Cornelis A. Los

University of California at Irvine - The Paul Merage School of Business

Professor Finance

SB1

Irvine, CA 92697-3125

United States

http://merage.uci.edu/research-faculty/faculty-directory/Cornelis-Los.html

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  • University of California at Irvine - The Paul Merage School of Business

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SCHOLARLY PAPERS

40

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20

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24

Scholarly Papers (40)

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1.

Measuring the Degree of Financial Market Efficiency: An Essay

Number of pages: 36 Posted: 02 Oct 2005
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business
Downloads 1,906 (15,173)
Citation 2

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Market efficiency, risk, measurement, fractal, investment horizon, multiresolution analysis

2.

Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data

Centre for Research in Financial Services Working Paper No. 99-01
Number of pages: 30 Posted: 11 Feb 1999
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business
Downloads 1,236 (29,270)
Citation 8

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3.

Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash

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Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash

Number of pages: 39 Posted: 13 Sep 2004
Cornelis A. Los and Rossitsa M. Yalamova
University of California at Irvine - The Paul Merage School of Business and University of Lethbridge
Downloads 912 (44,422)
Citation 3

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Financial Markets, Persistence, Multi-Fractal Spectral Analysis, Wavelets

Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash

International Research Journal of Finance and Economics, Vol. 1, No. 4, pp. 106-133, July 2006
Posted: 02 Jun 2008
Cornelis A. Los and Rossitsa M. Yalamova
University of California at Irvine - The Paul Merage School of Business and University of Lethbridge

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Financial Markets, Persistence, Multi-Fractal Spectral Analysis, Wavelets

4.

Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997

Number of pages: 58 Posted: 05 Nov 2000
Cornelis A. Los and Jeyanthi Karuppiah
University of California at Irvine - The Paul Merage School of Business and Nanyang Technological University (NTU) - Centre for Research in Financial Services (CREFS)
Downloads 760 (57,747)
Citation 4

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foreign exchange markets, anti-persistence, long-term dependence, multi-resolution analysis, wavelets, time-scale analysis, scaling laws, irregularity analysis, randomness, Asia

5.

Visualization of Chaos for Finance Majors

Adelaide University Working Paper No. 00-7
Number of pages: 31 Posted: 07 Jan 2001
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business
Downloads 684 (66,338)

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Logistic Equation, Visualization, Strange Attractor, Chaos, Hurst Exponent

6.

Why VAR Fails: Long Memory and Extreme Events in Financial Markets

Downloads 678 (67,120)

Why VAR Fails: Long Memory and Extreme Events in Financial Markets

Number of pages: 26 Posted: 10 Dec 2004
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business
Downloads 678 (66,191)
Citation 7

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Long memory, value-at-risk, extreme value theory, portfolio management, degrees of persistence

Why VAR Fails: Long Memory and Extreme Events in Financial Markets

The ICFAI Journal of Financial Economics, Vol. 3, No. 3, pp. 19-36, September 2005
Posted: 04 Jun 2008
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business

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Long memory, value-at-risk, extreme value theory, portfolio management, degrees of persistence

7.

When to Put All Your Eggs in One Basket... When Diversification Increases Portfolio Risk!

Number of pages: 7 Posted: 17 Nov 2004
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business
Downloads 672 (67,857)
Citation 1

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Portfolio management, distibutional stability, long memory, financial risk

8.

The Changing Concept of Financial Risk

Downloads 646 (71,399)
Citation 2

The Changing Concept of Financial Risk

Number of pages: 46 Posted: 29 Jan 2002
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business
Downloads 646 (70,457)
Citation 2

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The Changing Concept of Financial Risk

The ICFAI Journal of Financial Risk Management, Vol. 2, No. 1, pp. 7-41, March 2005
Posted: 04 Jun 2008
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business

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epistemological change, financial risk, stable distributions, nonlinear dependencies, nonstationarity, empirical research, financial markets

9.

Measurement of Financial Risk Persistence

Downloads 469 (105,919)

Measurement of Financial Risk Persistence

Number of pages: 37 Posted: 24 Feb 2005
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business
Downloads 469 (104,840)
Citation 1

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Persistence, long memory, dependence, time series, frequency, critical exponents, fractional Brownian motion, (G)ARCH, risk measurement

Measurement of Financial Risk Persistence

The ICFAI Journal of Financial Risk Management, Vol. 2, No. 3, pp. 7-33, September 2005
Posted: 04 Jun 2008
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business

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Persistence, long memory, dependence, time series, frequency, critical exponents, fractional Brownian motion, (G)ARCH, risk measurement

10.

