Details about Cornelis A. Los

Access statistics for papers by Cornelis A. Los.

Last updated 2024-02-07. Update your information in the RePEc Author Service.

Short-id: plo23

Working Papers

2008

1. Investment Model Uncertainty and Fair Pricing
   MPRA Paper, University Library of Munich, Germany

2005

2. Long Memory Options: LM Evidence and Simulations
   Finance, University Library of Munich, Germany View citations (3)
   See also Journal Article Long memory options: LM evidence and simulations, Research in International Business and Finance, Elsevier (2007) View citations (6) (2007)
3. Measurement of Financial Risk Persistence
   Finance, University Library of Munich, Germany View citations (1)
4. Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate
   Finance, University Library of Munich, Germany
5. Persistence Characteristics of the Chinese Stock Markets
   Finance, University Library of Munich, Germany View citations (3)
   See also Journal Article Persistence characteristics of the Chinese stock markets, International Review of Financial Analysis, Elsevier (2008) View citations (22) (2008)
6. The Degree of Stability of Price Diffusion
   Finance, University Library of Munich, Germany
7. Were Cobb and Douglas Prejudiced? A Critical Re-analysis of their 1928 Production Model Identification
   Econometrics, University Library of Munich, Germany

2004

8. Dynamic Risk Profile of the US Term Structure by Wavelet MRA
   Finance, University Library of Munich, Germany
9. Galton's Error and the Under-Representation of Systematic Risk
   Finance, University Library of Munich, Germany
   See also Journal Article Galton's Error and the under-representation of systematic risk, Journal of Banking & Finance, Elsevier (1999) View citations (7) (1999)
10. Long Memory Options: Valuation
    Finance, University Library of Munich, Germany View citations (1)
11. Long-Term Dependence Characteristics of European Stock Indices
    Finance, University Library of Munich, Germany
12. Measuring Financial Cash Flow and Term Structure Dynamics
    Finance, University Library of Munich, Germany View citations (1)
13. Measuring the Degree of Efficiency of Financial Market
    Finance, University Library of Munich, Germany View citations (1)
14. Model Uncertainty, Complexity and Rank in Finance
    Econometrics, University Library of Munich, Germany
15. Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash
    Finance, University Library of Munich, Germany View citations (2)
16. Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data
    Finance, University Library of Munich, Germany View citations (4)
17. Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets
    Finance, University Library of Munich, Germany
    See also Journal Article Nonparametric testing of the high-frequency efficiency of the 1997 Asian foreign exchange markets, Journal of Multinational Financial Management, Elsevier (1999) View citations (8) (1999)
18. Optimal Asian Multi-Currency Strategy Portfolios with Exact Risk Attribution
    Finance, University Library of Munich, Germany View citations (1)
19. Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries
    Finance, University Library of Munich, Germany View citations (2)
    See also Journal Article Optimal multi-currency investment strategies with exact attribution in three Asian countries, Journal of Multinational Financial Management, Elsevier (1998) View citations (5) (1998)
20. Persistence Characteristics of Latin American Financial Markets
    Finance, University Library of Munich, Germany View citations (2)
    Also in Finance, University Library of Munich, Germany (2004) View citations (2)
    See also Journal Article Persistence characteristics of Latin American financial markets, Journal of Multinational Financial Management, Elsevier (2006) View citations (12) (2006)
21. System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets
    International Finance, University Library of Munich, Germany
    See also Journal Article System identification in noisy data environments: An application to six Asian stock markets, Journal of Banking & Finance, Elsevier (2006) (2006)
22. The 1998 Third Annual Survey of Risk Management Practices of Unit Trusts in Singapore
    Finance, University Library of Munich, Germany
23. The Changing Concept of Financial Risk
    Finance, University Library of Munich, Germany View citations (1)
24. The Fed’s Consistent Monetary Policy: A Long Term Perspective
    Macroeconomics, University Library of Munich, Germany
25. The Unscientific Incompleteness and Bias of Unidirectional Projections (= Regressions): A Questionnaire
    Econometrics, University Library of Munich, Germany View citations (1)
26. Valuation of Six Asian Stock Markets: Financial System Identification in Noisy Environments
    Finance, University Library of Munich, Germany View citations (1)
27. Visualization of Chaos for Finance Majors
    Finance, University Library of Munich, Germany View citations (3)
    Also in School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy (2000) View citations (4)
28. Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997
    Finance, University Library of Munich, Germany View citations (2)
    See also Journal Article Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997, International Review of Financial Analysis, Elsevier (2005) View citations (33) (2005)
29. When to Put All Your Eggs in One Basket.....When Diversification Increases Portfolio Risk!
    Finance, University Library of Munich, Germany View citations (3)
30. Why VAR Fails: Long Memory and Extreme Events in Financial Markets
    Finance, University Library of Munich, Germany View citations (1)
    See also Journal Article Why VaR FailsLong Memory and Extreme Events in Financial Markets, The IUP Journal of Financial Economics, IUP Publications (2005) View citations (1) (2005)

