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Scruggs, John T.'s
Scholarly Papers
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3,025 |
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Citations
49 |
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1.
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Scruggs, John T.
Barclays Global Investors Nardari, Federico
University of Houston - Department of Finance
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Variance decomposition, return predictability, vector autoregression, multivariate stochastic volatility, Markov chain Monte Carlo, Gibbs sampling
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Scruggs, John T.
Barclays Global Investors Glabadanidis, Paskalis
University of Adelaide Business School
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05 Jul 01
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Last Revised:
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23 Oct 12
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716
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36
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3.
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Scruggs, John T.
Barclays Global Investors Nardari, Federico
University of Houston - Department of Finance
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469
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Arbitrage Pricing Theory, Factor Model, Multivariate Stochastic Volatility, Markov chain Monte Carlo, Gibbs sampling
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4.
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Henry, Tyler R.
Miami University Scruggs, John T.
Barclays Global Investors
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336
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Illiquidity, Risk premium, Markov-switching regime model
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5.
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Scruggs, John T.
Barclays Global Investors Nardari, Federico
University of Houston - Department of Finance
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336
(42,222)
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4
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Arbitrage Pricing Theory, Latent Factors, Multivariate Stochastic Volatility, Markov Chain Monte Carlo
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6.
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Noise Trader Risk: Evidence from the Siamese Twins
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Versions (2)
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Scruggs, John T.
Barclays Global Investors
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Posted:
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25 Mar 05
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Last Revised:
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06 Sep 06
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298
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Scruggs, John T.
Barclays Global Investors
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0
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Noise trader risk, Market efficiency, Limits to arbitrage, Behavioral finance, Hedge funds
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Scruggs, John T.
Barclays Global Investors
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298
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Noise trader risk, Market efficiency, Limits to arbitrage, Behavioral finance, Hedge funds
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7.
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Estimating the Cross-Sectional Market Response to an Endogenous Event: Naked vs. Underwritten Calls of Convertible Bonds
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Show Abstracts |
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Scruggs, John T.
Barclays Global Investors
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Posted:
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02 Mar 06
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Last Revised:
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24 Aug 06
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138
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Scruggs, John T.
Barclays Global Investors
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Convertible bond, Underwritten call, Conditional event study, Endogenous switching model, Markov chain Monte Carlo, Gibbs sampling, Bayesian statistics
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Scruggs, John T.
Barclays Global Investors
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138
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2
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Convertible bond, Underwritten call, Conditional event study, Endogenous switching model, Markov chain Monte Carlo, Gibbs sampling, Bayesian statistics
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8.
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Koski, Jennifer L.
University of Washington - Michael G. Foster School of Business Scruggs, John T.
Barclays Global Investors
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9.
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Scruggs, John T.
Barclays Global Investors
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