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Irrational analysts' expectations as a cause of excess volatility in stock prices

Bulkley, George; Harris, Richard D. F. - 1996

Persistent link: https://www.econbiz.de/10000943010

Irrational analysts' expectations as a cause of excess volatility in stock prices

Bulkley, George - In: The economic journal : the journal of the Royal … 107 (1997) 441, pp. 359-371

Persistent link: https://www.econbiz.de/10001216949

A Cyclical Model of Exchange Rate Volatility

Harris, Richard D. F. - 2010

In this paper, we investigate the long run dynamics of the intraday range of the GBP/USD, JPY/USD and CHF/USD exchange rates. We use a non-parametric filter to extract the low frequency component of the intraday range, and model the cyclical deviation of the range from the long run trend as a...

Persistent link: https://www.econbiz.de/10013143592

A Cyclical Model of Exchange Rate Volatility

Harris, Richard D. F. - 2012

Persistent link: https://www.econbiz.de/10013114842

A cyclical model of exchange rate volatility

Harris, Richard D. F.; Stoja, Evarist; Yilmaz, Fatih - 2010

Persistent link: https://www.econbiz.de/10008659913

A cyclical model of exchange rate volatility

Harris, Richard D. F.; Stoja, Evarist; Yilmaz, Fatih - In: Journal of banking & finance 35 (2011) 11, pp. 3055-3064

Persistent link: https://www.econbiz.de/10009374618

Long memory conditional volatility and asset allocation

Harris, Richard D. F.; Nguyen, Anh - In: International journal of forecasting 29 (2013) 2, pp. 258-273

Persistent link: https://www.econbiz.de/10009743418

The limits to minimum-variance hedging

Harris, Richard D. F.; Shen, Jian; Stoja, Evarist - In: Journal of business finance & accounting : JBFA 37 (2010) 5/6, pp. 737-761

Persistent link: https://www.econbiz.de/10008698686

Dynamic hedge fund portfolio construction

Harris, Richard D. F.; Mazibas, Murat - In: International review of financial analysis 19 (2010) 5, pp. 351-357

Persistent link: https://www.econbiz.de/10009272647

Bias in the estimation of non-linear transformations of the integrated variance of returns

Harris, Richard D. F.; Guermat, Cherif - In: Journal of forecasting 25 (2006) 7, pp. 481-494

Persistent link: https://www.econbiz.de/10003394896