| nr |
titel |
auteur |
tijdschrift |
jaar |
jaarg. |
afl. |
pagina('s) |
type |
| 1 |
A censored–GARCH model of asset returns with price limits
|
Wei, Steven X.
|
|
2002
|
|
2 |
p. 197-223
27 p.
|
artikel
|
| 2 |
A censored stochastic volatility approach to the estimation of price limit moves
|
Hsieh, Ping-Hung
|
|
2009
|
|
2 |
p. 337-351
15 p.
|
artikel
|
| 3 |
A comparison of extreme value theory approaches for determining value at risk
|
Brooks, C.
|
|
2005
|
|
2 |
p. 339-352
14 p.
|
artikel
|
| 4 |
A contingent claim approach to performance evaluation
|
Glosten, L.R.
|
|
1994
|
|
2 |
p. 133-160
28 p.
|
artikel
|
| 5 |
An analysis of second time around bankruptcies using a split-population duration model
|
Bandopadhyaya, Arindam
|
|
2001
|
|
2 |
p. 201-218
18 p.
|
artikel
|
| 6 |
An empirical analysis of the role of the trading intensity in information dissemination on the NYSE
|
Spierdijk, Laura
|
|
2004
|
|
2 |
p. 163-184
22 p.
|
artikel
|
| 7 |
Assessing the role of option grants to CEOs: How important is heterogeneity?
|
Baranchuk, Nina
|
|
2008
|
|
2 |
p. 145-166
22 p.
|
artikel
|
| 8 |
Asset storability and the informational content of inter-temporal prices
|
Covey, Ted
|
|
1995
|
|
2 |
p. 103-115
13 p.
|
artikel
|
| 9 |
Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models
|
Asai, Manabu
|
|
2008
|
|
2 |
p. 332-341
10 p.
|
artikel
|
| 10 |
Bayesian inference for generalized linear mixed models of portfolio credit risk
|
McNeil, Alexander J.
|
|
2007
|
|
2 |
p. 131-149
19 p.
|
artikel
|
| 11 |
Conditional event studies, anticipation, and asymmetric information: the case of seasoned equity issues and pre-issue information releases
|
Guo, Lin
|
|
2000
|
|
2 |
p. 113-141
29 p.
|
artikel
|
| 12 |
Contents
|
|
|
2006
|
|
2 |
p. CO1-
1 p.
|
artikel
|
| 13 |
Contents
|
|
|
2005
|
|
2 |
p. OFC-
1 p.
|
artikel
|
| 14 |
Contents
|
|
|
2008
|
|
2 |
p. OFC-
1 p.
|
artikel
|
| 15 |
Contents
|
|
|
2007
|
|
2 |
p. OFC-
1 p.
|
artikel
|
| 16 |
Contents continued
|
|
|
2008
|
|
2 |
p. OBC-
1 p.
|
artikel
|
| 17 |
Crash of '87 — Was it expected?
|
Gençay, Ramazan
|
|
2010
|
|
2 |
p. 270-282
13 p.
|
artikel
|
| 18 |
Credit ratings and excess value of diversification
|
Chou, Ting-Kai
|
|
2012
|
|
2 |
p. 266-281
16 p.
|
artikel
|
| 19 |
Cross-listing and subsequent delisting in foreign markets
|
You, Leyuan
|
|
2012
|
|
2 |
p. 200-216
17 p.
|
artikel
|
| 20 |
Dividend policy of German firms
|
Andres, Christian
|
|
2009
|
|
2 |
p. 175-187
13 p.
|
artikel
|
| 21 |
Does information vault Niagara Falls? Cross-listed trading in New York and Toronto
|
Chen, Haiqiang
|
|
2012
|
|
2 |
p. 175-199
25 p.
|
artikel
|
| 22 |
Does intraday technical analysis in the U.S. equity market have value?
|
Marshall, Ben R.
