16
H index
16
i10 index
1336
Citations
Adlai Julian Fisher : Citation Profile
University of British Columbia | RESEARCH PRODUCTION: 15 Articles 24 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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25 years (1997 - 2022). 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:
| Cites to:
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Main data
Where Adlai Julian Fisher has published?
| Journals with more than one article published | # docs |
|---|---|
| Review of Financial Studies | 3 |
| Journal of Econometrics | 3 |
| Journal of Financial Economics | 2 |
| Journal of Financial and Quantitative Analysis | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Post-Print / HAL | 8 |
| Working Papers / HAL | 4 |
| NBER Working Papers / National Bureau of Economic Research, Inc | 3 |
| Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University | 3 |
Recent works citing Adlai Julian Fisher (2023 and 2022)
| Year | Title of citing document |
|---|---|
| 2022 | Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors. (2022). Raju, Raghavender G ; Guptha, Siva Kiran ; Poojari, Akash P. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(632):y:2022:i:3(632):p:61-80. Full description at Econpapers || Download paper |
| 2023 | An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975. Full description at Econpapers || Download paper |
| 2022 | Multiscaling and rough volatility: an empirical investigation. (2022). di Matteo, T ; Brandi, Giuseppe. In: Papers. RePEc:arx:papers:2201.10466. Full description at Econpapers || Download paper |
| 2023 | Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers || Download paper |
| 2023 | Scale 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. Full description at Econpapers || Download paper |
| 2022 | Sector-wise analysis of Indian stock market: Long and short-term risk and stability analysis. (2022). Sadhukhan, Poulomi. In: Papers. RePEc:arx:papers:2210.09619. Full description at Econpapers || Download paper |
| 2023 | Analysis of Indian foreign exchange markets: A Multifractal Detrended Fluctuation Analysis (MFDFA) approach. (2023). Datta, R P. In: Papers. RePEc:arx:papers:2306.16162. Full description at Econpapers || Download paper |
| 2023 | Path Shadowing Monte-Carlo. (2023). Bouchaud, Jean-Philippe ; Mallat, St'Ephane ; Morel, Rudy. In: Papers. RePEc:arx:papers:2308.01486. Full description at Econpapers || Download paper |
| 2022 | Misvaluation and the Asset Growth Anomaly. (2022). Lambertides, Neophytos. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:1:p:105-141. Full description at Econpapers || Download paper |
| 2022 | Do changes in MD&A section tone predict investment behavior?. (2022). Flugum, Ryan ; Bick, Patty ; Berns, John ; Houston, Reza. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:1:p:129-153. Full description at Econpapers || Download paper |
| 2023 | International 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. Full description at Econpapers || Download paper |
| 2022 | Debt Refinancing and Equity Returns. (2022). Wagner, Christian ; Nagler, Florian ; Friewald, Nils. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:4:p:2287-2329. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2022 | Financial-market volatility prediction with multiplicative Markov-switching MIDAS components. (2022). Wilfling, Bernd ; Segnon, Mawuli ; Schulte-Tillman, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:9922. Full description at Econpapers || Download paper |
| 2022 | U.S. Politics from a multifractal perspective. (2022). Schadner, Wolfgang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:155:y:2022:i:c:s0960077921010316. Full description at Econpapers || Download paper |
| 2022 | The predictive power of power-laws: An empirical time-arrow based investigation. (2022). Kalda, Jaan ; di Tollo, Giacomo ; Andria, Joseph. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:162:y:2022:i:c:s096007792200635x. Full description at Econpapers || Download paper |
| 2022 | Do the global grain spot markets exhibit multifractal nature?. (2022). Zhou, Wei-Xing ; Yang, Yan-Hong ; Shao, Ying-Hui ; Gao, Xing-Lu. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:164:y:2022:i:c:s0960077922008426. Full description at Econpapers || Download paper |
| 2023 | Hurst exponent dynamics of S&P 500 returns: Implications for market efficiency, long memory, multifractality and financial crises predictability by application of a nonlinear dynamics analysis framewo. (2023). Vogl, Markus. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:166:y:2023:i:c:s0960077922010633. Full description at Econpapers || Download paper |
