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The cross-sectional spillovers of single stock circuit breakers

Brugler, James; Linton, Oliver; Noss, Joseph; Pedace, Lucas - In: Market microstructure and liquidity 4 (2018) 3/4, pp. 1-33

Persistent link: https://www.econbiz.de/10012227892

Testing preference stability between couples and singles

Brugler, James - In: Economics letters 142 (2016), pp. 15-17

Persistent link: https://www.econbiz.de/10011616574

Secondary market transparency and corporate bond issuing costs

Brugler, James; Comerton-Forde, Carole; Martin, J. Spencer - In: Review of finance : journal of the European Finance … 26 (2022) 1, pp. 43-77

Persistent link: https://www.econbiz.de/10012878871

Interactions among high-frequency traders

Benos, Evangelos; Brugler, James; Hjalmarsson, Erik; … - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 4, pp. 1375-1402

Persistent link: https://www.econbiz.de/10011927918

Liquidity shocks and pension fund performance : evidence from early access

Brugler, James; Kim, Minsoo; Zhong, Zhuo - In: Australian journal of management 49 (2024) 2, pp. 170-191

Persistent link: https://www.econbiz.de/10014578062

Does financial market structure affect the cost of raising capital?

Brugler, James; Comerton-Forde, Carole; Hendershott, … - In: Journal of financial and quantitative analysis : JFQA 56 (2021) 5, pp. 1771-1808

Persistent link: https://www.econbiz.de/10012618493

Comment on: price discovery in high resolution

Brugler, James; Comerton-Forde, Carole - In: Journal of financial econometrics 19 (2021) 3, pp. 431-438

Persistent link: https://www.econbiz.de/10012654938

Rejoinder on: price discovery in high resolution

Hasbrouck, Joel - In: Journal of financial econometrics 19 (2021) 3, pp. 465-471

Persistent link: https://www.econbiz.de/10012654950

Annals issue on forecasting — guest editors’ introduction

Issler, João Victor; Linton, Oliver; Timmermann, Allan - 2011

A conference titled 'Forecasting in Rio' was held at the Graduate School of Economics of Getulio Vargas Foundation, Rio de Janeiro, Brazil, in July 2008 to focus on most recent developments in forecasting. One of the papers presented during the conference was titled, 'Predictability of Stock...

Persistent link: https://www.econbiz.de/10009439476

Estimation for a nonstationary semi-strong GARCH(1,1) model with heavy-tailed errors

Linton, Oliver; Pan, Jiazhu; Wang, Hui - 2010

This paper studies the estimation of a semi-strong GARCH(1,1) model when it does not have a stationary solution, where semi-strong means that we do not require the errors to be independent over time. We establish necessary and sufficient conditions for a semi-strong GARCH(1,1) process to have a...

Persistent link: https://www.econbiz.de/10009439719