|
|
2008
|
|
2 |
p. 199-210
12 p.
|
artikel
|
| 23 |
Does risk aversion drive financial crises? Testing the predictive power of empirical indicators
|
Coudert, Virginie
|
|
2008
|
|
2 |
p. 167-184
18 p.
|
artikel
|
| 24 |
Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004
|
Morel, Christophe
|
|
2008
|
|
2 |
p. 211-231
21 p.
|
artikel
|
| 25 |
Economic forces and the stock market revisited
|
Shanken, Jay
|
|
2006
|
|
2 |
p. 129-144
16 p.
|
artikel
|
| 26 |
Editorial Board
|
|
|
2010
|
|
2 |
p. IFC-
1 p.
|
artikel
|
| 27 |
Editorial Board
|
|
|
2009
|
|
2 |
p. IFC-
1 p.
|
artikel
|
| 28 |
Editorial Board
|
|
|
2006
|
|
2 |
p. CO2-
1 p.
|
artikel
|
| 29 |
Editorial Board
|
|
|
2005
|
|
2 |
p. IFC-
1 p.
|
artikel
|
| 30 |
Editorial Board
|
|
|
2004
|
|
2 |
p. IFC-
1 p.
|
artikel
|
| 31 |
Editorial Board
|
|
|
2008
|
|
2 |
p. IFC-
1 p.
|
artikel
|
| 32 |
Editorial Board
|
|
|
2007
|
|
2 |
p. IFC-
1 p.
|
artikel
|
| 33 |
Editorial Board
|
|
|
2012
|
|
2 |
p. IFC-
1 p.
|
artikel
|
| 34 |
Editorial Board
|
|
|
2011
|
|
2 |
p. IFC-
1 p.
|
artikel
|
| 35 |
Editorial introduction: Heavy tails and stable Paretian distributions in empirical finance
|
Dufour, Jean-Marie
|
|
2010
|
|
2 |
p. 177-179
3 p.
|
artikel
|
| 36 |
Empirical tests of efficiency of the Italian index options market
|
Cavallo, Laura
|
|
2000
|
|
2 |
p. 173-193
21 p.
|
artikel
|
| 37 |
Endogenous risk in rational-expectations commodity models: A multivariate generalized ARCH-M approach
|
Holt, Matthew T.
|
|
1998
|
|
2 |
p. 99-129
31 p.
|
artikel
|
| 38 |
Estimating the cross-sectional market response to an endogenous event: Naked vs. underwritten calls of convertible bonds
|
Scruggs, John T.
|
|
2007
|
|
2 |
p. 220-247
28 p.
|
artikel
|
| 39 |
Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market
|
Fiorentini, Gabriele
|
|
2002
|
|
2 |
p. 225-255
31 p.
|
artikel
|
| 40 |
Estimation of an adaptive stock market model with heterogeneous agents
|
Amilon, Henrik
|
|
2008
|
|
2 |
p. 342-362
21 p.
|
artikel
|
| 41 |
Exact inference and optimal invariant estimation for the stability parameter of symmetric α-stable distributions
|
Dufour, Jean-Marie
|
|
2010
|
|
2 |
p. 180-194
15 p.
|
artikel
|
| 42 |
Expected stock returns, risk premiums and volatilities of economic factors 1 The author is an Associate Professor in the Department of Finance, School of Business Administration and Economics at California State University. This paper is based on a substantial revision of part of my Ph.D. dissertation at the University of Chicago (Li, 1992). I wish to thank my dissertation committee: Eugene Fama (chairman), John Cochrane, George Constantinides, Wayne Ferson, Kenneth French and Daniel Nelson for their guidance. I also acknowledge the helpful comments of seminar participants at California State University at Fullerton, Clemson University, Purdue University, University of British Columbia, University of Chicago, University of Pittsburgh, University of Washington, and especially the editor Christian C.P. Wolff and two anonymous referees. 1
|
Li, Yuming
|
|
1998
|
|
2 |
p. 69-97
29 p.