The 1998 Third Annual Survey of Risk Management Practices of Unit Trusts in Singapore

Centre for Research in Financial Services Working Paper No. 99-05
Number of pages: 29 Posted: 15 Sep 1999
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business
Downloads 426 (118,621)

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11.

Measuring Financial Cash Flow and Term Structure Dynamics

Kent State GSM Dept. of Finance Working Paper
Number of pages: 27 Posted: 06 Dec 2001
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business
Downloads 418 (121,270)
Citation 2

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12.

Optimal Asian Multi-Currency Strategy Portfolios with Exact Risk Attribution

Centre for Research in Financial Services WP #98-02
Number of pages: 32 Posted: 20 Aug 1998
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business
Downloads 381 (134,806)
Citation 3

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13.

Long-Term Dependence Characteristics of European Stock Indices

Kent State University Department of Finance Working Paper
Number of pages: 40 Posted: 24 Apr 2003
Cornelis A. Los and Joanna M. Lipka
University of California at Irvine - The Paul Merage School of Business and Kent State University - Department of Finance
Downloads 371 (138,840)
Citation 5

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14.

Persistence Characteristics of the Chinese Stock Markets

Downloads 365 (141,335)
Citation 2

Persistence Characteristics of the Chinese Stock Markets

Number of pages: 34 Posted: 24 Aug 2005
Cornelis A. Los and Bing Yu
University of California at Irvine - The Paul Merage School of Business and Kent State University
Downloads 365 (140,277)
Citation 2

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Long-term dependence, degrees of persistence, Hurst exponent, wavelet multiresolution analysis, Chinese equity markets

Persistence Characteristics of the Chinese Stock Markets

International Review of Financial Analysis, Vol. 17, No. 1, pp. 64-82, 2008
Posted: 02 Jun 2008
Cornelis A. Los and Bing Yu
University of California at Irvine - The Paul Merage School of Business and Kent State University

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Long-term dependence, degrees of persistence, Hurst exponent, wavelet multiresolution analysis, Chinese equity markets

15.

Valuation of Six Asian Stock Markets: Financial System Identification in Noisy Environments

Centre for Research in Financial Services WP #97-02
Number of pages: 33 Posted: 17 Sep 1997
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business
Downloads 351 (147,555)

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16.

Long Memory Options: Valuation

Number of pages: 52 Posted: 15 Sep 2004
Sutthisit Jamdee and Cornelis A. Los
Saint Cloud State University - Finance, Insurance and Real Estate and University of California at Irvine - The Paul Merage School of Business
Downloads 340 (152,655)
Citation 1

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Options, Long Memory, Persistence, Hurst Exponent, Executive Remuneration

17.

Multifractal Modeling of the Us Treasury Term Structure and Fed Funds Rate

Number of pages: 49 Posted: 07 Mar 2005
Sutthisit Jamdee and Cornelis A. Los
Saint Cloud State University - Finance, Insurance and Real Estate and University of California at Irvine - The Paul Merage School of Business
Downloads 333 (156,046)
Citation 1

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MMAR, multifractal spectrum, long memory, scaling, term stucture, persistence, Brownian motion, GARCH, time-frequency analysis

18.

Dynamic Risk Profile of the Us Term Structure by Wavelet Mra

Kent State University, Finance Working Paper
Number of pages: 33 Posted: 04 Feb 2003
Sutthisit Jamdee and Cornelis A. Los
Saint Cloud State University - Finance, Insurance and Real Estate and University of California at Irvine - The Paul Merage School of Business
Downloads 306 (170,754)

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Wavelet, Interest rates, Hurst exponent, Term structure, Yield curve

19.

Model Uncertainty, Complexity and Rank in Finance

Downloads 302 (173,070)

Model Uncertainty, Complexity and Rank in Finance

Number of pages: 45 Posted: 16 Nov 2004
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business
Downloads 302 (172,000)

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Financial modeling, cash accounting, portfolio optimization, uncertainty, complexity, rank

Model Uncertainty, Complexity and Rank in Finance

The ICFAI Journal of Financial Risk Management, Vol. 2, No. 2, pp. 31-61, June 2005
Posted: 04 Jun 2008
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business

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Financial modeling, cash accounting, portfolio optimization, uncertainty, complexity, rank

20.

Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets

Downloads 291 (179,961)

Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets

Centre for Research in Financial Services WP No. 98-03
Number of pages: 33 Posted: 02 Nov 1998
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business
Downloads 291 (178,918)
Citation 5

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Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets

Journal of Multinational Financial Management, Vol. 9, No. 3-4, pp. 265-289, 1999
Posted: 04 Jun 2008
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business

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Market efficiency, Non-parametric testing, High-frequency FX data, Asia

21.

