Recent publications
Book
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, A, Dreber, A, Holzmeister, F, Huber, J, Johannesson, M, Kirchler, M, Neususs, S, Razen, M, Weitzel, U, Abad-Diaz, D, Abudy, M, Adrian, T, Ait-Sahalia, Y, Akmanskoy, O, Alcock, J, Alexeev, V, Aloosh, A, Amato, L, Amaya, D, Angel, J, Avetikian, A, Bach, A, Baidoo, E, Bakalli, G, Bao, L, Barbon, A, Bashchenko, O, Bindra, P, Bjonnes, G, Black, J, Black, B, Bogoev, D, Bohorquez Correa, S, Bondarenko, O, Bos, C, Bosch-Rosa, C, Bouri, E, Brownlees, C, Calamia, A, Nga Cao, V, Capelle-Blancard, G, Capera Romero, L, Caporin, M, Carrion, A, Caskurlu, T, Chakrabarty, B, Chen, J, Chernov, M, Cheung, W, Chincarini, L, Chordia, T, Chow, S-C, Clapham, B, Colliard, J-E, Comerton-Forde, C, Curran, E, Dao, T, Dare, W, Davies, R, Dr Blasis, R, De Nard, G, Declerck, F & Deev, O 2023, 'Non-standard errors', The Journal of Finance.
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 .
View all publications in research portal