John Elder

Colorado State University

Professor

Dept of Finance & Real Estate

1272 Campus Delivery

Fort Collins, CO 80523

United States

http://lamar.colostate.edu/~jelder

SCHOLARLY PAPERS

25

DOWNLOADS
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SSRN RANKINGS

Top 6,933

in Total Papers Downloads

7,949

SSRN CITATIONS
Rank 7,122

SSRN RANKINGS

Top 7,122

in Total Papers Citations

47

CROSSREF CITATIONS

139

Scholarly Papers (25)

1.

Corporate Governance and Liquidity

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 42 Posted: 11 Jun 2008 Last Revised: 31 May 2009
Kee H. Chung, John Elder and Jang-Chul Kim
State University of New York at Buffalo - School of Management, Colorado State University and Northern Kentucky University - Haile/US Bank College of Business
Downloads 2,129 (8,590)
Citation 10

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Corporate governance, Spreads, Price impact, Information-based trading, Liquidity

2.

Oil Price Uncertainty

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 42 Posted: 14 Jun 2006 Last Revised: 03 Mar 2010
John Elder and Apostolos Serletis
Colorado State University and University of Calgary - Department of Economics
Downloads 1,741 (11,917)
Citation 18

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Real Options, Oil Volatility, Vector autoregression, Multivariate GARCH-in-Mean VAR.

3.

The Reaction of Security Prices to Tracking Stock Announcements

Journal of Economics and Finance, Vol. 24, No. 1, 2000
Number of pages: 24 Posted: 15 Oct 1999 Last Revised: 16 Nov 2008
John Elder and Peter Westra
Colorado State University and Deutsche Bank AG
Downloads 854 (34,575)
Citation 2

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4.

Do Tracking Stocks Reduce Informational Asymmetries? An Analysis of Liquidity and Adverse Selection

Journal of Financial Research, Vol. 28, No. 2, 2005
Number of pages: 25 Posted: 29 Feb 2004 Last Revised: 16 Nov 2008
John Elder, Pankaj K. Jain and Jang-Chul Kim
Colorado State University, University of Memphis - Fogelman College of Business and Economics and Northern Kentucky University - Haile/US Bank College of Business
Downloads 395 (92,172)

Abstract:

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Tracking stock, bid-ask spreads, restructuring

5.

Estimating the Arbitrage Pricing Theory with Observed Macro Factors

Economics Letters, Vol. 55, No. 2, 1997
Number of pages: 10 Posted: 07 Jul 2008
John Elder
Colorado State University
Downloads 328 (113,709)

Abstract:

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Non-linear seemingly unrelated regressions, arbitrage pricing theory

6.

Another Perspective on the Effects of Inflation Uncertainty

Journal of Money, Credit, and Banking, Vol. 36, No. 5, 2004
Number of pages: 28 Posted: 23 Mar 2001 Last Revised: 15 Feb 2013
John Elder
Colorado State University
Downloads 301 (124,685)
Citation 3

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Inflation, inflation uncertainty, multivariate GARCH, VAR

7.

F Versus T Tests for Unit Roots

Economics Bulletin, Vol. 3, No. 3 pp. 1-6, 2001
Number of pages: 7 Posted: 12 Feb 2001 Last Revised: 09 Jul 2008
John Elder and Peter E. Kennedy
Colorado State University and Simon Fraser University (SFU) - Department of Economics
Downloads 287 (131,091)
Citation 1

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Unit root tests, Dickey-Fuller tests, Power

8.

Long Memory in Commodity Futures Volatility: A Wavelet Perspective

Journal of Futures Markets, Vol. 27, No. 5, 2007
Number of pages: 30 Posted: 14 Jun 2006 Last Revised: 13 Jul 2008
John Elder and Hyun Jin
Colorado State University and Chung-Ang University
Downloads 286 (131,573)
Citation 1

Abstract:

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futures volatility, fractional integration, long-term memory

9.

Can the Volatility of the Federal Funds Rate Explain the Time-Varying Risk Premium in Treasury Bill Returns?

Journal of Macroeconomics, Vol. 23, No. 1, 2001
Number of pages: 37 Posted: 07 Sep 1999 Last Revised: 09 Jul 2008
John Elder
Colorado State University
Downloads 215 (174,401)

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10.

Jumps in Oil Prices: The Role of Economic News

Energy Journal, 34, 2013.
Number of pages: 32 Posted: 23 Aug 2012 Last Revised: 10 Feb 2018
John Elder, Hong Miao and Sanjay Ramchander
Colorado State University, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University, Fort Collins - Department of Finance & Real Estate
Downloads 204 (183,151)
Citation 3

Abstract:

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oil, jumps, macroeconomic announcements

11.

Liquidity and Information Flow Around Monetary Policy Announcements

Journal of Money, Credit and Banking, Forthcoming
Number of pages: 49 Posted: 09 Nov 2010 Last Revised: 07 Aug 2012
Kee H. Chung, John Elder and Jang-Chul Kim
State University of New York at Buffalo - School of Management, Colorado State University and Northern Kentucky University - Haile/US Bank College of Business
Downloads 204 (183,151)
Citation 1

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Monetary Policy, Liquidity, Spread, Depth, Event Study, Market Efficiency

12.
Downloads 195 (190,862)
Citation 2

Fractional Integration in Commodity Futures Returns

Financial Review, 2008
Number of pages: 30 Posted: 07 Jul 2008 Last Revised: 14 Jul 2008
John Elder and Hyun Jin
Colorado State University and Chung-Ang University
Downloads 192 (193,470)

Abstract:

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futures returns, fractional integration, long memory, wavelets

Fractional Integration in Commodity Futures Returns

Financial Review, Vol. 44, No. 4, pp. 583-602, November 2009
Number of pages: 20 Posted: 14 Oct 2009
John Elder and Hyun J. Jin
Colorado State University and Chung-Ang University
Downloads 3 (789,504)
Citation 1
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13.

