Journal of Empirical Finance

1993 - 2025

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 Catherine Liu (repec@elsevier.com).

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 7, issue 5, 2000

An empirical investigation of trading on asymmetric information and heterogeneous prior beliefs pp. 417-454

Paul Brockman and Dennis Y. Chung

Information diffusion in electronic and floor trading pp. 455-478

Günter Franke and Dieter Hess

Bivariate FIGARCH and fractional cointegration pp. 509-530

Celso Brunetti and Christopher L. Gilbert

Value-at-Risk: a multivariate switching regime approach pp. 531-554

Monica Billio and Loriana Pelizzon

Volume 7, issue 3-4, 2000

Sensitivity analysis of Values at Risk pp. 225-245

Christian Gourieroux, J. P. Laurent and Olivier Scaillet

Portfolio selection with limited downside risk pp. 247-269

Dennis Jansen, Kees G. Koedijk and Casper de Vries

Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach pp. 271-300

Alexander J. McNeil and Rudiger Frey

Horizon sensitivity of the inflation hedge of stocks pp. 301-315

Peter C. Schotman and Mark Schweitzer

Firms, do you know your currency risk exposure? Survey results pp. 317-344

Claudio Loderer and Karl Pichler

Volatility dynamics under duration-dependent mixing pp. 345-372

John Maheu and Thomas McCurdy

Stochastic correlation across international stock markets pp. 373-388

Clifford A. Ball and Walter N. Torous

Diagnosing and treating the fat tails in financial returns data pp. 389-416

Stefan Mittnik, Marc S. Paolella and Svetlozar T. Rachev

Volume 7, issue 2, 2000

Conditional event studies, anticipation, and asymmetric information: the case of seasoned equity issues and pre-issue information releases pp. 113-141

Lin Guo and Timothy S. Mech

Three analyses of the firm size premium pp. 143-153

Joel L. Horowitz, Tim Loughran and N. E. Savin

Visualizing time-varying correlations across stock markets pp. 155-172

Patrick Groenen and Philip Hans Franses

The ordered mean difference as a portfolio performance measure pp. 195-223

Roger J. Bowden

Volume 7, issue 1, 2000

Measuring the market impact of hedge funds pp. 1-36

William Fung and David A. Hsieh

Factors affecting the yields on noninvestment grade bond indices: a cointegration analysis pp. 57-86

Theodore M. Barnhill , Fred Joutz and William F. Maxwell

Coincident and leading indicators of the stock market pp. 87-111

Marcelle Chauvet and Simon Potter

Volume 6, issue 5, 1999

Computing value at risk with high frequency data pp. 431-455

Andrea Beltratti and Claudio Morana

Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon pp. 457-477

Torben Andersen, Tim Bollerslev and Steve Lange

The intraday multivariate structure of the Eurofutures markets pp. 479-513

Giuseppe Ballocchi, Michel Dacorogna, Carl M. Hopman, Ulrich A. Muller and Richard Olsen

Multivariate extremes for models with constant conditional correlations pp. 515-553

Catalin Starica

Speculative attacks to currency target zones: A market microstructure approach pp. 555-582

Jose M. Carrera

Pricing behavior in an off-hours computerized market pp. 583-607

Mark Coppejans and Ian Domowitz

Volume 6, issue 4, 1999

Multivariate unit root tests of the PPP hypothesis pp. 335-353

Renato Flores, Philippe Jorion, Pierre-Yves Preumont and Ariane Szafarz

Mean reversion in Southeast Asian stock markets pp. 355-384

Dimitrios Malliaropulos and Richard Priestley

Cross-correlations and cross-bicorrelations in Sterling exchange rates pp. 385-404

Chris Brooks and Melvin Hinich

Anomalous security price behavior following management earnings forecasts pp. 405-429

Chao-Shin Liu and David A. Ziebart

Volume 6, issue 3, 1999

Testing multi-beta asset pricing models pp. 219-241

Raja Velu and Guofu Zhou

An empirical analysis of intertemporal asset pricing models with transaction costs and habit persistence pp. 243-265

Wessel Marquering and Marno Verbeek

The behaviour of some UK equity indices: An application of Hurst and BDS tests1 pp. 267-282

Kwaku K. Opong, Gwyneth Mulholland, Alan F. Fox and Kambiz Farahmand

Structural change and time dependence in models of stock returns pp. 283-308

Dongcheol Kim and Stanley J. Kon

A primer on hedge funds pp. 309-331

William Fung and David A. Hsieh

Volume 6, issue 2, 1999

The hazards of mutual fund underperformance: A Cox regression analysis pp. 121-152

Asger Lunde, Allan Timmermann and David Blake

Financial derivatives introduction and stock return volatility in an emerging market without clearinghouse: The Mexican experience pp. 153-176

Fausto Hernandez-Trillo

Target zones and conditional volatility: The role of realignments pp. 177-192

Christopher Neely

Real exchange rates and nontradables: A relative price approach pp. 193-215

Vikas Kakkar and Masao Ogaki

Volume 6, issue 1, 1999

Economic determinants of evolution in international stock market integration pp. 1-27

Kevin Bracker, Diane Scott Docking and Paul D. Koch

The dynamics of dividends, earnings and prices: evidence and implications for dividend smoothing and signaling pp. 29-58

Chung Chen and Chunchi Wu

A nonparametric examination of market information: application to technical trading rules pp. 59-85

David Goldbaum

Econometrics of efficient fitted portfolios pp. 87-118

Christian Gourieroux and F. Jouneau

Volume 5, issue 4, 1998

Predicting the duration and reversal probability of leveraged buyouts pp. 299-315

Linda M. Van de Gucht and William T. Moore

The predictability of security returns with simple technical trading rules pp. 347-359

Ramazan Gencay

Information transmission and causality in the Italian Treasury bond market pp. 361-384

Antonio Scalia

Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1 pp. 385-396

Chang-Jin Kim and Charles Nelson

Volatility and cross correlation across major stock markets pp. 397-416

Latha Ramchand and Raul Susmel

Volume 5, issue 3, 1998

Time to maturity in the basis of stock market indices: Evidence from the S&P 500 and the MMI pp. 177-195

Marie-Claude Beaulieu

Hedging foreign currency portfolios pp. 197-220

Louis Gagnon, Gregory J. Lypny and Thomas McCurdy

Real interest rates and shifts in macroeconomic volatility pp. 241-261

Kees Koedijk, Clemens Kool and Francois Nissen

On the hypothesis of psychological barriers in stock markets and Benford's Law pp. 263-279

Marc J. K. De Ceuster, Geert Dhaene and Tom Schatteman

International evidence on the stock market and aggregate economic activity pp. 281-296

Yin-Wong Cheung and Lilian K. Ng

Volume 5, issue 2, 1998

Expected stock returns, risk premiums and volatilities of economic factors1 pp. 69-97

Yuming Li

Endogenous risk in rational-expectations commodity models: A multivariate generalized ARCH-M approach pp. 99-129

Matthew Holt and Satheesh Aradhyula

Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1 pp. 131-154

Chang-Jin Kim, Charles Nelson and Richard Startz

Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models pp. 155-173

Jon Danielsson

Volume 5, issue 1, 1998

Testing for asymmetric information and inventory control effects in market maker behaviour on the London Stock Exchange pp. 1-25

Andy Snell and Ian Tonks

Post-takeover returns: The UK evidence pp. 27-46

Chris Higson and Jamie Elliott

Testing for spurious causality in exchange rates pp. 47-66

Eric Renault, Khalid Sekkat and Ariane Szafarz