John T. Scruggs

Allianz Global Investors

555 Mission Street

Suite 1700

San Francisco, CA 94105

United States

SCHOLARLY PAPERS

9

DOWNLOADS
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3,566

CITATIONS
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SSRN RANKINGS

Top 24,896

in Total Papers Citations

17

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 855 (26,762)
Citation 1

Abstract:

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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 University of Adelaide Business School
Downloads 843 (27,299)
Citation 49

Abstract:

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3.

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

EFA 2003 Annual Conference Paper No. 668
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 510 (53,321)

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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 437 (63,958)
Citation 13

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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

Abstract:

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

5.

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 387 (74,693)
Citation 6

Abstract:

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

6.

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 386 (74,927)

Abstract:

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Illiquidity, Risk premium, Markov-switching regime model

Downloads 148 (195,810)
Citation 2

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

Abstract:

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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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9.

Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and the Conditional Market Variance: A Two Factor Approach

Journal of Finance, Vol. 53, No. 2, April 1998
Posted: 08 Aug 1998
John T. Scruggs
Allianz Global Investors

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Other Papers (1)

Total Downloads: 6
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 6

Abstract:

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