Allan Gregory

Queen's University

Kingston, Ontario K7L 3N6

Canada

SCHOLARLY PAPERS

7

DOWNLOADS

219

SSRN CITATIONS
Rank 32,101

SSRN RANKINGS

Top 32,101

in Total Papers Citations

4

CROSSREF CITATIONS

15

Scholarly Papers (7)

Canadian City Housing Prices and Urban Market Segmentation

Number of pages: 20 Posted: 01 Nov 2007
Government of Canada - Bank of Canada, Bank of Canada & CREFE, The University of Melbourne and Queen's University
Downloads 98 (272,693)
Citation 1

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Housing, Canada, cointegration

Canadian City Housing Prices and Urban Market Segmentation

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 42, Issue 3, pp. 1132-1149, August / août 2009
Number of pages: 18 Posted: 04 Jul 2009
Government of Canada - Bank of Canada, Bank of Canada & CREFE, The University of Melbourne and Queen's University
Downloads 3 (664,618)
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2.

Empirical Likelihood Block Bootstrapping

Number of pages: 36 Posted: 21 May 2008
Allan Gregory and Katsumi Shimotsu
Queen's University and Queen's University - Department of Economics
Downloads 53 (381,556)

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generalized methods of moments, empirical likelihood, block-bootstrap

3.

Updating Forecasts in Vector Autoregression Models with an Application to the Canadian Banking Industry

Number of pages: 53 Posted: 14 Feb 2014
Hui Zhu and Allan Gregory
University of Ontario Institute of Technology (UOIT) and Queen's University
Downloads 29 (476,106)

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Updated VAR forecasts; Timing of data release; Earnings forecasts; Canadian banks

4.

Testing the Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Specification Analysis

Journal of International Money and Finance, Vol. 3, p. 357, 1984
Number of pages: 12 Posted: 01 Mar 2012
Allan Gregory and Thomas H. McCurdy
Queen's University and University of Toronto - Rotman School of Management
Downloads 24 (503,073)
Citation 4

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forward foreign exchange rate, unbiasedness hypothesis, specification tests, structural breaks

5.

The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Specification Analysis with Application to France, Italy, Japan, the United Kingdom and West Germany

European Economic Review, Vol. 30, p. 365, 1986
Number of pages: 17 Posted: 01 Mar 2012
Allan Gregory and Thomas H. McCurdy
Queen's University and University of Toronto - Rotman School of Management
Downloads 12 (574,550)

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specfication analyses, unbiasedness hypothesis, forward foreign exchange rate

6.

Estimation and Inference in Arch Models in the Presence of Outliers

Journal of Financial Econometrics, Vol. 8, No. 4, pp. 547-569, 2010
Posted: 08 Sep 2010
Allan Gregory and Jonathan J. Reeves
Queen's University and UNSW Business School, University of New South Wales

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GARCH, Influential observations, volatility

7.

Interpreting Value at Risk (VaR) Forecasts

Economic Systems, Vol. 32, No. 2, 2008
Posted: 31 Aug 2008
Allan Gregory and Jonathan J. Reeves
Queen's University and UNSW Business School, University of New South Wales

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Financial risk management