| 2022 | Asset growth and stock returns in european equity markets: Implications of investment and accounting distortions. (2022). ARTIKIS, PANAGIOTIS ; Sorros, John N ; Papanastasopoulos, Georgios A ; Diamantopoulou, Lydia. In: Journal of Corporate Finance. RePEc:eee:corfin:v:73:y:2022:i:c:s0929119922000360. Full description at Econpapers || Download paper |
| 2023 | Macroeconomic 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. Full description at Econpapers || Download paper |
| 2022 | Approximate maximum likelihood for complex structural models. (2022). Renault, Eric ; Frazier, David T ; Czellar, Veronika. In: Journal of Econometrics. RePEc:eee:econom:v:231:y:2022:i:2:p:432-456. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2022 | Inference for Nonlinear State Space Models: A Comparison of Different Methods applied to Markov-Switching Multifractal Models. (2022). Lux, Thomas. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:69-95. Full description at Econpapers || Download paper |
| 2022 | The Fama-French model for estimating the cost of equity capital: The impact of real options of investment projects. (2022). Zarzecki, Dariusz ; Urbaski, Stanisaw. In: Economic Systems. RePEc:eee:ecosys:v:46:y:2022:i:1:s0939362521000224. Full description at Econpapers || Download paper |
| 2022 | Equity issues, creditor control and market timing patterns: Evidence from leverage decreasing recapitalizations. (2022). Rapushi, Loreta ; Kisser, Michael. In: Journal of Empirical Finance. RePEc:eee:empfin:v:67:y:2022:i:c:p:196-216. Full description at Econpapers || Download paper |
| 2022 | It is not just What you say, but How you say it: Why tonality matters in central bank communication. (2022). Shen, Aizhong ; Stan, Raluca ; Chen, Denghui ; Gu, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:216-231. Full description at Econpapers || Download paper |
| 2022 | Multiscaling and rough volatility: An empirical investigation. (2022). di Matteo, T ; Brandi, Giuseppe. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922002757. Full description at Econpapers || Download paper |
| 2022 | Stock market return predictability: A combination forecast perspective. (2022). Qi, Jipeng ; Lv, Wendai. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s105752192200326x. Full description at Econpapers || Download paper |
| 2022 | Measuring informational efficiency of the European carbon market — A quantitative evaluation of higher order dependence. (2022). Gronwald, Marc ; Sattarhoff, Cristina. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003532. Full description at Econpapers || Download paper |
| 2023 | Unemployment 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. Full description at Econpapers || Download paper |
| 2023 | Economic 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. Full description at Econpapers || Download paper |
| 2023 | The 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. Full description at Econpapers || Download paper |
| 2023 | Retail 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. Full description at Econpapers || Download paper |
| 2023 | Forced 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. Full description at Econpapers || Download paper |
| 2023 | Portfolio 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. Full description at Econpapers || Download paper |
| 2022 | Macroeconomic attention and stock market return predictability. (2022). Huang, Dengshi ; Liu, Jia ; Lu, Xinjie ; Ma, Feng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s104244312200083x. Full description at Econpapers || Download paper |
| 2023 | The 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. Full description at Econpapers || Download paper |
| 2022 | Testing Factor Models in the Cross-Section. (2022). Prokopczuk, Marcel ; Hollstein, Fabian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:145:y:2022:i:c:s0378426622002060. Full description at Econpapers || Download paper |
| 2022 | The maturity premium. (2022). Zechner, Josef ; Weiss, Patrick ; Chaderina, Maria. In: Journal of Financial Economics. RePEc:eee:jfinec:v:144:y:2022:i:2:p:670-694. Full description at Econpapers || Download paper |
| 2022 | Time-varying risk of nominal bonds: How important are macroeconomic shocks?. (2022). Ermolov, Andrey. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:1:p:1-28. Full description at Econpapers || Download paper |
| 2022 | International asset pricing with strategic business groups1. (2022). Zhang, Hong ; O'Donovan, James ; Massa, Massimo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:2:p:339-361. Full description at Econpapers || Download paper |
