Richard D. F. Harris

University of Exeter - Business School

Streatham Court

Xfi Building, Rennes Dr.

Exeter, EX4 4JH

United Kingdom

University of Exeter

Northcote House

The Queen's Drive

Exeter, Devon EX4 4QJ

United Kingdom

SCHOLARLY PAPERS

43

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CITATIONS
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71

Scholarly Papers (43)

1.

A Momentum Trading Strategy Based on the Low Frequency Component of the Exchange Rate

Xfi Centre For Financial & Investment Working Paper No. 08/04
Number of pages: 30 Posted: 27 Aug 2008
Richard D. F. Harris and Fatih Yilmaz
University of Exeter - Business School and Bank of America, U.K.
Downloads 2,023 (6,945)
Citation 10

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Momentum, Moving average rules, Hodrick-Prescott filter, Kernel regression, Trading strategy

2.

Hedging and Value at Risk

Number of pages: 26 Posted: 21 Oct 2004
Richard D. F. Harris
University of Exeter - Business School
Downloads 1,023 (20,553)
Citation 1

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Hedging, Value at risk, Skewness, Kurtosis, Historical simulation

3.

Robust Conditional Variance Estimation and Value-at-Risk

Number of pages: 24 Posted: 01 Feb 2001
Richard D. F. Harris and Cherif Guermat
University of Exeter - Business School and Bristol Business School
Downloads 836 (27,596)
Citation 7

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Day-of-the-Month Effects in the Performance of Momentum Trading Strategies in the Foreign Exchange Market

XFi Working Paper No. 08-07
Number of pages: 16 Posted: 06 Oct 2008 Last Revised: 28 Oct 2008
Richard D. F. Harris, Evarist Stoja and Fatih Yilmaz
University of Exeter - Business School, University of Bristol and Bank of America, U.K.
Downloads 604 (42,271)

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Momentum, Moving average rules, Seasonality, Conditional volatility

Day-of-The-Month Effects in the Performance of Momentum Trading Strategies in the Foreign Exchange Market

Journal of Trading, Vol. 4, pp. 48-55, Winter 2009
Posted: 12 Oct 2010
Richard D. F. Harris, Evarist Stoja and Fatih Yilmaz
University of Exeter - Business School, University of Bristol and Bank of America, U.K.

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Momentum, Moving Average Rules, Seasonality, Conditional Volatility

5.

Exploiting Predictability in the Returns to Value and Momentum Investment Strategies: A Portfolio Approach

Number of pages: 36 Posted: 18 Nov 2008
Elton Babameto and Richard D. F. Harris
affiliation not provided to SSRN and University of Exeter - Business School
Downloads 579 (45,325)
Citation 3

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Portfolio optimisation, Value; Momentum, Black-Litterman, Trading strategies.

6.

Estimation of the Conditional Variance - Covariance Matrix of Returns Using the Intraday Range

XFi Centre for Finance and Investment Working Paper No. 07/11
Number of pages: 27 Posted: 13 Nov 2007
Richard D. F. Harris and Fatih Yilmaz
University of Exeter - Business School and Bank of America, U.K.
Downloads 555 (47,853)
Citation 1

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Conditional variance - covariance matrix of returns, Exponentially weighted moving average (EWMA), Intraday range

7.

A Simplified Approach to Modelling the Co-Movement of Asset Returns

University of Exeter Finance and Investment Working Paper
Number of pages: 20 Posted: 14 Jan 2005 Last Revised: 29 Apr 2019
Richard D. F. Harris, Evarist Stoja and Jon Tucker
University of Exeter - Business School, University of Bristol and Coventry University
Downloads 455 (61,440)
Citation 4

Abstract:

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Multivariate GARCH, hedging, minimum-variance hedge ratio, FTSE 100 index

8.

The Expectations Hypothesis of the Term Structure and Time Varying Risk Premia: A Panel Data Approach

Number of pages: 15 Posted: 02 Jun 1998
Richard D. F. Harris
University of Exeter - Business School
Downloads 366 (79,585)
Citation 7

Abstract:

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9.

