Robert J. Elliott

University of Calgary - Haskayne School of Business

Royal Bank Professor of Finance and Adjunct Professor of Mathematics

2500 University Drive, NW

Calgary, Alberta T2N 1N4

Canada

University of South Australia

Research Professor

37-44 North Terrace

Adelaide

Australia

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 28,277

SSRN RANKINGS

Top 28,277

in Total Papers Downloads

2,578

SSRN CITATIONS
Rank 19,147

SSRN RANKINGS

Top 19,147

in Total Papers Citations

27

CROSSREF CITATIONS

27

Scholarly Papers (20)

Dynamic Risk, Accounting-Based Valuation and Firm Fundamentals

CAAA Annual Conference 2012
Number of pages: 38 Posted: 19 Dec 2011 Last Revised: 19 Apr 2012
Matthew R. Lyle, Jeffrey L. Callen and Robert J. Elliott
Goizueta Business School, University of Toronto - Rotman School of Management and University of Calgary - Haskayne School of Business
Downloads 342 (125,659)
Citation 2

Abstract:

Loading...

Stock valuation, expected risk, cost of capital, expected returns, implied risk, Ohlson model

Dynamic Risk, Accounting-Based Valuation and Firm Fundamentals

Number of pages: 38 Posted: 27 Mar 2012
Matthew R. Lyle, Jeffrey L. Callen and Robert J. Elliott
Goizueta Business School, University of Toronto - Rotman School of Management and University of Calgary - Haskayne School of Business
Downloads 265 (164,097)
Citation 6

Abstract:

Loading...

Stock valuation, expected risk, cost of capital, expected returns, implied risk, Ohlson model

Dynamic Risk, Accounting-Based Valuation and Firm Fundamentals

Review of Accounting Studies, Forthcoming
Posted: 27 Mar 2012
Matthew R. Lyle, Jeffrey L. Callen and Robert J. Elliott
Goizueta Business School, University of Toronto - Rotman School of Management and University of Calgary - Haskayne School of Business

Abstract:

Loading...

2.
Downloads 510 ( 79,706)
Citation 2

Investment Timing Under Regime Switching

International Journal of Theoretical and Applied Finance, Vol. 12, 2009
Number of pages: 35 Posted: 20 Feb 2007 Last Revised: 10 Feb 2018
Robert J. Elliott, Hong Miao and Jin Yu
University of Calgary - Haskayne School of Business, Colorado State University, Fort Collins - Department of Finance & Real Estate and Vienna Graduate School of Finance (VGSF)
Downloads 422 (98,865)
Citation 3

Abstract:

Loading...

Investment Timing, Real Option, Regime Switching

Investment Timing Under Regime Switching

International Journal of Theoretical and Applied Finance, Vol. 12, No. 4, pp. 443-463, 2009
Number of pages: 21 Posted: 16 Apr 2010 Last Revised: 09 Feb 2013
Robert J. Elliott, Hong Miao and Yu Jin
University of Calgary - Haskayne School of Business, Colorado State University, Fort Collins - Department of Finance & Real Estate and University of New South Wales (UNSW)
Downloads 88 (403,212)

Abstract:

Loading...

Regime Switching, Real Option, Investment Timing

3.

Financial Signal Processing: A Self Calibrating Model

Number of pages: 28 Posted: 26 Dec 2000
University of Calgary - Haskayne School of Business, University of Connecticut - School of BusinessTippie College of Business and Independent
Downloads 475 (86,848)

Abstract:

Loading...

4.

General Equilibrium Asset Pricing Under Regime Switching

Communications on Stochastic Analysis, 2, 2008.
Number of pages: 26 Posted: 18 Mar 2007 Last Revised: 10 Feb 2018
Robert J. Elliott, Hong Miao and Jin Yu
University of Calgary - Haskayne School of Business, Colorado State University, Fort Collins - Department of Finance & Real Estate and Vienna Graduate School of Finance (VGSF)
Downloads 282 (154,674)

Abstract:

Loading...

General Equilibrium, Representative Agent, Utility Function, Regime Switching, Stochastic Discount Factor, Equity Premium Puzzle

5.

Non-Gaussian GARCH Option Pricing Models and Their Diffusion Limits

Forthcoming, European Journal of Operational Research
Number of pages: 30 Posted: 02 Nov 2013 Last Revised: 19 Jun 2015
University of Calgary, University of Calgary - Haskayne School of Business and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 140 (290,195)
Citation 7

Abstract:

Loading...

finance, non-Gaussian GARCH models, extended Girsanov principle, conditional Esscher transform, bivariate diffusion limit, option pricing

6.

Quadratic Hedging Schemes for Non-Gaussian GARCH Models

Journal of Economic Dynamics and Control, Vol. 32, 13-32, 2014
Number of pages: 26 Posted: 27 Sep 2012 Last Revised: 13 May 2014
University of Calgary, University of Calgary - Haskayne School of Business and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 95 (380,985)
Citation 8

Abstract:

Loading...

GARCH models, hedging scheme, local risk minimization, conditional Esscher transform, Extended Girsanov Principle, bivariate diffusion limit, minimum variance hedge

7.

High Dimensional Markovian Trading of a Single Stock

Number of pages: 27 Posted: 07 Jan 2022
Robert J. Elliott, Dilip B. Madan and King Wang
University of Calgary - Haskayne School of Business, University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 88 (399,542)

Abstract:

Loading...

Bilateral Gamma, Measure Distorted Valuation, Quantization, Gaussian Process Regression

8.

