Adlai Julian Fisher : Citation Profile

Are you Adlai Julian Fisher?

University of British Columbia

16

H index

18

i10 index

1366

Citations

RESEARCH PRODUCTION:

15

Articles

24

Papers

1

Books

RESEARCH ACTIVITY:

   25 years (1997 - 2022). See details.
   Cites by year: 54
   Journals where Adlai Julian Fisher has often published
   Relations with other researchers
   Recent citing documents: 52.    Total self citations: 14 (1.01 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfi214
   Updated: 2024-04-18    RAS profile: 2023-04-07    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Adlai Julian Fisher.

Is cited by:

GUPTA, RANGAN (49)

Lux, Thomas (37)

Krištoufek, Ladislav (19)

Aldrich, Eric (19)

Diebold, Francis (18)

Kaizoji, Taisei (16)

Calvet, Laurent (15)

Onali, Enrico (15)

Zhang, Lu (14)

Wilfling, Bernd (13)

Gryglewicz, Sebastian (12)

Cites to:

Calvet, Laurent (46)

Campbell, John (29)

Bollerslev, Tim (18)

Abel, Andrew (13)

Engle, Robert (13)

Ghysels, Eric (12)

French, Kenneth (11)

Schwert, G. (10)

Diebold, Francis (10)

Andersen, Torben (10)

Jagannathan, Ravi (10)

Main data

Where Adlai Julian Fisher has published?

Journals with more than one article published# docs
Journal of Econometrics3
The Review of Financial Studies3
Journal of Financial and Quantitative Analysis2
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
Post-Print / HAL8
Working Papers / HAL4
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University3
NBER Working Papers / National Bureau of Economic Research, Inc3

Recent works citing Adlai Julian Fisher (2024 and 2023)

YearTitle of citing document
2024An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2023Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

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2023Scale Dependencies and Self-Similarity Through Wavelet Scattering Covariance. (2022). Mallat, St'Ephane ; Bouchaud, Jean-Philippe ; Leonarduzzi, Roberto ; Rochette, Gaspar ; Morel, Rudy. In: Papers. RePEc:arx:papers:2204.10177.

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2023Analysis of Indian foreign exchange markets: A Multifractal Detrended Fluctuation Analysis (MFDFA) approach. (2023). Datta, R P. In: Papers. RePEc:arx:papers:2306.16162.

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2023Path Shadowing Monte-Carlo. (2023). Bouchaud, Jean-Philippe ; Mallat, St'Ephane ; Morel, Rudy. In: Papers. RePEc:arx:papers:2308.01486.

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2023International evidence on the association of leverage with stock returns and the value premium. (2023). Jansen, Benjamin A ; Garciafeijoo, Luis. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:2:p:315-341.

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2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

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2023Macroeconomic conditions, corporate default, and default clustering. (2023). Liu, Lanlan ; Luo, Dan ; Xing, Kai. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003169.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023Following the leaders? A study of co-movement and volatility spillover in BRICS currencies. (2023). Roy, Saikat Sinha ; Das, Suman. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s0939362522000425.

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2023Macroeconomic news and price synchronicity. (2023). Wang, Qingwei ; Eshraghi, Arman ; Cheema, Arbab K. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:390-412.

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2023Unemployment beta and the cross-section of stock returns: Evidence from Australia. (2023). Huynh, Nhan. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000388.

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2023Economic policy uncertainty, investor attention and post-earnings announcement drift. (2023). Ge, Shilong ; Chai, Yiwei ; Ao, Zhu ; Du, Xiuli. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s105752192300131x.

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2023Less is more? New evidence from stock market volatility predictability. (2023). Guo, Qiang ; Ma, Feng ; Lu, Fei. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003356.

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2023The macroeconomic attention index: Evidence from China. (2023). Dong, Dayong ; Guo, Yangli ; Cao, Jiawei ; Zeng, Qing. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007437.

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2023Retail attention and the FOMC equity premium. (2023). Murgia, Lucia Milena ; Monaco, Eleonora. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007735.

