Adlai Julian Fisher : Citation Profile

University of British Columbia

16

H index

18

i10 index

1457

Citations

RESEARCH PRODUCTION:

15

Articles

24

Papers

1

Books

RESEARCH ACTIVITY:

   25 years (1997 - 2022). See details.
   Cites by year: 58
   Journals where Adlai Julian Fisher has often published
   Relations with other researchers
   Recent citing documents: 78.    Total self citations: 14 (0.95 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfi214
   Updated: 2025-12-27    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 (53)

Lux, Thomas (37)

Krištoufek, Ladislav (20)

Aldrich, Eric (19)

Diebold, Francis (18)

Kaizoji, Taisei (16)

Onali, Enrico (15)

Calvet, Laurent (15)

Goddard, John (14)

Zhang, Lu (14)

Wilfling, Bernd (13)

Cites to:

Calvet, Laurent (46)

Campbell, John (30)

Bollerslev, Tim (18)

Abel, Andrew (13)

Engle, Robert (13)

Schwert, G. (12)

Ghysels, Eric (12)

French, Kenneth (11)

Diebold, Francis (10)

Jagannathan, Ravi (10)

Andersen, Torben (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
NBER Working Papers / National Bureau of Economic Research, Inc3
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University3

Recent works citing Adlai Julian Fisher (2025 and 2024)

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

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2024The Debt-Inflation Channel of the German (Hyper-)Inflation. (2024). Zimmermann, Tom ; Verner, Emil ; Luck, Stephan ; Correia, Sergio ; Brunnermeier, Markus K. In: Papers. RePEc:arx:papers:2405.13296.

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2024Model-based and empirical analyses of stochastic fluctuations in economy and finance. (2024). Zadourian, Rubina. In: Papers. RePEc:arx:papers:2408.16010.

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2024Generating long-horizon stock buy signals with a neural language model. (2024). Bock, Joel R. In: Papers. RePEc:arx:papers:2410.18988.

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2024Double Descent in Portfolio Optimization: Dance between Theoretical Sharpe Ratio and Estimation Accuracy. (2024). Zhang, Terry ; Yang, Yanrong ; Lu, Yonghe. In: Papers. RePEc:arx:papers:2411.18830.

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2025Hierarchical Minimum Variance Portfolios: A Theoretical and Algorithmic Approach. (2025). Mograby, Gamal. In: Papers. RePEc:arx:papers:2503.12328.

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2025A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction. (2025). Pigato, Paolo ; Pra, Paolo Dai. In: Papers. RePEc:arx:papers:2504.03445.

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2025Why is the volatility of single stocks so much rougher than that of the S&P500?. (2025). Muzy, Jean-Franccois ; Bouchaud, Jean-Philippe ; Bacry, Emmanuel ; Aubrun, Cecilia ; Zarhali, Othmane. In: Papers. RePEc:arx:papers:2505.02678.

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2025Multifractality in Bitcoin Realised Volatility: Implications for Rough Volatility Modelling. (2025). Pontiggia, Milan. In: Papers. RePEc:arx:papers:2507.00575.

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2025Equity Premium Prediction: Taking into Account the Role of Long, even Asymmetric, Swings in Stock Market Behavior. (2025). Ausloos, Marcel ; Un, Kuok Sin. In: Papers. RePEc:arx:papers:2509.10483.

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2025A high-frequency approach to Realized Risk Measures. (2025). Mazzarisi, Piero ; Lillo, Fabrizio ; Gatta, Federico. In: Papers. RePEc:arx:papers:2510.16526.

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2025The Omniscient, yet Lazy, Investor. (2025). , Stanislaw. In: Papers. RePEc:arx:papers:2510.24467.

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2024Coordinating the Message: Media Coverage of Fed News and Market Reactions. (2024). Istrefi, Klodiana ; Sagna, Baeatrice ; Herbert, Sylvaerie. In: Working papers. RePEc:bfr:banfra:983.

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2024Market power and systematic risk. (2024). Prokopczuk, Marcel ; Hollstein, Fabian ; Wursig, Christoph Matthias. In: Financial Management. RePEc:bla:finmgt:v:53:y:2024:i:2:p:233-266.

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2024Dynamic Equity Slope. (2024). Colonnello, Stefano ; Marfe, Roberto ; Breugem, Matthijs ; Zucchi, Francesca. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:713.

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2024Exploring the interplay of intrinsic fluctuation and complexity in intracellular calcium dynamics. (2024). Brojen, R K ; Jeon, Jae-Hyung ; Chanu, Athokpam Langlen. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:185:y:2024:i:c:s0960077924006908.

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2025Understanding stock price behavior around external financing. (2025). Yao, Yaqiong ; Martin, Spencer J ; Cao, Min. In: Journal of Corporate Finance. RePEc:eee:corfin:v:91:y:2025:i:c:s0929119924001925.

