Author Page for Adlai J. Fisher

A Multifractal Model of Asset Returns

Cowles Foundation Discussion Paper No. 1164, Sauder School of Business Working Paper

Number of pages: 33 Posted: 21 Apr 1998

Benoit B. Mandelbrot, Adlai J. Fisher and Laurent E. Calvet

Yale University - International Center for Finance, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School - Department of Economics & Finance

Downloads 7,759 (616)

Citation 31

Abstract:

2.

Large Deviations and the Distribution of Price Changes

Cowles Foundation Discussion Paper No. 1165, Sauder School of Business Working Paper

Number of pages: 30 Posted: 22 Apr 1998

Laurent E. Calvet, Adlai J. Fisher and Benoit B. Mandelbrot

EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and Yale University - International Center for Finance

Downloads 2,747 (3,830)

Citation 7

Abstract:

3.

Multifractality of Deutschemark / Us Dollar Exchange Rates

Cowles Foundation Discussion Paper No. 1166, Sauder School of Business Working Paper

Number of pages: 40 Posted: 21 Apr 1998

Adlai J. Fisher, Laurent E. Calvet and Benoit B. Mandelbrot

University of British Columbia (UBC) - Sauder School of Business, EDHEC Business School - Department of Economics & Finance and Yale University - International Center for Finance

Downloads 2,701 (3,949)

Citation 9

Abstract:

4.

Corporate Investment and Asset Price Dynamics: Implications for SEO Event Studies and Long-Run Performance

7th Annual Texas Finance Festival Paper, Sauder School of Business Working Paper

Number of pages: 33 Posted: 16 May 2005

Murray Carlson, Adlai J. Fisher and Ron Giammarino

University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business and University of British Columbia (UBC) - Sauder School of Business

Downloads 952 (21,332)

Citation 72

Abstract:

5.

Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics

Number of pages: 55 Posted: 17 Mar 2010 Last Revised: 16 Apr 2013

Laurent E. Calvet, Adlai J. Fisher and Liuren Wu

EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business

Downloads 855 (24,948)

Abstract:

6.

Leverage and the Limits of Arbitrage Pricing: Implications for Dividend Strips and the Term Structure of Equity Risk Premia

Number of pages: 36 Posted: 21 Sep 2011 Last Revised: 07 May 2013

Oliver Boguth, Murray Carlson, Adlai J. Fisher and Mikhail Simutin

Arizona State University (ASU) - Finance Department, University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business and University of Toronto - Rotman School of Management

Downloads 805 (27,233)

Citation 7

Abstract:

7.

Leaders, Followers, and Risk Dynamics in Industry Equilibrium

AFA 2007 Chicago Meetings Paper, EFA 2009 Bergen Meetings Paper, Journal of Financial and Quantitative Analysis (JFQA), Forthcoming

Number of pages: 47 Posted: 06 Mar 2008 Last Revised: 06 May 2013

Murray Carlson, Engelbert J. Dockner, Adlai J. Fisher and Ron Giammarino

University of British Columbia (UBC) - Sauder School of Business, WU Vienna University of Economics and Business (deceased), University of British Columbia (UBC) - Sauder School of Business and University of British Columbia (UBC) - Sauder School of Business

Downloads 769 (28,951)

Citation 3

Abstract:

8.

SEO Risk Dynamics

Downloads 698 ( 33,048)

Citation 12

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SEO Risk Dynamics

Review of Financial Studies, 23 (11), 4026-4077

Number of pages: 48 Posted: 06 Dec 2005 Last Revised: 07 May 2013

Murray Carlson, Adlai J. Fisher and Ron Giammarino

University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business and University of British Columbia (UBC) - Sauder School of Business

Downloads 517 (48,443)

Citation 12

Abstract:

SEO Risk Dynamics

Review of Financial Studies, 23 (11), 4026-4077

Number of pages: 48 Posted: 21 Mar 2007 Last Revised: 07 May 2013

Murray Carlson, Adlai J. Fisher and Ron Giammarino

University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business and University of British Columbia (UBC) - Sauder School of Business

Downloads 181 (154,806)

Citation 12

Abstract:

9.

Corporate Investment and Asset Price Dynamics: Implications for the Cross-Section of Returns

AFA 2004 San Diego Meetings, Sauder School of Business Working Paper

Number of pages: 37 Posted: 10 Jun 2003

Murray Carlson, Adlai J. Fisher and Ron Giammarino

University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business and University of British Columbia (UBC) - Sauder School of Business

Downloads 681 (34,237)

Citation 143

Abstract:

10.

