Andrew Ang : Citation Profile


Are you Andrew Ang?

Columbia University (50% share)
National Bureau of Economic Research (NBER) (50% share)

26

H index

33

i10 index

6849

Citations

RESEARCH PRODUCTION:

39

Articles

45

Papers

1

Books

RESEARCH ACTIVITY:

   24 years (1997 - 2021). See details.
   Cites by year: 285
   Journals where Andrew Ang has often published
   Relations with other researchers
   Recent citing documents: 600.    Total self citations: 44 (0.64 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pan374
   Updated: 2021-09-11    RAS profile: 2021-03-15    
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Relations with other researchers


Works with:

Goetzmann, William (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Andrew Ang.

Is cited by:

Guidolin, Massimo (115)

Bekaert, Geert (62)

Rudebusch, Glenn (59)

GUPTA, RANGAN (46)

Favero, Carlo (44)

Moreno, Antonio (34)

Inghelbrecht, Koen (34)

Ravazzolo, Francesco (33)

Chernov, Mikhail (31)

Monfort, Alain (30)

Timmermann, Allan (28)

Cites to:

Campbell, John (53)

Bekaert, Geert (42)

Harvey, Campbell (29)

Hodrick, Robert (26)

Fama, Eugene (25)

Shiller, Robert (23)

French, Kenneth (22)

Duffie, Darrell (17)

Piazzesi, Monika (15)

Jagannathan, Ravi (15)

Stambaugh, Robert (15)

Main data


Where Andrew Ang has published?


Journals with more than one article published# docs
Journal of Finance6
Journal of Financial Economics6
Review of Financial Studies4
Journal of Monetary Economics3
Proceedings3
Journal of Financial and Quantitative Analysis2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org2

Recent works citing Andrew Ang (2021 and 2020)


YearTitle of citing document
2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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2020Interest Rates under Falling Stars. (2020). Rudebusch, Glenn ; Bauer, Michael. In: American Economic Review. RePEc:aea:aecrev:v:110:y:2020:i:5:p:1316-54.

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2020Forecasting inflation with twitter. (2020). Aromi, J. Daniel ; Llada, Martin. In: Asociación Argentina de Economía Política: Working Papers. RePEc:aep:anales:4308.

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2020The US Term Structure and Return Volatility in Global REIT Markets. (2020). GUPTA, RANGAN ; Demirer, Riza ; Yuksel, Aydin. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:3:p:84-109.

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2020A Term Structure Model for Dividends and Interest Rates. (2019). Willems, Sander ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1803.02249.

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2020Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

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2020On the bail-out dividend problem for spectrally negative Markov additive models. (2019). Yu, Xiang ; Jos'e-Luis P'erez, ; Noba, Kei. In: Papers. RePEc:arx:papers:1901.03021.

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2020Deep Learning in Asset Pricing. (2019). Zhu, Jason ; Pelger, Markus ; Chen, Luyang. In: Papers. RePEc:arx:papers:1904.00745.

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2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

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2020Quantile Factor Models. (2019). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang. In: Papers. RePEc:arx:papers:1911.02173.

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2020Conditional Correlations and Principal Regression Analysis for Futures. (2019). Bouchaud, Jean-Philippe ; Benzaquen, Michael ; Benichou, Raphael ; Karami, Armine. In: Papers. RePEc:arx:papers:1912.12354.

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2020Choosing the Right Return Distribution and the Excess Volatility Puzzle. (2020). Fabozzi, Frank J ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2001.08865.

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2020Refined model of the covariance/correlation matrix between securities. (2020). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2001.08911.

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2020How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Papers. RePEc:arx:papers:2001.11249.

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2020Equal risk option pricing with deep reinforcement learning. (2020). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2002.08492.

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2021Low-volatility Anomaly and the Adaptive Multi-Factor Model. (2020). Jarrow, Robert ; Zhu, Liao ; Wells, Martin T ; Murataj, Rinald. In: Papers. RePEc:arx:papers:2003.08302.

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2020Machine Learning Algorithms for Financial Asset Price Forecasting. (2020). Ndikum, Philip. In: Papers. RePEc:arx:papers:2004.01504.