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2024Can digital tax enforcement reduce the risk of corporate debt default?. (2024). Chen, Wanyi ; Xu, Jingyu. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:83:y:2024:i:c:p:1041-1060.

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2025Momentum mechanisms under heterogeneous beliefs. (2025). Wang, Yiming ; Tong, Yan ; Yan, YU. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001876.

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2025A common component of Fama and French factor variances. (2025). Grobys, Klaus ; Fathi, Masoumeh ; Ij, Janne. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002171.

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2024Realized regression with asynchronous and noisy high frequency and high dimensional data. (2024). Mykland, Per A ; Zhang, Lan ; Chen, Dachuan. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s030440762300132x.

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2025Multiplicative factor model for volatility. (2025). Engle, Robert ; Ding, Yi ; Zheng, Xinghua ; Li, Yingying. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000132.

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2024Estimation and inference in low frequency factor model regressions with overlapping observations. (2024). Dossani, Asad. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000719.

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2024Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA. (2024). Zhou, Guofu ; Lu, Yueliang ; Han, Yufeng ; Xu, Weike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000720.

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2024Technological shocks and stock market volatility over a century. (2024). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000951.

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2024Does energy consumption play a key role? Re-evaluating the energy consumption-economic growth nexus from GDP growth rates forecasting. (2024). Hu, Shiyang ; Ma, Feng ; Lu, Fei. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007661.

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2024More is better? The impact of predictor choice on the INE oil futures volatility forecasting. (2024). Tang, Xiaoping ; Fu, Tong ; Feng, Lingbing ; Huang, Dasen. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002482.

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2025Environmental attention and the predictability of crude oil volatility: Evidence from a new MIDAS multifractal model. (2025). Dong, Xin ; Gong, Jinguo ; Wang, Qin. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000507.

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2024Asset redeployability and firm value amidst the COVID-19 pandemic: A real options perspective. (2024). Yi, Xingjian ; Chen, Jia ; Liu, Hao. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002308.

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2024New evidence of interdependence in forex markets: A connection of connection analysis. (2024). Xu, Xin ; Sun, Xiaotong ; Wu, Tao ; Xuan, Siyuan ; Jia, Nanfei. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002758.

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2024A universal exponent governing foreign exchange rate risks. (2024). Grobys, Klaus. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003545.

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2024Demystifying the dynamic relationship between news sentiment index and ESG stocks: Evidence from time-frequency wavelet analysis. (2024). Ali, Shoaib ; Bejaoui, Azza ; Yousaf, Imran. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006306.

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2024A comment on the relationship between operating leverage and financial leverage. (2024). Glover, Kristoffer. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s154461232400552x.

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2024Global dynamics of bond co-movements: insights from the response to the US bond yields using wavelet methods. (2024). Adhikari, Hari ; Gladson, Eben Josecliff ; Choi, Youngran. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324010304.

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2024Financial news media and volatility: Is there more to newspapers than news?. (2024). Ashwin, Julian. In: Journal of Financial Markets. RePEc:eee:finmar:v:69:y:2024:i:c:s1386418124000144.

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2025Does stock liquidity matter for corporate cash holdings? Insights from a transition economy. (2025). Giang, Thi Huong ; Nguyen, Huu Manh. In: Global Finance Journal. RePEc:eee:glofin:v:65:y:2025:i:c:s1044028325000298.

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2024A multifractal detrended fluctuation analysis of Islamic and conventional financial markets efficiency during the COVID-19 pandemic. (2024). Raza, Syed Ali ; Shah, Nida ; Suleman, Muhammed Tahir. In: International Economics. RePEc:eee:inteco:v:177:y:2024:i:c:s2110701723000756.

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2025Exchange rate regime changes and market efficiency: An event study. (2025). Portela, Jose ; Martin-Bujack, Karin ; Corzo, Teresa ; Rodrguez-Gallego, Alejandro. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:100:y:2025:i:c:s1042443125000228.

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2025FOMC news and segmented markets. (2025). Golez, Benjamin ; Kelly, Peter ; Matthies, Ben. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:79:y:2025:i:2:s0165410125000035.

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2025A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607.

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2025The causal effect of limited attention to FOMC announcements. (2025). Marmora, Paul. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:234:y:2025:i:c:s0167268125001192.

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2024Learning about the consumption risk exposure of firms. (2024). Li, Kai ; Kim, Yongjin ; Kuehn, Lars-Alexander. In: Journal of Financial Economics. RePEc:eee:jfinec:v:152:y:2024:i:c:s0304405x2300199x.

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2024Conditional risk. (2024). Gormsen, Niels ; Jensen, Christian Skov. In: Journal of Financial Economics. RePEc:eee:jfinec:v:162:y:2024:i:c:s0304405x24001569.

