Andrew F. Siegel

University of Washington - Department of Finance and Business Economics

Box 353200

Seattle, WA 98195

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

13

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SSRN CITATIONS
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Top 1,664

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77

CROSSREF CITATIONS

636

Scholarly Papers (13)

1.

On the Economic Meaning of Interaction Term Coefficients in Non-Linear Binary Response Regression Models

Number of pages: 26 Posted: 31 Aug 2010 Last Revised: 27 Oct 2010
Adam C. Kolasinski and Andrew F. Siegel
Texas A&M University - Department of Finance and University of Washington - Department of Finance and Business Economics
Downloads 701 (40,442)
Citation 31

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Logit regresion, probit regression, interactive effects

2.

Relative Versus Incremental Information Content

Contemporary Accounting Research, Vol. 12, No. 1, Fall 1995
Number of pages: 24 Posted: 23 Aug 1998 Last Revised: 21 Sep 2015
Gary C. Biddle, Gim-Seong Seow and Andrew F. Siegel
University of Melbourne - Faculty of Business and Economics, University of Connecticut - Department of Accounting and University of Washington - Department of Finance and Business Economics
Downloads 457 (69,948)
Citation 4

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3.
Downloads 305 (111,351)
Citation 14

Mimicking Portfolios with Conditioning Information

Number of pages: 19 Posted: 22 Jul 2004
Wayne E. Ferson, Andrew F. Siegel and Tracy Xu
University of Southern California, University of Washington - Department of Finance and Business Economics and University of Denver
Downloads 245 (139,414)

Abstract:

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Mimicking Portfolios with Conditioning Information

NBER Working Paper No. w11020
Number of pages: 51 Posted: 01 Feb 2005 Last Revised: 13 Aug 2010
Wayne E. Ferson, Andrew F. Siegel and Tracy Xu
University of Southern California, University of Washington - Department of Finance and Business Economics and University of Denver
Downloads 60 (401,153)
Citation 1

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4.

Do Upgrades Matter? Evidence from Trading Volume

Journal of Financial Markets, Forthcoming
Number of pages: 63 Posted: 17 Jun 2015 Last Revised: 19 Jun 2020
Jonathan Brogaard, Jennifer L. Koski and Andrew F. Siegel
University of Utah - David Eccles School of Business, University of Washington - Michael G. Foster School of Business and University of Washington - Department of Finance and Business Economics
Downloads 292 (116,714)

Abstract:

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Credit Ratings, Volume, Information, Nonparametric Tests

Testing Portfolio Efficiency with Conditioning Information

Number of pages: 53 Posted: 30 Sep 2002
Wayne E. Ferson and Andrew F. Siegel
University of Southern California and University of Washington - Department of Finance and Business Economics
Downloads 246 (138,867)
Citation 2

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Testing Portfolio Efficiency with Conditioning Information

NBER Working Paper No. w12098
Number of pages: 54 Posted: 14 May 2006 Last Revised: 24 Jul 2010
Wayne E. Ferson and Andrew F. Siegel
University of Southern California and University of Washington - Department of Finance and Business Economics
Downloads 29 (537,499)
Citation 2

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Testing Portfolio Efficiency with Conditioning Information

The Review of Financial Studies, Vol. 22, Issue 7, pp. 2535-2558, 2009
Posted: 22 Jun 2009
Wayne E. Ferson and Andrew F. Siegel
University of Southern California and University of Washington - Department of Finance and Business Economics

Abstract:

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G11, G12, G23

6.

Computer-Intensive Methods in Auditing: Bootstrap Difference and Ratio Estimation

Auditing: A Journal of Practice & Theory, Vol. 9, No. 3, 1990
Number of pages: 24 Posted: 06 Oct 2010 Last Revised: 04 Nov 2010
Gary C. Biddle, Carol M. Bruton and Andrew F. Siegel
University of Melbourne - Faculty of Business and Economics, Independent and University of Washington - Department of Finance and Business Economics
Downloads 253 (135,471)

Abstract:

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Stochastic Discount Factor Bounds with Conditioning Information

Number of pages: 52 Posted: 08 Feb 2002
Wayne E. Ferson and Andrew F. Siegel
University of Southern California and University of Washington - Department of Finance and Business Economics
Downloads 179 (187,539)

Abstract:

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volatility bounds, stochastic discount factors, finite sample bias, asset pricing, return

Stochastic Discount Factor Bounds with Conditioning Information

NBER Working Paper No. w8789
Number of pages: 48 Posted: 14 Feb 2002 Last Revised: 26 Oct 2010
Wayne E. Ferson and Andrew F. Siegel
University of Southern California and University of Washington - Department of Finance and Business Economics
Downloads 34 (509,752)

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8.

International Yield Curves and Principal Components Selection Techniques: An Empirical Assessment

Banque de France Working Paper No. 489
Number of pages: 62 Posted: 17 Jun 2014
Fulvio Pegoraro, Andrew F. Siegel and Luca Pezzoli
Banque de France - Economics and Finance Research Center, University of Washington - Department of Finance and Business Economics and Banque de France
Downloads 86 (324,438)
Citation 13

Abstract:

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international Treasury yield curves database, Nelson-Siegel term structure estimation techniques, principal component selection techniques, common and local factors, explained variance

9.

Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills

NBER Working Paper No. w1594
Number of pages: 44 Posted: 22 Jun 2004 Last Revised: 09 Aug 2005
Charles R. Nelson and Andrew F. Siegel
Dept of Economics and University of Washington - Department of Finance and Business Economics
Downloads 84 (329,179)
Citation 63

Abstract:

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10.

Specification Analysis of International Treasury Yield Curve Factors

Banque de France Working Paper No. 490
Number of pages: 57 Posted: 20 Jun 2014
Fulvio Pegoraro, Andrew F. Siegel and Luca Pezzoli
Banque de France - Economics and Finance Research Center, University of Washington - Department of Finance and Business Economics and Banque de France
Downloads 72 (359,974)
Citation 20

Abstract:

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international treasury yield curves, common and local factors, state-space models, EM algorithm, Kalman Filter and Kalman Smoother

11.

Asymptotic Variances for Tests of Portfolio Efficiency and Factor Model Comparisons with Conditioning Information

Number of pages: 64 Posted: 24 Feb 2019
Wayne E. Ferson, Andrew F. Siegel and Junbo L. Wang
University of Southern California, University of Washington - Department of Finance and Business Economics and Louisiana State University, Baton Rouge
Downloads 60 (395,608)
Citation 1

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12.

Long-Term Behavior of Yield Curves

NBER Working Paper No. w1789
Number of pages: 10 Posted: 18 Jun 2004 Last Revised: 28 Mar 2010
Charles R. Nelson and Andrew F. Siegel
Dept of Economics and University of Washington - Department of Finance and Business Economics
Downloads 54 (416,022)

Abstract:

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13.

Price‐Admissibility Conditions for Arbitrage‐Free Linear Price Function Models for the Term Structure of Interest Rates

Mathematical Finance, Vol. 26, Issue 4, pp. 919-938, 2016
Number of pages: 20 Posted: 20 Sep 2016
Andrew F. Siegel
University of Washington - Department of Finance and Business Economics
Downloads 0 (739,238)
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Abstract:

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term structure, interest rates, yields, bonds, linear price model