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2020Spanning analysis of stock market anomalies under Prospect Stochastic Dominance. (2020). Scaillet, Olivier ; Topaloglou, Nikolas ; Arvanitis, Stelios. In: Papers. RePEc:arx:papers:2004.02670.

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2020Consistent Calibration of Economic Scenario Generators: The Case for Conditional Simulation. (2020). van Beek, Misha. In: Papers. RePEc:arx:papers:2004.09042.

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2020Neural Networks and Value at Risk. (2020). Weisheit, Stefan ; Klawunn, Michael ; Hoepner, Andreas ; Borth, Damian ; Arimond, Alexander. In: Papers. RePEc:arx:papers:2005.01686.

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2020The Murphy Decomposition and the Calibration-Resolution Principle: A New Perspective on Forecast Evaluation. (2020). Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:2005.01835.

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2020Dynamic Network Risk. (2020). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639.

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2020Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307.

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2020A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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2020Existence and uniqueness of recursive utilities without boundedness. (2020). Christensen, Timothy M. In: Papers. RePEc:arx:papers:2008.00963.

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2020Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2020Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan. In: Papers. RePEc:arx:papers:2009.10103.

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2020Copula-Based Factor Model for Credit Risk Analysis. (2020). Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan ; Lu, Meng-Jou. In: Papers. RePEc:arx:papers:2009.12092.

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2021Learning Time Varying Risk Preferences from Investment Portfolios using Inverse Optimization with Applications on Mutual Funds. (2020). Dong, Chaosheng ; Chen, Yuxin ; Yu, Shi. In: Papers. RePEc:arx:papers:2010.01687.

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2020Asymptotic Properties of the Maximum Likelihood Estimator in Endogenous Regime-Switching Models. (2020). Liu, Yan. In: Papers. RePEc:arx:papers:2010.04930.

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2021Background Risk and Small-Stakes Risk Aversion. (2020). Pomatto, Luciano ; Mu, Xiaosheng ; Tamuz, Omer ; Strack, Philipp. In: Papers. RePEc:arx:papers:2010.08033.

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2020High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477.

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2020Time-varying Forecast Combination for High-Dimensional Data. (2020). Maung, Kenwin ; Chen, Bin. In: Papers. RePEc:arx:papers:2010.10435.

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2020Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models. (2020). Leonardos, Stefanos ; Koki, Constandina ; Piliouras, Georgios. In: Papers. RePEc:arx:papers:2011.03741.

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2021Forward indifference valuation and hedging of basis risk under partial information. (2021). Tahvildari, Mahan. In: Papers. RePEc:arx:papers:2101.00251.

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2021Portfolio Construction Using Stratified Models. (2021). Boyd, Stephen ; Barratt, Shane ; Tuck, Jonathan. In: Papers. RePEc:arx:papers:2101.04113.

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2021Optimal investment in illiquid market with search frictions and transaction costs. (2021). Choi, Jin Hyuk ; Gang, Tae Ung. In: Papers. RePEc:arx:papers:2101.09936.

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2021Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2021Interpretability in deep learning for finance: a case study for the Heston model. (2021). Brigo, Damiano ; de Ocariz, Haitz Saez ; Pallavicini, Andrea ; Huang, Xiaoshan. In: Papers. RePEc:arx:papers:2104.09476.

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2021Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673.

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2021An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2021Optimal Claiming of Social Security Benefits. (2021). Greenberg, David ; Boyd, Stephen ; Diamond, Steven ; Ang, Andrew ; Kochenderfer, Mykel. In: Papers. RePEc:arx:papers:2106.00125.

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2021Portfolio Allocation under Asymmetric Dependence in Asset Returns using Local Gaussian Correlations. (2021). Tjostheim, Dag ; Berentsen, Geir Drage ; Otneim, Haakon ; Stove, Baard ; Sleire, Anders D ; Haugen, Sverre Hauso. In: Papers. RePEc:arx:papers:2106.12425.

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2021Inference for Low-Rank Models. (2021). Zhu, Yinchu ; Liao, Yuan ; Hansen, Christian ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2107.02602.