|
artikel
|
| 43 |
Finance constraints and asset pricing: Evidence on mean reversion
|
Jog, Vijay
|
|
1994
|
|
2 |
p. 193-209
17 p.
|
artikel
|
| 44 |
Financial derivatives introduction and stock return volatility in an emerging market without clearinghouse: The Mexican experience
|
Hernández-Trillo, Fausto
|
|
1999
|
|
2 |
p. 153-176
24 p.
|
artikel
|
| 45 |
Finite sample accuracy and choice of sampling frequency in integrated volatility estimation
|
Nielsen, Morten Ørregaard
|
|
2008
|
|
2 |
p. 265-286
22 p.
|
artikel
|
| 46 |
Firm-level implications of early stage venture capital investment — An empirical investigation
|
Engel, Dirk
|
|
2007
|
|
2 |
p. 150-167
18 p.
|
artikel
|
| 47 |
Forecasting financial crises and contagion in Asia using dynamic factor analysis
|
Cipollini, A.
|
|
2009
|
|
2 |
p. 188-200
13 p.
|
artikel
|
| 48 |
Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
|
Chaboud, Alain P.
|
|
2010
|
|
2 |
p. 212-240
29 p.
|
artikel
|
| 49 |
GHICA — Risk analysis with GH distributions and independent components
|
Chen, Ying
|
|
2010
|
|
2 |
p. 255-269
15 p.
|
artikel
|
| 50 |
Heavy tails and currency crises
|
Hartmann, P.
|
|
2010
|
|
2 |
p. 241-254
14 p.
|
artikel
|
| 51 |
How does owners’ exposure to idiosyncratic risk influence the capital structure of private companies?
|
Mueller, Elisabeth
|
|
2008
|
|
2 |
p. 185-198
14 p.
|
artikel
|
| 52 |
Increasing correlations or just fat tails?
|
Campbell, Rachel A.J.
|
|
2008
|
|
2 |
p. 287-309
23 p.
|
artikel
|
| 53 |
Index futures and positive feedback trading: evidence from major stock exchanges
|
Antoniou, Antonios
|
|
2005
|
|
2 |
p. 219-238
20 p.
|
artikel
|
| 54 |
Industry momentum strategies and autocorrelations in stock returns
|
Pan, Ming-Shiun
|
|
2004
|
|
2 |
p. 185-202
18 p.
|
artikel
|
| 55 |
In-sample vs. out-of-sample tests of stock return predictability in the context of data mining
|
Rapach, David E.
|
|
2006
|
|
2 |
p. 231-247
17 p.
|
artikel
|
| 56 |
International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States
|
Kim, Sang W
|
|
1995
|
|
2 |
p. 117-133
17 p.
|
artikel
|
| 57 |
Interpreting the predictive power of the consumption–wealth ratio
|
Hahn, Jaehoon
|
|
2006
|
|
2 |
p. 183-202
20 p.
|
artikel
|
| 58 |
Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure
|
De Rossi, Giuliano
|
|
2004
|
|
2 |
p. 277-308
32 p.
|
artikel
|
| 59 |
“KLICing” there and back again: Portfolio selection using the empirical likelihood divergence and Hellinger distance
|
Haley, M. Ryan
|
|
2011
|
|
2 |
p. 341-352
12 p.
|
artikel
|
| 60 |
Lack of consumer confidence and stock returns
|
Chen, Shiu-Sheng
|
|
2011
|
|
2 |
p. 225-236
12 p.
|
artikel
|
| 61 |
Layoffs, shareholders' wealth, and corporate performance
|
Chen, Peter
|
|
2001
|
|
2 |
p. 171-199
29 p.
|
artikel
|
| 62 |
Liquidity in the forward exchange market
|
Moore, Michael J
|
|
2001
|
|
2 |
p. 157-170
14 p.
