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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 38, issue PB, 2016

Special issue of the Journal of Empirical Finance Guest Editors' introduction pp. 513-515 Downloads
Neil Kellard and Robert Taylor
Bubbling over! The behaviour of oil futures along the yield curve pp. 516-533 Downloads
Daniel Tsvetanov, Jerry Coakley and Neil Kellard
Strict stationarity, persistence and volatility forecasting in ARCH(∞) processes pp. 534-547 Downloads
James Davidson and Xiaoyu Li
Tests for explosive financial bubbles in the presence of non-stationary volatility pp. 548-574 Downloads
David Harvey, Stephen Leybourne, Robert Sollis and Robert Taylor
Testing against changing correlation pp. 575-589 Downloads
Andrew Harvey and Stephen Thiele
Asset pricing with financial bubble risk pp. 590-622 Downloads
Ji Hyung Lee and Peter Phillips
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets pp. 623-639 Downloads
Sepideh Dolatabadi, Morten Nielsen and Ke Xu
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) pp. 640-663 Downloads
Arianna Agosto, Giuseppe Cavaliere, Dennis Kristensen and Anders Rahbek
Testing the martingale hypothesis for gross returns pp. 664-689 Downloads
Oliver Linton and Ekaterina Smetanina
A time varying DSGE model with financial frictions pp. 690-716 Downloads
Ana Galvão, Liudas Giraitis, George Kapetanios and Katerina Petrova
The shine of precious metals around the global financial crisis pp. 717-738 Downloads
Figuerola-Ferretti, Isabel and J. Roderick McCrorie
The exact discretisation of CARMA models with applications in finance pp. 739-761 Downloads
Michael Thornton and Marcus Chambers
Duality in mean-variance frontiers with conditioning information pp. 762-785 Downloads
Francisco Peñaranda and Enrique Sentana

Volume 38, issue PA, 2016

Leverage and asymmetric volatility: The firm-level evidence pp. 1-21 Downloads
Jan Ericsson, Xiao Huang and Stefano Mazzotta
Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets pp. 22-36 Downloads
Pavel Teterin, Robert Brooks and Walter Enders
News sentiment and bank credit risk pp. 37-61 Downloads
Lee Smales
The short trading day anomaly pp. 62-80 Downloads
Mahmoud Qadan and Doron Kliger
Informed short selling, fails-to-deliver, and abnormal returns pp. 81-102 Downloads
Thomas Stratmann and John W. Welborn
Immigrant-native differences in stockholding – The role of cognitive and non-cognitive skills pp. 103-119 Downloads
Marc-André Luik and Max Steinhardt
Effects of financial turmoil on financial integration and risk premia in emerging markets pp. 120-138 Downloads
Salem Boubakri, Cécile Couharde and Hélène Raymond
Optimal conditional hedge ratio: A simple shrinkage estimation approach pp. 139-156 Downloads
Myeong Jun Kim and Sung Y. Park
A network approach to portfolio selection pp. 157-180 Downloads
Gustavo Peralta and Abalfazl Zareei
The effect of overvaluation on investment and accruals: The role of information pp. 181-201 Downloads
Shing-yang Hu, Yueh-Hsiang Lin and Christine W. Lai
An infinite hidden Markov model for short-term interest rates pp. 202-220 Downloads
John Maheu and Qiao Yang
Wealth fluctuations and investment in risky assets: The UK micro evidence on households asset allocation pp. 221-235 Downloads
Ivan Paya and Peng Wang
Free float and market liquidity around the world pp. 236-257 Downloads
Ding, Xiaoya (Sara), Yang Ni and Ligang Zhong
Religious beliefs and local government financing, investment, and cash holding decisions pp. 258-271 Downloads
Yangyang Chen, Zoltan Murgulov, S. Ghon Rhee and Madhu Veeraraghavan
Halo, horn, or dark horse biases: Corporate reputation and the earnings announcement puzzle pp. 272-289 Downloads
Woan-Yuh Jang, Jie-Haun Lee and Hsueh-Chin Hu
How regular are directional movements in commodity and asset prices? A Wald test pp. 290-306 Downloads
Atle Oglend and Tore Kleppe
CDS-bond basis and bond return predictability pp. 307-337 Downloads
Gi H. Kim, Haitao Li and Weina Zhang
Local bias in investor attention: Evidence from China's Internet stock message boards pp. 338-354 Downloads
Yuqin Huang, Huiyan Qiu and Zhiguo Wu
Commodity price volatility under regulatory changes and disaster pp. 355-361 Downloads
Akbar Marvasti and Antonio Lamberte
The European sovereign debt crisis: What have we learned? pp. 363-373 Downloads
Roman Kräussl, Thorsten Lehnert and Denitsa Stefanova
Financial sector linkages and the dynamics of bank and sovereign credit spreads pp. 374-393 Downloads
René Kallestrup, David Lando and Agatha Murgoci
Bank fragility and contagion: Evidence from the bank CDS market pp. 394-416 Downloads
Laura Ballester, Barbara Casu and González-Urteaga, Ana
Euro crash risk pp. 417-428 Downloads
Roman Kräussl, Thorsten Lehnert and Sigita Senulytė
Time-varying importance of country and industry factors in European corporate bonds pp. 429-448 Downloads
Pieterse-Bloem, Mary, Zhaowen Qian, Willem Verschoor and Remco Zwinkels
The geography of the great rebalancing in euro area bond markets during the sovereign debt crisis pp. 449-460 Downloads
Roland Beck, Georgios Georgiadis and Johannes Gräb
The information in systemic risk rankings pp. 461-475 Downloads
Federico Nucera, Bernd Schwaab, Siem Jan Koopman and Andre Lucas
Decision-making during the credit crisis: Did the Treasury let commercial banks fail? pp. 476-497 Downloads
Ettore Croci, Gerard Hertig and Eric Nowak
Political risk and expected government bond returns pp. 498-512 Downloads
Johan Duyvesteyn, Martin Martens and Patrick Verwijmeren

