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Alcock, J & Satchell, S 2017, Asymetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns. Wiley-VCH Verlag. https://doi.org/10.1002/9781119288992
Article
Menkveld, AJ, Dreber, A, Holzmeister, F, Huber, J, Johannesson, M, Kirchler, M, Neusüß, S, Razen, M, Weitzel, U, Abad‐Díaz, D, Abudy, M, Adrian, T, Ait‐Sahalia, Y, Akmansoy, O, Alcock, JT, Alexeev, V, Aloosh, A, Amato, L, Amaya, D, Angel, JJ, Avetikian, AT, Bach, A, Baidoo, E, Bakalli, G, Bao, L, Barbon, A, Bashchenko, O, Bindra, PC, Bjønnes, GH, Black, JR, Black, BS, Bogoev, D, Correa, SB, Bondarenko, O, Bos, CS, Bosch‐Rosa, C, Bouri, E, Brownlees, C, Calamia, A, Cao, VN, Capelle‐Blancard, G, Romero, LMC, Caporin, M, Carrion, A, Caskurlu, T, Chakrabarty, B, Chen, J, Chernov, M, Cheung, W, Chincarini, LB, Chordia, T, Chow, SC, Clapham, B, Colliard, JE, Comerton‐Forde, C, Curran, E, Dao, T, Dare, W, Davies, RJ, Blasis, RD, Nard, GFD, Declerck, F, Deev, O, Degryse, H, Deku, SY, Desagre, C, van Dijk, MA, Dim, C, Dimpfl, T, Dong, YJ, Drummond, PA, Dudda, T, Duevski, T, Dumitrescu, A, Dyakov, T, Dyhrberg, AH, Dzieliński, M, Eksi, A, Kalak, IE, Ellen, ST, Eugster, N, Evans, MDD, Farrell, M, Felez‐vinas, E, Ferrara, G, Ferrouhi, EM, Flori, A, Fluharty‐jaidee, JT, Foley, SDV, Fong, KYL, Foucault, T, Franus, T, Franzoni, F, Frijns, B, Frömmel, M, Fu, SM, Füllbrunn, SC, Gan, B, Gao, G, Gehrig, TP, Gemayel, R, Gerritsen, D, Gil‐Bazo, J, Gilder, D, Glosten, LR, Gomez, T, Gorbenko, A, Grammig, J, Grégoire, V, Güçbilmez, U, Hagströmer, B, Hambuckers, J, Hapnes, E, Harris, JH, Harris, L, Hartmann, S, Hasse, JB, Hautsch, N, He, XZ, Heath, D, Hediger, S, Hendershott, T, Hibbert, AM, Hjalmarsson, E, Hoelscher, SA, Hoffmann, P, Holden, CW, Horenstein, AR, Huang, W, Huang, D, Hurlin, C, Ilczuk, K, Ivashchenko, A, Iyer, SR, Jahanshahloo, H, Jalkh, N, Jones, CM, Jurkatis, S, Jylhä, P, Kaeck, AT, Kaiser, G, Karam, A, Karmaziene, E, Kassner, B, Kaustia, M, Kazak, E, Kearney, F, Kervel, VV, Khan, SA, Khomyn, MK, Klein, T, Klein, O, Klos, A, Koetter, M, Kolokolov, A, Korajczyk, RA, Kozhan, R, Krahnen, JP, Kuhle, P, Kwan, A, Lajaunie, Q, Lam, FYEC, Lambert, M, Langlois, H, Lausen, J, Lauter, T, Leippold, M, Levin, V, Li, Y, Li, H, Liew, CY, Lindner, T, Linton, O, Liu, J, Liu, A, Llorente, G, Lof, M, Lohr, A, Longstaff, F, Lopez‐Lira, A, Mankad, S, Mano, N, Marchal, A, Martineau, C, Mazzola, F, Meloso, D, Mi, MG, Mihet, R, Mohan, V, Moinas, S, Moore, D, Mu, L, Muravyev, D, Murphy, D, Neszveda, G, Neumeier, C, Nielsson, U, Nimalendran, M, Nolte, S, Norden, LL, O'Neill, P, Obaid, K, Ødegaard, BA, Östberg, P, Pagnotta, E, Painter, M, Palan, S, Palit, IJ, Park, A, Pascual, R, Pasquariello, P, Pastor, L, Patel, V, Patton, AJ, Pearson, ND, Pelizzon, L, Pelli, M, Pelster, M, Pérignon, C, Pfiffer, C, Philip, R, Plíhal, T, Prakash, P, Press, O, Prodromou, T, Prokopczuk, M, Putnins, T, Qian, Y, Raizada, G, Rakowski, D, Ranaldo, A, Regis, L, Reitz, S, Renault, T, Renjie, RW, Reno, R, Riddiough, SJ, Rinne, K, Rintamäki, P, Riordan, R, Rittmannsberger, T, Longarela, IR, Roesch, D, Rognone, L, Roseman, B, Roşu, I, Roy, S, Rudolf, N, Rush, SR, Rzayev, K, Rzeźnik, AA, Sanford, A, Sankaran, H, Sarkar, A, Sarno, L, Scaillet, O, Scharnowski, S, Schenk‐hoppé, KR, Schertler, A, Schneider, M, Schroeder, F, Schürhoff, N, Schuster, P, Schwarz, MA, Seasholes, MS, Seeger, NJ, Shachar, O, Shkilko, A, Shui, J, Sikic, M, Simion, G, Smales, LA, Söderlind, P, Sojli, E, Sokolov, K, Sönksen, J, Spokeviciute, L, Stefanova, D, Subrahmanyam, MG, Szaszi, B, Talavera, O, Tang, Y, Taylor, N, Tham, WW, Theissen, E, Thimme, J, Tonks, I, Tran, H, Trapin, L, Trolle, AB, Vaduva, MA, Valente, G, van