|
artikel
|
| 63 |
Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model
|
Kılıç, Rehim
|
|
2011
|
|
2 |
p. 368-378
11 p.
|
artikel
|
| 64 |
Manager education and mutual fund performance
|
Gottesman, Aron A.
|
|
2006
|
|
2 |
p. 145-182
38 p.
|
artikel
|
| 65 |
Market closures and time-varying volatility in the Australian equity market
|
Brailsford, Timothy J
|
|
1995
|
|
2 |
p. 165-172
8 p.
|
artikel
|
| 66 |
Market discipline and too-big-to-fail in the CDS market: Does banks' size reduce market discipline?
|
Völz, Manja
|
|
2011
|
|
2 |
p. 195-210
16 p.
|
artikel
|
| 67 |
Measuring the effects of geographical distance on stock market correlation
|
Eckel, Stefanie
|
|
2011
|
|
2 |
p. 237-247
11 p.
|
artikel
|
| 68 |
Model averaging in risk management with an application to futures markets
|
Pesaran, M. Hashem
|
|
2009
|
|
2 |
p. 280-305
26 p.
|
artikel
|
| 69 |
Modelling the distribution of credit losses with observable and latent factors
|
Jiménez, Gabriel
|
|
2009
|
|
2 |
p. 235-253
19 p.
|
artikel
|
| 70 |
Modelling the distribution of the extreme share returns in Singapore
|
Tolikas, Konstantinos
|
|
2009
|
|
2 |
p. 254-263
10 p.
|
artikel
|
| 71 |
Moments of multivariate regime switching with application to risk-return trade-off
|
Taamouti, Abderrahim
|
|
2012
|
|
2 |
p. 292-308
17 p.
|
artikel
|
| 72 |
Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management
|
Hlouskova, Jaroslava
|
|
2009
|
|
2 |
p. 330-336
7 p.
|
artikel
|
| 73 |
Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models
|
Danı́elsson, Jón
|
|
1998
|
|
2 |
p. 155-173
19 p.
|
artikel
|
| 74 |
Noise trading and the price formation process
|
Berkman, Henk
|
|
2008
|
|
2 |
p. 232-250
19 p.
|
artikel
|
| 75 |
Nonparametric tests of conditional mean-variance efficiency of a benchmark portfolio
|
Wang, Kevin Q.
|
|
2002
|
|
2 |
p. 133-169
37 p.
|
artikel
|
| 76 |
OBC
|
|
|
2006
|
|
2 |
p. CO4-
1 p.
|
artikel
|
| 77 |
On testing the adequacy of stable processes under conditional heteroscedasticity
|
Deo, Rohit S
|
|
2002
|
|
2 |
p. 257-270
14 p.
|
artikel
|
| 78 |
On the explanatory power of firm-specific variables in cross-sections of expected returns
|
Zhang, Chu
|
|
2009
|
|
2 |
p. 306-317
12 p.
|
artikel
|
| 79 |
On the intraday periodicity duration adjustment of high-frequency data
|
Wu, Zhengxiao
|
|
2012
|
|
2 |
p. 282-291
10 p.
|
artikel
|
| 80 |
On the premiums of iShares
|
Delcoure, Natalya
|
|
2007
|
|
2 |
p. 168-195
28 p.
|
artikel
|
| 81 |
Outside Back Cover
|
|
|
2005
|
|
2 |
p. OBC-
1 p.
|
artikel
|
| 82 |
Pre-holiday effect, large trades and small investor behaviour
|
Meneu, Vicente
|
|
2004
|
|
2 |
p. 231-246
16 p.
|
artikel
|
| 83 |
Price effects of trading and components of the bid-ask spread on the Paris Bourse
|
de Jong, Frank
|
|
1996
|
|
2 |
p. 193-213
21 p.
|
artikel
|
| 84 |
Price limit performance: evidence from transactions data and the limit order book
|
Chan, Soon Huat
|
|
2005
|
|
2 |
p. 269-290
22 p.