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2021Predicting Risk-adjusted Returns using an Asset Independent Regime-switching Model. (2021). Werge, Nicklas. In: Papers. RePEc:arx:papers:2107.05535.

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2021Correlation scenarios and correlation stress testing. (2021). Woebbeking, F ; Packham, N. In: Papers. RePEc:arx:papers:2107.06839.

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2020Can Crude Oil Price be a Predictor of Stock Index Return? Evidence from Vietnamese Stock Market. (2020). Nguyen, Dat Thanh. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:13-21.

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2021Measuring Firms Intrinsic Values in an Emerging Economy: Evidence from Bangladesh. (2021). Fatema-Tuz-Johra, ; Islam, Md Rashidul ; Dewri, Leo Vashkor ; Rahman, Mizanur M. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:429-445.

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2021Liquidity Synchronization and Asset Valuation in Selected Emerging Asian Economies. (2021). Bhutta, Nousheen Tariq ; Zaidi, Syeda Hina. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:488-500.

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2021Yield curve modelling and forecasting in an undeveloped financial market: The case of Bulgaria. (2021). Makarieva, Martina. In: Economic Thought journal. RePEc:bas:econth:y:2021:i:2:p:61-83,84-104.

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2020Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields. (2020). Zhao, Guihai. In: Staff Working Papers. RePEc:bca:bocawp:20-14.

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2021Debt-Secular Economic Changes and Bond Yields. (2021). Fontaine, Jean-Sebastien ; Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:21-14.

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2021A Non-Knotty Inflation Risk Premium Model. (2021). Machado, Jose Valentim. In: Working Papers Series. RePEc:bcb:wpaper:543.

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2020Macroprudential stress testing: A proposal for the Luxembourg investment fund sector. (2020). Lee, Kang-Soek. In: BCL working papers. RePEc:bcl:bclwop:bclwp141.

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2020Forecast Comparison of the Term Structure of Interest Rates of Mexico for Different Specifications of the Affine Model. (2020). Lelo-De, Alejandra. In: Working Papers. RePEc:bdm:wpaper:2020-01.

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2020Term Premium Dynamics and its Determinants: The Mexican Case. (2020). Roldan-Pea, Jessica ; Elizondo, Rocio ; Diego-Fernandez, Maria ; Aguilar-Argaez, Ana. In: Working Papers. RePEc:bdm:wpaper:2020-18.

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2021The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium. (2021). Ibarra-Ramirez, Raul . In: Working Papers. RePEc:bdm:wpaper:2021-07.

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2020Cross-border Investments and Uncertainty: Firm-level Evidence. (2020). Gigout, Timothee ; CEZAR, Rafael ; Tripier, Fabien. In: Working papers. RePEc:bfr:banfra:766.

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2020From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: Working Papers. RePEc:bge:wpaper:1142.

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2020Margin trading and price efficiency: information content or price‐adjustment speed?. (2020). Lv, Dayong ; Wu, Wenfeng. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2889-2918.

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2020Stock market volatility: friend or foe?. (2020). Gunasekarage, Abeyratna ; Dempsey, Michael ; Truong, Thanh Tan. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3477-3492.

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2020Evidence of governance arbitrage by private equity sponsors. (2020). Schofield, Guy. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:s1:p:971-1005.

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2021Is the ex?ante equity risk premium always positive? Evidence from a new conditional expectations model. (2021). faff, robert ; Hoang, Khoa. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:1:p:95-124.

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2021Green bonds, sustainable development and environmental policy in the European Union carbon market. (2021). Leitão, João ; Santibanezgonzalez, Ernesto ; Ferreira, Joaquim ; Leitao, Joao . In: Business Strategy and the Environment. RePEc:bla:bstrat:v:30:y:2021:i:4:p:2077-2090.

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2020Jump Risk in the US Financial Sector. (2020). Yao, Wenying ; Gajurel, Dinesh ; Jeyasreedharan, Nagaratnam ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:331-349.

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2020Glamour among value: P/E ratios and value investor attention. (2020). Moore, Jordan. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:673-706.

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2020Option trading after the opening bell and intraday stock return predictability. (2020). Fodor, Andy ; Bergsma, Kelley ; Tayal, Jitendra ; Singal, Vijay. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:769-804.