| 2022 | Have risk premia vanished?. (2022). Timmermann, Allan ; Smith, Simon C. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:2:p:553-576. Full description at Econpapers || Download paper |
| 2022 | A unified model of distress risk puzzles. (2022). Strebulaev, Ilya A ; Hackbarth, Dirk ; Chen, Zhiyao. In: Journal of Financial Economics. RePEc:eee:jfinec:v:146:y:2022:i:2:p:357-384. Full description at Econpapers || Download paper |
| 2023 | Mutual 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. Full description at Econpapers || Download paper |
| 2022 | Credit risk and the transmission of interest rate shocks. (2022). Yamarthy, Ram ; Palazzo, Berardino. In: Journal of Monetary Economics. RePEc:eee:moneco:v:130:y:2022:i:c:p:120-136. Full description at Econpapers || Download paper |
| 2022 | Stewardship, institutional investors monitoring, and firm value: Evidence from the United Kingdom. (2022). Shiu, Cheng-Yi ; Nguyen, Nghia Huu. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:64:y:2022:i:c:s1042444x22000044. Full description at Econpapers || Download paper |
| 2022 | Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression. (2022). TILFANI, Oussama ; Krištoufek, Ladislav ; Ferreira, Paulo ; el Boukfaoui, My Youssef ; Kristoufek, Ladislav. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:588:y:2022:i:c:s0378437121008037. Full description at Econpapers || Download paper |
| 2022 | Asymmetric multifractality in China’s energy market based on improved asymmetric multifractal cross-correlation analysis. (2022). Zhang, Hongwei ; Yao, Shanshan ; Yu, Zhuling ; Shi, Fengyuan ; Guo, Yaoqi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:594:y:2022:i:c:s0378437122000966. Full description at Econpapers || Download paper |
| 2022 | From rough to multifractal volatility: The log S-fBM model. (2022). Bacry, Emmanuel ; Muzy, Jean-Franois ; Wu, Peng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:604:y:2022:i:c:s0378437122005866. Full description at Econpapers || Download paper |
| 2022 | Equity premium prediction: Taking into account the role of long, even asymmetric, swings in stock market behavior. (2022). Ausloos, Marcel ; Un, Kuok Sin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:608:y:2022:i:p1:s0378437122008433. Full description at Econpapers || Download paper |
| 2022 | Growth options, risk dynamics, and cost of capital: Evidence from U.S. corporate control transactions. (2022). Garcia-Feijoo, Luis ; Coy, Jeffrey M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:84:y:2022:i:c:p:562-576. Full description at Econpapers || Download paper |
| 2022 | Book-to-market equity and asset correlations—An international study. (2022). Chen, Jiun-Lin ; Lee, Shih-Cheng ; Ho, Kung-Cheng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:258-274. Full description at Econpapers || Download paper |
| 2023 | Time-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. Full description at Econpapers || Download paper |
| 2022 | The Methodology Matters: What Influences Market Reaction, and Post-Issue Returns in Seasoned Equity Offerings?. (2022). Wu, Minghao ; C. N. V. Krishnan, . In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:10:p:473-:d:945516. Full description at Econpapers || Download paper |
| 2022 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2022 | Cross-Country Linkages and Asymmetries of Sovereign Risk Pluralistic Investigation of CDS Spreads. (2022). Ghosh, Bikramaditya ; Papathanasiou, Spyros ; Kenourgios, Dimitrios. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:21:p:14056-:d:956758. Full description at Econpapers || Download paper |
| 2022 | Foreign Exchange Multivariate Multifractal Analysis. (2022). Malevergne, Yannick ; Jaffres, Laurent ; Senneret, Marc ; Jaffard, Stephane ; Wendt, Herwig ; Abry, Patrice. In: Post-Print. RePEc:hal:journl:hal-03735497. Full description at Econpapers || Download paper |
| 2022 | Patent Thickets, Stock Returns, and Conditional CAPM. (2022). Zhou, Tong ; Lee, Hsiao-Hui ; Hsu, Po-Hsuan. In: Management Science. RePEc:inm:ormnsc:v:68:y:2022:i:11:p:8343-8367. Full description at Econpapers || Download paper |
| 2022 | The Short-Run and Long-Run Components of Idiosyncratic Volatility and Stock Returns. (2022). Liu, Yunting. In: Management Science. RePEc:inm:ormnsc:v:68:y:2022:i:2:p:1573-1589. Full description at Econpapers || Download paper |
| 2023 | Explaining 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. Full description at Econpapers || Download paper |
