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

17

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2,310

SSRN CITATIONS
Rank 19,435

SSRN RANKINGS

Top 19,435

in Total Papers Citations

27

CROSSREF CITATIONS

27

Scholarly Papers (17)

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 341 (108,219)
Citation 2

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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 252 (149,155)
Citation 6

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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 504 ( 68,958)
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 417 (85,812)
Citation 3

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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 87 (354,768)

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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 and Barbara M. Jamieson
University of Calgary - Haskayne School of Business, Tippie College of Business and Independent
Downloads 465 (76,212)

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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 279 (135,021)

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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 Nanyang Technological University
Downloads 136 (258,740)
Citation 7

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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 Nanyang Technological University
Downloads 94 (335,078)
Citation 8

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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 84 (359,375)

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Fractional Difference, Discrete Time, Metal Futures, Long Memory

8.

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 41 (507,573)

Abstract:

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Bilateral Gamma, Change of Measure, Self Decomposable

9.

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 33 (547,268)
Citation 1

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

10.

Lower and Upper Pricing of Financial Assets

Number of pages: 26 Posted: 03 Dec 2020
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 32 (552,562)

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

11.

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 29 (569,452)
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12.

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 20 (628,272)
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13.

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

14.

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

15.

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

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16.

Pricing Via Multiplicative Price Decomposition

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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17.

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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