Personal information

Activities

Employment (1)

Rutgers University: New Brunswick, NJ, US

1995-01-01 to present | Professor (Economics)
Employment
Source: Self-asserted source
Bruce Mizrach

Education and qualifications (1)

U. of Pennsylvania: Philadelphia, PA, US

1982-09-01 to 1987-06-01 | Ph.D. (Economics)
Education
Source: Self-asserted source
Bruce Mizrach

Works (40)

An Event Study of the Ethereum Transition to Proof-of-Stake

Commodities
2023-03-29 | Journal article
Contributors: Elie Kapengut; Bruce Mizrach
Source: check_circle
Crossref
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Preferred source (of 2)‎

Bitcoin spot and futures market microstructure

Journal of Futures Markets
2021-02 | Journal article
Contributors: Saketh Aleti; Bruce Mizrach
Source: check_circle
Crossref
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Preferred source (of 2)‎

New evidence of the marginal predictive content of small and large jumps in the cross-section

Econometrics
2020 | Journal article
EID:

2-s2.0-85085395617

Part of ISSN: 22251146
Contributors: Yu, B.; Mizrach, B.; Swanson, N.R.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

The microstructure of a U.S. Treasury ECN: The BrokerTec platform

Journal of Financial Markets
2018 | Journal article
EID:

2-s2.0-85047770462

Part of ISSN: 13864181
Contributors: Fleming, M.J.; Mizrach, B.; Nguyen, G.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

Market quality breakdowns in equities

Journal of Financial Markets
2016 | Journal article
EID:

2-s2.0-84961782895

Part of ISSN: 13864181
Contributors: Gao, C.; Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

A video interview of James Stock

Studies in Nonlinear Dynamics and Econometrics
2015 | Journal article
EID:

2-s2.0-84942248878

Part of ISSN: 15583708 10811826
Contributors: Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

Econometric analysis of currency carry trade

Handbook of Financial Econometrics and Statistics
2015 | Book chapter
EID:

2-s2.0-84945115221

Contributors: Wang, Y.-J.; Chung, H.; Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

Skyscraper height and the business cycle: separating myth from reality

Applied Economics
2015 | Journal article
EID:

2-s2.0-84911439394

Part of ISSN: 14664283 00036846
Contributors: Barr, J.; Mizrach, B.; Mundra, K.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

The impact of SFAS No. 8 on stock market based on a new Fama-French 3-factor model: An empirical evidence from US stock market

Banks and Bank Systems
2014 | Journal article
EID:

2-s2.0-84960502481

Part of ISSN: 19917074 18167403
Contributors: Wang, W.; Li, L.; Yang, Y.; Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

The market microstructure of the European climate exchange

Journal of Banking and Finance
2014 | Journal article
EID:

2-s2.0-84889687519

Part of ISSN: 03784266
Contributors: Mizrach, B.; Otsubo, Y.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

An empirical analysis of the Shanghai and Shenzhen limit order books

Economic Modelling
2013 | Journal article
EID:

2-s2.0-84884974434

Part of ISSN: 02649993
Contributors: Chung, H.; Gao, C.; Lu, J.; Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

Integration of the global carbon markets

Energy Economics
2012 | Journal article
EID:

2-s2.0-84856054244

Part of ISSN: 01409883
Contributors: Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

Jumps and cojumps in subprime home equity derivatives

Journal of Portfolio Management
2012 | Journal article
EID:

2-s2.0-84870447544

Part of ISSN: 00954918
Contributors: Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

Learning and conditional heteroscedasticity in asset returns

Progress in Financial Markets Research
2012 | Book chapter
EID:

2-s2.0-84896426153

Contributors: Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

Tail return analysis of Bear Stearns' credit default swaps

Economic Modelling
2010 | Journal article
EID:

2-s2.0-77958173267

Part of ISSN: 02649993
Contributors: Li, L.; Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

A note on demand and supply factors in manufacturing output asymmetries

Macroeconomic Dynamics
2009 | Journal article
EID:

2-s2.0-67749127388

Part of ISSN: 13651005 14698056
Contributors: Korenok, O.; Mizrach, B.; Radchenko, S.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

Comment on "Modelling nonlinear comovements between time series"

Journal of Macroeconomics
2009 | Journal article
EID:

2-s2.0-59649118430

Part of ISSN: 01640704
Contributors: Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

Experts online: An analysis of trading activity in a public Internet chat room

Journal of Economic Behavior and Organization
2009 | Journal article
EID:

2-s2.0-64249162449

Part of ISSN: 01672681
Contributors: Mizrach, B.; Weerts, S.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

Highs and lows: A behavioural and technical analysis

Applied Financial Economics
2009 | Journal article
EID:

2-s2.0-67650315236

Part of ISSN: 09603107 14664305
Contributors: Mizrach, B.; Weerts, S.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