| 2023 | Managing the Market Portfolio. (2023). Prokopczuk, Marcel ; Hollstein, Fabian. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:6:p:3675-3696. Full description at Econpapers || Download paper |
| 2022 | Deviation-Based Model Risk Measures. (2022). Righi, Marcelo Brutti ; Lakhnati, Ghizlane ; Muller, Fernanda Maria ; Berkhouch, Mohammed. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-021-10093-x. Full description at Econpapers || Download paper |
| 2023 | What 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. Full description at Econpapers || Download paper |
| 2022 | Commodity risk in European dairy firms. (2022). Kearney, Fearghal ; Dowling, Michael ; Cummins, Mark ; Bagnarosa, Guillaume. In: European Review of Agricultural Economics. RePEc:oup:erevae:v:49:y:2022:i:1:p:151-181.. Full description at Econpapers || Download paper |
| 2023 | Bear 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.. Full description at Econpapers || Download paper |
| 2023 | Decomposing 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.. Full description at Econpapers || Download paper |
| 2023 | The 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.. Full description at Econpapers || Download paper |
| 2023 | Cross-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. Full description at Econpapers || Download paper |
| 2022 | The Market-Based Asset Price Probability. (2022). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:113096. Full description at Econpapers || Download paper |
| 2022 | The Market-Based Asset Price Probability. (2022). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:115382. Full description at Econpapers || Download paper |
| 2022 | An Infinite Hidden Markov Model with Stochastic Volatility. (2022). Yang, Qiao ; Maheu, John M ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:115456. Full description at Econpapers || Download paper |
| 2023 | The Market-Based Probability of Stock Returns. (2023). . In: MPRA Paper. RePEc:pra:mprapa:116234. Full description at Econpapers || Download paper |
| 2023 | Technological 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. Full description at Econpapers || Download paper |
| 2022 | The Fractal Structure of CDS Spreads: Evidence from the OECD Countries. (2022). Uyar, Umut ; Balkan, Emrah. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2022:i:1:p:106-121. Full description at Econpapers || Download paper |
| 2022 | Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process. (2022). Pianese, Augusto ; Bianchi, Sergio ; Frezza, Massimiliano. In: Computational Management Science. RePEc:spr:comgts:v:19:y:2022:i:1:d:10.1007_s10287-021-00412-w. Full description at Econpapers || Download paper |
| 2022 | Using accounting earnings and aggregate economic indicators to estimate firm-level systematic risk. (2022). Ball, Ray ; Tseng, Ayung ; Sadka, Gil. In: Review of Accounting Studies. RePEc:spr:reaccs:v:27:y:2022:i:2:d:10.1007_s11142-021-09594-9. Full description at Econpapers || Download paper |
| 2023 | Heterogeneous 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. Full description at Econpapers || Download paper |
| 2022 | Co-skewness across Return Horizons. (2022). Jin, Chenglu ; Conlon, Thomas ; Cotter, John. In: Working Papers. RePEc:ucd:wpaper:202210. Full description at Econpapers || Download paper |
| 2022 | Volatility forecasting revisited using Markov?switching with time?varying probability transition. (2022). Chen, Zhonglu ; Liang, Chao ; Ma, Feng ; Wang, Jiqian. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1387-1400. Full description at Econpapers || Download paper |
| 2022 | What matters when developing oil price volatility forecasting frameworks?. (2022). Filis, George ; Degiannakis, Stavros ; Delis, Panagiotis. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:361-382. Full description at Econpapers || Download paper |
| 2022 | General Purpose Technologies as Systematic Risk in Global Stock Markets. (2022). Yang, Wei ; Wang, Huijun ; Hsu, Pohsuan. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:54:y:2022:i:5:p:1141-1173. Full description at Econpapers || Download paper |
Works by Adlai Julian Fisher:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2008 | Reputation and Managerial Truth?Telling as Self?Insurance In: Journal of Economics & Management Strategy. [Full Text][Citation analysis] | article | 0 |
| 2006 | Corporate Investment and Asset Price Dynamics: Implications for SEO Event Studies and Long?Run Performance In: Journal of Finance. [Full Text][Citation analysis] | article | 123 |
| 2014 | Leaders, Followers, and Risk Dynamics in Industry Equilibrium In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 7 |
