A. Journal Articles
- Business Cycle Asymmetries in Stock Returns: Evidence
from Higher Order Moments and Conditional Densities. Journal
of Econometrics 2001, 259-306 (with Gabriel Perez-Quiros).
- Structural Breaks, Incomplete Information and Stock
Prices, Journal of Business and Economic Statistics,
2001, 299-315.
- Dangers of Data-driven Inference: The case of calendar
effects in stock returns, Journal of Econometrics,
2001, 249-286 (with Ryan Sullivan and Hal White).
- Firm Size and Cyclical Variations in Stock Returns.
Journal of Finance, 2000, 1229-1262 (with Gabriel
Perez-Quiros). small.pdf
- Data-Snooping, Technical Trading Rules and the Bootstrap.
Journal of Finance, 1999, 54, 1647-1692 (with Ryan
Sullivan and Hal White).
- Moments of Markov Switching Models. Journal of Econometrics,
2000, 96, 75-111.
- The Hazards of Mutual Fund Underperformance: A Cox Regression
Analysis. Journal of Empirical Finance, 1999, 121-152
(with Asger Lunde and David Blake). fullpaper.pdf
- Mutual Fund Performance: Evidence from the UK. European
Review of Finance, 1998, 57-77 (with David Blake)
- Asset Allocation Dynamics and Pension Fund Performance.
Journal of Business, 1999, 72, 429-461 (with David
Blake and Bruce Lehmann). Pensrev2.pdf
- Risk Sharing and Transition Costs in the Reform of Pension
Systems in Europe. Economic Policy, 1999, 253-286
(with David Miles).
- Excess Volatility and Predictability of Stock Returns
in Autoregressive Dividend Models with Learning. Review
of Economic Studies, 1996, 523-557.
- Option Pricing with GARCH and Systematic Consumption
Risk. Derivatives Use, Trading & Regulation,
1996, Part II: vol 1(4), pp 353-67 (with Steve Satchell).
- Predictability of Stock Returns: Robustness and Economic
Significance. Journal of Finance, 1995, 50, 1201-1228
(with Hashem Pesaran).
- Cointegration Tests of Present Value Models with a Time-Varying
Discount Factor. Journal of Applied Econometrics,
1995, 10, 17-31.
- An Assessment of the Economic Value of Nonlinear Foreign
Exchange Rate Forecasts. Journal of Forecasting,
1995, 14(6), 477-498 (with Steve Satchell). To be reprinted
in T.C. Mills (ed.) Economic Forecasting. Edward Elgar.
UK.
- Option Pricing with GARCH and Systematic Consumption
Risk. Derivatives Use, Trading & Regulation,
1995, Part I: vol 1 (3), pp 279-88 (with Steve Satchell).
- On the Optimality of Adaptive Expectations: Muth Revisited.
International Journal of Forecasting, 1995, 11(3),
407-16 (with Steve Satchell).
- Can Agents Learn to Form Rational Expectations? Some
Results on Convergence and Stability of Learning in the
UK Stock Market. Economic Journal, 1994, 104, 777-98.
- Present value Models with Feedback: Solutions, Stability,
Bubbles, and Some Empirical Evidence. Journal of Economic
Dynamics and Control, 1994, 18, 1093-1119.
- Forecasting Stock Returns. An Examination of Stock Market
Trading in the Presence of Transaction Costs. Journal
of Forecasting, 1994, 13, 335-67 (with Hashem Pesaran).
- A Generalization of the Non-Parametric Henriksson-Merton
test of Market Timing. Economics Letters, 1994,
44, 1-7 (with Hashem Pesaran).
- Variation in Expected Stock Returns. Evidence on the
Pricing of Equities from a Cross- Section of UK Companies.
Economica, 1994, 63, 369-82 (with David Miles).
- Why do Dividend Yields Forecast Stock Returns ?. Economics
Letters, 1994, 46, 149-158.
- Optimal Properties of Exponentially Weighted Forecasts
in the Presence of Different Sources of Information. Economics
Letters, 1994, 45, 169-74 (with Steve Satchell).
- How Learning in Financial Markets Generates Excess Volatility
and Predictability in Stock Prices. Quarterly Journal
of Economics, 1993, 108, 1135-1145.
- Learning, Specification Search and Stock Market Efficiency.
With an Application to the Danish Stock Market. Scandinavian
Journal of Economics, 1993, 95(2), 157 - 73.
- Chaos and Non-linear Components in Danish Asset Prices.
Journal of the Danish Economic Association, 1993,
vol 131, 374-389.
- A Simple Non-Parametric Test of Predictive Performance.
Journal of Business and Economic Statistics, 1992,
461-65 (with Hashem Pesaran).
- The Long Run Behaviour of Danish Stock Prices. Journal
of the Danish Economic Association, 1992, vol 130,
3, 473-82.
- The Stock Market Crash of October 1987. Journal of
the Danish Economic Association, 1988, vol 127, 1,
74-94.
B. Book Chapters, Comments and Reviews
- Density Forecasting in Economics and Finance. Editorial
in Special issue of Journal of Forecasting. Forthcoming,
Summer 2000.
- Data Mining with Local Model Specification: A Discussion
of Hoover and Perez. Econometrics Journal, 1999,
vol 2, 220-225 (with Clive Granger).
- Daily Returns in International Stock Markets: Predictability,
Nonlinearity, and Transaction Costs. Pages 369-391 in
Barnett, Kirman and Salmon (eds.) Nonlinear Dynamics
and Economics. Proceedings of the tenth international
symposium in economic theory and econometrics (with Steve
Satchell). Double refereed.
- Variations in the Mean and Volatility of Stock Returns
around Turning Points of the Business Cycle (with Gabriel
Perez-Quiros). John Knight and Steve Satchell (eds): Forecasting
Volatility in the Financial Markets, pages 287-306. Butterworth-Heinemann,
Oxford (1998). Refereed.
- Book Review of Robert Trippi and Efram Turban (eds)
Neural Networks in Finance and Investing. Revised Edition,
Irwin (1997). International Journal of Forecasting.
- Scales and Stock Markets. Nature, 1995, vol 376, 18-19.
Investor Preferences and the Correlation Dimension. In
Robert Trippi (ed.) Chaos and Nonlinear Dynamics in
the Financial Markets. Theory, Evidence and Applications
(with Steve Satchell).
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