Ness, RA, Vasquez, A, Verousis, T, Verwijmeren, P, Vilhelmsson, A, Vilkov, G, Vladimirov, V, Vogel, S, Voigt, S, Wagner, W, Walther, T, Weiss, P, Wel, MVD, Werner, IM, Westerholm, PJ, Westheide, C, Wika, HC, Wipplinger, E, Wolf, M, Wolff, CCP, Wolk, L, Wong, WK, Wrampelmeyer, J, Wu, ZX, Xia, S, Xiu, D, Xu, K, Xu, C, Yadav, PK, Yagüe, J, Yan, C, Yang, A, Yoo, W, Yu, W, Yu, Y, Yu, S, Yueshen, BZ, Yuferova, D, Zamojski, M, Zareei, A, Zeisberger, SM, Zhang, L, Zhang, SS, Zhang, X, Zhao, L, Zhong, Z, Zhou, ZI, Zhou, C, Zhu, XS, Zoican, M & Zwinkels, R 2024, 'Nonstandard Errors', The Journal of Finance. https://doi.org/10.1111/jofi.13337
Alcock, J & Sinagl, P 2022, 'International determinants of asymmetric dependence in investment returns', Journal of International Money and Finance, vol. 122, 102576. https://doi.org/10.1016/j.jimonfin.2021.102576
Alcock, J, Aspris, A, Satchell, S, Segara, R, Wright, D & Yao, J 2019, 'Testing for price bubbles in Australia listed equities and A-REIT markets', AJAF – The Australasian Journal of Applied Finance.
Alcock, J & Andrlikova, P 2018, 'Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis', Journal of Real Estate Finance and Economics, vol. 56, no. 2, pp. 183-216. https://doi.org/10.1007/s11146-016-9593-9
Alcock, J & Steiner, E 2018, 'Fundamental Drivers of Dependence in REIT Returns', Journal of Real Estate Finance and Economics, vol. 57, no. 1, pp. 4-42. https://doi.org/10.1007/s11146-016-9562-3
Alcock, J & Hatherley, A 2017, 'Characterizing the asymmetric dependence premium', Review of Finance, vol. 21, no. 4, pp. 1701-1737. https://doi.org/10.1093/rof/rfw022
Alcock, J & Smith, G 2017, 'Non-parametric American option valuation using Cressie–Read divergences', Australian Journal of Management, vol. 42, no. 2, pp. 252-275. https://doi.org/10.1177/0312896215622799
Alcock, J & Steiner, E 2017, 'The Interrelationships between REIT Capital Structure and Investment', Abacus, vol. 53, no. 3, pp. 371-394. https://doi.org/10.1111/abac.12113
Alcock, J & Steiner, E 2017, 'Unexpected Inflation, Capital Structure, and Real Risk-adjusted Firm Performance', Abacus, vol. 53, no. 2, pp. 273-298. https://doi.org/10.1111/abac.12102
Chapter
Alcock, J & Andrlikova, P 2017, Asymmetric Dependence, Persistence and Firm-Level Stock Return Predictability. in Assymetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns. Wiley-VCH Verlag, pp. 198-220. https://doi.org/10.1002/9781119288992.ch9
Low, RKY, Alcock, J, Faff, R & Brailsford, T 2017, Canonical Vine Copulas in the Context of Modern Portfolio Management: Are They Worth it? in Assymetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns. Wiley-VCH Verlag, pp. 263-289. https://doi.org/10.1002/9781119288992.ch11
Alcock, J & Hatherley, A 2017, Disappointment Aversion, Asset Pricing and Measuring Asymmetric Dependence. in Assymetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns. Wiley-VCH Verlag, pp. 1-16. https://doi.org/10.1002/9781119288992.ch1
Alcock, J & Hatherley, A 2017, The Price of Asymmetric Dependence. in Assymetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns. Wiley-VCH Verlag, pp. 47-74. https://doi.org/10.1002/9781119288992.ch3
Other contribution
Alcock, J 2017, Houses aren’t more unaffordable for first home buyers, but they are riskier. The Conversation .
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