N. Eugene Savin

University of Iowa - Henry B. Tippie College of Business - Department of Economics

Professor

108 Pappajohn Building

Iowa City, IA 52242

United States

  • University of Iowa - Henry B. Tippie College of Business - Department of Economics

    • Email
    • Tel: 319-335-0855
SCHOLARLY PAPERS

14

DOWNLOADS
Rank 30,284

SSRN RANKINGS

Top 30,284

in Total Papers Downloads

1,797

SSRN CITATIONS
Rank 48,072

SSRN RANKINGS

Top 48,072

in Total Papers Citations

9

CROSSREF CITATIONS

4

Scholarly Papers (14)

Actions:
Email selected abstracts
1.

Testing the CAPM Revisited

Downloads 550 ( 57,381)
Citation 1

Testing the CAPM Revisited

Number of pages: 35 Posted: 23 Mar 2009 Last Revised: 04 Oct 2009
Surajit D. Ray, N. Eugene Savin and Ashish Tiwari
Morgan Stanley, University of Iowa - Henry B. Tippie College of Business - Department of Economics and University of Iowa
Downloads 391 (86,094)

Abstract:

Loading...

CAPM, Heteroskedasticity and autocorrelation robust (HAR) tests, Conventional Wald tests

Testing the CAPM Revisited

Journal of Empirical Finance, Vol. 16, No. 5, 2009
Number of pages: 35 Posted: 04 Dec 2009
Surajit D. Ray, N. Eugene Savin and Ashish Tiwari
Morgan Stanley, University of Iowa - Henry B. Tippie College of Business - Department of Economics and University of Iowa
Downloads 159 (213,866)

Abstract:

Loading...

CAPM, Heteroskedasticity and autocorrelation robust tests, Heteroskedasticity and autocorrelation consistent estimators, Bartlett and Parzen kernels

2.

Modeling the Cross Section of Stock Returns: A Model Pooling Approach

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 54 Posted: 15 Mar 2010 Last Revised: 06 May 2012
Michael S. O'Doherty, N. Eugene Savin and Ashish Tiwari
University of Missouri at Columbia - Department of Finance, University of Iowa - Henry B. Tippie College of Business - Department of Economics and University of Iowa
Downloads 432 (77,297)
Citation 8

Abstract:

Loading...

Asset pricing, Model pooling, Model combination, Forecasting, Predictive distributions, Log predictive score

3.

Hedge Fund Replication: A Model Combination Approach

Review of Finance, Forthcoming
Number of pages: 48 Posted: 25 Jan 2015 Last Revised: 21 Jun 2016
Michael S. O'Doherty, N. Eugene Savin and Ashish Tiwari
University of Missouri at Columbia - Department of Finance, University of Iowa - Henry B. Tippie College of Business - Department of Economics and University of Iowa
Downloads 262 (134,714)

Abstract:

Loading...

Hedge funds, Model pooling, Model combination, Hedge fund replication, Log score

4.

Conditional Benchmarks and Predictors of Mutual Fund Performance

Number of pages: 46 Posted: 18 Feb 2016 Last Revised: 04 Mar 2018
Scott Cederburg, Michael S. O'Doherty, N. Eugene Savin and Ashish Tiwari
University of Arizona - Department of Finance, University of Missouri at Columbia - Department of Finance, University of Iowa - Henry B. Tippie College of Business - Department of Economics and University of Iowa
Downloads 259 (136,338)

Abstract:

Loading...

Mutual funds, performance evaluation, conditional performance evaluation

5.

Evaluating Hedge Funds with Pooled Benchmarks

Management Science, Forthcoming
Number of pages: 38 Posted: 12 Dec 2012 Last Revised: 21 Aug 2014
Michael S. O'Doherty, N. Eugene Savin and Ashish Tiwari
University of Missouri at Columbia - Department of Finance, University of Iowa - Henry B. Tippie College of Business - Department of Economics and University of Iowa
Downloads 222 (158,332)
Citation 1

Abstract:

Loading...

Hedge funds, Model pooling, Model combination, Performance evaluation, Predictive distributions, Log predictive score

6.

Testing the Semiparametric Box-Cox Model with the Bootstrap

U of Aarhus, Economics Working Paper No. 2002-11
Number of pages: 39 Posted: 26 Aug 2002
N. Eugene Savin and Allan Wurtz
University of Iowa - Henry B. Tippie College of Business - Department of Economics and Aarhus University - Department of Economics and Business Economics
Downloads 71 (372,487)

Abstract:

Loading...