| 2018 | Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 2 |
| 1997 | A Multifractal Model of Asset Returns In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 200 |
| 1999 | A 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 another version. Agregated cites: 200 | paper | |
| 2011 | A Multifractal Model of Asset Returns.(2011) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 200 | paper | |
| 1997 | Large Deviations and the Distribution of Price Changes In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 37 |
| 1997 | Multifractality of Deutschemark/US Dollar Exchange Rates In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 35 |
| 2001 | Forecasting multifractal volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 129 |
| 1999 | Forecasting Multifractal Volatility.(1999) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] This paper has another version. Agregated cites: 129 | paper | |
| 2001 | Forecasting multifractal volatility.(2001) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 129 | paper | |
| 2006 | Volatility comovement: a multifrequency approach In: Journal of Econometrics. [Full Text][Citation analysis] | article | 57 |
| 2006 | Volatility Comovement: a multifrequency approach.(2006) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 57 | paper | |
| 2004 | Volatility Comovement: A Multifrequency Approach.(2004) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 57 | paper | |
| 2015 | What is beneath the surface? Option pricing with multifrequency latent states In: Journal of Econometrics. [Full Text][Citation analysis] | article | 7 |
| 2011 | Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 48 |
| 2007 | Multifrequency news and stock returns In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 42 |
| 2007 | Multifrequency news and stock returns.(2007) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 42 | paper | |
| 2011 | Multifrequency News and Stock Returns.(2011) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 42 | paper | |
| 2005 | Multifrequency News and Stock Returns.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | paper | |
| 2008 | Multifrequency jump-diffusions: An equilibrium approach In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 9 |
| 2008 | Multifrequency jump-diffusions: An equilibrium approach.(2008) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2006 | Multifrequency Jump-Diffusions: An Equilibrium Approach.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2011 | Monetary policy and corporate default In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 21 |
| 2008 | Multifractal Volatility In: Elsevier Monographs. [Full Text][Citation analysis] | book | 27 |
| 2003 | Regime-Switching and the Estimation of Multifractal Processes In: Harvard Institute of Economic Research Working Papers. [Full Text][Citation analysis] | paper | 16 |
| 2003 | Regime-Switching and the Estimation of Multifractal Processes.(2003) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
| 1999 | Multivariate 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] | paper | 0 |
| 2002 | Multifractality in Asset Returns: Theory and Evidence In: Post-Print. [Citation analysis] | paper | 157 |
| 2002 | Multifractality In Asset Returns: Theory And Evidence.(2002) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 157 | article | |
| 2004 | How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes In: Post-Print. [Citation analysis] | paper | 134 |
| 2009 | Multifractal Volatility: Theory, Estimation and Forecasting In: Post-Print. [Citation analysis] | paper | 0 |
| 2008 | Multifractal Volatility: Theory, Forecasting and Pricing In: Post-Print. [Citation analysis] | paper | 64 |
| 2011 | Large Deviation Theory and the Distribution of Price Changes In: Working Papers. [Citation analysis] | paper | 0 |
| 2011 | Multifractality of US Dollar/Deutsche Mark Exchange Rates In: Working Papers. [Citation analysis] | paper | 0 |
| 2010 | SEO Risk Dynamics In: Review of Financial Studies. [Full Text][Citation analysis] | article | 31 |
| 2016 | Horizon Effects in Average Returns: The Role of Slow Information Diffusion In: Review of Financial Studies. [Full Text][Citation analysis] | article | 8 |
| 2022 | Macroeconomic Attention and Announcement Risk Premia In: Review of Financial Studies. [Full Text][Citation analysis] | article | 8 |
| 2004 | Corporate Investment and Asset Price Dynamics: Implications for Post-SEO Performance In: 2004 Meeting Papers. [Citation analysis] | paper | 174 |
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