Fractional Differencing in Discrete Time

Quantitative Finance, 13, 2013.
Number of pages: 27 Posted: 27 Jul 2011 Last Revised: 10 Feb 2018
John Elder, Robert J. Elliott and Hong Miao
Colorado State University, University of Calgary - Haskayne School of Business and Colorado State University, Fort Collins - Department of Finance & Real Estate
Downloads 87 (402,336)

Abstract:

Loading...

Fractional Difference, Discrete Time, Metal Futures, Long Memory

9.

Estimating A Regime Switching Pairs Trading Model

Quantitative Finance, Volume 18, 2018 - Issue 5
Number of pages: 16 Posted: 24 Sep 2021
Robert J. Elliott and Reza Bradrania
University of Calgary - Haskayne School of Business and University of South Australia - UniSA Business School
Downloads 71 (451,687)

Abstract:

Loading...

Applied mathematical finance, quantitative trading strategies, arbitrage relationship, state-dependent trading strategies

10.

Lower and Upper Pricing of Financial Assets

Number of pages: 26 Posted: 03 Dec 2020 Last Revised: 05 Aug 2021
Robert J. Elliott, Dilip B. Madan and Ken Siu
University of Calgary - Haskayne School of Business, University of Maryland - Robert H. Smith School of Business and Macquarie University
Downloads 58 (499,836)

Abstract:

Loading...

Bilateral Gamma Model, Acceptable Risks, Probability Distortions, Hidden Markov Model, Filtered Markets.

11.

Filtering Response Directions

Number of pages: 29 Posted: 19 Jun 2020 Last Revised: 26 Dec 2020
Robert J. Elliott, Dilip B. Madan and King Wang
University of Calgary - Haskayne School of Business, University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 57 (503,850)

Abstract:

Loading...

Bilateral Gamma, Change of Measure, Self Decomposable

12.

Two Price Economic Equilibria and Financial Market Bid/Ask prices

Number of pages: 23 Posted: 15 Jul 2020
Dilip B. Madan, Robert J. Elliott and Ken Siu
University of Maryland - Robert H. Smith School of Business, University of Calgary - Haskayne School of Business and Macquarie University
Downloads 40 (583,056)
Citation 1

Abstract:

Loading...

Acceptable Risks, Distorted Expectations, Minmaxvar Distortion, Convex Risk Measures

13.

Book Reviews

Number of pages: 15 Posted: 10 Jul 2003
University of North Carolina at Wilmington, University of Manchester - School of Social Sciences, Manchester Metropolitan University - Department of Economics, University of Calgary - Haskayne School of Business and University of Manchester - School of Social Sciences
Downloads 30 (641,815)

Abstract:

Loading...

14.

Do Environmental Regulations Influence Trade Patterns? Testing Old and New Trade Theories

Number of pages: 24 Posted: 20 Oct 2003
Matthew A. Cole and Robert J. Elliott
University of Birmingham - Department of Economics and University of Calgary - Haskayne School of Business
Downloads 21 (708,036)

Abstract:

Loading...

15.

Institutional ownership and liquidity commonality: evidence from Australia

Bradrania, R, Elliott, R & Wu, W (2021) Institutional ownership and liquidity commonality: evidence from Australia', Accounting and Finance, DOI: https://doi.org/10.1111/acfi.12822
Number of pages: 49 Posted: 04 Apr 2022
Reza Bradrania, Robert J. Elliott and Winston Wu
University of South Australia - UniSA Business School, University of Calgary - Haskayne School of Business and University of Sydney, Business School, Discipline of Finance, Students
Downloads 17 (741,369)

Abstract:

Loading...

Commonality in liquidity, Systematic liquidity risk, Transaction costs, Foreign ownership, Institutional ownership

16.

Heston-Type Stochastic Volatility with a Markov Switching Regime

Journal of Futures Markets, Vol.36, No.9, pp.902-919.
Posted: 24 Sep 2014 Last Revised: 05 Sep 2016
Robert J. Elliott, Katsumasa Nishide and Carlton Osakwe
University of Calgary - Haskayne School of Business, Graduate School of Economics, Hitotsubashi University and Mount Royal University - Bissett School of Business

Abstract:

Loading...

Option price, Stochastic volatility, Markov switching

17.

Pricing of Discount Bonds with a Markov Switching Regime

Annals of Finance, Vol.10, No.3, pp.509-522.
Posted: 07 Mar 2012 Last Revised: 23 Jul 2014
Robert J. Elliott and Katsumasa Nishide
University of Calgary - Haskayne School of Business and Graduate School of Economics, Hitotsubashi University

Abstract:

Loading...

Bond pricing, term structure, Markov switching regime, CIR model, stochastic flows

18.

On Models of Default Risk

Posted: 17 Mar 2001
Robert J. Elliott, Monique Jeanblanc and Marc Yor
University of Calgary - Haskayne School of Business, Universit√© d'√Čvry - Departement de Mathematiques and Universite Paris

Abstract:

Loading...

19.

Pricing Via Multiplicative Price Decomposition

Posted: 14 May 2000
Robert J. Elliott, William C. Hunter and William C. Hunter
University of Calgary - Haskayne School of Business and University of Connecticut - School of BusinessTippie College of Business

Abstract:

Loading...

20.

An Application of Hidden Markov Models to Asset Allocation Problems

FINANCE AND STOCHASTICS, Vol. 1 No. 3, 1997
Posted: 18 Dec 1996
Robert J. Elliott and John Van der Hoek
University of Calgary - Haskayne School of Business and University of Adelaide - Faculty of Engineering, Computer and Mathematical Sciences

Abstract:

Loading...