A Test of the Expectations Hypothesis of the Term Structure Using Cross-Section Data

Number of pages: 18 Posted: 15 Aug 1998
Richard D. F. Harris
University of Exeter - Business School
Downloads 365 (79,823)
Citation 2

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The Limits to Minimum-Variance Hedging

University of Exeter XFi Working Paper No. 07-12
Number of pages: 34 Posted: 05 Nov 2007
Richard D. F. Harris, Jian Shen and Evarist Stoja
University of Exeter - Business School, University of Exeter Business School and University of Bristol
Downloads 267 (112,066)

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Minimum-variance hedge ratio, Realized beta, Multivariate conditional volatility models, Bias correction

The Limits to Minimum-Variance Hedging

Journal of Business Finance & Accounting, Vol. 37, Issue 5-6, pp. 737-761, June/July 2010
Number of pages: 25 Posted: 13 Jul 2010
Richard D. F. Harris, Jian Shen and Evarist Stoja
University of Exeter - Business School, University of Exeter Business School and University of Bristol
Downloads 2 (659,883)
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11.

Hedging and Value at Risk: A Semi-Parametric Approach

XFi Working Paper No. 08/08
Number of pages: 19 Posted: 28 Oct 2008 Last Revised: 21 Jan 2009
Zhiguang Cao, Richard D. F. Harris and Jian Shen
affiliation not provided to SSRN, University of Exeter - Business School and University of Exeter Business School
Downloads 259 (116,246)
Citation 17

Abstract:

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Equity index futures, Hedging, Value at risk, Conditional value at risk, Skewness, Kurtosis, Cornish-Fisher expansion

12.

Moment Risk Premia and the Cross-Section of Stock Returns

Number of pages: 41 Posted: 29 Sep 2016 Last Revised: 30 Mar 2018
Richard D. F. Harris and Fang Qiao
University of Exeter - Business School and Tsinghua University - PBC School of Finance
Downloads 255 (118,150)

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the variance, skew and kurtosis risk premia, the cross section of stock return

The Dynamic Black-Litterman Approach to Asset Allocation

Bank of England Working Paper No. 596
Number of pages: 35 Posted: 30 Apr 2016
Richard D. F. Harris, Evarist Stoja and Linzhi Tan
University of Exeter - Business School, University of Bristol and Nottingham Trent University - Department of Accounting and Finance
Downloads 237 (126,756)
Citation 3

Abstract:

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Black-Litterman model, multivariate conditional volatility, portfolio optimization, non-normality, tail risk

The Dynamic Black-Litterman Approach to Asset Allocation

European Journal of Operational Research, Forthcoming
Posted: 16 Jan 2017
Richard D. F. Harris, Evarist Stoja and Linzhi Tan
University of Exeter - Business School, University of Bristol and Nottingham Trent University - Department of Accounting and Finance

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Finance, Black–Litterman model, Multivariate conditional volatility, Portfolio optimization, Tail risk

14.

An Improved Earnings Forecasting Model

Number of pages: 34 Posted: 29 Jun 2016
Richard D. F. Harris and Pengguo Wang
University of Exeter - Business School and Xfi, University of Exeter
Downloads 220 (136,897)
Citation 2

Abstract:

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Earnings forecasts; Cross-sectional earnings model; Bias; Earnings

15.

The Intrinsic Value of Gold: An Exchange Rate-Free Price Index

Number of pages: 33 Posted: 08 Mar 2017
Richard D. F. Harris and Jian Shen
University of Exeter - Business School and XFI Centre for Finance and Investment
Downloads 212 (141,810)

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Gold Price Index; Commodities; Exchange Rates; Cointegration; Error Correction Mechanism

16.

Ambiguity Aversion and Stock Market Participation: An Empirical Analysis

Number of pages: 46 Posted: 04 Feb 2013 Last Revised: 16 Oct 2014
Constantinos Antoniou, Richard D. F. Harris and Ruogu Zhang
University of Warwick - Warwick Business School, University of Exeter - Business School and University of Exeter
Downloads 203 (147,694)
Citation 9

Abstract:

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stock market participation, ambiguity aversion, fund flows

17.

