Journal of Empirical Finance

1993 - 2025

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

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Volume 4, issue 4, 1997

Public information releases, private information arrival and volatility in the foreign exchange market pp. 295-315

Ramon Degennaro and Ronald Shrieves

The incremental volatility information in one million foreign exchange quotations pp. 317-340

Stephen J. Taylor and Xinzhong Xu

The analysis of foreign exchange data using waveform dictionaries pp. 341-372

James B. Ramsey and Zhifeng Zhang

Another look at long memory in common stock returns pp. 373-401

Craig Hiemstra and Jonathan D. Jones

Volume 4, issue 2-3, 1997

High frequency data in financial markets: Issues and applications pp. 73-114

Charles A. E. Goodhart and Maureen O'Hara

Intraday periodicity and volatility persistence in financial markets pp. 115-158

Torben Andersen and Tim Bollerslev

Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model pp. 187-212

Robert Engle and Jeffrey R. Russell

Volatilities of different time resolutions -- Analyzing the dynamics of market components pp. 213-239

Ulrich A. Muller, Michel Dacorogna, Rakhal D. Dave, Richard Olsen, Olivier V. Pictet and Jakob von Weizsäcker

High frequency analysis of lead-lag relationships between financial markets pp. 259-277

Frank de Jong and Theo Nijman

Do buyers and sellers behave similarly in a limit order book? A high-frequency data examination of the Finnish stock exchange pp. 279-293

Kaj Hedvall, Jonas Niemeyer and Gunnar Rosenqvist

Volume 4, issue 1, 1997

Do currency futures prices follow random walks? pp. 1-15

Ming-Shiun Pan, Kam C. Chan and Robert C.W. Fok

An artificial neural network-GARCH model for international stock return volatility pp. 17-46

R. Glen Donaldson and Mark Kamstra

Limit orders and ex-dividend day return distributions pp. 47-65

David Dubofsky

Volume 3, issue 4, 1996

Comovements of earnings, dividends, and stock prices pp. 327-346

Bong-Soo Lee

An analysis of nonlinearities in term premiums and forward rates pp. 347-368

Roger D. Huang and Charles S. Y. Lin

Measuring risk in the mining sector with ARCH models with important observations on sample size pp. 369-391

Katherine T. McClain, H. Brett Humphreys and Atahualpa Boscan

Long term dependence in stock returns pp. 393-417

Ben Jacobsen

Volume 3, issue 3, 1996

Consumption and equilibrium asset pricing: An empirical assessment pp. 239-265

Marco Bonomo and René Garcia

Asset pricing models with and without consumption data: An empirical evaluation pp. 267-301

Gikas Hardouvelis, Dongcheol Kim and Thierry A. Wizman

Count data models for a credit scoring system pp. 303-325

Georges Dionne, Manuel Artís and Montserrat Guillen

Volume 3, issue 2, 1996

The forward discount anomaly and the risk premium: A survey of recent evidence pp. 123-192

Charles Engel

Price effects of trading and components of the bid-ask spread on the Paris Bourse pp. 193-213

Frank de Jong, Theo Nijman and Ailsa Roell

Unit roots and the estimation of interest rate dynamics pp. 215-238

Clifford A. Ball and Walter N. Torous

Volume 3, issue 1, 1996

Empirical tests of the Longstaff extendible warrant model pp. 1-14

Shmuel Hauser and Beni Lauterbach

The econometrics of financial markets pp. 15-102

Adrian Pagan

Forecasting inflation from the term structure pp. 103-122

Elias Tzavalis and Michael Wickens

Volume 2, issue 4, 1996

A cross-section test of the present value model pp. 295-306

George Bulkley and Nick Taylor

The firm's leverage-cash flow relationship pp. 307-331

Catherine Shenoy and Paul D. Koch

Time-varying risk The case of the American computer industry pp. 333-342

Gloria Gonzalez-Rivera

Purchasing power parity, unit roots, and dynamic structure pp. 343-357

Douglas Steigerwald

Price dynamics in refined petroleum spot and futures markets pp. 359-388

Victor K. Ng and Stephen Craig Pirrong

Volume 2, issue 3, 1995

The structure of international stock returns and the integration of capital markets pp. 173-197

