12
H index
12
i10 index
869
Citations
| 12 H index 12 i10 index 869 Citations RESEARCH PRODUCTION: 29 Articles 1 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Charles Joseph Corrado. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Futures Markets | 6 |
Journal of Financial Research | 4 |
Journal of Banking & Finance | 3 |
Review of Quantitative Finance and Accounting | 3 |
Journal of Financial and Quantitative Analysis | 2 |
Australian Journal of Management | 2 |
Year | Title of citing document | |
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2020 | A Term Structure Model for Dividends and Interest Rates. (2019). Willems, Sander ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1803.02249. Full description at Econpapers || Download paper | |
2020 | Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144. Full description at Econpapers || Download paper | |
2020 | Neural networks for option pricing and hedging: a literature review. (2019). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1911.05620. Full description at Econpapers || Download paper | |
2020 | Solution of option pricing equations using orthogonal polynomial expansion. (2019). Posp, Jan ; Filipov, Katevrina ; Baustian, Falko. In: Papers. RePEc:arx:papers:1912.06533. Full description at Econpapers || Download paper | |
2020 | Applying Dynamic Training-Subset Selection Methods Using Genetic Programming for Forecasting Implied Volatility. (2020). Abdelmalek, Wafa ; ben Hamida, Sana ; Abid, Fathi. In: Papers. RePEc:arx:papers:2007.07207. Full description at Econpapers || Download paper | |
2021 | Forecasting open-high-low-close data contained in candlestick chart. (2021). Wang, Shanshan ; Huang, Wenyang. In: Papers. RePEc:arx:papers:2104.00581. Full description at Econpapers || Download paper | |
2022 | Adaptive Gradient Descent Methods for Computing Implied Volatility. (2021). Yang, Tinggan ; Wang, Yihong ; Lu, Yixiao. In: Papers. RePEc:arx:papers:2108.07035. Full description at Econpapers || Download paper | |
2021 | Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture L\evy Motions. (2021). Rachev, Svetlozar T ; Sayit, Hasanjan ; Hu, Dongdong. In: Papers. RePEc:arx:papers:2109.02872. Full description at Econpapers || Download paper | |
2022 | The echo chamber effect resounds on financial markets: a social media alert system for meme stocks. (2022). Riccaboni, Massimo ; Longo, Luigi ; Gianstefani, Ilaria. In: Papers. RePEc:arx:papers:2203.13790. Full description at Econpapers || Download paper | |
2020 | Market response of US equities to domestic natural disasters: industry?based evidence. (2020). faff, robert ; Malik, Ihtisham A ; Chan, Kam F. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3875-3904. Full description at Econpapers || Download paper | |
2020 | Moving markets? Government bond investors and microeconomic policy changes. (2020). Wibbels, Erik ; Paniagua, Victoria ; Mosley, Layna. In: Economics and Politics. RePEc:bla:ecopol:v:32:y:2020:i:2:p:197-249. Full description at Econpapers || Download paper | |
2021 | Rights issues: Retail shareholders and their participation decisions. (2021). Brown, Christine ; Au Yong, Hue Hwa ; Ho, Choy Yeing ; Shekhar, Chander. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:917-944. Full description at Econpapers || Download paper | |
2020 | The effect of option transaction costs on informed trading in the options market around earnings announcements. (2020). Zhao, Chen ; Li, Yubin ; Govindaraj, Suresh. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:47:y:2020:i:5-6:p:615-644. Full description at Econpapers || Download paper | |
2021 | Does real earnings smoothing reduce investors’ perceived risk?. (2021). Zhang, Eliza Xia ; Wang, Jeff J ; Kim, Jeongbon. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:48:y:2021:i:9-10:p:1560-1595. Full description at Econpapers || Download paper | |
2020 | Predicting Returns for Growth and Value Stocks: A Forecast Assessment Approach Using Global Asset Pricing Models. (2020). Phillips, Michael G ; Bommer, William H ; Rana, Shailesh. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-04-12. Full description at Econpapers || Download paper | |
2020 | Multi-UAV counter-game model based on uncertain information. (2020). Gao, Mingyu ; Liu, Dan ; Huang, Yijie ; Wu, Tao ; Chi, Qian ; Song, Qun ; Deng, Zhenghong ; Xu, Jiwei. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:366:y:2020:i:c:s0096300319306769. Full description at Econpapers || Download paper | |