Dynamic Hedge Fund Portfolio Construction: A Semi-Parametric Approach

University of Exeter Business School Working Paper No. 11/05
Number of pages: 27 Posted: 17 Nov 2011
Richard D. F. Harris and Murat Mazibas
University of Exeter - Business School and Borsa Istanbul
Downloads 196 (152,652)
Citation 4

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Funds of hedge funds, Portfolio optimization, Copula, Extreme value theory, Monte Carlo simulation

Financial Market Volatility, Macroeconomic Fundamentals and Investor Sentiment

Bank of England Working Paper No. 608
Number of pages: 40 Posted: 23 Aug 2016
Bank of England, University of Exeter - Business School, University of Bristol and Bank of England
Downloads 179 (165,786)
Citation 2

Abstract:

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Stock and bond market volatility, two-factor volatility model, macroeconomic

Financial Market Volatility, Macroeconomic Fundamentals and Investor Sentiment

Journal of Banking and Finance, Vol. 92, No. 1, 2018
Posted: 30 Apr 2019
Bank of England, University of Exeter - Business School, University of Bristol and Bank of England

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stock and bond market volatility, two-factor volatility model, macroeconomic fundamentals, structural vector autoregression, Bayesian estimation

19.

Systematic Tail Risk

Bank of England Working Paper No. 637
Number of pages: 31 Posted: 21 Dec 2016
Richard D. F. Harris, Linh Nguyen and Evarist Stoja
University of Exeter - Business School, University of Exeter and University of Bristol
Downloads 176 (168,254)

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Asset Pricing, Downside Risk, Tail Risk, Co-Moments, Value at Risk, Systematic Risk

20.

Bias in the Estimation of Non-Linear Transformations of the Conditional Variance of Returns

Number of pages: 11 Posted: 27 Jan 2003
Richard D. F. Harris and Cherif Guermat
University of Exeter - Business School and Bristol Business School
Downloads 175 (169,122)
Citation 2

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Conditional variance, Conditional standard deviation, Non-linear transformation, Small sample bias, EWMA, GARCH, Value at risk

21.

Long Memory Conditional Volatility and Assett Allocation

Number of pages: 44 Posted: 26 May 2011
Richard D. F. Harris and Anh Nguyen
University of Exeter - Business School and affiliation not provided to SSRN
Downloads 163 (179,863)
Citation 2

Abstract:

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Conditional variance-covariance matrix, long memory, asset allocation

22.
Downloads 115 (237,343)
Citation 2

A Cyclical Model of Exchange Rate Volatility

University of Exeter Business School Working Paper No. 10/03
Number of pages: 31 Posted: 14 May 2010
Richard D. F. Harris, Evarist Stoja and Fatih Yilmaz
University of Exeter - Business School, University of Bristol and Bank of America, U.K.
Downloads 115 (238,517)
Citation 2

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Conditional volatility, Intraday range, Hodrick-Prescott filter

A Cyclical Model of Exchange Rate Volatility

Journal of Banking and Finance, Vol. 35, pp. 3055-3064, 2011
Posted: 27 Apr 2011 Last Revised: 22 Aug 2012
Richard D. F. Harris, Evarist Stoja and Fatih Yilmaz
University of Exeter - Business School, University of Bristol and Bank of America, U.K.

Abstract:

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Conditional volatility, Intraday range, Non-parametric filter

23.

Revisiting the Expectations Hypothesis of the Term Structure of Interest Rates

Xfi Centre For Finance & Investment Working Paper No. 08/02
Number of pages: 24 Posted: 27 Aug 2008
George Bulkley, Richard D. F. Harris and Vivekanand Nawosah
University of Bristol, University of Exeter - Business School and University of Essex
Downloads 97 (266,860)
Citation 2

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Expectations hypothesis of the term structure of interest rates, Forward yields, Yield spreads, Campbell and Shiller tests, Vector autoregression

24.

