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

Working Papers

2009

1. 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

2. 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)
3. 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

4. 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

5. 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

6. 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)
7. Volatility Forecasts, Trading Volume and the ARCH vs. Option-Implied Volatility Tradeoff
   Discussion Papers, Department of Economics, Simon Fraser University View citations (1)

1999

8. Dividends, Earnings and Fundamental Valuation
   Discussion Papers, Department of Economics, Simon Fraser University
9. 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

10. Combining Bond Rating Forecasts Using Logit
    Discussion Papers, Department of Economics, Simon Fraser University
    See also Journal Article in The Financial Review (2001)
11. 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)
12. 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

13. Forecasting Fundamental Asset Return Distributions and Tests for Excess Volatility and Bubbles
    Discussion Papers, Department of Economics, Simon Fraser University View citations (1)

1995

14. Evolving Artificial Neural Networks to Combine Financial Forecasts
    Discussion Papers, Department of Economics, Simon Fraser University View citations (3)

1991

15. A Neural Network Test for Heteroskedasticity
    Discussion Papers, Department of Economics, Simon Fraser University View citations (2)

Undated

16. Forecasting Fundamental Asset Return Distributions
    Computing in Economics and Finance 1997, Society for Computational Economics View citations (1)

Journal Articles

2010

1. Estimating the Equity Premium
   Journal of Financial and Quantitative Analysis, 2010, 45, (4), 813-846 View citations (6)
2. 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

3. Is it the weather? Comment
   Journal of Banking & Finance, 2009, 33, (3), 578-582 View citations (10)

2008

4. 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

5. 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)
6. Waiting for returns: using space-time duality to calibrate financial diffusions
   Quantitative Finance, 2005, 5, (3), 237-244 View citations (1)
7. 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

8. Pricing firms on the basis of fundamentals
   Economic Review, 2003, 88, (Q1), 49-70 View citations (3)
9. Winter Blues: A SAD Stock Market Cycle
   American Economic Review, 2003, 93, (1), 324-343 View citations (246)
   See also Working Paper (2002)

2002

10. Losing Sleep at the Market: The Daylight Saving Anomaly: Reply
    American Economic Review, 2002, 92, (4), 1257-1263 View citations (17)

2001

11. Combining Bond Rating Forecasts Using Logit
    The Financial Review, 2001, 36, (2), 75-96 View citations (24)
    See also Working Paper (1998)

2000

12. 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

13. Combining qualitative forecasts using logit
    International Journal of Forecasting, 1998, 14, (1), 83-93 View citations (24)

1997

14. An artificial neural network-GARCH model for international stock return volatility
    Journal of Empirical Finance, 1997, 4, (1), 17-46 View citations (42)

1996

15. 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

16. Interval forecasting: An analysis based upon ARCH-quantile estimators
    Journal of Econometrics, 1989, 40, (1), 87-96 View citations (71)