A video interview with James Hamilton

Studies in Nonlinear Dynamics and Econometrics
2008 | Journal article
EID:

2-s2.0-44849103669

Part of ISSN: 15583708 10811826
Contributors: Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

Estimating the intensity of choice in a dynamic mutual fund allocation decision

Journal of Economic Dynamics and Control
2008 | Journal article
EID:

2-s2.0-53949095864

Part of ISSN: 01651889
Contributors: Goldbaum, D.; Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

Information shares in the US Treasury market

Journal of Banking and Finance
2008 | Journal article
EID:

2-s2.0-43949108883

Part of ISSN: 03784266
Contributors: Mizrach, B.; Neely, C.J.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

The impact of monetary policy on bond returns: A segmented markets approach

Journal of Economics and Business
2008 | Journal article
EID:

2-s2.0-52749095417

Part of ISSN: 01486195
Contributors: Mizrach, B.; Occhino, F.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

The next tick on Nasdaq

Quantitative Finance
2008 | Journal article
EID:

2-s2.0-37249052854

Part of ISSN: 14697688 14697696
Contributors: Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts

Journal of Financial Stability
2006 | Journal article
EID:

2-s2.0-33646156871

Part of ISSN: 15723089
Contributors: Haas, M.; Mittnik, S.; Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

Does the stock market punish corporate malfeasance? A case study of Citigroup

Corporate Ownership and Control
2006 | Journal article
Contributors: Bruce Mizrach; Susan Zhang Weerts
Source: check_circle
Crossref
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Preferred source (of 2)‎

The Enron bankruptcy: When did the options market in Enron lose it's smirk?

Review of Quantitative Finance and Accounting
2006 | Journal article
EID:

2-s2.0-33749668997

Part of ISSN: 0924865X 15737179
Contributors: Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

The transition to electronic communications networks in the secondary treasury market

Federal Reserve Bank of St. Louis Review
2006 | Journal article
EID:

2-s2.0-37849186151

Part of ISSN: 00149187
Contributors: Mizrach, B.; Neely, C.J.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

A video interview of buz brock

Studies in Nonlinear Dynamics and Econometrics
2005 | Journal article
EID:

2-s2.0-17444368677

Part of ISSN: 10811826 15583708
Contributors: Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

Determining delay times for phase space reconstruction with application to the FF/DM exchange rate

Journal of Economic Behavior and Organization
1996 | Journal article
EID:

2-s2.0-0030240916

Part of ISSN: 01672681
Contributors: Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

The information in the term structure: A non-parametric investigation

Journal of Forecasting
1996 | Journal article
EID:

2-s2.0-0000196688

Part of ISSN: 02776693
Contributors: Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

New evidence on the effectiveness of foreign exchange market intervention

European Economic Review
1995 | Journal article
EID:

2-s2.0-4544222717

Part of ISSN: 00142921
Contributors: Koedijk, K.G.; Mizrach, B.; Stork, P.A.; de Vries, C.G.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

Target zone models with stochastic realignments: an econometric evaluation

Journal of International Money and Finance
1995 | Journal article
EID:

2-s2.0-0000197893

Part of ISSN: 02615606
Contributors: Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

Multivariate nearest‐neighbour forecasts of ems exchange rates

Journal of Applied Econometrics
1992 | Journal article
EID:

2-s2.0-84986382553

Part of ISSN: 10991255 08837252
Contributors: Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

On determining the dimension of real-time stock-price data

Journal of Business and Economic Statistics
1992 | Journal article
EID:

2-s2.0-0000030276

Part of ISSN: 15372707 07350015
Contributors: Mayfield, E.S.; Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

The distribution of the Theil U-statistic in bivariate normal populations

Economics Letters
1992 | Journal article
EID:

2-s2.0-38249015669

Part of ISSN: 01651765
Contributors: Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

The state of economic dynamics. A review essay

Journal of Economic Dynamics and Control
1992 | Journal article
EID:

2-s2.0-38249014489

Part of ISSN: 01651889
Contributors: Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

Nonconvexities in a stochastic control problem with learning

Journal of Economic Dynamics and Control
1991 | Journal article
EID:

2-s2.0-0000031440

Part of ISSN: 01651889
Contributors: Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

Nonparametric estimation of the correlation exponent

Physical Review A
1991 | Journal article
EID:

2-s2.0-14844361175

Part of ISSN: 10502947
Contributors: Mayfield, E.S.; Mizrach, B.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier

A liquidity-in-advance model of the demand for money under price uncertainty

Journal of Monetary Economics
1990 | Journal article
EID:

2-s2.0-38249019698

Part of ISSN: 03043932
Contributors: Mizrach, B.; Santomero, A.M.
Source: Self-asserted source
Bruce Mizrach via Scopus - Elsevier