Regime-Switching and the Estimation of Multifractal Processes

Downloads 655 ( 36,068)

Citation 17

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Regime-Switching and the Estimation of Multifractal Processes

Harvard Institute of Economic Research Discussion Paper No. 1999, Sauder School of Business Working Paper

Number of pages: 44 Posted: 27 Mar 2003

Laurent E. Calvet and Adlai J. Fisher

EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business

Downloads 504 (50,053)

Citation 17

Abstract:

Regime-Switching and the Estimation of Multifractal Processes

NYU Working Paper No. FIN-02-064

Number of pages: 42 Posted: 03 Nov 2008

Laurent E. Calvet and Adlai J. Fisher

EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business

Downloads 57 (346,595)

Citation 17

Abstract:

Regime-Switching and the Estimation of Multifractal Processes

NYU Working Paper No. S-DRP-02-10

Number of pages: 42 Posted: 07 Nov 2008

Laurent E. Calvet and Adlai J. Fisher

EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business

Downloads 56 (349,635)

Citation 17

Abstract:

Regime-Switching and the Estimation of Multifractal Processes

NBER Working Paper No. w9839

Number of pages: 43 Posted: 20 Jul 2003 Last Revised: 08 Mar 2013

Laurent E. Calvet and Adlai J. Fisher

EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business

Downloads 38 (412,911)

Citation 17

Abstract:

11.

Conditional Risk and Performance Evaluation: Volatility Timing, Overconditioning, and New Estimates of Momentum Alphas

Journal of Financial Economics (JFE), 102 (2), 363-389, November 2011.

Number of pages: 54 Posted: 04 Jul 2007 Last Revised: 07 May 2013

Oliver Boguth, Murray Carlson, Adlai J. Fisher and Mikhail Simutin

Arizona State University (ASU) - Finance Department, University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business and University of Toronto - Rotman School of Management

Downloads 635 (37,530)

Citation 6

Abstract:

12.

Horizon Effects in Average Returns: The Role of Slow Information Diffusion

Number of pages: 57 Posted: 16 Mar 2011 Last Revised: 01 Apr 2015

Oliver Boguth, Murray Carlson, Adlai J. Fisher and Mikhail Simutin

Arizona State University (ASU) - Finance Department, University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business and University of Toronto - Rotman School of Management

Downloads 604 (40,118)

Abstract:

13.

Macroeconomic Attention and the Stock Market

2017 Financial Intermediation Research Society Conference, 2016 ASU Sonoran Winter Finance Conference

Number of pages: 52 Posted: 15 Dec 2015 Last Revised: 09 Oct 2018

Adlai J. Fisher, Charles Martineau and Jinfei Sheng

University of British Columbia (UBC) - Sauder School of Business, University of Toronto and University of California, Irvine - Paul Merage School of Business

Downloads 556 (44,712)

Abstract:

14.

What's Beneath the Surface? Option Pricing with Multifrequency Latent States

HEC Paris Research Paper No. 969/2013

Number of pages: 52 Posted: 07 Nov 2012 Last Revised: 17 Oct 2014

Laurent E. Calvet, Marcus Fearnley, Adlai J. Fisher and Markus Leippold

EDHEC Business School - Department of Economics & Finance, HEC Paris - Department of Finance, University of British Columbia (UBC) - Sauder School of Business and University of Zurich - Department of Banking and Finance

Downloads 457 (57,282)

Abstract:

15.

Extreme Risk and Fractal Regularity in Finance

Number of pages: 34 Posted: 08 Aug 2012

Laurent E. Calvet and Adlai J. Fisher

EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business

Downloads 455 (57,585)

Citation 1

Abstract:

16.

Volatility Comovement: A Multifrequency Approach

Downloads 450 ( 58,336)

Citation 9

2

Volatility Comovement: A Multifrequency Approach

Sauder School of Business Working Paper

Number of pages: 41 Posted: 31 Aug 2004

Laurent E. Calvet, Adlai J. Fisher and Samuel Brodsky Thompson

EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and Arrowstreet Capital, L.P.

Downloads 371 (72,845)

Citation 9

Abstract:

Volatility Comovement: A Multifrequency Approach

NBER Working Paper No. t0300

Number of pages: 42 Posted: 15 Aug 2007 Last Revised: 08 Mar 2013

Laurent E. Calvet, Adlai J. Fisher and Samuel Brodsky Thompson

EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and Arrowstreet Capital, L.P.

Downloads 79 (289,796)

Citation 8

Abstract:

17.

Forecasting Multifractal Volatility

NYU Working Paper No. FIN-99-017

Number of pages: 48 Posted: 07 Nov 2008

Laurent E. Calvet and Adlai J. Fisher

EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business

Downloads 414 (64,545)

Citation 21

Abstract:

18.