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2025Main Street’s Pain, Wall Street’s Gain. (2025). You, Yang ; Xu, Nancy R. In: Journal of Financial Economics. RePEc:eee:jfinec:v:168:y:2025:i:c:s0304405x25000455.

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2024Corporate acquisitions and firm-level uncertainty: Domestic versus cross-border deals. (2024). Girma, Sourafel ; Bai, YE ; Riao, Alejandro. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001894.

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2024Global mispricing matters. (2024). Yu, Jiasheng ; Liu, Hongkui ; Tang, Guohao ; Jiang, Fuwei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:147:y:2024:i:c:s0261560624001232.

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2024Stock return predictability using economic narrative: Evidence from energy sectors. (2024). Ma, Tian ; Zhang, Huajing ; Li, Ganghui. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:35:y:2024:i:c:s2405851324000370.

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2024Influence of Ukraine invasion by Russia on Turkish markets. (2024). Tanrivermi, Yesim ; Salami, Monsurat Ayojimi. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494923000609.

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2024Labor leverage and firm risk: Evidence from Korea. (2024). Kim, Yongjun ; Cho, Wonho. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x23002895.

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2024Product network and origin of common equity factor risks. (2024). Zhao, Xuejun ; Zhang, Zili ; Shi, Yan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:87:y:2024:i:c:s0927538x24002622.

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2025Financial risk management innovation in global commodity futures markets: A macroeconomic attention perspective. (2025). Wang, Tianyang ; Guo, Qiang ; Ma, Feng ; Lu, Xinjie. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:92:y:2025:i:c:s0927538x25001374.

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2024Insights into the dynamics of market efficiency spillover of financial assets in different equity markets. (2024). Choi, Sun-Yong ; Lee, Min-Jae. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:641:y:2024:i:c:s0378437124002280.

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2024Differential entropy estimation with a Paretian kernel: Tail heaviness and smoothing. (2024). Da Silva, Sergio ; Matsushita, Raul ; Nobre, Iuri ; Brando, Helena. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:646:y:2024:i:c:s0378437124003595.

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2025Dynamic price interactions in energy commodities benchmarks: Insights from multifractal analysis during crisis periods. (2025). Inacio, C. M. C., ; David, S A ; Kristoufek, Ladislav. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:659:y:2025:i:c:s0378437124008240.

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2025Multifractal behaviors on exchange rate of world prominent economic countries correspond to Malaysia Ringgit. (2025). Mohd, Muhammad Aslam ; Masseran, Nurulkamal. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:671:y:2025:i:c:s0378437125003413.

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2025The effect of labor unions on capital markets: Evidence from seasoned equity offerings. (2025). Tseng, Yen-Jung ; Feng, Zhi-Yuan ; Wu, Minzhi ; Tan, Sung-Yun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:101:y:2025:i:c:s1059056025003533.

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2024On the conditional performance of the IVOL anomaly. (2024). Wu, KE ; Pan, Jiening ; Wang, Jianqiu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:337-350.

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2024Do the dynamics of macroeconomic attention drive the yen/dollar exchange market volatility?. (2024). Luo, Tao ; Zhang, Lixia ; Bai, Jiancheng ; Sun, Huaping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:597-611.

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2024Forecasting US GDP growth rates in a rich environment of macroeconomic data. (2024). Tao, Ying ; Zeng, Qing ; Lu, Fei ; Bouri, Elie. In: International Review of Economics & Finance. RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004684.

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2025Do oil price shocks drive systematic risk premia in stock markets? A novel investment application. (2025). Demirer, Riza ; Polat, Onur ; Sokhanvar, Amin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003842.

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2025Disentangling Sources of Multifractality in Time Series. (2025). Wtorek, Marcin ; Stanisz, Tomasz ; Kluszczyski, Robert ; Drod, Stanisaw ; Kwapie, Jarosaw. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:2:p:205-:d:1563658.

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2025Corporate Bond Purchase Program and Corporate Debt Issuance: Evidence from Japanese Corporate Bond Marketing News. (2025). Takaoka, Sumiko ; Takahashi, Koji. In: IMES Discussion Paper Series. RePEc:ime:imedps:25-e-11.

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2024Ownership Concentration and Firm Value: New Evidence from Owner Stakes in IPOs. (2024). Urzúa I., Francisco ; Sertsios, Giorgo ; Roosenboom, Peter ; Larrain, Borja. In: Management Science. RePEc:inm:ormnsc:v:70:y:2024:i:7:p:4441-4464.

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2025Stock Market Efficiency of the BRICS Countries Pre-, During, and Post Covid-19 Pandemic: A Multifractal Detrended Fluctuation Analysis. (2025). Rahman, Md Shahriar ; Moudud-Ul, Syed. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10607-3.