|
artikel
|
| 85 |
Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
|
Wang, Dezhong
|
|
2009
|
|
2 |
p. 201-215
15 p.
|
artikel
|
| 86 |
Quantile regression analysis of hedge fund strategies
|
Meligkotsidou, Loukia
|
|
2009
|
|
2 |
p. 264-279
16 p.
|
artikel
|
| 87 |
Real exchange rates and nontradables: A relative price approach
|
Kakkar, Vikas
|
|
1999
|
|
2 |
p. 193-215
23 p.
|
artikel
|
| 88 |
Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model
|
Engsted, Tom
|
|
2012
|
|
2 |
p. 241-253
13 p.
|
artikel
|
| 89 |
Risk and return in convertible arbitrage: Evidence from the convertible bond market
|
Agarwal, Vikas
|
|
2011
|
|
2 |
p. 175-194
20 p.
|
artikel
|
| 90 |
Risk management and dynamic portfolio selection with stable Paretian distributions
|
Ortobelli, Sergio
|
|
2010
|
|
2 |
p. 195-211
17 p.
|
artikel
|
| 91 |
Robust estimation of intraweek periodicity in volatility and jump detection
|
Boudt, Kris
|
|
2011
|
|
2 |
p. 353-367
15 p.
|
artikel
|
| 92 |
Simulation-based pricing of convertible bonds
|
Ammann, Manuel
|
|
2008
|
|
2 |
p. 310-331
22 p.
|
artikel
|
| 93 |
Size, book-to-market ratio and macroeconomic news
|
Cenesizoglu, Tolga
|
|
2011
|
|
2 |
p. 248-270
23 p.
|
artikel
|
| 94 |
Small levels of predictability and large economic gains
|
Xu, Yexiao
|
|
2004
|
|
2 |
p. 247-275
29 p.
|
artikel
|
| 95 |
Speculative bubbles with stochastic explosive roots: The failure of unit root testing
|
Charemza, Wojciech W.
|
|
1995
|
|
2 |
p. 153-163
11 p.
|
artikel
|
| 96 |
Stock and bond market interactions with level and asymmetry dynamics: An out-of-sample application
|
de Goeij, Peter
|
|
2009
|
|
2 |
p. 318-329
12 p.
|
artikel
|
| 97 |
Stock prices, dividends and retention: Long-run relationships and short-run dynamics
|
MacDonald, Ronald
|
|
1995
|
|
2 |
p. 135-151
17 p.
|
artikel
|
| 98 |
Stock return autocorrelations revisited: A quantile regression approach
|
Baur, Dirk G.
|
|
2012
|
|
2 |
p. 254-265
12 p.
|
artikel
|
| 99 |
Target zones and conditional volatility: The role of realignments
|
Neely, Christopher J.
|
|
1999
|
|
2 |
p. 177-192
16 p.
|
artikel
|
| 100 |
Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns
|
Bera, Anil K.
|
|
2002
|
|
2 |
p. 171-195
25 p.
|
artikel
|
| 101 |
Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization 1 C.-J.K. acknowledges assistance from NON-DIRECTED RESEARCH FUND, Korea Research Foundation, 1996. 1
|
Kim, Chang-Jin
|
|
1998
|
|
2 |
p. 131-154
24 p.
|
artikel
|
| 102 |
Testing for mean-variance spanning: a survey
|
DeRoon, Frans A.
|
|
2001
|
|
2 |
p. 111-155
45 p.
|
artikel
|
| 103 |
Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets
|
Loretan, Mico
|
|
1994
|
|
2 |
p. 211-248
38 p.
|
artikel
|
| 104 |
Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework
|
Perron, Pierre
|
|
2004
|
|
2 |
p. 203-230
28 p.
|
artikel
|
| 105 |
The changing functional relation between stock returns and dividend yields
|
Christie, W.G.