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2020Portfolio manager home‐country culture and mutual fund risk‐taking. (2020). Jiao, Wei. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:805-838.

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2020The effect of option transaction costs on informed trading in the options market around earnings announcements. (2020). Zhao, Chen ; Li, Yubin ; Govindaraj, Suresh. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:47:y:2020:i:5-6:p:615-644.

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2020Consumption Fluctuations and Expected Returns. (2020). Priestley, Richard ; Moller, Stig V ; Atanasov, Victoria. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1677-1713.

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2020Option Profit and Loss Attribution and Pricing: A New Framework. (2020). Wu, Liuren ; Carr, Peter. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2271-2316.

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2020Low‐Risk Anomalies?. (2020). Zechner, Josef ; Wagner, Christian ; Schneider, Paul. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2673-2718.

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2020A Macrofinance View of U.S. Sovereign CDS Premiums. (2020). Chernov, Mikhail ; Schneider, Andres ; Schmid, Lukas. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2809-2844.

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2020Shortfall aversion. (2020). Ren, Dan ; Huberman, Gur ; Guasoni, Paolo. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:869-920.

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2020From carry trades to curvy trades. (2020). Kostka, Thomas ; Gräb, Johannes ; Grab, Johannes ; Dreher, Ferdinand. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:3:p:758-780.

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2020Impact of IFRS 9 on the cost of funding of banks in Europe. (2020). Ouenniche, Jamal ; Bock, Robert ; Fatouh, Mahmoud. In: Bank of England working papers. RePEc:boe:boeewp:0851.

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2020A shadow rate without a lower bound constraint. (2020). Ristiniemi, Annukka ; De Rezende, Rafael. In: Bank of England working papers. RePEc:boe:boeewp:0864.

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2020The Excess Sensitivity of Long-term Interest rates and Central Bank Credibility. (2020). Park, Kwangyong. In: Working Papers. RePEc:bok:wpaper:2029.

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2020Time-varying return predictability and adaptive markets hypothesis: Evidence on MIST countries from a novel wild bootstrap likelihood ratio approach. (2020). Ozkan, Oktay. In: Bogazici Journal, Review of Social, Economic and Administrative Studies. RePEc:boz:journl:v:34:y:2020:i:2:p:101-113.

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2020The term structure of Eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach. (2020). lucey, brian ; Bekiros, Stelios ; Brian, Lucey ; Stelios, Bekiros ; Christos, Avdoulas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:4:p:23:n:4.

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2021What model for the target rate. (2021). Feunou, Bruno ; Bruno, Feunou ; Jianjian, Jin ; Jean-Sebastien, Fontaine. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:23:n:1.

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2021Stochastic model specification in Markov switching vector error correction models. (2021). Huber, Florian ; Niko, Hauzenberger ; Thomas, Zorner ; Michael, Pfarrhofer ; Florian, Huber. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:2:p:17:n:7.

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2020Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp677.

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2020Nonlinear Business Cycle and Optimal Policy: A VSTAR Perspective. (2020). Polito, Vito. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8060.

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2020Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity. (2020). Sheng, Xuguang ; Peng, Huaming ; Lahiri, Kajal. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8810.

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2021Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8828.

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2021Factor Strengths, Pricing Errors, and Estimation of Risk Premia. (2021). Smith, Ronald ; Pesaran, M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8947.

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2021Sovereign Debt in the 21st Century: Looking Backward, Looking Forward. (2021). , Christophtrebesch ; Trebesch, Christoph ; Mitchener, Kris James. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8959.

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2021Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios. (2021). Smith, Ron P ; Pesaran, Hashem M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9001.

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2021Interest Rate Skewness and Biased Beliefs. (2021). Chernov, Mikhail ; Bauer, Michael D. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9150.

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2020Measuring Systemic Risk: A Quantile Factor Analysis. (2020). Sagner, Andres. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:874.

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2020Cross-border Investments and Uncertainty Firm-level Evidence. (2020). Tripier, Fabien ; CEZAR, Rafael ; Gigout, Timothee. In: Working Papers. RePEc:cii:cepidt:2020-03.