Monetary Policy and Corporate Default

Journal of Monetary Economics, 58 (5), 480-494, July 2011

Number of pages: 39 Posted: 02 Feb 2011 Last Revised: 07 May 2013

Harjoat Singh Bhamra, Adlai J. Fisher and Lars-Alexander Kuehn

Imperial College Business School, University of British Columbia (UBC) - Sauder School of Business and Carnegie Mellon University - David A. Tepper School of Business

Downloads 387 (69,964)

Citation 4

Abstract:

19.

Multifrequency News and Stock Returns

Downloads 246 (115,414)

Citation 20

2

Multifrequency News and Stock Returns

Sauder School of Business Working Paper

Number of pages: 51 Posted: 20 Jun 2005

Laurent E. Calvet and Adlai J. Fisher

EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business

Downloads 205 (137,671)

Citation 20

Abstract:

Multifrequency News and Stock Returns

NBER Working Paper No. w11441

Number of pages: 51 Posted: 12 Jul 2005 Last Revised: 08 Mar 2013

Laurent E. Calvet and Adlai J. Fisher

EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business

Downloads 41 (401,071)

Citation 20

Abstract:

20.

Reputation and Managerial Truth-Telling as Self-Insurance

Downloads 240 (118,333)

Citation 4

2

Reputation and Managerial Truth-Telling as Self-Insurance

Journal of Economics and Management Strategy, 17 (2), 489-540

Number of pages: 53 Posted: 03 Mar 2003 Last Revised: 07 May 2013

Adlai J. Fisher and Robert L. Heinkel

University of British Columbia (UBC) - Sauder School of Business and University of British Columbia (UBC) - Division of Finance

Downloads 237 (119,373)

Citation 4

Abstract:

Reputation and Managerial Truth-Telling as Self-Insurance

Journal of Economics & Management Strategy, Vol. 17, Issue 2, pp. 489-540, Summer 2008

Number of pages: 52 Posted: 06 May 2008

Adlai J. Fisher and Robert L. Heinkel

University of British Columbia (UBC) - Sauder School of Business and University of British Columbia (UBC) - Division of Finance

Downloads 3 (610,176)

Citation 4

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Abstract:

21.

A Multifractal Model of Assets Returns

NYU Working Paper No. FIN-99-072

Number of pages: 56 Posted: 11 Nov 2008

Laurent E. Calvet and Adlai J. Fisher

EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business

Downloads 230 (123,488)

Citation 6

Abstract:

22.

Multifrequency Jump-Diffusions: An Equilibrium Approach

Downloads 167 (166,185)

Citation 7

2

Multifrequency Jump-Diffusions: An Equilibrium Approach

Journal of Mathematical Economics, Vol. 44, No. 2, 2008

Number of pages: 35 Posted: 20 Dec 2006 Last Revised: 07 May 2013

Laurent E. Calvet and Adlai J. Fisher

EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business

Downloads 143 (189,866)

Citation 7

Abstract:

Multifrequency Jump-Diffusions: An Equilibrium Approach

NBER Working Paper No. w12797

Number of pages: 35 Posted: 24 Dec 2006 Last Revised: 08 Mar 2013

Laurent E. Calvet and Adlai J. Fisher

EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business

Downloads 24 (481,137)

Citation 7

Abstract:

23.

Multivariate Stock Returns Around Extreme Events: A Reassessment of Economic Fundamentals and the 1987 Market Crash

Downloads 70 (307,563)

2

Multivariate Stock Returns Around Extreme Events: A Reassessment of Economic Fundamentals and the 1987 Market Crash

NYU Working Paper No. S-MF-99-10

Number of pages: 27 Posted: 12 Nov 2008

Adlai J. Fisher

University of British Columbia (UBC) - Sauder School of Business

Downloads 43 (393,528)

Abstract:

Multivariate Stock Returns Around Extreme Events: A Reassessment of Economic Fundamentals and the 1987 Market Crash

NYU Working Paper No. FIN-99-071

Number of pages: 27 Posted: 11 Nov 2008

Adlai J. Fisher

University of British Columbia (UBC) - Sauder School of Business

Downloads 27 (463,946)

Abstract:

24.

How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes

Journal of Financial Econometrics, Vol. 2, No. 1, pp. 49-83, 2004

Posted: 29 Feb 2008

Laurent E. Calvet and Adlai J. Fisher

EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business

Adlai J. Fisher

University of British Columbia (UBC) - Sauder School of Business

Assistant Professor

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Reputation and Managerial Truth-Telling as Self-Insurance

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