John C. Nankervis

University of Essex - Department of Accounting, Finance & Management

Wivenhoe Park

Colchester CO4 3SQ

United Kingdom

SCHOLARLY PAPERS

8

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Scholarly Papers (8)

1.

Predicting the Equity Premium with Dividend Ratios: Reconciling the Evidence

A revised version appears in the Journal of Empirical Finance, Vol. 17, No. 4, 2010
Number of pages: 33 Posted: 19 Feb 2009 Last Revised: 04 Nov 2014
Neil Kellard, John C. Nankervis and Fotios I. Papadimitriou
University of Essex - Essex Business School, University of Essex - Department of Accounting, Finance & Management and Business School, University of Aberdeen
Downloads 702 (35,573)

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Equity Premium, Stock Return Predictability, Dividend Ratios, Out-of-Sample Prediction

2.

Forecasting Exchange Rate Volatility at High Frequency Data: Is the Euro Different?

Number of pages: 33 Posted: 09 Mar 2007
Georgios E. Chortareas, John C. Nankervis and Ying Jiang
University of Athens - Faculty of Economics, University of Essex - Department of Accounting, Finance & Management and The University of Nottingham Ningbo, China
Downloads 464 (60,881)
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Foreign Exchange, Time-Series Models

Double Bootstrap Confidence Intervals in the Two-Stage DEA Approach

A revised version in the Journal of Time Series Analysis, Forthcoming
Number of pages: 28 Posted: 07 Feb 2015
University of St. Andrews - School of Management, University of Essex - Essex Business School and University of Essex - Department of Accounting, Finance & Management
Downloads 106 (256,225)
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Data Envelopment Analysis; Double Bootstrap; Confidence Intervals; Stopping Rules; Two-Stage Approach

Double Bootstrap Confidence Intervals in the Two‐Stage DEA Approach

Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 653-662, 2015
Number of pages: 10 Posted: 28 Jul 2015
University of St. Andrews - School of Management, University of Essex - Essex Business School and University of Essex - Department of Accounting, Finance & Management
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Data envelopment analysis, double bootstrap, confidence intervals, stopping rules, two‐stage approach, JELC14

4.

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

5.

Generalized Variance‐Ratio Tests in the Presence of Statistical Dependence

Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 687-705, 2015
Number of pages: 19 Posted: 28 Jul 2015
John C. Nankervis, Periklis Kougoulis and Jerry Coakley
University of Essex - Department of Accounting, Finance & Management, Abu Dhabi University - College of Business Administration and University of Essex - Essex Business School
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Variance‐ratio statistic, non‐MDS process, Monte Carlo

6.

Volatility and Spillover Effects of Yen Interventions

Review of International Economics, Vol. 21, Issue 4, pp. 671-689, 2013
Number of pages: 19 Posted: 16 Aug 2013
Georgios E. Chortareas, Ying Jiang and John C. Nankervis
University of Athens - Faculty of Economics, The University of Nottingham Ningbo, China and University of Essex - Department of Accounting, Finance & Management
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7.

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

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Econometrics, Asymptotic Theory, Power

8.

Bank of Japan Interventions, Exchange Rate Volatility, and Spillover Effects: Evidence from High Frequency Data

20th Australasian Finance & Banking Conference 2007 Paper
Posted: 25 Aug 2007
Georgios E. Chortareas, Ying Jiang and John C. Nankervis
University of Athens - Faculty of Economics, The University of Nottingham Ningbo, China and University of Essex - Department of Accounting, Finance & Management

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foreign exchange market, central bank intervention, Bank of Japan