Botstrap, Box-Cox transformation, GMM, Lagrange Multiplier Tests, Power, Prepivoting, Wald Tests

7.

Testing for Uncorrelated Errors in Arma Models: Non‐Standard Andrews‐Ploberger Tests

The Econometrics Journal, Vol. 15, Issue 3, pp. 516-534, 2012
Number of pages: 19 Posted: 30 Nov 2012
John C. Nankervis and N. Eugene Savin
University of Essex - Department of Accounting, Finance & Management and University of Iowa - Henry B. Tippie College of Business - Department of Economics
Downloads 1 (736,963)
  • Add to Cart

Abstract:

Loading...

ARMA models, Autocorrelation tests, EGARCH, GARCH, Non‐linear moving average models

8.

Papers with John

Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 663-671, 2015
Number of pages: 9 Posted: 28 Jul 2015
N. Eugene Savin
University of Iowa - Henry B. Tippie College of Business - Department of Economics
Downloads 0 (754,953)
  • Add to Cart

Abstract:

Loading...

Efficient markets, hypothesis testing, random walks, statistical independence, uncorrelatedness

9.

Multiple Optima and Asymptotic Approximations in the Partial Adjustment Model

Journal of Econometrics, Vol. 62, 1994
Posted: 26 Oct 2008
Douglas A. McManus, John C. Nankervis and N. Eugene Savin
Federal Home Loan Mortgage Corporation (FHLMC), University of Essex - Department of Accounting, Finance & Management and University of Iowa - Henry B. Tippie College of Business - Department of Economics

Abstract:

Loading...

Econometrics, Asymptotic Theory, Power

10.

The Predictive Power of Head-and-Shoulders Price Patterns in the U.S. Stock Market

Journal of Financial Econometrics, Vol. 5, Issue 2, pp. 243-265, 2007
Posted: 16 Jun 2008
N. Eugene Savin, Paul A. Weller and Janis Zvingelis
University of Iowa - Henry B. Tippie College of Business - Department of Economics, University of Iowa - Department of Finance and Mesirow Financial Investment Management

Abstract:

Loading...

kernel regression, stock prices, technical analysis

11.

The Predictive Power of 'Head-and-Shoulders' Price Patterns in the U.S. Stock Market

Journal of Financial Econometrics, Vol. 5, No. 2, pp. 243-265, 2007
Posted: 18 Apr 2007
N. Eugene Savin, Paul A. Weller and Janis Zvingelis
University of Iowa - Henry B. Tippie College of Business - Department of Economics, University of Iowa - Department of Finance and Mesirow Financial Investment Management

Abstract:

Loading...

kernel regression, stock prices, technical analysis

12.

Power of Tests in Binary Response Models

Posted: 15 Apr 1998
N. Eugene Savin and Allan Wurtz
University of Iowa - Henry B. Tippie College of Business - Department of Economics and Aarhus University - Department of Economics and Business Economics

Abstract:

Loading...

13.

The Effect of Nuisance Parameters on Size and Power; Lm Tests in Logit Models

Working Paper 1997-17
Posted: 22 Jan 1998
N. Eugene Savin and Allan Wurtz
University of Iowa - Henry B. Tippie College of Business - Department of Economics and Aarhus University - Department of Economics and Business Economics

Abstract:

Loading...

14.

A Spline Analysis of the Small Firm Effect: Does Size Really Matter?

Posted: 22 Oct 1996
Joel L. Horowitz, Tim Loughran and N. Eugene Savin
Northwestern University, University of Notre Dame and University of Iowa - Henry B. Tippie College of Business - Department of Economics

Abstract:

Loading...

Other Papers (1)

Total Downloads: 136
Actions:
Email selected abstracts
1.

Modeling the Cross Section of Stock Returns: A Model Pooling Approach

Number of pages: 37 Posted: 15 Jan 2010 Last Revised: 08 Aug 2011
Michael S. O'Doherty, N. Eugene Savin and Ashish Tiwari
University of Missouri at Columbia - Department of Finance, University of Iowa - Henry B. Tippie College of Business - Department of Economics and University of Iowa
Downloads 136

Abstract:

Loading...

Asset Pricing Models, Model Pooling, Log Predictive Score, Return Prediction