John T. Scruggs

Allianz Global Investors

Bockenheimer Landstraße 42

Frankfurt am Main, 60323

Germany

SCHOLARLY PAPERS

9

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3,979

SSRN CITATIONS
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Top 44,460

in Total Papers Citations

13

CROSSREF CITATIONS

8

Scholarly Papers (9)

1.

Why Does Stock Market Volatility Change Over Time? A Time-Varying Variance Decomposition for Stock Returns

EFA 2005 Moscow Meetings
Number of pages: 56 Posted: 06 Mar 2005
John T. Scruggs and Federico Nardari
Allianz Global Investors and University of Melbourne - Department of Finance
Downloads 924 (49,031)
Citation 2

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Variance decomposition, return predictability, vector autoregression, multivariate stochastic volatility, Markov chain Monte Carlo, Gibbs sampling

2.

Risk Premia and the Dynamic Covariance between Stock and Bond Returns

Journal of Financial and Quantitative Analysis (JFQA), Vol. 38, No. 2, 2003
Number of pages: 37 Posted: 05 Jul 2001 Last Revised: 23 Oct 2012
John T. Scruggs and Paskalis Glabadanidis
Allianz Global Investors and Essential Services Commission of South Australia
Downloads 924 (49,031)
Citation 8

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3.

Analysis of Linear Factor Models with Multivariate Stochastic Volatility for Stock and Bond Returns

Number of pages: 46 Posted: 18 Jul 2003
John T. Scruggs and Federico Nardari
Allianz Global Investors and University of Melbourne - Department of Finance
Downloads 547 (97,116)

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Arbitrage Pricing Theory, Factor Model, Multivariate Stochastic Volatility, Markov chain Monte Carlo, Gibbs sampling

Noise Trader Risk: Evidence from the Siamese Twins

Number of pages: 40 Posted: 25 Mar 2005
John T. Scruggs
Allianz Global Investors
Downloads 539 (97,840)
Citation 1

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Noise trader risk, Market efficiency, Limits to arbitrage, Behavioral finance, Hedge funds

Noise Trader Risk: Evidence from the Siamese Twins

Journal of Financial Markets, Forthcoming
Posted: 24 Aug 2006
John T. Scruggs
Allianz Global Investors

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Noise trader risk, Market efficiency, Limits to arbitrage, Behavioral finance, Hedge funds

5.

Expected Returns and Markov-Switching Illiquidity

Number of pages: 40 Posted: 06 Mar 2007
Tyler R. Henry and John T. Scruggs
Miami University and Allianz Global Investors
Downloads 443 (125,263)

Abstract:

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Illiquidity, Risk premium, Markov-switching regime model

6.

Bayesian Analysis of Linear Factor Models with Latent Factors, Multivariate Stochastic Volatility, and Apt Pricing Restrictions

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 55 Posted: 08 May 2006
John T. Scruggs and Federico Nardari
Allianz Global Investors and University of Melbourne - Department of Finance
Downloads 433 (128,639)
Citation 1

Abstract:

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Arbitrage Pricing Theory, Latent Factors, Multivariate Stochastic Volatility, Markov Chain Monte Carlo

Downloads 169 (332,351)
Citation 1

Abstract:

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Convertible bond, Underwritten call, Conditional event study, Endogenous switching model, Markov chain Monte Carlo, Gibbs sampling, Bayesian statistics

Estimating the Cross-Sectional Market Response to an Endogenous Event: Naked vs. Underwritten Calls of Convertible Bonds

Journal of Empirical Finance, Forthcoming
Posted: 24 Aug 2006
John T. Scruggs
Allianz Global Investors

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Convertible bond, Underwritten call, Conditional event study, Endogenous switching model, Markov chain Monte Carlo, Gibbs sampling, Bayesian statistics

8.

Who Trades Around the Ex-Dividend Day? Evidence from NYSE Audit File Data

Financial Management, Vol. 27, No. 3, Autumn 1998
Posted: 28 Jan 1999
Jennifer L. Koski and John T. Scruggs
University of Washington - Michael G. Foster School of Business and Allianz Global Investors

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Other Papers (1)

Total Downloads: 21
1.

Expected Returns and Markov-Switching Illiquidity

2006 Institute for Quantitative Research in Finance Meetings (Q-Group)
Number of pages: 26 Posted: 23 Aug 2006
Tyler R. Henry and John T. Scruggs
Miami University and Allianz Global Investors
Downloads 21

Abstract:

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