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Mark Kamstra
Mark Kamstra
Professor of Finance, Schulich School of Business, York University
Verified email at yorku.ca - Homepage
Title
Cited by
Cited by
Year
Winter blues: A SAD stock market cycle
MJ Kamstra, LA Kramer, MD Levi
American economic review 93 (1), 324-343, 2003
14262003
Losing sleep at the market: The daylight saving anomaly
MJ Kamstra, LA Kramer, MD Levi
American Economic Review 90 (4), 1005-1011, 2000
6732000
Forecast combining with neural networks
RG Donaldson, M Kamstra
Journal of Forecasting 15 (1), 49-61, 1996
3291996
An artificial neural network-GARCH model for international stock return volatility
RG Donaldson, M Kamstra
Journal of Empirical Finance 4 (1), 17-46, 1997
3181997
A new dividend forecasting procedure that rejects bubbles in asset prices: The case of 1929’s stock crash
RG Donaldson, M Kamstra
The review of financial studies 9 (2), 333-383, 1996
2021996
Combining bond rating forecasts using logit
M Kamstra, P Kennedy, TK Suan
Financial Review 36 (2), 75-96, 2001
2012001
Interval forecasting: an analysis based upon ARCH-quantile estimators
CWJ Granger, H White, M Kamstra
Journal of Econometrics 40 (1), 87-96, 1989
1641989
Seasonal asset allocation: Evidence from mutual fund flows
MJ Kamstra, LA Kramer, MD Levi, R Wermers
Journal of Financial and Quantitative Analysis 52 (1), 71-109, 2017
1612017
Winter blues and time variation in the price of risk
I Garrett, MJ Kamstra, LA Kramer
Journal of Empirical Finance 12 (2), 291-316, 2005
1442005
Evolving artificial neural networks to combine financial forecasts
PG Harrald, M Kamstra
IEEE Transactions on Evolutionary computation 1 (1), 40-52, 1997
1101997
Seasonal variation in Treasury returns
MJ Kamstra, LA Kramer, MD Levi
Critical Finance Review 4 (1), 45-115, 2015
91*2015
Losing sleep at the market: The daylight saving anomaly: Reply
MJ Kamstra, LA Kramer, MD Levi
American Economic Review 92 (4), 1257-1263, 2002
882002
Volatility forecasts, trading volume, and the ARCH versus option‐implied volatility trade‐off
RG Donaldson, MJ Kamstra
Journal of Financial Research 28 (4), 519-538, 2005
872005
Trills Instead of T-Bills: It’s Time to Replace Part of Government Debt with Shares in GDP
MJ Kamstra, RJ Shiller
The Economists’ Voice 7 (3), 1-5, 2010
77*2010
Combining qualitative forecasts using logit
M Kamstra, P Kennedy
International Journal of Forecasting 14 (1), 83-93, 1998
681998
Neural network forecast combining with interaction effects
RG Donaldson, M Kamstra
Journal of the Franklin Institute 336 (2), 227-236, 1999
661999
A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns
MJ Kamstra, LA Kramer, MD Levi
Journal of Banking & Finance 36 (4), 934-956, 2012
602012
Seasonally varying preferences: Theoretical foundations for an empirical regularity
MJ Kamstra, LA Kramer, MD Levi, T Wang
The Review of Asset Pricing Studies 4 (1), 39-77, 2014
532014
Combining algorithms based on robust estimation techniques and co‐integrating restrictions
J Hallman, M Kamstra
Journal of Forecasting 8 (3), 189-198, 1989
531989
Estimating the equity premium
RG Donaldson, MJ Kamstra, LA Kramer
Journal of Financial and Quantitative Analysis 45 (4), 813-846, 2010
51*2010
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