2021 | Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence. (2021). Peters, Gareth W ; Dias, Fabio S. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:411:y:2021:i:c:s0096300321005737. Full description at Econpapers || Download paper | |
2020 | Does peace boost stock prices? Evidence from the Korean stock market. (2020). Yoo, Shiyong ; Lee, Inho ; In Ho Lee, ; In Ho Lee, . In: Journal of Asian Economics. RePEc:eee:asieco:v:71:y:2020:i:c:s1049007820301275. Full description at Econpapers || Download paper | |
2020 | Do board gender quotas affect firm value? Evidence from California Senate Bill No. 826. (2020). Greene, Daniel ; Kahle, Kathleen M ; Intintoli, Vincent J. In: Journal of Corporate Finance. RePEc:eee:corfin:v:60:y:2020:i:c:s092911991930375x. Full description at Econpapers || Download paper | |
2021 | Forgive me all my sins: How penalties imposed on banks travel through markets. (2021). Degryse, Hans ; Flore, Christian ; Schiereck, Dirk ; Kolaric, Sascha. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s092911992100033x. Full description at Econpapers || Download paper | |
2020 | Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators. (2020). Yang, Jimmy J ; Liu, Hung-Chun ; Hung, Jui-Cheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300620. Full description at Econpapers || Download paper | |
2020 | Efficient predictability of stock return volatility: The role of stock market implied volatility. (2020). He, Shaoyi ; Wen, Fenghua ; Zhou, Huiting ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300711. Full description at Econpapers || Download paper | |
2020 | Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach. (2020). Perote, Javier ; Mora-Valencia, Andrés ; Cortes, Lina M. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818301980. Full description at Econpapers || Download paper | |
2021 | The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices. (2021). Tian, Meiyu ; Wen, Fenghua ; Li, Wanyang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820301984. Full description at Econpapers || Download paper | |
2021 | Does oil price variability affect the long memory and weak form efficiency of stock markets in top oil producers and oil Consumers? Evidence from an asymmetric MF-DFA approach. (2021). Vo, Xuan Vinh ; Mensi, Walid ; Yoon, Seong-Min ; Lee, Yun-Jung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000747. Full description at Econpapers || Download paper | |
2020 | Economic indicators and stock market volatility in an emerging economy. (2020). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:2:s0939362518305594. Full description at Econpapers || Download paper | |
2020 | Integrated dynamic models for hedging international portfolio risks. (2020). Vladimirou, Hercules ; Topaloglou, Nikolas ; Zenios, Stavros A. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:48-65. Full description at Econpapers || Download paper | |
2021 | Global equity market leadership positions through implied volatility measures. (2021). Padungsaksawasdi, Chaiyuth ; Parhizgari, A M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:180-205. Full description at Econpapers || Download paper | |
2021 | The transformed Gram Charlier distribution: Parametric properties and financial risk applications. (2021). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:323-349. Full description at Econpapers || Download paper | |
2021 | A state-preference volatility index for the natural gas market. (2021). Ding, Ashley. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004862. Full description at Econpapers || Download paper | |
2021 | Modelling multiperiod patterns in stock-market reactions to events, with an application to serial acquisitions. (2021). Sercu, Piet ; Doan, Minh Phuong. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001824. Full description at Econpapers || Download paper | |
2020 | Effect of Qatar diplomatic and economic isolation on GCC stock markets: An event study approach. (2020). Kapar, Burcu ; Buigut, Steven. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612319304921. Full description at Econpapers || Download paper | |
2021 | The Capital Market Impact of Blackrock’s Thermal Coal Divestment Announcement. (2021). Kaspereit, Thomas ; Bassen, Alexander ; Buchholz, Daniel. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316883. Full description at Econpapers || Download paper | |