Price Discovery in Crude Oil Futures

Energy Economics, 46, 2014.
Number of pages: 34 Posted: 18 Sep 2014 Last Revised: 10 Feb 2018
John Elder, Hong Miao and Sanjay Ramchander
Colorado State University, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University, Fort Collins - Department of Finance & Real Estate
Downloads 169 (216,387)
Citation 2

Abstract:

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Crude Oil Futures, WTI, Brent, Information Sharing, Inventory Level, Spread

14.

Volatility in Oil Prices and Manufacturing Activity: An Investigation of Real Options

Macroeconomic Dynamics, Forthcoming
Number of pages: 26 Posted: 15 Jan 2011 Last Revised: 18 Feb 2013
John Elder and Apostolos Serletis
Colorado State University and University of Calgary - Department of Economics
Downloads 154 (233,968)
Citation 2

Abstract:

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oil volatility, uncertainty, multivariate GARCH VAR, real options

15.

Oil Volatility and the Option Value of Waiting: An Analysis of the G-7

Journal of Futures Markets, Forthcoming
Number of pages: 39 Posted: 26 May 2010 Last Revised: 14 Jan 2011
Don Bredin, John Elder and Stilianos Fountas
University College Dublin (UCD) - Department of Banking & Finance, Colorado State University and University of Macedonia
Downloads 145 (245,853)
Citation 2

Abstract:

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Oil, Volatility, Real Options, Vector Autoregression, Multivariate GARCH-In-Mean VAR

16.

US Oil Price Exposure: The Industry Effects

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 18 Posted: 03 Oct 2011 Last Revised: 28 Feb 2012
Don Bredin and John Elder
University College Dublin (UCD) - Department of Banking & Finance and Colorado State University
Downloads 104 (313,778)
Citation 2

Abstract:

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Oil, Industry Stock Returns, Vector autoregression

17.

Flexible Bivariate Count Data Regression Models

Journal of Business & Economic Statistics (with revisions) 2012., Andrew Young School of Policy Studies Research Paper Series No. 11-33
Number of pages: 66 Posted: 05 Nov 2011 Last Revised: 05 Feb 2013
Shiferaw Gurmu and John Elder
Georgia State University - Department of Economics and Colorado State University
Downloads 94 (335,078)
Citation 1

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Series estimation, Negative correlation, Unobserved heterogeneity, Tobacco use, Censoring, Multivariate Counts

18.

Fractional Differencing in Discrete Time

Quantitative Finance, 13, 2013.
Number of pages: 27 Posted: 27 Jul 2011 Last Revised: 10 Feb 2018
John Elder, Robert J. Elliott and Hong Miao
Colorado State University, University of Calgary - Haskayne School of Business and Colorado State University, Fort Collins - Department of Finance & Real Estate
Downloads 84 (359,375)

Abstract:

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Fractional Difference, Discrete Time, Metal Futures, Long Memory

19.

Sources of Time-Varying Risk Premia in the Term Structure

Advances in Investment Analysis and Portfolio Management, Vol. 9, 2002
Number of pages: 40 Posted: 09 Nov 2001 Last Revised: 09 Jul 2008
John Elder
Colorado State University
Downloads 38 (521,758)

Abstract:

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Term structure, time-varying risk premia, macroeconomic factors

20.

Uncertainty and Investment: Evidence from Domestic Oil Rigs

Number of pages: 41 Posted: 28 May 2021
Asad Dossani and John Elder
Colorado State University, Fort Collins - College of Business and Colorado State University
Downloads 21 (621,230)

Abstract:

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Implied Oil Volatility, Uncertainty, Drilling Rigs

21.

Macroeconomic Uncertainty and Performance in Asian Countries

Review of Development Economics, Vol. 13, Issue 2, pp. 215-229, May 2009
Number of pages: 15 Posted: 27 Apr 2009
Don Bredin, John Elder and Stilianos Fountas
University College Dublin (UCD) - Department of Banking & Finance, Colorado State University and University of Macedonia
Downloads 1 (777,662)
Citation 1
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22.

Testing for Unit Roots: What Should Students Be Taught?

Journal of Economic Education, Vol. 32, No. 2, pp. 137-146, 2001
Posted: 12 May 2010 Last Revised: 21 Dec 2010
John Elder and Peter E. Kennedy
Colorado State University and Simon Fraser University (SFU) - Department of Economics

Abstract:

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teaching econometrics, unit roots

23.

Long Memory in Energy Futures Prices

Review of Financial Economics, Vol. 17, No. 2, 2008
Posted: 07 Jul 2008
John Elder and Apostolos Serletis
Colorado State University and University of Calgary - Department of Economics

Abstract:

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Energy, Weak-form market efficiency, Long memory, Fractional integration

24.

An Impulse-Response Function for a Vector Autoregression with Multivariate-Garch-In-Mean

Economics Letters, Vol. 79, No. 1, 2003
Posted: 07 Jul 2008 Last Revised: 24 Nov 2010
John Elder
Colorado State University

Abstract:

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Multivariate GARCH, VAR, Impulse-response

25.

A Reexamination of Fractional Integrating Dynamics in Foreign Currency Markets: A Wavelet Based Analysis

International Review of Economics and Finance, Vol. 15, 2006
Posted: 14 Jun 2006 Last Revised: 16 Jan 2011
Hyun Jin, John Elder and Won W. Koo
Chung-Ang University, Colorado State University and North Dakota State University

Abstract:

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Exchange rates, Weak-form market efficiency, Long memory, Fractional integration, Wavelets