|
|
1994
|
|
2 |
p. 161-191
31 p.
|
artikel
|
| 106 |
The credit rating process and estimation of transition probabilities: A Bayesian approach
|
Stefanescu, Catalina
|
|
2009
|
|
2 |
p. 216-234
19 p.
|
artikel
|
| 107 |
The critical role of conditioning information in determining if value is really riskier than growth
|
Cooper, Michael J.
|
|
2011
|
|
2 |
p. 289-305
17 p.
|
artikel
|
| 108 |
The factor structure of time-varying conditional volume
|
Chang, Eric C.
|
|
2008
|
|
2 |
p. 251-264
14 p.
|
artikel
|
| 109 |
The forward discount anomaly and the risk premium: A survey of recent evidence
|
Engel, Charles
|
|
1996
|
|
2 |
p. 123-192
70 p.
|
artikel
|
| 110 |
The hazards of mutual fund underperformance: A Cox regression analysis
|
Lunde, Asger
|
|
1999
|
|
2 |
p. 121-152
32 p.
|
artikel
|
| 111 |
The index premium and its hidden cost for index funds
|
Petajisto, Antti
|
|
2011
|
|
2 |
p. 271-288
18 p.
|
artikel
|
| 112 |
The ordered mean difference as a portfolio performance measure
|
Bowden, Roger J
|
|
2000
|
|
2 |
p. 195-223
29 p.
|
artikel
|
| 113 |
The pricing discount for limited liquidity: evidence from SWX Swiss Exchange and the Nasdaq
|
Loderer, Claudio
|
|
2005
|
|
2 |
p. 239-268
30 p.
|
artikel
|
| 114 |
The risk–return tradeoff: A COGARCH analysis of Merton's hypothesis
|
Müller, Gernot
|
|
2011
|
|
2 |
p. 306-320
15 p.
|
artikel
|
| 115 |
The role of trades in price convergence: A study of dual-listed Canadian stocks
|
Kaul, Aditya
|
|
2007
|
|
2 |
p. 196-219
24 p.
|
artikel
|
| 116 |
The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield
|
Liu, Peng
|
|
2011
|
|
2 |
p. 211-224
14 p.
|
artikel
|
| 117 |
Three analyses of the firm size premium
|
Horowitz, Joel L
|
|
2000
|
|
2 |
p. 143-153
11 p.
|
artikel
|
| 118 |
Trading volume and contract rollover in futures contracts
|
Holmes, Phil
|
|
2005
|
|
2 |
p. 317-338
22 p.
|
artikel
|
| 119 |
Unit roots and the estimation of interest rate dynamics
|
Ball, Clifford A.
|
|
1996
|
|
2 |
p. 215-238
24 p.
|
artikel
|
| 120 |
Value-at-Risk analysis for long-term interest rate futures: Fat-tail and long memory in return innovations
|
Wu, Ping-Tsung
|
|
2007
|
|
2 |
p. 248-259
12 p.
|
artikel
|
| 121 |
Visualizing time-varying correlations across stock markets
|
Groenen, Patrick J.F.
|
|
2000
|
|
2 |
p. 155-172
18 p.
|
artikel
|
| 122 |
Volatility estimation via hidden Markov models
|
Rossi, Alessandro
|
|
2006
|
|
2 |
p. 203-230
28 p.
|
artikel
|
| 123 |
When does investor sentiment predict stock returns?
|
Chung, San-Lin
|
|
2012
|
|
2 |
p. 217-240
24 p.
|
artikel
|
| 124 |
When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions
|
Groß-Klußmann, Axel
|
|
2011
|
|
2 |
p. 321-340
20 p.
|
artikel
|
| 125 |
Winter blues and time variation in the price of risk
|
Garrett, Ian
|
|
2005
|
|
2 |
p. 291-316
26 p.
|
artikel
|
Tijdschrift beschrijving