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 Alberta - Department of Mathematical and Statistical Sciences

Professor Emeritus

Edmonton, Alberta T6G 2G1

Canada

University of South Australia

37-44 North Terrace

Adelaide

Australia

SCHOLARLY PAPERS

15

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2,076

SSRN RANKINGS

Top 19,269

in Total Papers Citations

16

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Scholarly Papers (15)

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
Northwestern University - Kellogg School of Management, University of Toronto - Rotman School of Management and University of Calgary - Haskayne School of Business
Downloads 326 (89,825)

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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
Northwestern University - Kellogg School of Management, University of Toronto - Rotman School of Management and University of Calgary - Haskayne School of Business
Downloads 235 (127,287)

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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
Northwestern University - Kellogg School of Management, University of Toronto - Rotman School of Management and University of Calgary - Haskayne School of Business

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2.
Downloads 478 ( 57,517)

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 396 (71,591)

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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 82 (298,041)

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Regime Switching, Real Option, Investment Timing

3.

Financial Signal Processing: A Self Calibrating Model

FRB of Chicago Working Paper No. 00-21
Number of pages: 28 Posted: 26 Dec 2000
Robert J. Elliott, William C. Hunter and Barbara M. Jamieson
University of Calgary - Haskayne School of Business, Tippie College of Business and Independent
Downloads 442 (63,318)

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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 268 (111,684)

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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
Alex Badescu, Robert J. Elliott and Juan-Pablo Ortega
University of Calgary, University of Calgary - Haskayne School of Business and Universität Sankt Gallen
Downloads 125 (222,045)

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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
Alex Badescu, Robert J. Elliott and Juan-Pablo Ortega
University of Calgary, University of Calgary - Haskayne School of Business and Universität Sankt Gallen
Downloads 85 (288,998)

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

7.

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 67 (331,203)

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Fractional Difference, Discrete Time, Metal Futures, Long Memory

8.

Book Reviews

The Manchester School, Vol. 70, pp. 731-745, 2002
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 28 (468,424)
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9.

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

World Economy, Vol. 26, pp. 1163-1186, August 2003
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 20 (511,938)
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10.

Moment Based Regression Algorithms for Drift and Volatility Estimation in Continuous-Time Markov Switching Models

Econometrics Journal, Vol. 11, Issue 2, pp. 244-270, July 2008
Number of pages: 27 Posted: 14 Jul 2008
Robert J. Elliott, Vikram Krishnamurthy and Jörn Sass
University of Calgary - Haskayne School of Business, affiliation not provided to SSRN and University of Kaiserslautern
Downloads 2 (625,656)
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11.

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

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Option price, Stochastic volatility, Markov switching

12.

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

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

13.

On Models of Default Risk

Mathematical Finance, Vol. 10, No. 2, April 2000
Posted: 17 Mar 2001
Robert J. Elliott, Monique Jeanblanc and Marc Yor
University of Calgary - Haskayne School of Business, Université d'Évry - Departement de Mathematiques and Universite Paris

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14.

Pricing Via Multiplicative Price Decomposition

THE J. OF FINANCIAL ENGINEERING, Vol. 4 No. 3, September 1995
Posted: 14 May 2000
Robert J. Elliott and William C. Hunter
University of Calgary - Haskayne School of Business and Tippie College of Business

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15.

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

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