2000

31. Wavelet Multiresolution Analysis of High-Frequency FX Rates, Summer 1997
    School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy View citations (2)

1987

32. Identification of a linear system from inexact data: a three variable example
    Research Paper, Federal Reserve Bank of New York View citations (3)
33. The prejudices of least squares, principal components and common factor schemes
    Research Paper, Federal Reserve Bank of New York View citations (3)

1986

34. Collinearity analysis of a simple money demand equation
    Research Paper, Federal Reserve Bank of New York View citations (2)
35. Quality control of empirical econometrics: a status report
    Research Paper, Federal Reserve Bank of New York View citations (1)
36. The ghost in the box: comment on \\"what will take the con out of econometrics.\\"
    Research Paper, Federal Reserve Bank of New York
37. Why there is still no empirical evidence for a money equation! Comments on \\"an historical perspective to the econometrics of money and income.\\"
    Research Paper, Federal Reserve Bank of New York

Journal Articles

2008

1. Persistence characteristics of the Chinese stock markets
   International Review of Financial Analysis, 2008, 17, (1), 64-82 View citations (22)
   See also Working Paper Persistence Characteristics of the Chinese Stock Markets, Finance (2005) View citations (3) (2005)

2007

2. Long memory options: LM evidence and simulations
   Research in International Business and Finance, 2007, 21, (2), 260-280 View citations (6)
   See also Working Paper Long Memory Options: LM Evidence and Simulations, Finance (2005) View citations (3) (2005)

2006

3. Persistence characteristics of Latin American financial markets
   Journal of Multinational Financial Management, 2006, 16, (3), 269-290 View citations (12)
   See also Working Paper Persistence Characteristics of Latin American Financial Markets, Finance (2004) View citations (2) (2004)
4. System identification in noisy data environments: An application to six Asian stock markets
   Journal of Banking & Finance, 2006, 30, (7), 1997-2024
   See also Working Paper System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets, International Finance (2004) (2004)
5. VISUALIZATION OF THE ROAD TO CHAOS FOR FINANCE AND ECONOMICS MAJORS
   The IUP Journal of Financial Economics, 2006, IV, (4), 7-34 View citations (1)

2005

6. Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997
   International Review of Financial Analysis, 2005, 14, (2), 211-246 View citations (33)
   See also Working Paper Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997, Finance (2004) View citations (2) (2004)
7. Why VaR FailsLong Memory and Extreme Events in Financial Markets
   The IUP Journal of Financial Economics, 2005, III, (3), 19-36 View citations (1)
   See also Working Paper Why VAR Fails: Long Memory and Extreme Events in Financial Markets, Finance (2004) View citations (1) (2004)

1999

8. Galton's Error and the under-representation of systematic risk
   Journal of Banking & Finance, 1999, 23, (12), 1793-1829 View citations (7)
   See also Working Paper Galton's Error and the Under-Representation of Systematic Risk, Finance (2004) (2004)
9. Nonparametric testing of the high-frequency efficiency of the 1997 Asian foreign exchange markets
   Journal of Multinational Financial Management, 1999, 9, (3-4), 265-289 View citations (8)
   See also Working Paper Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets, Finance (2004) (2004)

1998

10. Optimal multi-currency investment strategies with exact attribution in three Asian countries
    Journal of Multinational Financial Management, 1998, 8, (2-3), 169-198 View citations (5)
    See also Working Paper Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries, Finance (2004) View citations (2) (2004)

1991

11. A Scientific View of Economic Data Analysis
    Eastern Economic Journal, 1991, 17, (1), 61-71 View citations (6)
12. A Scientific View of Economic Data Analysis: Reply
    Eastern Economic Journal, 1991, 17, (4), 526-531 View citations (3)

1985

13. Measurement Problems of Inflation Disaggregation
    Journal of Business & Economic Statistics, 1985, 3, (3), 244-53