2022 | Do investors value environmental sustainability? Evidence from the FTSE Environmental Opportunities 100 index. (2022). Afego, Pyemo N ; Biktimirov, Ernest N. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001938. Full description at Econpapers || Download paper | |
2021 | Measuring changes in credit risk: The case of CDS event studies. (2021). Betzer, Andre ; Andres, Christian ; Doumet, Markus. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028321000454. Full description at Econpapers || Download paper | |
2021 | Religiosity, neglected risk and asset returns: Theory and evidence from Islamic finance industry. (2021). Sohel Azad, A. S. M., ; Ali, Haiqa ; Hassan, Kabir M ; Azmat, Saad. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000135. Full description at Econpapers || Download paper | |
2021 | An efficient method for pricing foreign currency options. (2021). Zhang, Shuonan ; Jin, Chenglu ; Yu, Lean ; Zhou, Hanxian ; Chen, Rongda. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000147. Full description at Econpapers || Download paper | |
2020 | Finance journal rankings: Active scholar assessment revisited. (2020). Currie, Russell R ; Pandher, Gurupdesh S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302900. Full description at Econpapers || Download paper | |
2020 | On Becoming an O-SII (“Other Systemically Important Institutionâ€). (2020). Sprincean, Nicu ; AndrieÈ™, Alin Marius ; Ongena, Steven ; Nistor, Simona. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302961. Full description at Econpapers || Download paper | |
2020 | March madness in Wall Street: (What) does the market learn from stress tests?. (2020). Pinheiro, Marcelo ; Igan, Deniz ; Fernandes, Marcelo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302753. Full description at Econpapers || Download paper | |
2022 | U.S. bank M&As in the post-Dodd–Frank Act era: Do they create value?. (2022). Leledakis, George ; Pyrgiotakis, Emmanouil G. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:135:y:2022:i:c:s037842661930144x. Full description at Econpapers || Download paper | |
2021 | Uncertainty of M&As under asymmetric estimation. (2021). Kanungo, Rama Prasad. In: Journal of Business Research. RePEc:eee:jbrese:v:122:y:2021:i:c:p:774-793. Full description at Econpapers || Download paper | |
2021 | The effect of subscription-based direct-to-consumer channel additions on firm value. (2021). Fennell, Patrick B ; Pasirayi, Simbarashe. In: Journal of Business Research. RePEc:eee:jbrese:v:123:y:2021:i:c:p:355-366. Full description at Econpapers || Download paper | |
2020 | Financial crime spillovers. Does one gain to be avenged?. (2020). de Batz, Laure ; Laure, De Batz. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:173:y:2020:i:c:p:196-215. Full description at Econpapers || Download paper | |
2020 | The value of international political connections: Evidence from Trumps 2016 surprise election. (2020). Stahl, Jorg R ; Fink, Alexander. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:176:y:2020:i:c:p:691-700. Full description at Econpapers || Download paper | |
2021 | A Fortune from misfortune: Evidence from hog firms’ stock price responses to China’s African Swine Fever outbreaks. (2021). Chen, Chen-Ti ; Zhang, Wendong ; Xiong, Tao. In: Food Policy. RePEc:eee:jfpoli:v:105:y:2021:i:c:s0306919221001287. Full description at Econpapers || Download paper | |
2021 | The impact of financial sanctions: The case of Iran. (2021). Jahan-Parvar, Mohammad ; Ghasseminejad, Saeed. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:43:y:2021:i:3:p:601-621. Full description at Econpapers || Download paper | |
2021 | On the relation between Pandemic Disease Outbreak News and Crude oil, Gold, Gold mining, Silver and Energy Markets. (2021). Shaikh, Imlak. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000428. Full description at Econpapers || Download paper | |
2020 | Do mergers and acquisitions create shareholder value in the infrastructure and utility sectors? Analysis of market perceptions. (2020). Tului, Stefano ; Teti, Emanuele. In: Utilities Policy. RePEc:eee:juipol:v:64:y:2020:i:c:s0957178720300485. Full description at Econpapers || Download paper | |
