Terry Marsh

Quantal International Inc.

Two Embarcadero Center

8th Floor

San Francisco, CA 94111

United States

http://www.quantal.com

SCHOLARLY PAPERS

14

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3,298

CITATIONS
Rank 16,783

SSRN RANKINGS

Top 16,783

in Total Papers Citations

29

Scholarly Papers (14)

1.

Return-Volume Dependence and Extremes in International Equity Markets

EFA 2003 Annual Conference Paper No. 284; Research Program in Finance RPF No. 293
Number of pages: 50 Posted: 06 Aug 2003
Terry Marsh and Niklas Wagner
Quantal International Inc. and Passau University
Downloads 938 (23,373)
Citation 13

Abstract:

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trading volume, return-volume dependence, mixture of distribution hypothesis, extreme returns, bivariate extremal dependence, market crashes

2.

Equity Premiums in the Presidential Cycle: the Midterm Election Resolution of Uncertainty

Number of pages: 79 Posted: 23 Jan 2017 Last Revised: 26 Apr 2018
Kam Fong Chan and Terry Marsh
The University of Western Australia and Quantal International Inc.
Downloads 613 (42,023)

Abstract:

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Political uncertainty; Midterm election; Presidential cycle; Lost CAPM; Idiosyncratic volatility

3.

The 2008-2009 Financial Crisis: Risk Model Transparency and Incentives

Rock Center for Corporate Governance at Stanford University Working Paper No. 72
Number of pages: 17 Posted: 14 Jan 2010 Last Revised: 31 Jan 2010
Terry Marsh and Paul C. Pfleiderer
Quantal International Inc. and Stanford Graduate School of Business
Downloads 574 (45,865)

Abstract:

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Financial Crisis, Crisis, Risk Model, Transparency, Financial Regulation, Incentives

4.

On Adaptive Tail Index Estimation for Financial Return Models

UC Berkeley Working Paper No. RPF-295
Number of pages: 31 Posted: 23 Jan 2001
Niklas Wagner and Terry Marsh
Passau University and Quantal International Inc.
Downloads 297 (100,585)
Citation 5

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Fat-tails, tail index of stationary marginal distributions, Hill estimator, minimal AMSE

5.

Surprise Volume and Heteroskedasticity in Equity Market Returns

Number of pages: 40 Posted: 17 Sep 2004 Last Revised: 22 Aug 2008
Niklas Wagner and Terry Marsh
Passau University and Quantal International Inc.
Downloads 287 (104,398)
Citation 6

Abstract:

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ARCH, trading volume, return volume dependence, asymmetric

6.

Measuring Tail Thickness Under GARCH and an Application to Extreme Exchange Rate Changes

Journal of Empirical Finance, Vol. 12, 2005, UC Berkeley IBER Finance Working Paper No. 297
Number of pages: 30 Posted: 22 Jan 2003 Last Revised: 04 Oct 2009
Terry Marsh and Niklas Wagner
Quantal International Inc. and Passau University
Downloads 255 (118,231)
Citation 5

Abstract:

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fat tails, tail index, stationary marginal distribution, GARCH, Hill estimator, foreign exchange

7.

BV-VPIN: Measuring the Impact of Order Flow Toxicity and Liquidity on International Equities Markets

Number of pages: 27 Posted: 08 Jun 2016
Rand Kwong Yew Low, Te Li and Terry Marsh
University of Queensland Business School, Columbia University and Quantal International Inc.
Downloads 237 (127,332)

Abstract:

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VPIN, Bulk Volume Classification, international equities, liquidity, order flow toxicity

8.

The Presidential Puzzle: Democrats, Macroeconomic News and Equity and Bond Premiums on Announcement Days

Number of pages: 43 Posted: 13 Oct 2016 Last Revised: 22 Oct 2016
Kam Fong Chan and Terry Marsh
The University of Western Australia and Quantal International Inc.
Downloads 77 (308,068)
Citation 2

Abstract:

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Bond Premium; Equity Premium; Macroeconomic News Announcements; Political Regimes; Presidential Puzzle

9.

Asset Pricing Model Specification and the Term Structure Evidence

NBER Working Paper No. w1612
Number of pages: 36 Posted: 04 Apr 2004 Last Revised: 11 Oct 2008
Terry Marsh
Quantal International Inc.
Downloads 19 (520,669)
Citation 1

Abstract:

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10.

BV–VPIN: Measuring the Impact of Order Flow Toxicity and Liquidity on International Equity Markets

Journal of Risk, Forthcoming
Number of pages: 35 Posted: 30 Jul 2018
Rand Kwong Yew Low, Te Li and Terry Marsh
University of Queensland Business School, Columbia University and Quantal International Inc.
Downloads 1 (643,078)
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VPIN, bulk volume classification, international equities, liquidity, order flow toxicity.

11.

Cryptocurrency: Tulip Mania or Digital Promise for the Millennial Generation?

Posted: 17 Oct 2018 Last Revised: 20 Jan 2019
Rand Kwong Yew Low and Terry Marsh
University of Queensland Business School and Quantal International Inc.

Abstract:

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cryptocurrency, bitcoin, etheresum, ripple, dash, litecoin, crash, boom

12.

Equity Premiums in the Presidential Cycle: the Midterm Election Resolution of Uncertainty

Posted: 23 Jan 2017
Kam Fong Chan and Terry Marsh
The University of Western Australia and Quantal International Inc.
Downloads 0 (661,222)

Abstract:

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Political uncertainty; Midterm election; Lost CAPM; Idiosyncratic volatility

13.

The Relation between Fixed Income and Equity Return Factors

Journal of Investment Management, Vol. 4, No. 4, Fourth Quarter 2006
Posted: 29 Nov 2006 Last Revised: 17 Jan 2010
Terry Marsh and Paul C. Pfleiderer
Quantal International Inc. and Stanford Graduate School of Business

Abstract:

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Equity-bond return correlation, equity and fixed income factors, flight-to-quality, flight-to-liquidity, contagion, regimes in equity-bond return correlation, cumulative co-movement in equity and bond returns, fed management of bond yields

14.

Why Doesn't the Black-Scholes Model Fit Japanese Warrants and Convertible Bonds?

JAPANESE JOURNAL OF FINANCIAL ECONOMICS, Vol 1 No 1 December 1994
Posted: 02 May 2000
Terry Marsh and Hiroto Kuwahara
Quantal International Inc. and affiliation not provided to SSRN

Abstract:

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