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2020From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14267.

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2020Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models. (2020). Favero, Carlo A ; Melone, Alessandro. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14417.

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2020Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472.

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2020Household Finance. (2020). Gomes, Francisco J ; Haliassos, Michael ; Ramadorai, Tarun. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14502.

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2020Adaptative predictability of stock market returns. (2020). Veiga, Helena ; Lopes, Maria Helena ; Casas, Maria Isabel ; Mao, Xiuping. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31648.

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2021How did the asset markets change after the Global Financial Crisis?. (2021). Leung, Charles ; Ka, Charles ; Chang, Kuang-Liang. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2021_004.

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2020Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US. (2020). Phillips, Peter ; Henry, Todd . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2259.

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2020Natural Rate Chimera and Bond Pricing Reality. (2020). Brand, Claus ; Lemke, Wolfgang ; Goy, Gavin. In: DNB Working Papers. RePEc:dnb:dnbwpp:666.

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2021How did the asset markets change after the Global Financial Crisis?. (2021). Leung, Charles ; Chang, Kuang-Liang. In: ISER Discussion Paper. RePEc:dpr:wpaper:1124.

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More than 100 citations found, this list is not complete...

Works by Andrew Ang:


YearTitleTypeCited
2009Testing Conditional Factor Models In: CREATES Research Papers.
[Full Text][Citation analysis]
paper55
2012Testing conditional factor models.(2012) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55
article
2011Testing Conditional Factor Models.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55
paper
2012Regime Changes and Financial Markets In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article104
2011Regime Changes and Financial Markets.(2011) In: CEPR Discussion Papers.
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2011Regime Changes and Financial Markets.(2011) In: NBER Working Papers.
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2021Tax-Aware Portfolio Construction via Convex Optimization In: Papers.
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2021Portfolio Performance Attribution via Shapley Value In: Papers.
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2002Regime Switches in Interest Rates. In: Journal of Business & Economic Statistics.
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1998Regime Switches in Interest Rates.(1998) In: NBER Working Papers.
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2018Investment beliefs of endowments In: European Financial Management.
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2010Locked Up by a Lockup: Valuing Liquidity as a Real Option In: Financial Management.
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2010Locked Up by a Lockup: Valuing Liquidity as a Real Option.(2010) In: NBER Working Papers.
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2006The Cross?Section of Volatility and Expected Returns In: Journal of Finance.
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2004The Cross-Section of Volatility and Expected Returns.(2004) In: NBER Working Papers.
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2008The Term Structure of Real Rates and Expected Inflation In: Journal of Finance.
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2004The Term Structure of Real Rates and Expected Inflation.(2004) In: CEPR Discussion Papers.
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2004The term structure of real rates and expected inflation.(2004) In: Proceedings.
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2007The Term Structure of Real Rates and Expected Inflation.(2007) In: NBER Working Papers.
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2010Taxes on Tax?Exempt Bonds In: Journal of Finance.
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2008Taxes on Tax-Exempt Bonds.(2008) In: NBER Working Papers.
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2014The Joint Cross Section of Stocks and Options In: Journal of Finance.
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2013The Joint Cross Section of Stocks and Options.(2013) In: NBER Working Papers.
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2017Advance Refundings of Municipal Bonds In: Journal of Finance.
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2013Advance Refundings of Municipal Bonds.(2013) In: NBER Working Papers.
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2018Estimating Private Equity Returns from Limited Partner Cash Flows In: Journal of Finance.
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2005Risk, Return and Dividends In: University of California at Los Angeles, Anderson Graduate School of Management.
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2007Risk, return, and dividends.(2007) In: Journal of Financial Economics.
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2007Risk, Return and Dividends.(2007) In: NBER Working Papers.
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2007Is Ipo Underperformance a Peso Problem? In: Journal of Financial and Quantitative Analysis.
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2006Is IPO Underperformance a Peso Problem?.(2006) In: NBER Working Papers.
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2020Using Stocks or Portfolios in Tests of Factor Models In: Journal of Financial and Quantitative Analysis.
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2003Do demographic changes affect risk premiums? Evidence from international data In: Working Paper Series.
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2003Do Demographic Changes Affect Risk Premiums? Evidence from International Data.(2003) In: NBER Working Papers.