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2023Forced conversion to Chapter 7 bankruptcy and optimal financial decisions. (2023). Kim, Hwa-Sung. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000910.

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2023Macroeconomic attention and oil futures volatility prediction. (2023). Li, Ziwei ; Liu, Shan. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005391.

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2023Portfolio diversification during the COVID-19 pandemic: Do vaccinations matter?. (2023). Vo, Xuan Vinh ; Do, Hung Xuan ; Thanh, Thao Thac ; Pham, Son Duy. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000189.

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2023A multifractal model of asset (in)variances. (2023). Grobys, Klaus. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000355.

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2023Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities. (2023). Lux, Thomas ; Sattarhoff, Cristina. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1678-1697.

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2023The effect of bond market transparency on bank loan contracting. (2023). Kyung, Hoyoun ; Chy, Mahfuz. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:75:y:2023:i:2:s0165410122000593.

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2023Competition, investment reversibility, and equity risk premium. (2023). Zhang, Zhou. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001188.

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2023Investment decisions and financial leverage under a potential entry threat. (2023). Kamoto, Shinsuke. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001498.

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2023Employment protection and the provision of trade credit. (2023). Lu, Chun ; Chewie, Tze Chuan ; Li, Tongxia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:155:y:2023:i:c:s0378426623001899.

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2023Moment set selection for the SMM using simple machine learning. (2023). Kukacka, Jiri ; Zila, Eric. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:212:y:2023:i:c:p:366-391.

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2023Mutual fund performance at long horizons. (2023). Bessembinder, Hendrik ; Zhang, Feng ; Cooper, Michael J. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:1:p:132-158.

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2023Micro uncertainty and asset prices. (2023). Kind, Thilo ; Herskovic, Bernard ; Kung, Howard. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:1:p:27-51.

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2023Momentum turning points. (2023). Mazzoleni, Michele G ; Harvey, Campbell R ; Goulding, Christian L. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:378-406.

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2023Trading strategies and the frequency of time-series. (2023). Isaenko, Sergey. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:267-283.

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2023What drives biased odds in sports betting markets: Bettors’ irrationality and the role of bookmakers. (2023). Yamada, Toru ; Goto, Shingo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:252-270.

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2023Time-varying fund manager skills of socially responsible investing (SRI) funds in developed and emerging markets. (2023). Jitmaneeroj, Boonlert. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s027553192300003x.

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2023.

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2023.

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2023.

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2023Explaining the Failure of the Unconditional CAPM with the Conditional CAPM. (2023). Martineau, Charles ; Hasler, Michael. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:3:p:1835-1855.

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2023Managing the Market Portfolio. (2023). Prokopczuk, Marcel ; Hollstein, Fabian. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:6:p:3675-3696.

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2023What we know about the low-risk anomaly: a literature review. (2023). Traut, Joshua. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:3:d:10.1007_s11408-023-00427-0.

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2023Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium. (2023). Wang, Tong. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:1:p:325-367..

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2023Decomposing Long Bond Returns: A Decentralized Theory*. (2023). Wu, Liuren ; Carr, Peter. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:3:p:997-1026..

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2023The Term Structure of Equity Risk Premia: Levered Noise and New Estimates*. (2023). Simutin, Mikhail ; Fisher, Adlai ; Carlson, Murray ; Boguth, Oliver. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:4:p:1155-1182..

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2023Cross-listing and price efficiency: An institutional explanation. (2023). Sheng, Hsia Hua ; Yaar, Mahmut ; Rasheed, Abdul A ; Diniz-Maganini, Natalia. In: Journal of International Business Studies. RePEc:pal:jintbs:v:54:y:2023:i:2:d:10.1057_s41267-022-00524-8.

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2023The Market-Based Probability of Stock Returns. (2023). . In: MPRA Paper. RePEc:pra:mprapa:116234.

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2023Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Working Papers. RePEc:pre:wpaper:202308.

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2023Heterogeneous Behavior and Volatility Transmission in the Forex Market using High-Frequency Data. (2023). Shira, Ruba Khalid ; Lamouchi, Rim Ammar. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:3:f:13_3_3.

