Andrew Ang : Citation Profile


Are you Andrew Ang?

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

26

H index

38

i10 index

8271

Citations

RESEARCH PRODUCTION:

39

Articles

45

Papers

1

Books

RESEARCH ACTIVITY:

   24 years (1997 - 2021). See details.
   Cites by year: 344
   Journals where Andrew Ang has often published
   Relations with other researchers
   Recent citing documents: 789.    Total self citations: 45 (0.54 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pan374
   Updated: 2023-01-08    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 (123)

Bekaert, Geert (73)

Rudebusch, Glenn (69)

GUPTA, RANGAN (57)

Favero, Carlo (45)

Ravazzolo, Francesco (39)

Niu, Linlin (35)

Inghelbrecht, Koen (35)

Moreno, Antonio (35)

Demirer, Riza (34)

Bauer, Michael (33)

Cites to:

Campbell, John (56)

Bekaert, Geert (44)

Harvey, Campbell (30)

Hodrick, Robert (29)

Fama, Eugene (26)

Shiller, Robert (25)

French, Kenneth (22)

Jagannathan, Ravi (20)

West, Kenneth (17)

Duffie, Darrell (17)

Stambaugh, Robert (17)

Main data


Where Andrew Ang has published?


Journals with more than one article published# docs
Journal of Financial Economics6
Journal of Finance6
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
NBER Working Papers / National Bureau of Economic Research, Inc35
Papers / arXiv.org2
CEPR Discussion Papers / C.E.P.R. Discussion Papers2

Recent works citing Andrew Ang (2022 and 2021)


YearTitle of citing document
2022The Prior Adaptive Group Lasso and the Factor Zoo. (2022). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2022-05.

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2022Expected and Realized Inflation in Historical Perspective. (2022). Kamdar, Rupal ; Binder, Carola. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:36:y:2022:i:3:p:131-56.

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2022The Subjective Inflation Expectations of Households and Firms: Measurement, Determinants, and Implications. (2022). Gorodnichenko, Yuriy ; Coibion, Olivier ; D'Acunto, Francesco ; Weber, Michael. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:36:y:2022:i:3:p:157-84.

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2021A Multicountry Model of the Term Structures of Interest Rates with a GVAR. (2021). Moura, Rubens ; Candelon, Bertrand. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021007.

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2022MultiATSM: An R Package for Arbitrage-free Multicountry Affine Term Structure of Interest Rates Models with Unspanned Macroeconomic Risk. (2022). Moura, Rubens. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022001.

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2022Should we care about ECB inflation expectations?. (2022). Candelon, Bertrand ; Roccazzella, Francesco. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022004.

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2022Investor-Driven Corporate Finance: Evidence from Insurance Markets. (2022). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:144.

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2022Limits of Disclosure Regulation in the Municipal Bond Market. (2022). Heinrich, Nathan ; Zimmermann, Tom ; Ivanov, Ivan T. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:186.

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2022Short of Capital: Stock Market Implications of Short Sellers’ Losses. (2022). Verwijmeren, Patrick ; Sotes-Paladino, Juan ; Gargano, Antonio. In: Working Papers. RePEc:aoz:wpaper:116.

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2022Bond Risk Premia, Priced Regime Shifts, and Macroeconomic Fundamentals. (2022). Petrella, Ivan ; Hevia, Constantino ; Sola, Martin. In: Working Papers. RePEc:aoz:wpaper:200.

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2021Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

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2021Deep Learning in Asset Pricing. (2019). Zhu, Jason ; Pelger, Markus ; Chen, Luyang. In: Papers. RePEc:arx:papers:1904.00745.

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2022Weekly idiosyncratic risk metrics and idiosyncratic momentum: Evidence from the Chinese stock market. (2019). Zhou, Wei-Xing ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1910.13115.

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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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2022A 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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2021Existence and uniqueness of recursive utilities without boundedness. (2020). Christensen, Timothy M. In: Papers. RePEc:arx:papers:2008.00963.

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2021Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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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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2021Asymptotic 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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2022High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477.

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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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2021Governmental incentives for green bonds investment. (2021). Possamai, Dylan ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:2101.00648.

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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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2022Portfolio Construction as Linearly Constrained Separable Optimization. (2021). Kochenderfer, Mykel ; Boyd, Stephen ; Gindi, Jack ; Moehle, Nicholas. In: Papers. RePEc:arx:papers:2103.05455.

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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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2022Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673.