2020 | From classroom to boardroom: The value of academic independent directors in China. (2020). Zhou, XI ; Zhang, Xinyi ; Pang, Jiaren. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x19304068. Full description at Econpapers || Download paper | |
2021 | Assessing the extended impacts of supply chain disruptions on firms: An empirical study. (2021). Zobel, Christopher W ; Baghersad, Milad. In: International Journal of Production Economics. RePEc:eee:proeco:v:231:y:2021:i:c:s0925527320302231. Full description at Econpapers || Download paper | |
2022 | Risky business? Shareholder value effects of service provision. (2022). Johnson, Mark ; Bastl, Marko ; Daskalakis, George ; Karatzas, Antonios. In: International Journal of Production Economics. RePEc:eee:proeco:v:244:y:2022:i:c:s0925527321003455. Full description at Econpapers || Download paper | |
2020 | Momentum, asymmetric volatility and idiosyncratic risk-momentum relation: Does technology-sector matter?. (2020). Alhadab, Mohammad ; Ahmed, Mohamed S. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:78:y:2020:i:c:p:355-371. Full description at Econpapers || Download paper | |
2021 | Implied volatility indices – A review. (2021). Siriopoulos, Costas ; Fassas, Athanasios P. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:303-329. Full description at Econpapers || Download paper | |
2021 | Does happiness forecast implied volatility? Evidence from nonparametric wave-based Granger causality testing. (2021). Shen, Dehua ; Goodell, John W ; Li, Yue. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:81:y:2021:i:c:p:113-122. Full description at Econpapers || Download paper | |
2021 | Long and short-term impacts of regulation in the cryptocurrency market. (2021). Alfieri, Elise ; Chokor, Ahmad. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:81:y:2021:i:c:p:157-173. Full description at Econpapers || Download paper | |
2021 | Dynamic connectedness between the U.S. financial market and Euro-Asian financial markets: Testing transmission of uncertainty through spatial regressions models. (2021). Zaghdoudi, Taha ; Tissaoui, Kais. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:81:y:2021:i:c:p:481-492. Full description at Econpapers || Download paper | |
2020 | CBOE VIX and Jump-GARCH option pricing models. (2020). Yoon, Sun-Joong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:839-859. Full description at Econpapers || Download paper | |
2021 | Event study on the reaction of the developed and emerging stock markets to the 2019-nCoV outbreak. (2021). Kumari, Vineeta ; Pandey, Dharen Kumar. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:467-483. Full description at Econpapers || Download paper | |
2020 | The effects of information disclosure regulation on stock markets: Evidence from Vietnam. (2020). Hoang, Trang Cam ; Le, Danh Vinh ; Moosa, Imad ; Ramiah, Vikash ; Pham, Huy. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s027553191930515x. Full description at Econpapers || Download paper | |
2020 | The impact of forced divestments on parent company stock prices: Buy on the rumor, sell on the news?. (2020). Pea, Juan Ignacio ; Restrepo-Ochoa, Diana Constanza. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919305586. Full description at Econpapers || Download paper | |
2022 | Naval disasters, world war two and the British stock market. (2022). Urquhart, Andrew ; Hudson, Robert. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s027553192100177x. Full description at Econpapers || Download paper | |
2022 | Semi-nonparametric risk assessment with cryptocurrencies. (2022). Perote, Javier ; Mora-Valencia, Andrés ; Jimenez, Ines. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001884. Full description at Econpapers || Download paper | |
2020 | Short-term Price Reaction to Involuntary Bankruptcies Filed in Bad Faith: Empirical Evidence from Poland. (2020). Potrykus, Marcin ; Prusak, Blazej . In: European Research Studies Journal. RePEc:ers:journl:v:xxiii:y:2020:i:4:p:873-889. Full description at Econpapers || Download paper | |
2021 | Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange. (2021). Gurgul, Henryk ; Wojtowicz, Tomasz ; Hastenteufel, Jessica. In: Statistics in Transition New Series. RePEc:exl:29stat:v:22:y:2021:i:4:p:41-58. Full description at Econpapers || Download paper | |
2020 | The Impact of Financial Sanctions: The Case of Iran 2011-2016. (2020). Jahan-Parvar, Mohammad ; Ghasseminejad, Saeed. In: International Finance Discussion Papers. RePEc:fip:fedgif:1281. Full description at Econpapers || Download paper | |