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2024Market and Institutional Ownership Reactions to REIT Security Issuances. (2024). Ngo, Thanh ; Pyles, Mark K ; Huerta, Daniel. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:69:y:2024:i:1:d:10.1007_s11146-022-09926-9.

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2025COVID-19 and persistence in the stock market: a study on a leading emerging market. (2025). Bhattacharjee, Anindita ; Nandy, Monomita ; Lodh, Suman. In: International Journal of Disclosure and Governance. RePEc:pal:ijodag:v:22:y:2025:i:2:d:10.1057_s41310-024-00250-7.

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2025Dynamical analysis of financial stocks network: Improving forecasting using network properties. (2025). Achitouv, Ixandra. In: PLOS ONE. RePEc:plo:pone00:0319985.

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2024Forecasting Realized US Stock Market Volatility: Is there a Role for Economic Policy Uncertainty?. (2024). Pierdzioch, Christian ; GUPTA, RANGAN ; Cepni, Oguzhan ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202408.

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2025Deglobalization and Foreign Exchange Volatility: The Role of Supply Chain Pressures. (2025). GUPTA, RANGAN ; Demirer, Riza ; Schulte-Tillmann, Bjorn ; Segnon, Mawuli. In: Working Papers. RePEc:pre:wpaper:202506.

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2025A Stochastic Volatility Approximation for a Tick-By-Tick Price Model with Mean-Field Interaction. (2025). Pigato, Paolo ; Pra, Paolo Dai. In: CEIS Research Paper. RePEc:rtv:ceisrp:596.

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2024Unlocking the black box: Non-parametric option pricing before and during COVID-19. (2024). Gradojevic, Nikola ; Kukolj, Dragan. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04578-7.

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2024Macroeconomic attention and commodity market volatility. (2024). Skintzi, Vasiliki ; Stavroula, Fameliti. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:5:d:10.1007_s00181-024-02613-z.

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2024Dynamic partial (co)variance forecasting model. (2024). Chen, Zirong ; Zhou, Yao. In: Quantitative Finance. RePEc:taf:quantf:v:24:y:2024:i:5:p:643-653.

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2025Connectedness in exchange rates and news sentiment in the Asia‐Pacific region. (2025). Boonman, Tjeerd ; Fittje, Jens C. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:2389-2406.

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2024Forecasting exchange rates: An iterated combination constrained predictor approach. (2024). Souropanis, Ioannis ; Panopoulou, Ekaterini ; Alexandridis, Antonios K. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:4:p:983-1017.

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2024An infinite hidden Markov model with stochastic volatility. (2024). Maheu, John ; Li, Chenxing ; Yang, Qiao. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2187-2211.

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2025Stock Return Prediction Based on a Functional Capital Asset Pricing Model. (2025). Shang, Han Lin ; Beyaztas, Ufuk ; Ji, Kaiying ; Wu, Eliza. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:6:p:2017-2036.

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2025Who Absorbs the Debt-Deflation Channel? Empirical Evidence from Historical Balance Sheets and the Great Swiss Deflation. (2025). Brandt, Przemyslaw ; Mair, Lukas ; Schaltegger, Christoph ; Mosler, Martin. In: VfS Annual Conference 2025 (Cologne): Revival of Industrial Policy. RePEc:zbw:vfsc25:325423.

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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]		article129
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]		paper208
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: 208		paper
2011A Multifractal Model of Asset Returns.(2011) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 208		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]		article136
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: 136		paper
2001Forecasting multifractal volatility.(2001) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 136		paper
2006Volatility comovement: a multifrequency approach In: Journal of Econometrics.
[Full Text][Citation analysis]		article66
2006Volatility Comovement: a multifrequency approach.(2006) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 66		paper
2004Volatility Comovement: A Multifrequency Approach.(2004) In: NBER Technical Working Papers.
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This paper has nother version. Agregated cites: 66		paper
2015What is beneath the surface? Option pricing with multifrequency latent states In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
2011Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas In: Journal of Financial Economics.
[Full Text][Citation analysis]		article54
2007Multifrequency news and stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article46
2007Multifrequency news and stock returns.(2007) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 46		paper
2011Multifrequency News and Stock Returns.(2011) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 46		paper
2005Multifrequency News and Stock Returns.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 46		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.
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2011Monetary policy and corporate default In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article24
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.
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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]		paper169
2002Multifractality In Asset Returns: Theory And Evidence.(2002) In: The Review of Economics and Statistics.
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This paper has nother version. Agregated cites: 169		article
2004How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes In: Post-Print.
[Citation analysis]		paper146
2009Multifractal Volatility: Theory, Estimation and Forecasting In: Post-Print.
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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.
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2022Macroeconomic Attention and Announcement Risk Premia In: The Review of Financial Studies.
[Full Text][Citation analysis]		article33
2004Corporate Investment and Asset Price Dynamics: Implications for Post-SEO Performance In: 2004 Meeting Papers.
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