Behavioral Biases and the Expectations Hypothesis of the Term Structure of Interest Rates

University of Exeter Business School Working Paper No. 11/06
Number of pages: 31 Posted: 17 Nov 2011 Last Revised: 04 Sep 2013
Richard D. F. Harris, George Bulkley and Vivekanand Nawosah
University of Exeter - Business School, University of Bristol and University of Essex
Downloads 93 (274,302)

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Behavioral bias, Expectations hypothesis of the term structure of interest rates, Representativeness, Law of small numbers, Conservatism

25.

Heterogeneous Beliefs, Short-Sale Constraints and the Closed-End Fund Puzzle

Number of pages: 52 Posted: 14 Nov 2011
Zhiguang Cao, Richard D. F. Harris and Junmin Yang
Shanghai University of Finance and Economics, University of Exeter - Business School and affiliation not provided to SSRN
Downloads 87 (286,027)

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speculation, closed-end fund puzzle, excess volatility, Chinese markets

26.

Overconfidence and the Rational Expectations Model of the Term Structure of Interest Rates

Number of pages: 27 Posted: 03 Sep 2013
George Bulkley, Richard D. F. Harris and Vivekanand Nawosah
University of Bristol, University of Exeter - Business School and University of Essex
Downloads 86 (288,135)

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Rational expectations hypothesis, Term structure of interest rates, Behavioural bias

27.

Option-Implied Betas and the Cross Section of Stock Returns

Journal of Futures Markets, Forthcoming
Number of pages: 30 Posted: 29 Apr 2018 Last Revised: 25 Jun 2018
Richard D. F. Harris, Xuguang Li and Fang Qiao
University of Exeter - Business School, The People's Bank of China (PBC) - Shanghai Head Office and Tsinghua University - PBC School of Finance
Downloads 80 (300,982)

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Option-Implied Beta, Downside Beta, Cross Section, Stock Returns

28.

Extreme Downside Risk and Financial Crises

Bank of England Working Paper No. 547
Number of pages: 39 Posted: 15 Sep 2015
Richard D. F. Harris, Linh Nguyen and Evarist Stoja
University of Exeter - Business School, University of Exeter and University of Bristol
Downloads 78 (305,553)

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Downside risk, Markov switching, financial crisis, value at risk, leverage effect, volatility

29.

Rules Versus Discretion in Committee Decision Making: An Application to the 2001 Rae for UK Economics Departments

Number of pages: 20 Posted: 29 May 2004
Cherif Guermat, Richard D. F. Harris and Nigar Hashimzade
Bristol Business School, University of Exeter - Business School and University of Exeter Business School
Downloads 78 (305,553)
Citation 1

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Rules, Discretion, Research Assessment Exercise, Probit

30.

Finite Sample Biases in Tests of the Rational Expectations Hypothesis in the Bond Market

Number of pages: 22 Posted: 19 Oct 2004
George Bulkley and Richard D. F. Harris
University of Bristol and University of Exeter - Business School
Downloads 74 (315,093)
Citation 1

Abstract:

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Rational Expectations Hypothesis, Term Structure of Interest Rates, Finite Sample Bias, Monte Carlo Simulation

31.

Dynamic Hedge Fund Portfolio Construction

Number of pages: 21 Posted: 24 Jan 2010
Richard D. F. Harris and Murat Mazibas
University of Exeter - Business School and Borsa Istanbul
Downloads 65 (337,957)

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Hedge fund returns, Funds of funds, Multivariate conditional volatility, Portfolio optimisation

32.

Soft Power and Exchange Rate Volatility

IMF Working Paper No. 15/63
Number of pages: 36 Posted: 14 Apr 2015
Serhan Cevik, Richard D. F. Harris and Fatih Yilmaz
International Monetary Fund (IMF), University of Exeter - Business School and International Monetary Fund (IMF)
Downloads 44 (403,784)

Abstract:

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Exchange rates, Foreign exchange market volatility, Econometric models, Exchange rate volatility, trade, emerging market, demographic, market economies, exchange rate fluctuations, emerging market economies, share, currency, bond, life expectancy, currencies

33.