2020 | The Effects of Pandemic Event on the Stock Exchange of Thailand. (2020). Panyagometh, Kamphol. In: Economies. RePEc:gam:jecomi:v:8:y:2020:i:4:p:90-:d:433708. Full description at Econpapers || Download paper | |
2021 | Short-Term Impact of COVID-19 on Indian Stock Market. (2021). Maiti, Moinak ; Kayal, Parthajit ; Venkataramani, Renuka ; Varma, Yashraj. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:558-:d:681758. Full description at Econpapers || Download paper | |
2021 | Dynamic Responses of Standard and Poor’s Regional Bank Index to the U.S. Fear Index, VIX. (2021). Raffiee, Kambiz ; Kolay, Madhuparna ; Chatrath, Arjun ; Adrangi, Bahram. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:3:p:114-:d:513963. Full description at Econpapers || Download paper | |
2022 | Non-Parametric Statistic for Testing Cumulative Abnormal Stock Returns. (2022). Pynnonen, Seppo. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:4:p:149-:d:777710. Full description at Econpapers || Download paper | |
2020 | Effects of China’s Collective Forestland Tenure Reform Policies on Forest Product Firm Values. (2020). Liu, Zhen ; Hatab, Assem Abu ; Yu, Jinna ; Yao, Shunbo ; Zhang, Tingting. In: Land. RePEc:gam:jlands:v:9:y:2020:i:4:p:127-:d:350129. Full description at Econpapers || Download paper | |
2021 | Impact of MiFID II on the Market Volatility—Analysis on Some Developed and Emerging European Stock Markets. (2021). Milo, Marius Cristian. In: Laws. RePEc:gam:jlawss:v:10:y:2021:i:3:p:55-:d:585793. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2021 | Short-Term Price Reaction to Filing for Bankruptcy and Restructuring Proceedings—The Case of Poland. (2021). PRUSAK, BŁAŻEJ ; Potrykus, Marcin. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:3:p:56-:d:519607. Full description at Econpapers || Download paper | |
2021 | Implicit Interpretation of Indonesian Export Bans on LME Nickel Prices: Evidence from the Announcement Effect. (2021). Park, Jaehwan ; Kim, Hyeon Sook ; Lim, Byungkwon. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:5:p:93-:d:552601. Full description at Econpapers || Download paper | |
2020 | Jacobi Stochastic Volatility factor for the Libor Market Model. (2020). Boumezoued, Alexandre ; Lapeyre, Bernard ; Mehalla, Sophian ; Arrouy, Pierre-Edouard. In: Working Papers. RePEc:hal:wpaper:hal-02468583. Full description at Econpapers || Download paper | |
2021 | Do CDS maturities matter in the evaluation of the information content of regulatory banking stress tests? Evidence from European and US stress tests. (2021). NYS, Emmanuelle ; Sauviat, Alain ; Agbodji, Amavi. In: Working Papers. RePEc:hal:wpaper:hal-03267704. Full description at Econpapers || Download paper | |
2021 | A Fortune from Misfortune: Evidence from Hog Firms Stock Price Responses to Chinas African Swine Fever. (2020). Zhang, Wendong ; Xiong, Tao ; Chen, Chen-Ti. In: Center for Agricultural and Rural Development (CARD) Publications. RePEc:ias:cpaper:20-wp602. Full description at Econpapers || Download paper | |
2021 | Dividend Announcements and Market Trends. (2021). Babu, Suresh M ; Marisetty, Nagendra. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:13:y:2021:i:10:p:139. Full description at Econpapers || Download paper | |
2020 | Shareholder Wealth Effects of Modern Slavery Regulation. (2020). Frota, Joo Quariguasi ; Lawson, Benn ; Dutordoir, Marie ; Cousins, Paul. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:11:p:5265-5289. Full description at Econpapers || Download paper | |
2020 | Penny wise and pound foolish: capital gains tax and trading volume on the Zagreb Stock Exchange. (2020). Škrinjarić, Tihana ; Globan, Tomislav ; Skrinjaric, Tihana . In: Public Sector Economics. RePEc:ipf:psejou:v:44:y:2020:i:3:p:299-329. Full description at Econpapers || Download paper | |
2021 | Market reaction to banks’ interim press releases: an event study analysis. (2021). Brogi, Marina ; Lagasio, Valentina. In: Journal of Management & Governance. RePEc:kap:jmgtgv:v:25:y:2021:i:1:d:10.1007_s10997-020-09516-y. Full description at Econpapers || Download paper | |
2021 | Stock price reactivity to earnings announcements: the role of the Cammer/Krogman factors. (2021). Feinstein, Steven ; Villanueva, Miguel O. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:1:d:10.1007_s11156-020-00943-4. Full description at Econpapers || Download paper | |
