G14 - Information and Market Efficiency; Event Studies

Citations 1-10 of 10 total displayed.

Most recent content (1 Apr 2008):

Articles
Time-Varying Arrival Rates of Informed and Uninformed Trades

David Easley, Robert F. Engle, Maureen O'Hara, and Liuren Wu
J. Financial Econometrics 2008; 6: 171-207. [Abstract] [Full text] [PDF]  

Articles
Estimating Value at Risk and Expected Shortfall Using Expectiles

James W. Taylor
J. Financial Econometrics 2008; 6: 231-252. [Abstract] [Full text] [PDF]  

Articles
Kernel Conditional Quantile Estimation for Stationary Processes with Application to Conditional Value-at-Risk

Wei Biao Wu, Keming Yu, and Gautam Mitra
J. Financial Econometrics 2008; 6: 253-270. [Abstract] [Full text] [PDF]  

Past content (since Jun 2003):

Articles
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

Lorenzo Cappiello, Robert F. Engle, and Kevin Sheppard
J. Financial Econometrics 2006; 4: 537-572. [Abstract] [Full text] [PDF]  

Articles
Incomplete Information, Heterogeneity, and Asset Pricing

Tony Berrada
J. Financial Econometrics 2006; 4: 136-160. [Abstract] [Full text] [PDF]  

Articles
Inferring Information Frequency and Quality

John Owens and Douglas G. Steigerwald
J. Financial Econometrics 2005; 3: 500-524. [Abstract] [Full text] [PDF]  

Articles
A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data

Peter Reinhard Hansen and Asger Lunde
J. Financial Econometrics 2005; 3: 525-554. [Abstract] [Full text] [PDF]  

Articles
Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach

Peter de Goeij and Wessel Marquering
J. Financial Econometrics 2004; 2: 531-564. [Abstract] [Full text] [PDF]  

Articles
Improving Tests of Abnormal Returns by Bootstrapping the Multivariate Regression Model with Event Parameters

Scott E. Hein and Peter Westfall
J. Financial Econometrics 2004; 2: 451-471. [Abstract] [Full text] [PDF]  

Articles
Trades and Quotes: A Bivariate Point Process

Robert F. Engle and Asger Lunde
J. Financial Econometrics 2003; 1: 159-188. [Abstract] [PDF]