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Journal of Empirical Finance 7 2000 555–556
www.elsevier.comrlocatereconbase
Author Index Volume 7
Ball, C.A. and W.N. Torous, Stochastic correlation across international stock markets 373 Barnhill Jr., T.M., F.L. Joutz and W.F. Maxwell, Factors affecting the yields on noninvestment
grade bond indices: a cointegration analysis 57 Billio, M. and L. Pelizzon, Value-at-Risk: a multivariate switching regime approach 531 Bollerslev, T., J. Cai and F.M. Song, Intraday periodicity, long memory volatility, and
macroeconomic announcement effects in the US Treasury bond market 37 Bowden, R.J., The ordered mean difference as a portfolio performance measure 195 Brockman, P. and D.Y. Chung, An empirical investigation of trading on asymmetric
informa-tion and heterogeneous prior beliefs 417 Brunetti, C. and C.L. Gilbert, Bivariate FIGARCH and fractional cointegration 509 Cai, J., see Bollerslev, T. 37 Cavallo, L. and P. Mammola, Empirical tests of efficiency of the Italian index options market 173 Chauvet, M. and S. Potter, Coincident and leading indicators of the stock market 87 Christiansen, C., Macroeconomic announcement effects on the covariance structure of
govern-ment bond returns 479
Chung, D.Y., see Brockman, P. 417 De Vries, C.G., see Jansen, D.W. 247 Franke, G. and D. Hess, Information diffusion in electronic and floor trading 455 Franses, P.H., see Groenen, P.J.F. 155 Frey, R., see McNeil, A.J. 271 Fung, W. and D.A. Hsieh, Measuring the market impact of hedge funds 1 Gilbert, C.L., see Brunetti, C. 509 Gourieroux, C., J.P. Laurent and O. Scaillet, Sensitivity analysis of Values at Risk 225 Groenen, P.J.F. and P.H. Franses, Visualizing time-varying correlations across stock markets 155 Guo, L. and T.S. Mech, Conditional event studies, anticipation, and asymmetric information:
the case of seasoned equity issues and pre-issue information releases 113 Hess, D., see Franke, G. 455 Horowitz, J.L., T. Loughran and N.E. Savin, Three analyses of the firm size premium 143
Hsieh, D.A., see Fung, W. 1
Author Index Volume 7
556
McNeil, A.J. and R. Frey, Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 271
Mech, T.S., see Guo, L. 113
Mittnik, S., M.S. Paolella and S.T. Rachev, Diagnosing and treating the fat tails in financial
returns data 389