Investment Model Uncertainty and Fair Pricing

Number of pages: 44 Posted: 28 May 2008
Cornelis A. Los and Sachapon Tungsong
University of California at Irvine - The Paul Merage School of Business and Thammasat University - Thammasat Business School
Downloads 265 (197,921)

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capital market line, security market line, beta, investments, decision-making, Knightian uncertainty, robustness, information-gap, Galton's Error, real option value

22.

Galton's Error and the Under-Representation of Systematic Risk

Downloads 247 (212,153)
Citation 1

Galton's Error and the Under-Representation of Systematic Risk

Number of pages: 40 Posted: 08 Aug 1997
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business
Downloads 247 (211,310)
Citation 1

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Galton's Error and the Under-Representation of Systematic Risk

Journal of Banking and Finance, Vol. 23, No. 12, pp. 1793-1829, 1999
Posted: 04 Jun 2008
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business

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systematic risk, CAPM, APT, Galton, mutual funds, asset valuation, securities market line

23.

Persistence Characteristics of Latin American Financial Markets

Downloads 240 (218,155)
Citation 5

Persistence Characteristics of Latin American Financial Markets

Kent State University Finance Working Paper
Number of pages: 49 Posted: 01 Apr 2003
Nyo Nyo A. Kyaw, Cornelis A. Los and Sijing Zong
Kent State University - Department of Finance, University of California at Irvine - The Paul Merage School of Business and California State University, Stanislaus - School of Business
Downloads 240 (217,338)
Citation 5

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Persistence, Hurst Exponent, Nonstationarity, Nonergodicity, Financial Markets, Latin America

Persistence Characteristics of Latin American Financial Markets

Journal of Multinational Financial Management, Vol. 16, No. 3, pp. 269-290, 2006
Posted: 02 Jun 2008
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business

Abstract:

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Long-term dependence, wavelet multiresolution analysis, Latin American financial markets

24.

Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries

Downloads 240 (218,155)

Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries

Centre for Research in Financial Services WP #98-01
Number of pages: 24 Posted: 17 Jan 1998
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business
Downloads 240 (217,338)
Citation 1

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Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries

Journal of Multinational Financial Management, Vol. 8, No. 2-3, pp. 169-198, 1998
Posted: 04 Jun 2008
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business

Abstract:

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Exact Attribution, Portfolio Optimization, Investment Strategies, Asia

25.

Long Memory Options: Lm Evidence and Simulations

Downloads 210 (247,704)

Long Memory Options: Lm Evidence and Simulations

Number of pages: 34 Posted: 09 May 2005
Cornelis A. Los and Sutthisit Jamdee
University of California at Irvine - The Paul Merage School of Business and Saint Cloud State University - Finance, Insurance and Real Estate
Downloads 210 (247,101)

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Options, Long Memory, Persistence, Hurst Exponent, Identification, Simulation, Executive Remuneration

Long Memory Options: LM Evidence and Simulations

Research in International Business and Finance, Vol. 21, No. 2, pp. 260--280, June 2007
Posted: 03 Jun 2008
Cornelis A. Los and Sutthisit Jamdee
University of California at Irvine - The Paul Merage School of Business and Saint Cloud State University - Finance, Insurance and Real Estate

Abstract:

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Options, long memory, persistence, Hurst exponent, identification, simulation, executive remuneration, warrants

26.

Multifractal Modeling of the Japanese Treasury Term Structure

Number of pages: 52 Posted: 08 Sep 2005
Sutthisit Jamdee and Cornelis A. Los
Saint Cloud State University - Finance, Insurance and Real Estate and University of California at Irvine - The Paul Merage School of Business
Downloads 194 (266,108)

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MMAR, multifractal spectrum, long memory, scaling, term stucture, persistence, Brownian motion, GARCH, time-frequency analysis, Japan

27.

The Analytic Incompleteness of Unidirectional Projections or Regressions

Number of pages: 8 Posted: 29 Oct 2004
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business
Downloads 173 (294,402)

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projections, regressions, incompleteness, bias, system identification, noisy data

28.

Were Cobb and Douglas Prejudiced? A Critical Re-Analysis of Their 1928 Production Model Identification

Number of pages: 16 Posted: 22 Feb 2005
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business
Downloads 159 (316,204)

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System identification, noisy data, production model, elasticities, projections, complete least squares, accuracy

29.

