Publications

"Common Volatility in International Equity Markets" (with Robert F. Engle), Journal of Business and Economics Statistics , Vol. 11,167-176. April 1993.

"Hourly Volatility Spillovers Between International Equity Markets" (with Robert F. Engle), Journal of International Money and Finance , Vol. 13, 3-25. February 1994. Reprinted in International Securities (Vol. II), ed. G. Philippatos and G. Koutmos, Edgard Elgar Publishing, Cheltenham, U.K. 2001.

"Autoregressive Conditional Heteroscedasticy and Changes in Regime" (with James D. Hamilton), Journal of Econometrics , Vol. 64, 307-333. September 1994.

"Volatility, Storage and Convenience: Evidence from Natural Gas Markets" (with Andrew Thompson), Journal of Futures Markets , Vol. 17, 17-44. February 1996.

"Switching Volatility in Latin American Emerging Markets," Emerging Markets Quarterly, Vol. 2, 44-56. Spring 1998.

"Variances and Covariances of International Stock Returns: The ICAPM Revisited" (with Latha Ramchand), Journal of International Financial Markets, Institutions, and Money, Vol. 8, 39-57. February 1998.

"Cross Correlations Across Major International Markets" (with Latha Ramchand), Journal of Empirical Finance, Vol. 5, 397-416. October 1998.

"Regime-Switching Event Studies: An Application to Bank Stock Repurchases" (with Steve Kane), Research in Finance, JAI Press, 17, 81-101. 1999.

"Switching Volatility in International Equity Markets," International Journal of Finance and Economics, Vol. 5, 265-283. October 2000. Download working paper (PDF File)

"Fads versus Fundamentals in Farmland Prices: Reply" (with Barry Falk, and Bong-Soo Lee), American Journal of Agriculture Economics , Vol. 3, 1078-1081. November 2001.

"Volatility Dependence and Contagion in Emerging Equity Markets" (with Sebastian Edwards), Journal of Development Economics, Vol. 66, 505-532. December 2001. Download working paper (PDF File)

"Extreme Observations and Diversification in Emerging Markets," Journal of International Money and Finance , Vol. 20, 971-986. December 2001. Download working paper (PDF File)

"Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s" (with Sebastian Edwards), Review of Economics and Statistics, Vol. 85, 328 - 348. May 2003. Also, NBER Working Paper 7813 Download paper (PDF File)

"Returns on ADRs and Arbitrage in Emerging Markets" (with Ramon Rabinovitch and Ana Cristina Silva), Emerging Markets Review, Vol. 4, 225-328. September 2003. Download paper (PDF File)

"Switching Stochastic Volatility and the Short-Term Interest Rates" (with Madhu Kalimipalli), Journal of Empirical Finance, Vol. 11, 309–329. June 2004. Download Working Paper (PDF file) Download Appendix (PDF file)

"Arbitrage and Convergence: Evidence from Mexican ADRs"(with Samuel Koumkwa), Journal of Applied Economics, Vol. 11, 399-425. November 2008. Download paper (PDF File)

"Market Efficiency and Forecasting Returns" (In Spanish "Eficiencia de Mercados y Predicción de Retornos") in Progresos en finanzas, ed. Ricardo Bebczuk, Temas Grupo Editorial, Buenos Aires, 2010. Download Chaper (PDF File) or Download Whole Book (PDF File)

"Who is the more overconfident trader? Individual vs. institutional investors" (with Wen-I Chuang), Journal of Banking and Finance, Vol. 35, 1626-1644. July 2011. Download working paper (PDF File)

"The bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatility" (with Wen-I Chuang and Hsiang-His Liu), Global Finance Journal , Volume 23, Issue 1, 2012, Pages 1-15. Download working paper (PDF File)

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