2021 | Bail-in and Bank Funding Costs. (2021). Galfrascoli, Paola ; Cerasi, Vittoria. In: Working Papers. RePEc:mib:wpaper:472. Full description at Econpapers || Download paper | |
2021 | Investors Reactions to Extreme Events in the Hungarian Stock Market. (2021). Toth-Pajor, Akos ; Radoczy, Klaudia. In: Financial and Economic Review. RePEc:mnb:finrev:v:20:y:2021:i:3:p:5-30. Full description at Econpapers || Download paper | |
2020 | Foreign listing pricing effects. The case of emerging economies. (2020). Adamska-Mieruszewska, Joanna ; Mrzygod, Urszula. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:51:y:2020:i:4:p:367-382. Full description at Econpapers || Download paper | |
2020 | Share price reactions to tariff imposition announcements in the Trump era - An event study of the trade conflict. (2020). Wengerek, Sascha Tobias. In: Working Papers Dissertations. RePEc:pdn:dispap:59. Full description at Econpapers || Download paper | |
2021 | Social sentiment segregation: Evidence from Twitter and Google Trends in Chile during the COVID-19 dynamic quarantine strategy. (2021). Henriquez, Pablo A ; Diaz, Fernando. In: PLOS ONE. RePEc:plo:pone00:0254638. Full description at Econpapers || Download paper | |
2020 | The impact of US macroeconomic news on the prices of single stocks on the Vienna Stock Exchange. (2020). Wojtowicz, Tomasz ; Mitterer, Christoph ; Gurgul, Henryk. In: MPRA Paper. RePEc:pra:mprapa:103352. Full description at Econpapers || Download paper | |
2021 | Black Scholes Model. (2021). Molintas, Dominique Trual. In: MPRA Paper. RePEc:pra:mprapa:110124. Full description at Econpapers || Download paper | |
2021 | The Impact of US Macroeconomic News on the Prices of Single Stocks on the Vienna Stock Exchange. (2021). Wojtowicz, Tomasz ; Mitterer, Christoph ; Gurgul, Henryk. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:13:y:2021:i:3:p:287-329. Full description at Econpapers || Download paper | |
2021 | Value at Risk estimation using GAS models with heavy tailed distributions for cryptocurrencies. (2021). Chifurira, Retius ; Chinhamu, Knowledge ; Subramoney, Stephanie Danielle. In: International Journal of Finance & Banking Studies. RePEc:rbs:ijfbss:v:10:y:2021:i:4:p:40-54. Full description at Econpapers || Download paper | |
2020 | Seasoned Equity Offerings and Stock Price Crash Risk. (2020). May, Anthony D ; Fotak, Veljko ; Boehme, Rodney D. In: International Journal of Finance & Banking Studies. RePEc:rbs:ijfbss:v:9:y:2020:i:4:p:131-146. Full description at Econpapers || Download paper | |
2021 | INDONESIAN CAPITAL MARKET INVESTORS’ REACTION TO THE EVENTS OF THE COVID-19 PANDEMIC. (2021). Halim, Abdul ; Muawanah, Umi ; Sawitri, Dyah ; Sumarmi, Ani. In: Business Excellence and Management. RePEc:rom:bemann:v:11:y:2021:i:5:p:138-157. Full description at Econpapers || Download paper | |
2020 | . Full description at Econpapers || Download paper | |
2021 | Impact of ETF Listing on the Returns Generated by Underlying Stocks: Indian Evidence. (2021). Singh, Jaspal ; Kaur, Prabhdeep. In: Management and Labour Studies. RePEc:sae:manlab:v:46:y:2021:i:3:p:263-288. Full description at Econpapers || Download paper | |
2020 | . Full description at Econpapers || Download paper | |
2020 | Intra-Industry Information Transfers and Firm Value: Evidence From Ghana’s Banking Industry. (2020). Mu, Yinping ; Aidoo, Mavis ; Nyamaah, Joseph Boadi ; Sarbah, Alfred ; Quaye, Isaac. In: SAGE Open. RePEc:sae:sagope:v:10:y:2020:i:4:p:2158244020968087. Full description at Econpapers || Download paper | |
2021 | Implied volatility estimation of bitcoin options and the stylized facts of option pricing. (2021). Gulzar, Saqib ; Zulfiqar, Noshaba. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00280-y. Full description at Econpapers || Download paper | |
2020 | Linear credit risk models. (2020). Filipovi, Damir ; Ackerer, Damien . In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00409-z. Full description at Econpapers || Download paper | |
2020 | The pricing of European non-performing real estate loan portfolios: evidence on stock market evaluation of complex asset sales. (2020). Schiereck, Dirk ; Muller, Birgit ; Manz, Florian. In: Journal of Business Economics. RePEc:spr:jbecon:v:90:y:2020:i:7:d:10.1007_s11573-020-00983-1. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2011 | Event studies: A methodology review In: Accounting and Finance. [Citation analysis] | article | 100 |
