Mark Kamstra
Mark Kamstra
Professor of Finance, Schulich School of Business, York University
Verified email at yorku.ca - Homepage
TitleCited byYear
Winter blues: A SAD stock market cycle
MJ Kamstra, LA Kramer, MD Levi
American Economic Review 93 (1), 324-343, 2003
8992003
Losing sleep at the market: The daylight saving anomaly
MJ Kamstra, LA Kramer, MD Levi
American Economic Review 90 (4), 1005-1011, 2000
4502000
Forecast combining with neural networks
RG Donaldson, M Kamstra
Journal of Forecasting 15 (1), 49-61, 1996
2671996
An artificial neural network-GARCH model for international stock return volatility
RG Donaldson, M Kamstra
Journal of Empirical Finance 4 (1), 17-46, 1997
1941997
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
1661996
Interval forecasting: an analysis based upon ARCH-quantile estimators
CWJ Granger, H White, M Kamstra
Journal of Econometrics 40 (1), 87-96, 1989
1401989
Combining bond rating forecasts using logit
M Kamstra, P Kennedy, TK Suan
Financial Review 36 (2), 75-96, 2001
1262001
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
1012005
Evolving artificial neural networks to combine financial forecasts
PG Harrald, M Kamstra
IEEE Transactions on Evolutionary Computation 1 (1), 40-52, 1997
891997
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
802017
Losing sleep at the market: The daylight saving anomaly: Reply
MJ Kamstra, LA Kramer, MD Levi
American Economic Review 92 (4), 1257-1263, 2002
622002
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
612005
Seasonal variation in Treasury returns
MJ Kamstra, LA Kramer, MD Levi
Critical Finance Review 4 (1), 45-115, 2015
59*2015
Combining qualitative forecasts using logit
M Kamstra, P Kennedy
International Journal of Forecasting 14 (1), 83-93, 1998
561998
Neural network forecast combining with interaction effects
RG Donaldson, M Kamstra
Journal of the Franklin Institute 336 (2), 227-236, 1999
521999
Combining algorithms based on robust estimation techniques and co‐integrating restrictions
J Hallman, M Kamstra
Journal of Forecasting 8 (3), 189-198, 1989
521989
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
49*2010
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
432012
Estimating the equity premium
RG Donaldson, MJ Kamstra, LA Kramer
Journal of Financial and Quantitative Analysis 45 (4), 813-846, 2010
42*2010
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
362014
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