Matthijs Lof

Aalto University

P.O. Box 21210

Helsinki, 00101

Finland

http://sites.google.com/site/matthijslof/

SCHOLARLY PAPERS

13

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CITATIONS
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4

Scholarly Papers (13)

1.

Slow Trading and Stock Return Predictability

AFA 2017 Chicago
Number of pages: 45 Posted: 10 Oct 2015 Last Revised: 13 Oct 2018
Allaudeen Hameed, Matthijs Lof and Matti Suominen
National University of Singapore (NUS) - Department of Finance, Aalto University and Aalto University School of Business
Downloads 1,395 (12,662)

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institutional trading, liquidity, return predictability, size premium

Asymmetric Information and the Distribution of Trading Volume

Number of pages: 71 Posted: 03 Feb 2016 Last Revised: 07 Mar 2019
Matthijs Lof and Jos van Bommel
Aalto University and Luxembourg School of Finance
Downloads 412 (67,882)

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VCV, Trading volume, Informed trading

Asymmetric Information and the Distribution of Trading Volume

Bank of Finland Research Discussion Paper No. 1/2018
Number of pages: 67 Posted: 22 Jan 2018 Last Revised: 28 Jan 2018
Matthijs Lof and Jos van Bommel
Aalto University and Luxembourg School of Finance
Downloads 88 (283,825)

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Volume Coefficient of Variation (VCV), Trading volume, Informed trading

3.

Noncausality and the Commodity Currency Hypothesis

Energy Economics, 65, 424-433, (2017)
Number of pages: 20 Posted: 24 Apr 2015 Last Revised: 02 Sep 2018
Matthijs Lof and Henri Nyberg
Aalto University and University of Turku
Downloads 202 (146,976)

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Commodity prices, exchange rates, noncausal autoregression, nonlinearity

4.

Identifying Accounting Conservatism in the Presence of Skewness

Number of pages: 44 Posted: 29 Mar 2018 Last Revised: 04 Apr 2019
Henry Jarva and Matthijs Lof
Aalto University - School of Business and Aalto University
Downloads 111 (241,128)

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conditional conservatism; asymmetric timeliness; piecewise linear regression; accruals

5.

Heterogeneity in Stock Prices: A STAR Model with Multivariate Transition Function

Journal of Economic Dynamics and Control, Vol. 13, No. 12, 2012
Number of pages: 26 Posted: 11 Aug 2010 Last Revised: 22 Jul 2014
Matthijs Lof
Aalto University
Downloads 111 (241,128)
Citation 3

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Asset pricing, Heterogeneous beliefs, Smooth-transition autoregression

6.

Rational Speculators, Contrarians and Excess Volatility

Management Science, 61,1889-1901, (2015)
Number of pages: 34 Posted: 30 Dec 2012 Last Revised: 02 Sep 2018
Matthijs Lof
Aalto University
Downloads 84 (289,741)

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asset pricing, heterogeneous agents, VAR approach

7.

Does Sovereign Debt Weaken Economic Growth? A Panel VAR Analysis

Economics Letters, Vol. 122, No. 3, 2014
Number of pages: 12 Posted: 22 Jul 2014
Matthijs Lof and Tuomas Malinen
Aalto University and HECER, University of Helsinki
Downloads 74 (312,192)

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Public debt, Debt share, GDP growth

8.

Noncausality and Asset Pricing

Studies in Nonlinear Dynamics and Econometrics, Vol. 17, 2013
Number of pages: 17 Posted: 11 Apr 2011 Last Revised: 22 Jul 2014
Matthijs Lof
Aalto University
Downloads 68 (327,064)
Citation 1

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noncausal autoregressions, stock prices, heterogeneous expectations

9.

Expected Market Returns: SVIX, Realized Volatility, and the Role of Dividends

Journal of Applied Econometrics, Forthcoming
Number of pages: 16 Posted: 16 Apr 2019
Matthijs Lof
Aalto University
Downloads 45 (396,501)

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equity premium predictability, dividends, implied and realized volatility

10.

GMM Estimation with Noncausal Instruments Under Rational Expectations

Helsinki Center of Economic Research Discussion Paper No. 343
Number of pages: 14 Posted: 22 Dec 2011
Matthijs Lof
Aalto University
Downloads 38 (422,640)

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generalized method of moments, noncausal autoregression, rational expectations

11.

Discount Rates and Cash Flows: A Local Projection Approach

Number of pages: 76
Matthijs Lof and Henri Nyberg
Aalto University and University of Turku
Downloads 6

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volatility decomposition, dividend growth, local projections, LASSO

Aid and Income: Another Time-Series Perspective

World Development; DOI: 10.1016/j.worlddev.2013.12.015
Posted: 13 Dec 2014
Matthijs Lof, Tseday Mekasha and Finn Tarp
Aalto University, Independent and University of Copenhagen - Department of Economics

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Aid and Income: Another Time-Series Perspective

UNU-WIDER working paper 07/2013; 2013/069.
Posted: 14 Dec 2014 Last Revised: 14 Jan 2015
Finn Tarp, Matthijs Lof and Tseday Mekasha
University of Copenhagen - Department of Economics, Aalto University and Independent

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foreign aid, growth, time series, VAR models

13.

GMM Estimation with Non‐Causal Instruments Under Rational Expectations

Oxford Bulletin of Economics and Statistics, Vol. 76, Issue 2, pp. 279-286, 2014
Number of pages: 8 Posted: 08 Mar 2014
Matthijs Lof
Aalto University
Downloads 0 (650,323)
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