Steven L. Heston, K. Rouwenhorst and Roberto E. Wessels

Testing for continuous-time models of the short-term interest rate pp. 199-223

Laurence Broze, Olivier Scaillet and Jean-Michel Zakoian

The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data pp. 225-251

Devajyoti Ghose and Kenneth F. Kroner

A note on the relationship between GARCH and symmetric stable processes pp. 253-264

Patrick A. Groenendijk, Andre Lucas and Casper de Vries

Testing for a time-varying risk premiumin the returns to U.S. farmland pp. 265-276

Steven D. Hanson and Robert Myers

A statistical correlation dimension pp. 277-293

David Mayer-Foulkes

Volume 2, issue 2, 1995

International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States pp. 117-133

Sang W. Kim and John Rogers

Stock prices, dividends and retention: Long-run relationships and short-run dynamics pp. 135-151

Ronald MacDonald and David Power

Speculative bubbles with stochastic explosive roots: The failure of unit root testing pp. 153-163

Wojciech Charemza and Derek F. Deadman

Market closures and time-varying volatility in the Australian equity market pp. 165-172

Timothy J. Brailsford

Volume 2, issue 1, 1995

Tests of conditional mean-variance efficiency of the U.S. stock market pp. 3-18

Charles Engel, Jeffrey Frankel, Kenneth Froot and Anthony Rodrigues

Market closure and predictability of intradaily stock returns in the United States and Japan pp. 19-44

Wen-Ling Lin

Prepayment analysis for securitization pp. 45-70

M. De Toldi, Christian Gourieroux and Alain Monfort

Small sample rank tests with applications to asset pricing pp. 71-93

Guofu Zhou

Volume 1, issue 3-4, 1994

Noise trading and prime and score premiums pp. 251-278

Brad Barber

Neglected common factors in exchange rate volatility pp. 279-311

Ronald Mahieu and Peter Schotman

Alternative constructions of Tobin's q: An empirical comparison pp. 313-341

Steven B. Perfect and Kenneth W. Wiles

An objective Bayesian analysis of common stochastic trends in international stock prices and exchange rates pp. 343-364

Gary Koop

Is excess sensitivity of investment to financial factors constant across firms? Evidence from panel data on Italian companies pp. 365-383

Laura Rondi, Alessandro Sembenelli and Giovanni Zanetti

Target zone modelling and estimation for European Monetary System exchange rates pp. 385-420

Clifford A. Ball and Antonio Roma

Volume 1, issue 2, 1994

A contingent claim approach to performance evaluation pp. 133-160

L. R. Glosten and Ravi Jagannathan

The changing functional relation between stock returns and dividend yields pp. 161-191

William Christie and R. D. Huang

Finance constraints and asset pricing: Evidence on mean reversion pp. 193-209

Vijay Jog and Huntley Schaller

Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets pp. 211-248

Mico Loretan and Peter Phillips

Volume 1, issue 1, 1993

Statement by the editors pp. 1-2

Richard Baillie, Franz Palm, Gerard Pfann, Theo J. Vermaelen and Christian Wolff

Common stock offerings across the business cycle: Theory and evidence pp. 3-31

Hyuk Choe, Ronald Masulis and Vikram Nanda

The performance of international asset allocation strategies using conditioning information pp. 33-55

Bruno Solnik

Market behaviour around Canadian stock-split ex-dates pp. 57-81

Lawrence Kryzanowski and Hao Zhang

A long memory property of stock market returns and a new model pp. 83-106

Zhuanxin Ding, Clive Granger and Robert Engle

International asset pricing with alternative distributional specifications pp. 107-131

Campbell Harvey and Guofu Zhou