Federico Nardari

University of Melbourne - Department of Finance

Professor of Finance

Faculty of Economics and Commerce

Parkville, Victoria 3010 3010

Australia

  • University of Melbourne - Department of Finance

SCHOLARLY PAPERS

18

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TOTAL CITATIONS
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Top 4,277

in Total Papers Citations

230

Scholarly Papers (18)

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1.

Are Emerging Markets More Profitable? Implications for Comparing Weak and Semi-Strong Form Efficiency

EFA 2007 Ljubljana Meetings Paper, AFA 2008 New Orleans Meetings Paper
Number of pages: 71 Posted: 24 Jan 2007 Last Revised: 05 Mar 2015
John M. Griffin, Patrick J. Kelly and Federico Nardari
University of Texas at Austin - Department of Finance, The University of Melbourne and University of Melbourne - Department of Finance
Downloads 3,138 (8,642)
Citation 17

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market efficiency, information efficiency, synchronicity, international finance, earnings announcements, emerging markets

2.

Investor Behavior in the Mutual Fund Industry: Evidence from Gross Flows

Number of pages: 57 Posted: 28 Feb 2007
George D. Cashman, George D. Cashman, Daniel Deli, Federico Nardari and Sriram V. Villupuram
Texas Tech UniversityMarquette University, Securities and Exchange Commission (SEC), University of Melbourne - Department of Finance and University of Texas at Arlington - Department of Finance and Real Estate
Downloads 1,620 (24,518)
Citation 20

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Mutual Funds, Performance-flow Relation, Mutual Fund Flows

3.

Time-Varying Short-Horizon Return Predictability

Journal of Financial Economics (JFE), Vol. 99, No. 3, 2011, AFA 2008 New Orleans Meetings Paper, EFA 2008 Athens Meetings Paper
Number of pages: 45 Posted: 06 Mar 2008 Last Revised: 31 Jan 2011
Sam James Henkel, J. Spencer Martin and Federico Nardari
affiliation not provided to SSRN, University of Melbourne - Faculty of Business and Economics and University of Melbourne - Department of Finance
Downloads 1,110 (42,919)
Citation 105

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Stock Return Predictability, Asset Pricing, Business Fluctuations, Financial Markets and the Macro economy

4.

Why Does Stock Market Volatility Change Over Time? A Time-Varying Variance Decomposition for Stock Returns

EFA 2005 Moscow Meetings
Number of pages: 56 Posted: 06 Mar 2005
John T. Scruggs and Federico Nardari
Allianz Global Investors and University of Melbourne - Department of Finance
Downloads 946 (53,665)
Citation 2

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Variance decomposition, return predictability, vector autoregression, multivariate stochastic volatility, Markov chain Monte Carlo, Gibbs sampling

5.

Investors Do Respond to Poor Mutual Fund Performance: Evidence from Inflows and Outflows

Number of pages: 38 Posted: 16 Nov 2006
George D. Cashman, George D. Cashman, Daniel Deli, Federico Nardari and Sriram V. Villupuram
Texas Tech UniversityMarquette University, Securities and Exchange Commission (SEC), University of Melbourne - Department of Finance and University of Texas at Arlington - Department of Finance and Real Estate
Downloads 717 (77,893)
Citation 9

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Mutual Funds, Performance-Flow Relation, Mutual Fund Flows

6.

Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries

Number of pages: 49 Posted: 22 Jul 2004
John M. Griffin, René M. Stulz and Federico Nardari
University of Texas at Austin - Department of Finance, Ohio State University (OSU) - Department of Finance and University of Melbourne - Department of Finance
Downloads 600 (97,808)
Citation 39

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7.

Analysis of Linear Factor Models with Multivariate Stochastic Volatility for Stock and Bond Returns

Number of pages: 46 Posted: 18 Jul 2003
John T. Scruggs and Federico Nardari
Allianz Global Investors and University of Melbourne - Department of Finance
Downloads 581 (101,897)

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Arbitrage Pricing Theory, Factor Model, Multivariate Stochastic Volatility, Markov chain Monte Carlo, Gibbs sampling

8.

Bayesian Analysis of Linear Factor Models with Latent Factors, Multivariate Stochastic Volatility, and Apt Pricing Restrictions

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 55 Posted: 08 May 2006
John T. Scruggs and Federico Nardari
Allianz Global Investors and University of Melbourne - Department of Finance
Downloads 543 (110,931)
Citation 1

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Arbitrage Pricing Theory, Latent Factors, Multivariate Stochastic Volatility, Markov Chain Monte Carlo

9.

Do Model and Benchmark Specification Error Affect Inference in Measuring Mutual Fund Performance?

Number of pages: 66 Posted: 08 Dec 2004
Naveen D. Daniel, Jeffrey L. Coles and Federico Nardari
Drexel University - Department of Finance, University of Utah - Department of Finance and University of Melbourne - Department of Finance
Downloads 538 (112,270)
Citation 2

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Mutual funds, performance evaluation, selectivity, market timing, specification errors

10.