A Component Markov Regime-Switching Autoregressive Conditional Range Model

Number of pages: 39 Posted: 07 Nov 2016
Richard D. F. Harris and Murat Mazibas
University of Exeter - Business School and Borsa Istanbul
Downloads 41 (414,789)

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Intraday range; Markov regime-switching; GARCH; Multiplicative error model; factor model

34.

Factor-Based Hedge Fund Replication with Risk Constraints

Harris R.D.F., Mazibas M. (2012) Factor-Based Hedge Fund Replication with Risk Constraints. In: Gregoriou G.N., Kooli M. (eds) Hedge Fund Replication. Palgrave Macmillan, London, University of Exeter Business School Working Paper, 2011
Number of pages: 20 Posted: 27 Jul 2017
Richard D. F. Harris and Murat Mazibas
University of Exeter - Business School and
Downloads 31 (456,271)

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Hedge fund replication; Hedge fund portfolio optimization; CVaR; CDaR, Upper and lower partial moments.

35.

Return and Volatility Spillovers between Large and Small Stocks in the UK

Journal of Business Finance & Accounting, Vol. 33, No. 9-10, pp. 1556-1571, November/December 2006
Number of pages: 16 Posted: 07 Dec 2006
Richard D. F. Harris and Anirut Pisedtasalasai
University of Exeter - Business School and University of Canterbury - Department of Accountancy Finance and Information Systems
Downloads 23 (497,385)
Citation 6
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36.

Have FSRs Got News for You? Evidence from the Impact of Financial Stability Reports on Market Activity

Bank of England Working Paper No. 792 (2019)
Number of pages: 32 Posted: 24 Apr 2019
University of Exeter - Business School, Bank of England, Bank of England and University of Bristol
Downloads 5 (605,204)

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Event Studies, Financial Stability Reports, Central Bank Communication, Market Reaction

37.

Systematic Extreme Downside Risk

Journal of International Financial Markets, Institutions and Money, Forthcoming
Posted: 30 Apr 2019
Richard D. F. Harris, Linh Nguyen and Evarist Stoja
University of Exeter - Business School, University of Exeter and University of Bristol

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Asset pricing, Tail risk, Comoments, Value at Risk, Systematic risk

38.

Extreme Downside Risk and Market Turbulence.

Quantitative Finance, Forthcoming
Posted: 30 Apr 2019
Richard D. F. Harris, Linh Nguyen and Evarist Stoja
University of Exeter - Business School, University of Exeter and University of Bristol

Abstract:

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Downside risk, Tail risk, Markov switching, Value-at-Risk, Leverage effect, Volatility feedback effect

39.

Model-Based Earnings Forecasts vs. Financial Analysts’ Earnings Forecasts

British Accounting Review, Forthcoming
Posted: 11 Nov 2018
Richard D. F. Harris and Pengguo Wang
University of Exeter - Business School and Xfi, University of Exeter

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Analysts’ Earnings Forecasts, Model-Based Earnings Forecasts, Forecast Horizons, Accuracy, Incremental Information, Firm Characteristics

40.

A Simplified Approach to Modelling the Co-Movement of Asset Returns

Journal of Futures Markets, Vol. 27, No. 6, pp. 575-598, June 2007
Posted: 24 Oct 2006 Last Revised: 28 Aug 2010
Richard D. F. Harris, Evarist Stoja and Jon Tucker
University of Exeter - Business School, University of Bristol and Coventry University

Abstract:

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Multivariate GARCH, Hedging, Minimum-variance hedge ratio, FTSE 100 index

41.

The Gilt-Equity Yield Ratio and the Predictability of UK and Us Equity Returns

Journal of Business Finance and Accounting, Vol. 27, Nos. 3 & 4, April/May 2000
Posted: 30 Jun 2000
Richard D. F. Harris and Rene Sanchez Valle
University of Exeter - Business School and University of Exeter

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42.

Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends

A1.286 WP 97/05
Posted: 15 Jan 1998
Richard D. F. Harris and Elias Tzavalis
University of Exeter - Business School and University of London - Queen Mary - Department of Economics

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43.

Analyst Optimism and the Magnitude of Earnings Growth

Posted: 22 Sep 1997
Richard D. F. Harris
University of Exeter - Business School

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