Profiles

Photo
Tim Krehbiel Watson Family Chair in Financial Risk Management and MSQFE Director Department of Finance 332 Business Building Stillwater Campus 405-744-8660 (Phone) 405-744-5180 (Fax)

Education

Ph D, Purdue UniversityEconomics1987
MS, Purdue UniversityEconomics1982
BS, Illinois State UniversityEconomics1981

Publications

Ali Nejadmalayeri, Siamak Javadi & Tim Krehbiel. "Do FOMC Actions Speak Loudly? Evidence from Corporate Bond Credit Spreads". Review of Finance. (Forthcoming).

Weiping Li & Tim Krehbiel. (2016). "AN IMPROVED APPROACH TO EVALUATE DEFAULT PROBABILITIES AND DEFAULT CORRELATIONS WITH CONSISTENCY". New York : International Journal of Theoretical and Applied Finance . (Forthcoming). 19 (5), 29. 1650036.

Tim Krehbiel, Antonio Camara & Weiping Li . (2011). "Expected returns, risk premia, and volatility surfaces implicit in option market prices". Journal of Banking and Finance, 35 (1)

Tim Krehbiel, Yu Wu & Wade Brorsen . (2011). "Impacts of stock splits on transaction costs under different tick size regimes". Applied Economics Letter.

Antonio Camara, Tim Krehbiel & W. Li. (2009). "Displaced Jump Diffusion Option Pricing". Journal of Derivatives. 17 (2)

Tim Krehbiel & Lee Adkins. (2008). "Extreme Daily Changes in U.S. Dollar London Interbank Offer Rates". International Review of Economics and Finance. 17 (3), 397-441.

Lee Adkins & Tim Krehbiel. (2005). "Price Risk in the NYMEX Energy Complex: An Extreme Value Approach". The Journal of Futures Markets. 48, 309-337.

Tim Krehbiel & Ghulam Sarwar. (2000). "Empirical Performance of Alternative Pricing Models of Currency Options". Journal of Futures Markets, 20 (3), 265-291.

Tim Krehbiel & Lee Adkins. (2000). "Using Cointegration Restrictions to Improve Inference in Vector Autoregressive Systems". Review of Quantitative Finance and Accounting. 14, 193-208.

Tim Krehbiel & Joel Harper. (1999). "An Empirical Investigation of the Relationship Between Ownership Structure and Operating Performance of Newly Privatized Czech Firms". Advances in Financial Economics. 4, 79-101.

Tim Krehbiel, Lee Adkins. (1999). "Mean Reversion and Volatility of Short-Term LIBORs: An Empirical Comparison of Competing Models". International Review of Economics and Finance. 8 (1), 46-54.

Tim Krehbiel. (1998). "Skewness and Kurtosis of Daily Returns and Pricing Bias of SPX Options". The International Journal of Finance. 10 (4), 1274-1290.

Tim Krehbiel & Roger Collier. (1996). "Normal Backwardation in Short Term Interest Rate Futures Markets". Journal of Futures Markets, 16 (8), 899-913.

Tim Krehbiel & Lee Adkins. (1996). "Do Systematic Risk Premiums Persist in Eurodollar Future Prices?". Journal of Futures Markets, 16 (4), 389-403.

Tim Krehbiel & Lee Adkins. (1994). "Interest Rate Futures: Evidence on Forecast Power, Expected Premiums, and the Unbiased Expectations Hypothesis". Journal of Futures Markets, 14 (5), 531-544.

Tim Krehbiel & John Polonchek. (1994). "Price and Volume Effects Associated with Changes in the Dow Jones Averages". Quarterly Review of Economics and Finance. 34 (4), 305-316.

Tim Krehbiel. (1993). "A Note on the Disappearance of Day-of-the-Week Seasonals in the Daily Price Changes of Treasury Bond Futures". 3, 73-78.

Tim Krehbiel & Lee Adkins. (1993). "Cointegration Tests of the Unbiased Expectations Hypothesis in Metals Markets". Journal of Futures Markets, 13 (7), 753-63.

Tim Krehbiel & Ravi Vaidyanthan. (1992). "Does the S&P 500 Futures Mis-Pricing Series Exhibit Nonlinear Dependence Across Time?". Journal of Futures Markets, 12 (6), 659-677.

Tim Krehbiel & Tom Drinka. (1991). "A Weak Form Test of the Efficiency of the Japanese Yen Futures Market". Applied Financial Economics. 1 (1)

Tim Krehbiel & Paul Grimes. (1989). "The Effectiveness of Economics U$A on Learning and Attitudes". The Journal of Economic Education. 20 (2), 133-152.

Tim Krehbiel & Pat McCarthy. (1989). "An Analysis of the Determinants of Portfolio Selection". Quarterly Review of Economics and Finance. 29 (3), 43-56.

Tim Krehbiel & James Yunker. (1988). "Investment Analysis by the Individual Investor". Quarterly Review of Economics and Finance. 28 (4), 90-101.

Awards and Honors

Merrick Foundation Teaching Award (2004)