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2005Do Demographic Changes Affect Risk Premiums? Evidence from International Data.(2005) In: The Journal of Business.
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2002Short rate nonlinearities and regime switches In: Journal of Economic Dynamics and Control.
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2006What does the yield curve tell us about GDP growth? In: Journal of Econometrics.
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2003What does the yield curve tell us about GDP growth?.(2003) In: Proceedings.
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2004What Does the Yield Curve Tell us about GDP Growth?.(2004) In: NBER Working Papers.
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2007CAPM over the long run: 1926-2001 In: Journal of Empirical Finance.
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2005CAPM Over the Long Run: 1926-2001.(2005) In: NBER Working Papers.
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2011Hedge fund leverage In: Journal of Financial Economics.
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2011Hedge Fund Leverage.(2011) In: NBER Working Papers.
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2002Asymmetric correlations of equity portfolios In: Journal of Financial Economics.
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2005Why stocks may disappoint In: Journal of Financial Economics.
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2000Why Stocks May Disappoint.(2000) In: NBER Working Papers.
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2009High idiosyncratic volatility and low returns: International and further U.S. evidence In: Journal of Financial Economics.
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2008High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence.(2008) In: NBER Working Papers.
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2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables In: Journal of Monetary Economics.
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2001A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables.(2001) In: NBER Working Papers.
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2007Do macro variables, asset markets, or surveys forecast inflation better? In: Journal of Monetary Economics.
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2006Do macro variables, asset markets, or surveys forecast inflation better?.(2006) In: Finance and Economics Discussion Series.
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2005Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?.(2005) In: NBER Working Papers.
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2013Systemic sovereign credit risk: Lessons from the U.S. and Europe In: Journal of Monetary Economics.
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2011Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe.(2011) In: NBER Working Papers.
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2005No-arbitrage Taylor rules In: Proceedings.
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2007No-Arbitrage Taylor Rules.(2007) In: NBER Working Papers.
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2005No-Arbitrage Taylor Rules.(2005) In: 2005 Meeting Papers.
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2005Downside risk In: Proceedings.
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2005Downside Risk.(2005) In: NBER Working Papers.
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2006Downside Risk.(2006) In: Review of Financial Studies.
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2012Inflation and Individual Equities In: Post-Print.
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2012Inflation and Individual Equities.(2012) In: NBER Working Papers.
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2014Portfolio Choice with Illiquid Assets In: Management Science.
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2013Portfolio Choice with Illiquid Assets.(2013) In: NBER Working Papers.
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2003How to Discount Cashflows with Time-Varying Expected Returns In: NBER Working Papers.
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2003How do Regimes Affect Asset Allocation? In: NBER Working Papers.
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2009Monetary Policy Shifts and the Term Structure In: NBER Working Papers.
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2011Monetary Policy Shifts and the Term Structure.(2011) In: Review of Economic Studies.
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2010Build America Bonds In: NBER Working Papers.
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2013Asset Pricing in the Dark: The Cross Section of OTC Stocks In: NBER Working Papers.
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2013Asset Pricing in the Dark: The Cross-Section of OTC Stocks.(2013) In: Review of Financial Studies.
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1999International Asset Allocation with Time-Varying Correlations In: NBER Working Papers.
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2001Stock Return Predictability: Is it There? In: NBER Working Papers.
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2007Stock Return Predictability: Is it There?.(2007) In: Review of Financial Studies.
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2001Downside Risk and the Momentum Effect In: NBER Working Papers.
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2011The Efficient Market Theory and Evidence: Implications for Active Investment Management In: Foundations and Trends(R) in Finance.
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2002International Asset Allocation With Regime Shifts In: Review of Financial Studies.
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2014Asset Management: A Systematic Approach to Factor Investing In: OUP Catalogue.
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2018Factor risk premiums and invested capital: calculations with stochastic discount factors In: Journal of Asset Management.
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2012Risks, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches In: Quarterly Journal of Finance (QJF).
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