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

  • University of Calgary - Haskayne School of Business

  • University of South Australia

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 29,690

SSRN RANKINGS

Top 29,690

in Total Papers Downloads

2,987

SSRN CITATIONS
Rank 22,474

SSRN RANKINGS

Top 22,474

in Total Papers Citations

43

CROSSREF CITATIONS

8

Scholarly Papers (19)

Actions:
Email selected abstracts
1.

Dynamic Risk, Accounting-Based Valuation and Firm Fundamentals

Downloads 637 (72,804)
Citation 11

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 358 (143,543)
Citation 3

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 279 (187,159)
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.

Investment Timing Under Regime Switching

Downloads 539 (89,577)
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 438 (113,779)
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 101 (450,061)

Abstract:

Loading...

Regime Switching, Real Option, Investment Timing

3.

Financial Signal Processing: A Self Calibrating Model

Number of pages: 28 Posted: 26 Dec 2000
Robert J. Elliott, William C. Hunter, William C. Hunter and Barbara M. Jamieson
University of Calgary - Haskayne School of Business, University of Connecticut - School of BusinessTippie College of Business and Independent
Downloads 492 (100,174)

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 296 (176,997)

Abstract:

Loading...

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

5.

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 196 (265,254)
Citation 6

Abstract:

Loading...

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

6.

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
Alexandru Badescu, Robert J. Elliott, Juan-Pablo Ortega and Juan-Pablo Ortega
University of Calgary, University of Calgary - Haskayne School of Business and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 156 (323,522)
Citation 7

Abstract:

Loading...

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

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 144 (343,519)
Citation 2

Abstract:

Loading...

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

8.

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
Alexandru Badescu, Robert J. Elliott, Juan-Pablo Ortega and Juan-Pablo Ortega
University of Calgary, University of Calgary - Haskayne School of Business and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 108 (426,229)
Citation 8

Abstract:

Loading...

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

9.

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 103 (440,832)

Abstract:

Loading...

Fractional Difference, Discrete Time, Metal Futures, Long Memory

10.

Deliberate Premarket Underpricing: New Evidence on IPO Pricing Using Machine Learning

Neghab, D.P., Bradrania, R., & Elliott. (2023). The beta anomaly and the quality effect in international stock markets. International Review of Economics & Finance 88, 902-927.
Number of pages: 52 Posted: 29 Nov 2023
Davood Pirayesh Neghab, Reza Bradrania and Robert J. Elliott
affiliation not provided to SSRN, University of South Australia - UniSA Business School and University of Calgary - Haskayne School of Business
Downloads 86 (495,378)

Abstract:

Loading...

IPO; underpricing; deliberate underpricing, machine learning; DNN, offer price

11.

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 77 (529,088)
Citation 1

Abstract:

Loading...

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

12.

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 67 (571,296)

Abstract:

Loading...

Bilateral Gamma, Change of Measure, Self Decomposable

13.

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 49 (662,852)
Citation 1

Abstract:

Loading...

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

14.

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 31 (785,519)

Abstract:

Loading...

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

15.

Stochastic Control for Backward Stochastic Differential Equations with Semi-Markov Chain Noises

Number of pages: 15 Posted: 11 Oct 2023
Robert J. Elliott and Zhe Yang
University of Calgary - Haskayne School of Business and University of Calgary
Downloads 6 (1,012,467)

Abstract:

Loading...

BSDEs, discrete-time, semi-Markov chain noise, stochastic control

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.

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...

19.

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...