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Christopher J. Neely, Published Papers

"Jumps, Cojumps and Macro Announcements"
with Jérôme Lahaye and Sébastien Laurent
FORTHCOMING: Journal of Applied Econometrics
Abstract | Full Text (PDF)

"Investigating the Intertemporal Risk-Return Relation in International Stock Markets with the Component GARCH Model"
with Hui Guo
Economics Letters, May 2008, 99(2), pp. 371-74.
Abstract | Full Text (PDF)

"The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market"
with Paul A. Weller and Joshua M. Ulrich
Journal of Financial and Quantitative Analysis, April 2009, 44(2), pp. 467-88.
Abstract | Full Text (PDF)

"Forecasting Foreign Exchange Volatility: Why Is Implied Volatility Biased and Inefficient? And Does It Matter?"
Journal of International Financial Markets, Institutions and Money, February 2009, 19(1), pp. 188-205.
Abstract | Full Text (PDF)

"Foreign Exchange Volatility is Priced in Equities"
with Hui Guo and Jason Higbee
Financial Management, Winter 2008, 37(4), pp. 769-90.
Abstract | Full Text (PDF)

"Information Shares in the U.S. Treasury Market"
with Bruce Mizrach
Journal of Banking and Finance, July 2008, 32(7), pp. 1221-33.
Abstract | Full Text (PDF)

"Central Bank Authorities' Beliefs about Foreign Exchange Intervention"
Journal of International Money and Finance, February 2008, 27(1), pp. 1-25.
Abstract | Full Text (PDF)

"Central Bank Intervention and Exchange Rate Volatility, Its Continuous and Jump Components"
with Michel Beine, Jérôme Lahaye, Sébastien Laurent, and Franz C. Palm
International Journal of Finance and Economics, April 2007, 12(2), pp. 201-23.
Abstract | Full Text (PDF)

"Central Bank Intervention with Limited Arbitrage"
with Paul A. Weller
International Journal of Finance and Economics, April 2007, 12(2), pp. 249-60.
Abstract | Full Text (PDF)

"Can Markov Switching Models Predict Excess Foreign Exchange Returns?"
with Michael Dueker
Journal of Banking and Finance, February 2007, 31(2), pp. 279-96.
Abstract | Full Text (PDF)

"Year-End Seasonality in One-Month LIBOR Derivatives"
with Drew B. Winters
Journal of Derivatives, Spring 2006, 13(3), pp. 47-65.
Abstract | Full Text (PDF)

"Endogenous Realignments in a Target Zone"
with Paul Weller and Dean Corbae
Oxford Economic Papers, July 2003, 55(3), pp. 494-511.
Abstract | Full Text (PDF)

"Intraday Technical Trading in the Foreign Exchange Market"
with Paul A. Weller
The Journal of International Money and Finance, April 2003, 22(2), pp. 223-37.
Abstract | Full Text (PDF)

"Risk-Adjusted, Ex Ante, Optimal, Technical Trading Rules in Equity Markets"
International Review of Economics ad Finance, Spring 2003, 12(1), pp. 69-87.
Abstract | Full Text (PDF)

"The Temporal Pattern of Trading Rule Returns and Exchange Rate Intervention: Intervention Does Not Generate Technical Trading Rule Profits"
Journal of International Economics, October 2002, 58(1), pp. 211-32.
Abstract | Full Text (PDF)

"Technical Analysis and Central Bank Intervention"
with Paul Weller
Journal of International Money and Finance, December 2001, 20(7), pp. 949-70.
Abstract | Full Text (PDF)

"Risk Aversion Versus Intertemporal Substitution: A Case Study of Identification Failure in the Intertemporal Consumption Capital Asset Pricing Model"
with Amlan Roy and Charles Whiteman
Journal of Business and Economic Statistics, October 2001, 19(4), pp. 395-403.
Abstract | Full Text (PDF)

"Predictability in International Asset Returns: A Reexamination"
with Paul Weller
Journal of Financial and Quantitative Analysis, December 2000, 35(4), pp. 601-20.
Abstract | Full Text (PDF)

"Technical Trading Rules in the European Monetary System"
with Paul Weller
The Journal of International Money and Finance, June 1999, 18(3), pp. 429-58.
Abstract | Full Text (PDF)

"Target Zones and Conditional Volatility: The Role of Realignments"
Journal of Empirical Finance, April 1999, 6(2), pp. 177-92.
Abstract | Full Text (PDF)

"Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach"
with Paul Weller and Robert Dittmar
Journal of Financial and Quantitative Analysis, December 1997, 32(4), pp. 405-26.
Abstract | Full Text (PDF)

"A Benefit-Cost Analysis of Disinflation"
with C. Waller
Contemporary Economic Policy, January 1997, 5(1), pp. 50-64.