Walid Hejazi

University of Toronto - Rotman School of Management

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

Canada

SCHOLARLY PAPERS

6

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CITATIONS
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15

Scholarly Papers (6)

1.

Intraday Share Price Volatility and Leveraged ETF Rebalancing

Number of pages: 49 Posted: 13 Oct 2012 Last Revised: 07 Jan 2016
York University - Schulich School of Business, University of Toronto - Rotman School of Management, Independent and Independent
Downloads 4,315 (1,921)
Citation 3

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Leveraged ETF, ETF, Intraday volatility, Swap counterparties, market volatility, market microstructure

2.

The Influence of Productivity on Asset Pricing

Number of pages: 45 Posted: 26 Mar 2008 Last Revised: 06 Jan 2009
University of Toronto - Rotman School of Management, University of Ontario Institute of Technology, University of Toronto - Rotman School of Management and York University - Schulich School of Business
Downloads 124 (226,268)
Citation 1

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Asset Pricing, Productivity

3.

What Drives Provincial-Canada Yield Spreads?

Canadian Journal of Economics, Vol. 40, No. 3, pp. 1008-1032, August 2007
Number of pages: 25 Posted: 20 Jul 2007
University of Toronto - Rotman School of Management, York University - Atkinson School of Administrative Studies and University of Toronto - Rotman School of Management
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4.

Are Forward Premia Mean Reverting?

Applied Finacial Economics, Vol. 10, pp. 343-350, 2000
Posted: 13 Jun 2001
Walid Hejazi and Zhixin Li
University of Toronto - Rotman School of Management and University of Toronto - Department of Economics

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Time-varying term premia, mean reversion, GARCH-M

5.

Yield Spreads as Predictors of Industrial Production: Expectations on Short Rates or Term Premia?

Applied Economics, Vol. 32, pp. 945-51, 2000
Posted: 15 Jan 2001
Walid Hejazi
University of Toronto - Rotman School of Management

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Term Structure, Time-Varying Term Premia, Industrial Production

6.

The Expectations Hypothesis, Term Premia, and the Canadian Term Structure of Interest Rates

Canadian Journal of Economics, Vol. 33, Issue 1, February 2000
Posted: 07 Sep 2000
Walid Hejazi, Huiwen Lai and Xian Yang
University of Toronto - Rotman School of Management, SAS Institute Inc. and University of Toronto - Department of Economics

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