Details about Tim Krehbiel

Access statistics for papers by Tim Krehbiel.

Last updated 2017-09-14. Update your information in the RePEc Author Service.

Short-id: pkr333

Journal Articles

2016

1. AN IMPROVED APPROACH TO EVALUATE DEFAULT PROBABILITIES AND DEFAULT CORRELATIONS WITH CONSISTENCY
   International Journal of Theoretical and Applied Finance (IJTAF), 2016, 19, (05), 1-29 View citations (2)

2011

2. Expected returns, risk premia, and volatility surfaces implicit in option market prices
   Journal of Banking & Finance, 2011, 35, (1), 215-230 View citations (3)

2008

3. Extreme daily changes in U.S. Dollar London inter-bank offer rates
   International Review of Economics & Finance, 2008, 17, (3), 397-411 View citations (3)

2005

4. Price risk in the NYMEX energy complex: An extreme value approach
   Journal of Futures Markets, 2005, 25, (4), 309-337 View citations (24)

2000

5. Using Cointegration Restrictions to Improve Inference in Vector Autoregressive Systems
   Review of Quantitative Finance and Accounting, 2000, 14, (2), 193-208 View citations (1)

1999

6. Mean reversion and volatility of short-term London Interbank Offer Rates: An empirical comparison of competing models
   International Review of Economics & Finance, 1999, 8, (1), 45-54 View citations (6)

1996

7. Do systematic risk premiums persist in eurodollar futures prices?
   Journal of Futures Markets, 1996, 16, (4), 389-403 View citations (1)
8. Normal backwardation in short‐term interest rate futures markets
   Journal of Futures Markets, 1996, 16, (8), 899-913 View citations (2)

1994

9. Interest rate futures: Evidence on forecast power, expected premiums, and the unbiased expectations hypothesis
   Journal of Futures Markets, 1994, 14, (5), 531-543 View citations (7)
10. Price and volume effects associated with changes in the Dow Jones Averages
    The Quarterly Review of Economics and Finance, 1994, 34, (4), 305-316 View citations (9)

1993

11. Cointegration tests of the unbiased expectations hypothesis in metals markets
    Journal of Futures Markets, 1993, 13, (7), 753-763 View citations (27)

1992

12. Does the S&P 500 futures mispricing series exhibit nonlinear dependence across time?
    Journal of Futures Markets, 1992, 12, (6), 659-677 View citations (11)