Does the Choice of Model or Benchmark Affect Inference in Measuring Mutual Fund Performance?

EFA 2006 Zurich Meetings
Number of pages: 57 Posted: 16 Mar 2006
Jeffrey L. Coles, Naveen D. Daniel and Federico Nardari
University of Utah - Department of Finance, Drexel University - Department of Finance and University of Melbourne - Department of Finance
Downloads 512 (119,350)
Citation 18

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Mutual Funds Performance, Market Timing, Model Misspecification, Bootstrap

11.

Understanding the Non-Linear Relation between Mutual Fund Performance and Flows

Number of pages: 45 Posted: 20 Mar 2008
George D. Cashman, George D. Cashman, Daniel Deli, Federico Nardari and Sriram V. Villupuram
Texas Tech UniversityMarquette University, Securities and Exchange Commission (SEC), University of Melbourne - Department of Finance and University of Texas at Arlington - Department of Finance and Real Estate
Downloads 505 (121,310)
Citation 7

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Mutual Funds, Performance-Flow Relation, Mutual Fund Flows

12.

Daily Cross-Border Equity Flows: Pushed or Pulled?

Downloads 400 (159,628)
Citation 10

Daily Cross-Border Equity Flows: Pushed or Pulled?

Dice Working Paper No. 2002-6; AFA 2003 Washington, DC Meetings
Number of pages: 59 Posted: 08 Mar 2002
John M. Griffin, René M. Stulz and Federico Nardari
University of Texas at Austin - Department of Finance, Ohio State University (OSU) - Department of Finance and University of Melbourne - Department of Finance
Downloads 339 (190,005)

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Daily Cross-Border Equity Flows: Pushed or Pulled?

NBER Working Paper No. w9000
Number of pages: 59 Posted: 13 Jun 2002 Last Revised: 06 Aug 2022
John M. Griffin, René M. Stulz and Federico Nardari
University of Texas at Austin - Department of Finance, Ohio State University (OSU) - Department of Finance and University of Melbourne - Department of Finance
Downloads 61 (781,715)
Citation 10

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13.

Ensembles of Portfolio Rules

Number of pages: 68 Posted: 23 Sep 2022 Last Revised: 05 Jul 2024
Federico Nardari and Rainer Alexander Schüssler
University of Melbourne - Department of Finance and University of Rostock - Department of Economics
Downloads 315 (208,261)

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Portfolio choice, Combination of estimators, Ensemble learning, Estimation risk JEL classifications: G11, C10

14.

Are Daily Cross-Border Equity Flows Pushed or Pulled?

Downloads 197 (331,608)

Are Daily Cross-Border Equity Flows Pushed or Pulled?

Number of pages: 60 Posted: 21 Jul 2003
John M. Griffin, René M. Stulz and Federico Nardari
University of Texas at Austin - Department of Finance, Ohio State University (OSU) - Department of Finance and University of Melbourne - Department of Finance
Downloads 197 (330,485)

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Are Daily Cross-Border Equity Flows Pushed or Pulled?

Review of Economics and Statistics, Forthcoming
Posted: 27 Dec 2011
John M. Griffin, René M. Stulz and Federico Nardari
University of Texas at Austin - Department of Finance, Ohio State University (OSU) - Department of Finance and University of Melbourne - Department of Finance

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15.

Stock Market Trading and Market Conditions

NBER Working Paper No. w10719
Number of pages: 50 Posted: 17 Sep 2004 Last Revised: 17 Apr 2022
John M. Griffin, René M. Stulz and Federico Nardari
University of Texas at Austin - Department of Finance, Ohio State University (OSU) - Department of Finance and University of Melbourne - Department of Finance
Downloads 149 (423,779)

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16.

Parcel Size and Land Value: A Comparison of Approaches

Journal of Real Estate Research, Vol. 37, No. 2, 2015
Number of pages: 41 Posted: 29 Mar 2017
Karl L. Guntermann, Alex R. Horenstein, Federico Nardari and Gareth Thomas
Arizona State University (ASU), University of Miami - School of Business Administration - Department of Economics, University of Melbourne - Department of Finance and Arizona State University
Downloads 79 (666,861)

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17.

Markov Chain Monte Carlo Methods for Generalized Stochastic Volatility Models

Posted: 28 Dec 2000
Siddhartha Chib, Neil Shephard and Federico Nardari
Washington University in St. Louis - John M. Olin Business School, Harvard University and University of Melbourne - Department of Finance

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Bayes factor, Markov chain monte carlo, marginal likelihood, mixture models, particle filters, simulation based inference, stochastic volatility

18.

Analysis of High Dimensional Multivariate Stochastic Volatility Models

Washington University, Olin Working Paper No. 98-11
Posted: 18 Aug 1999
Siddhartha Chib, Federico Nardari and Neil Shephard
Washington University in St. Louis - John M. Olin Business School, University of Melbourne - Department of Finance and Harvard University

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