Strategic Investments with Competition Under Uncertainty in the ASEAN/AEC: A Game-Theoretic Real Options Analysis

Number of pages: 32 Posted: 03 Jan 2014
Cornelis A. Los and Klangjai Sangwichitr
University of California at Irvine - The Paul Merage School of Business and Alliant School of Management
Downloads 154 (324,820)

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Strategic investments, real options, game theory, contingency planning, decision-making, ASEAN, free trade

30.

System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets

Number of pages: 59 Posted: 19 Oct 2004
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business
Downloads 134 (362,772)
Citation 1

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Identification, financial-economic system, complete least squares, Asian economies

31.

Liquidity and Simulation: A Survey of Liquidity Measures Using TraderEx

Number of pages: 31 Posted: 21 Apr 2014
Jedediah Baker and Cornelis A. Los
Alliant International University - Alliant School of Management and University of California at Irvine - The Paul Merage School of Business
Downloads 132 (366,898)

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Liquidity, liquidity measurement, market simulation, trading simulation

32.

NAFTA’s Financial Convergence: Measurement by Dynamic Moment Analysis of Daily FX Forward Term Premiums

Number of pages: 34 Posted: 26 Mar 2011
Cornelis A. Los and Yueming Sun
University of California at Irvine - The Paul Merage School of Business and University of Lethbridge - Faculty of Management
Downloads 122 (389,458)

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Convergence, Foreign Exchange, Forward Premiums, Term Structures, Dynamic Moment Analysis, Wavelet Multiresolution Analysis, Flexible Exchange Rates, Fixed Exchange Rates

33.

The Fed's Consistent Monetary Policy: A Long Term Perspective

Number of pages: 21 Posted: 16 Nov 2004
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business
Downloads 112 (414,512)

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Monetary policy, modeling, fiscal policy, dollar value

34.

The Degree of Stability of Price Diffusion

Downloads 110 (419,962)

The Degree of Stability of Price Diffusion

Number of pages: 40 Posted: 04 Aug 2005
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business
Downloads 110 (422,301)

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Stable distributions, price diffusion, stability exponent, Zolotarev parametrization, fractional Brownian motion, financial markets

The Degree of Stability of Price Diffusion

The ICFAI Journal of Financial Risk Management, Vol. 2, No. 4, pp. 6-33, December 2005
Posted: 02 Jun 2008
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business

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35.

Adiabatic Genesis of Extreme Volatility Winter Regimes: Dynamic Moment Analysis of Non-Stationary Temperature Data for the Midwestern Natural Gas Market

Number of pages: 26 Posted: 31 Mar 2011
Cornelis A. Los and Jennifer Zhou
University of California at Irvine - The Paul Merage School of Business and Peters & Co., Ltd
Downloads 52 (644,986)

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Natural Gas Prices, Temperatures, Non-Stationarity, Dynamic Moment Analysis, Extreme Volatility, Fractal Analysis, Chinook, Adiabasis

36.

Measuring the Degree of Financial Market Efficiency

Finance India, Vol. 22, No. 4, December 2008
Posted: 04 Jun 2008
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business

Abstract:

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Market efficiency, risk, measurement, fractal, investment horizon, multiresolution analysis

37.

Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates

International Review of Financial Analysis, Vol. 14, No. 2, pp. 211-246, 2005
Posted: 04 Jun 2008
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business

Abstract:

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foreign exchange markets, anti-persistence, long-term dependence, multi-resolution analysis, wavelets, time-scale analysis, scaling laws, irregularity analysis, randomness, Asia

38.

When to Put All Your Eggs in One Basket? When Diversification Increases Portfolio Risk!

Financial Engineering News, p. 4, January-February 2005
Posted: 04 Jun 2008
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business

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Portfolio management, diversification, stable disttributions, risk, options

39.

System Identification in Noisy Data Environments

Journal of Banking and Finance, Vol. 30, No. 7, pp. 1997-2024, 2006
Posted: 03 Jun 2008
Cornelis A. Los
University of California at Irvine - The Paul Merage School of Business

Abstract:

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Identification, financial-economic system, complete least squares, Asian economies

40.

Dynamic Risk Profile of the U.S. Term Structure

International Research Journal of Finance and Economics, Vol 1, No. 5, pages 19-47, September 2006
Posted: 02 Jun 2008
Cornelis A. Los and Sutthisit Jamdee
University of California at Irvine - The Paul Merage School of Business and Saint Cloud State University - Finance, Insurance and Real Estate

Abstract:

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Wavelet, interest rates, Hurst exponent, term structure, yield curve