yale School of Management Working Papers, Yale School of Management (2009) View citations (4)
2004
- Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off
FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (1)
See also Journal Article in Journal of Financial Research (2005)
- Winter blues and time variation in the price of risk
FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (1)
See also Journal Article in Journal of Empirical Finance (2005)
2003
- Stare down the barrel and center the crosshairs: Targeting the ex ante equity premium
FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (1)
2002
- Winter blues: a SAD stock market cycle
FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (2)
See also Journal Article in American Economic Review (2003)
2001
- Rational exuberance: The fundamentals of pricing firms, from blue chip to “dot com”
FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (1)
- Volatility Forecasts, Trading Volume and the ARCH vs. Option-Implied Volatility Tradeoff
Discussion Papers, Department of Economics, Simon Fraser University View citations (1)
1999
- Dividends, Earnings and Fundamental Valuation
Discussion Papers, Department of Economics, Simon Fraser University
- The Accuracy of Fundamental Stock Market Price Estimates and a Refinement to the Donaldson-Kamstra Fundamental Estimate
Computing in Economics and Finance 1999, Society for Computational Economics
1998
- Combining Bond Rating Forecasts Using Logit
Discussion Papers, Department of Economics, Simon Fraser University
See also Journal Article in The Financial Review (2001)
- Losing Sleep at the Market: The Daylight-Savings Anomaly
Discussion Papers, Department of Economics, Simon Fraser University View citations (23)
See also Journal Article in American Economic Review (2000)
- The Ex Post Rational Price is Certainly Ex Post, It Might Be Rational, But Is It Useful?
Discussion Papers, Department of Economics, Simon Fraser University
1996
- Forecasting Fundamental Asset Return Distributions and Tests for Excess Volatility and Bubbles
Discussion Papers, Department of Economics, Simon Fraser University View citations (1)
1995
- Evolving Artificial Neural Networks to Combine Financial Forecasts
Discussion Papers, Department of Economics, Simon Fraser University View citations (3)
1991
- A Neural Network Test for Heteroskedasticity
Discussion Papers, Department of Economics, Simon Fraser University View citations (2)
Undated
- Forecasting Fundamental Asset Return Distributions
Computing in Economics and Finance 1997, Society for Computational Economics View citations (1)
Journal Articles
2010
- Estimating the Equity Premium
Journal of Financial and Quantitative Analysis, 2010, 45, (4), 813-846 View citations (6)
- Trills Instead of T-Bills: It's Time to Replace Part of Government Debt with Shares in GDP
The Economists' Voice, 2010, 7, (3), 1-5 View citations (1)
2009
- Is it the weather? Comment
Journal of Banking & Finance, 2009, 33, (3), 578-582 View citations (10)
2008
- The Case for Trills: Giving Canadians and their Pension Funds a Stake in the Wealth of the Nation
C.D. Howe Institute Commentary, 2008, (271) View citations (5)
2005
- VOLATILITY FORECASTS, TRADING VOLUME, AND THE ARCH VERSUS OPTION‐IMPLIED VOLATILITY TRADE‐OFF
Journal of Financial Research, 2005, 28, (4), 519-538 View citations (18)
See also Working Paper (2004)
- Waiting for returns: using space-time duality to calibrate financial diffusions
Quantitative Finance, 2005, 5, (3), 237-244 View citations (1)
- Winter blues and time variation in the price of risk
Journal of Empirical Finance, 2005, 12, (2), 291-316 View citations (33)
See also Working Paper (2004)
2003
- Pricing firms on the basis of fundamentals
Economic Review, 2003, 88, (Q1), 49-70 View citations (3)
- Winter Blues: A SAD Stock Market Cycle
American Economic Review, 2003, 93, (1), 324-343 View citations (246)
See also Working Paper (2002)
2002
- Losing Sleep at the Market: The Daylight Saving Anomaly: Reply
American Economic Review, 2002, 92, (4), 1257-1263 View citations (17)
2001
- Combining Bond Rating Forecasts Using Logit
The Financial Review, 2001, 36, (2), 75-96 View citations (24)
See also Working Paper (1998)
2000
- Losing Sleep at the Market: The Daylight Saving Anomaly
American Economic Review, 2000, 90, (4), 1005-1011 View citations (154)
See also Working Paper (1998)
1998
- Combining qualitative forecasts using logit
International Journal of Forecasting, 1998, 14, (1), 83-93 View citations (24)
1997
- An artificial neural network-GARCH model for international stock return volatility
Journal of Empirical Finance, 1997, 4, (1), 17-46 View citations (42)
1996
- A New Dividend Forecasting Procedure That Rejects Bubbles in Asset Prices: The Case of 1929's Stock Crash
Review of Financial Studies, 1996, 9, (2), 333-83 View citations (29)
1989
- Interval forecasting: An analysis based upon ARCH-quantile estimators
Journal of Econometrics, 1989, 40, (1), 87-96 View citations (71)
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