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 7,723 (606)

Citation 31

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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 2,745 (3,750)

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 2,691 (3,884)

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 948 (21,045)

Citation 73

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 839 (25,217)

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 797 (27,101)

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 768 (28,505)

Citation 3

Abstract:

8.

SEO Risk Dynamics

Downloads 695 ( 32,610)

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 516 (47,670)

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 179 (153,822)

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 679 (33,719)

Citation 142

Abstract:

10.

Regime-Switching and the Estimation of Multifractal Processes

Downloads 652 ( 35,648)

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 502 (49,383)

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 56 (344,736)

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 (344,736)

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 (407,237)

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 630 (37,366)

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 599 (39,850)

Abstract:

13.

Macroeconomic Attention and the Stock Market

2017 Financial Intermediation Research Society Conference, 2016 ASU Sonoran Winter Finance Conference, 2016 Northern Finance Association Conference, 2016 China International Conference in Finance

Number of pages: 50 Posted: 15 Dec 2015 Last Revised: 17 Aug 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 537 (45,867)

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 456 (56,577)

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 453 (57,024)

Citation 1

Abstract:

16.

Volatility Comovement: A Multifrequency Approach

Downloads 448 ( 57,608)

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 370 (71,812)

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 78 (287,753)

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 408 (64,738)

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 380 (70,461)

Citation 4

Abstract:

19.

Multifrequency News and Stock Returns

Downloads 245 (113,952)

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 204 (136,135)

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 (395,629)

Citation 20

Abstract:

20.

Reputation and Managerial Truth-Telling as Self-Insurance

Downloads 240 (116,401)

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 (117,396)

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 (601,448)

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 227 (123,092)

Citation 6

Abstract:

22.

Multifrequency Jump-Diffusions: An Equilibrium Approach

Downloads 167 (163,604)

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 (187,011)

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 (474,619)

Citation 7

Abstract:

23.

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

Downloads 69 (305,570)

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 42 (391,811)

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 (457,566)

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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