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Journal of Empirical Finance

1993 - 2019

Current editor(s): R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

From Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

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Volume 9, issue 5, 2002

An exploration of the persistence of UK unit trust performance pp. 475-493 Downloads
Jonathan Fletcher and David Forbes
Market timing and return prediction under model instability pp. 495-510 Downloads
M Pesaran and Allan Timmermann
The dual contributions of information instruments in return models: magnitude and direction predictability pp. 511-523 Downloads
Bob Korkie, Ranjini Sivakumar and Harry Turtle
Cross-sectional tests of deterministic volatility functions pp. 525-550 Downloads
Michael W. Brandt and Tao Wu
Estimating daily volatility in financial markets utilizing intraday data pp. 551-562 Downloads
Bernard Bollen and Brett Inder
Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach pp. 563-588 Downloads
Kiseok Nam, Chong Soo Pyun and Augustine C. Arize
Testing for constant hedge ratios in commodity markets: a multivariate GARCH approach pp. 589-603 Downloads
GianCarlo Moschini and Robert Myers

Volume 9, issue 4, 2002

Physical delivery versus cash settlement: an empirical study on the feeder cattle contract pp. 361-371 Downloads
Donald Lien and Y. K. Tse
Determinants of board composition in New Zealand: a simultaneous equations approach pp. 373-397 Downloads
Andrew K. Prevost, Ramesh Rao and Mahmud Hossain
The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange pp. 399-430 Downloads
Hee-Joon Ahn, Jun Cai, Yasushi Hamao and Richard Y. K. Ho
Dividends, nonsynchronous prices, and the returns from trading the Dow Jones Industrial Average pp. 431-454 Downloads
Theodore E. Day and Pingying Wang
Price discovery in floor and screen trading systems pp. 455-474 Downloads
Erik Theissen

Volume 9, issue 3, 2002

Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen? pp. 271-285 Downloads
Vicentiu Covrig and Michael Melvin
A generalized partially linear model of asymmetric volatility pp. 287-319 Downloads
Guojun Wu and Zhijie Xiao
Bayesian option pricing using asymmetric GARCH models pp. 321-342 Downloads
Luc Bauwens and Michel Lubrano
Let's get "real" about using economic data pp. 343-360 Downloads
Peter Christoffersen, Eric Ghysels and Norman Swanson

Volume 9, issue 2, 2002

Nonparametric tests of conditional mean-variance efficiency of a benchmark portfolio pp. 133-169 Downloads
Kevin Q. Wang
Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns pp. 171-195 Downloads
Anil K. Bera and Sangwhan Kim
A censored-GARCH model of asset returns with price limits pp. 197-223 Downloads
Steven X. Wei
Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market pp. 225-255 Downloads
Gabriele Fiorentini, Angel Leon and Gonzalo Rubio
On testing the adequacy of stable processes under conditional heteroscedasticity pp. 257-270 Downloads
Rohit Deo

Volume 9, issue 1, 2002

Stock selection, style rotation, and risk pp. 1-34 Downloads
Andre Lucas, Ronald van Dijk and Teun Kloek
Modeling the volatility of the Heath-Jarrow-Morton model: a multifactor GARCH analysis pp. 35-56 Downloads
Anjun Zhou
Volatility estimation on the basis of price intensities pp. 57-89 Downloads
Frank Gerhard and Nikolaus Hautsch
Equity option listing in the UK: a comparison of market-based research methodologies pp. 91-108 Downloads
Philip A. Hamill, Kwaku K. Opong and Pat McGregor
Maximum likelihood estimation of deposit insurance value with interest rate risk pp. 109-132 Downloads
Jin-Chuan Duan and Jean-Guy Simonato

Volume 8, issue 5, 2001

Editor's foreword to the special issue: "On the predictability of asset returns" pp. 451-457 Downloads
Geert Bekaert
Why long horizons? A study of power against persistent alternatives pp. 459-491 Downloads
John Campbell
The power and size of mean reversion tests pp. 493-535 Downloads
Kent Daniel
The independence axiom and asset returns pp. 537-572 Downloads
Larry Epstein and Stanley Zin
The specification of conditional expectations pp. 573-637 Downloads
Campbell Harvey
Estimation of a rational expectations model of the term structure pp. 639-668 Downloads
Angelo Melino
When units roots matter: excess volatility and excess smoothness of long-term interest rates pp. 669-694 Downloads
Peter C. Schotman
The bias of tests for a risk premium in forward exchange rates pp. 695-704 Downloads
George Tauchen

Volume 8, issue 4, 2001

Eliminating look-ahead bias in evaluating persistence in mutual fund performance pp. 345-373 Downloads
Jenke ter Horst, Theo Nijman and Marno Verbeek
The valuation of IPO and SEO firms pp. 375-401 Downloads
Gary Koop and Kai Li
Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices? pp. 403-426 Downloads
Chang-Jin Kim, James Morley and Charles Nelson
Tests of asset-pricing models: how important is the iid-normal assumption? pp. 427-449 Downloads
Nicolaas Groenewold and Patricia Fraser

Volume 8, issue 3, 2001

Race to the center: competition for the Nikkei 225 futures trade pp. 219-242 Downloads
Takatoshi Ito and Wen-Ling Lin
The Danish stock and bond markets: comovement, return predictability and variance decomposition pp. 243-271 Downloads
Tom Engsted and Carsten Tanggaard
Volatility in stocks subject to takeover bids: Australian evidence using daily data pp. 273-296 Downloads
Elaine Hutson and Colm Kearney
The joint estimation of term structures and credit spreads pp. 297-323 Downloads
Patrick Houweling, Jaap Hoek and Frank Kleibergen
Testing and comparing Value-at-Risk measures pp. 325-342 Downloads
Peter Christoffersen, Jinyong Hahn and Atsushi Inoue

Volume 8, issue 2, 2001

Testing for mean-variance spanning: a survey pp. 111-155 Downloads
Frans A. DeRoon and Theo Nijman
Liquidity in the forward exchange market pp. 157-170 Downloads
Michael Moore and Maurice Roche
Layoffs, shareholders' wealth, and corporate performance pp. 171-199 Downloads
Peter Chen, Vikas Mehrotra, Ranjini Sivakumar and Wayne W. Yu
An analysis of second time around bankruptcies using a split-population duration model pp. 201-218 Downloads
Arindam Bandopadhyaya and Sanjiv Jaggia

Volume 8, issue 1, 2001

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis pp. 1-34 Downloads
Christian Hafner and Helmut Herwartz
What causes home asset bias and how should it be measured? pp. 35-54 Downloads
Debra A. Glassman and Leigh A. Riddick
Coskewness and cokurtosis in futures markets pp. 55-81 Downloads
Christie-David, Rohan and Mukesh Chaudhry
Recovering the probability density function of asset prices using garch as diffusion approximations pp. 83-110 Downloads
Fabio Fornari and Antonio Mele
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