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2023Reassessing The Long-Run Abnormal Performance Of Jordanian Ipos: An Event Study Approach. (2023). Khalid, Shawawreh Fawaz. In: Foundations of Management. RePEc:vrs:founma:v:15:y:2023:i:1:p:141-160:n:6.

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Works by Adlai Julian Fisher:

YearTitleTypeCited
2008Reputation and Managerial Truth?Telling as Self?Insurance In: Journal of Economics & Management Strategy.
[Full Text][Citation analysis]		article0
2006Corporate Investment and Asset Price Dynamics: Implications for SEO Event Studies and Long?Run Performance In: Journal of Finance.
[Full Text][Citation analysis]		article124
2014Leaders, Followers, and Risk Dynamics in Industry Equilibrium In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article9
2018Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article3
1997A Multifractal Model of Asset Returns In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper200
1999A Multifractal Model of Assets Returns.(1999) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 200		paper
2011A Multifractal Model of Asset Returns.(2011) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 200		paper
1997Large Deviations and the Distribution of Price Changes In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper37
1997Multifractality of Deutschemark/US Dollar Exchange Rates In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper35
2001Forecasting multifractal volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article132
1999Forecasting Multifractal Volatility.(1999) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 132		paper
2001Forecasting multifractal volatility.(2001) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 132		paper
2006Volatility comovement: a multifrequency approach In: Journal of Econometrics.
[Full Text][Citation analysis]		article60
2006Volatility Comovement: a multifrequency approach.(2006) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 60		paper
2004Volatility Comovement: A Multifrequency Approach.(2004) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 60		paper
2015What is beneath the surface? Option pricing with multifrequency latent states In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2011Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas In: Journal of Financial Economics.
[Full Text][Citation analysis]		article49
2007Multifrequency news and stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article44
2007Multifrequency news and stock returns.(2007) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 44		paper
2011Multifrequency News and Stock Returns.(2011) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 44		paper
2005Multifrequency News and Stock Returns.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 44		paper
2008Multifrequency jump-diffusions: An equilibrium approach In: Journal of Mathematical Economics.
[Full Text][Citation analysis]		article9
2008Multifrequency jump-diffusions: An equilibrium approach.(2008) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2006Multifrequency Jump-Diffusions: An Equilibrium Approach.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2011Monetary policy and corporate default In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article21
2008Multifractal Volatility In: Elsevier Monographs.
[Full Text][Citation analysis]		book27
2003Regime-Switching and the Estimation of Multifractal Processes In: Harvard Institute of Economic Research Working Papers.
[Full Text][Citation analysis]		paper16
2003Regime-Switching and the Estimation of Multifractal Processes.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
1999Multivariate Stock Returns Around Extreme Events: A Reassessment of Economic Fundamentals and the 1987 Market Crash In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]		paper0
2002Multifractality in Asset Returns: Theory and Evidence In: Post-Print.
[Citation analysis]		paper158
2002Multifractality In Asset Returns: Theory And Evidence.(2002) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 158		article
2004How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes In: Post-Print.
[Citation analysis]		paper138
2009Multifractal Volatility: Theory, Estimation and Forecasting In: Post-Print.
[Citation analysis]		paper0
2008Multifractal Volatility: Theory, Forecasting and Pricing In: Post-Print.
[Citation analysis]		paper64
2011Large Deviation Theory and the Distribution of Price Changes In: Working Papers.
[Citation analysis]		paper0
2011Multifractality of US Dollar/Deutsche Mark Exchange Rates In: Working Papers.
[Citation analysis]		paper0
2010SEO Risk Dynamics In: The Review of Financial Studies.
[Full Text][Citation analysis]		article31
2016Horizon Effects in Average Returns: The Role of Slow Information Diffusion In: The Review of Financial Studies.
[Full Text][Citation analysis]		article10
2022Macroeconomic Attention and Announcement Risk Premia In: The Review of Financial Studies.
[Full Text][Citation analysis]		article13
2004Corporate Investment and Asset Price Dynamics: Implications for Post-SEO Performance In: 2004 Meeting Papers.
[Citation analysis]		paper179

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