1991 | Estimating Systematic Risk with Daily Security Returns: A Note on the Relative Efficiency of Selected Estimators. In: The Financial Review. [Citation analysis] | article | 1 |
1997 | Journal Influence on the Design of Finance Doctoral Education. In: Journal of Finance. [Full Text][Citation analysis] | article | 4 |
1992 | FILTER RULE TESTS OF THE ECONOMIC SIGNIFICANCE OF SERIAL DEPENDENCIES IN DAILY STOCK RETURNS In: Journal of Financial Research. [Full Text][Citation analysis] | article | 6 |
1996 | SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES In: Journal of Financial Research. [Full Text][Citation analysis] | article | 100 |
2006 | ESTIMATING EXPECTED EXCESS RETURNS USING HISTORICAL AND OPTION?IMPLIED VOLATILITY In: Journal of Financial Research. [Full Text][Citation analysis] | article | 12 |
2007 | FORECASTING STOCK INDEX VOLATILITY: COMPARING IMPLIED VOLATILITY AND THE INTRADAY HIGH–LOW PRICE RANGE In: Journal of Financial Research. [Full Text][Citation analysis] | article | 19 |
1990 | A Nonparametric Distribution-Free Test for Serial Independence in Stock Returns: A. Correction In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 1 |
1992 | The Specification and Power of the Sign Test in Event Study Hypothesis Tests Using Daily Stock Returns In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 136 |
1992 | Economic investment times for capacity expansion problems In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 5 |
2012 | The options market response to accounting earnings announcements In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 8 |
1992 | Durations for portfolios of bonds priced on different term structures In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
1996 | A note on a simple, accurate formula to compute implied standard deviations In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 27 |
2001 | Repricing and employee stock option valuation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 3 |
1987 | Islam, modernization and crime: A test of the religious ecology thesis In: Journal of Criminal Justice. [Full Text][Citation analysis] | article | 2 |
1989 | A nonparametric test for abnormal security-price performance in event studies In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 320 |
1986 | The cost of a central bank leaning against a random walk In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 14 |
2008 | Conducting event studies with Asia-Pacific security market data In: Pacific-Basin Finance Journal. [Full Text][Citation analysis] | article | 22 |
1995 | The Information Content of a Convertible Debt Offer Announcement. In: Review of Quantitative Finance and Accounting. [Citation analysis] | article | 0 |
1995 | The Information Content of a Convertible Debt Offer Announcement..(1995) In: Review of Quantitative Finance and Accounting. [Citation analysis] This paper has another version. Agregated cites: 0 | article | |
1997 | Risk Aversion, Uncertain Information, and Market Efficiency. In: Review of Quantitative Finance and Accounting. [Full Text][Citation analysis] | article | 7 |
2003 | Geared Equity Investments: A Case Study of Tax Arbitrage Down Under In: Australian Journal of Management. [Full Text][Citation analysis] | article | 1 |
2006 | Hurdle Rate: Executive Stock Options In: Australian Journal of Management. [Full Text][Citation analysis] | article | 1 |
2004 | Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
1996 | Efficient option?implied volatility estimators In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 6 |
1996 | S&P 500 index option tests of Jarrow and Rudds approximate option valuation formula In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 16 |
1998 | An empirical test of the Hull?White option pricing model In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 1 |
2001 | Option pricing based on the generalized lambda distribution In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 12 |
2005 | The forecast quality of CBOE implied volatility indexes In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 34 |
2007 | The hidden martingale restriction in Gram?Charlier option prices In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 9 |
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