Volume 37, issue C, 2016

Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility pp. 1-19 Downloads
Jaba Ghonghadze and Thomas Lux
Are idiosyncratic volatility and MAX priced in the Canadian market? pp. 20-36 Downloads
Anas Aboulamer and Lawrence Kryzanowski
Leverage changes and growth options in mergers and acquisitions pp. 37-58 Downloads
Elettra Agliardi, Amel-Zadeh, Amir and Nicos Koussis
Stochastic correlation and risk premia in term structure models pp. 59-78 Downloads
Carl Chiarella, Chih-Ying Hsiao and Thuy-Duong Tô
Anticipatory effects in the FTSE 100 index revisions pp. 79-90 Downloads
Marcelo Fernandes and João Mergulhão
Dynamic asymmetries in house price cycles: A generalized smooth transition model pp. 91-103 Downloads
Alessandra Canepa and Emilio Zanetti Chini
Comparing logit-based early warning systems: Does the duration of systemic banking crises matter? pp. 104-116 Downloads
Giovanni Caggiano, Pietro Calice, Leone Leonida and George Kapetanios
Investigating United Kingdom's monetary policy with Macro-Factor Augmented Dynamic Nelson–Siegel models pp. 117-127 Downloads
Jared Levant and Jun Ma
Bond portfolio optimization using dynamic factor models pp. 128-158 Downloads
João F. Caldeira, Guilherme Moura and Andre Santos
Public news arrival and the idiosyncratic volatility puzzle pp. 159-172 Downloads
Yanlin Shi, Wai-Man Liu and Kin-Yip Ho
Credit market freedom and cost efficiency in US state banking pp. 173-185 Downloads
Georgios Chortareas, George Kapetanios and Alexia Ventouri
Private information and limitations of Heckman's estimator in banking and corporate finance research pp. 186-195 Downloads
Randall C. Campbell and Gregory L. Nagel
On the relationship between conditional jump intensity and diffusive volatility pp. 196-213 Downloads
Gang Li and Chu Zhang
Macro-economic determinants of European stock and government bond correlations: A tale of two regions pp. 214-232 Downloads
Erica R. Perego and Wessel Vermeulen
The benefits of improved covariance estimation pp. 233-246 Downloads
H.J. Turtle and Kainan Wang
The economic value of predicting bond risk premia pp. 247-267 Downloads
Lucio Sarno, Paul Schneider and Christian Wagner
Capital asset pricing model: A time-varying volatility approach pp. 268-281 Downloads
Kun Ho Kim and Taejin Kim
Limits to mutual funds' ability to rely on mean/variance optimization pp. 282-292 Downloads
Iordanis Karagiannidis and Nadia Vozlyublennaia
Location and excess comovement pp. 293-308 Downloads
Aditya Kaul, Vikas Mehrotra and Carmen Stefanescu
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