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2022An 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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2022Correlation scenarios and correlation stress testing. (2021). Woebbeking, F ; Packham, N. In: Papers. RePEc:arx:papers:2107.06839.

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2021Deep equal risk pricing of financial derivatives with non-translation invariant risk measures. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2107.11340.

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2021Estimating high-dimensional Markov-switching VARs. (2021). Maung, Kenwin. In: Papers. RePEc:arx:papers:2107.12552.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

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2021The Adaptive Multi-Factor Model and the Financial Market. (2021). Zhu, Liao. In: Papers. RePEc:arx:papers:2107.14410.

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2021Implicit Copulas: An Overview. (2021). Smith, Michael Stanley. In: Papers. RePEc:arx:papers:2109.04718.

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2021Uncertainty, volatility and the persistence norms of financial time series. (2021). Rudkin, Simon ; Qiu, Wanling ; Dlotko, Pawel. In: Papers. RePEc:arx:papers:2110.00098.

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2021A New Multivariate Predictive Model for Stock Returns. (2021). Xie, Jianying. In: Papers. RePEc:arx:papers:2110.01873.

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2021Liquidity-free implied volatilities: an approach using conic finance. (2021). Spreij, Peter ; Khedher, Asma ; Michielon, Matteo. In: Papers. RePEc:arx:papers:2110.11718.

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2021Cross-ownership as a structural explanation for rising correlations in crisis times. (2021). Araneda, Axel A ; Bertschinger, Nils. In: Papers. RePEc:arx:papers:2112.04824.

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2022Dynamic Portfolio Optimization with Inverse Covariance Clustering. (2022). Aste, Tomaso ; Wang, Yuanrong. In: Papers. RePEc:arx:papers:2112.15499.

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2022Analysis of a five-factor capital market model. (2022). Preisel, Michael ; Jarner, Soren Fiig. In: Papers. RePEc:arx:papers:2201.05103.

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2022Internal multi-portfolio rebalancing processes: Linking resource allocation models and biproportional matrix techniques to portfolio management. (2022). Francis-Staite, Kelli. In: Papers. RePEc:arx:papers:2201.06183.

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2022Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia. (2022). Roncalli, Thierry ; Kostyuchyk, Nazar ; Bruder, Benjamin. In: Papers. RePEc:arx:papers:2202.10721.

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2022Fast estimation of Kendalls Tau and conditional Kendalls Tau matrices under structural assumptions. (2022). Derumigny, Alexis ; van der Spek, Rutger. In: Papers. RePEc:arx:papers:2204.03285.

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2022Portfolio Diversification Revisited. (2022). Shaw, Charles. In: Papers. RePEc:arx:papers:2204.13398.

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2022The Cross-Sectional Intrinsic Entropy. A Comprehensive Stock Market Volatility Estimator. (2022). Ausloos, Marcel ; Vinte, Claudiu. In: Papers. RePEc:arx:papers:2205.00104.

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2022Variable importance without impossible data. (2022). Seiler, Benjamin B ; Owen, Art B ; Mase, Masayoshi. In: Papers. RePEc:arx:papers:2205.15750.

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2022Strategic Asset Allocation with Illiquid Alternatives. (2022). Menda, Kunal ; Ulitsky, Alex ; Diamond, Steven ; Cao, Wen ; van Beek, Misha ; Kochenderfer, Mykel ; Boyd, Stephen ; Luxenberg, Eric ; Vairavamurthy, Vidy. In: Papers. RePEc:arx:papers:2207.07767.

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2022Risk in Network Economies. (2022). Sellemi, Victor. In: Papers. RePEc:arx:papers:2208.01467.

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2022Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974.

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2022Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2022Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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2022Liquidity Costs, Idiosyncratic Volatility and Expected Stock Returns. (2022). Satchell, Stephen ; Peat, Maurice ; Bradrania, Reza M. In: Papers. RePEc:arx:papers:2211.04695.

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2022A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

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2022Monetary Uncertainty as a Determinant of the Response of Stock Market to Macroeconomic News. (2022). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2212.04525.

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2022Limiting sequential decompositions and applications in finance. (2022). Christiansen, Marcus C ; Stier, Hauke ; Junike, Gero. In: Papers. RePEc:arx:papers:2212.06733.

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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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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:v:11:y:2021:i:6:p:488-500:id:2101.

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2021Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp21154.

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2021EQUITY MARKETS RISKS AND RETURNS: IMPLICATIONS FOR GLOBAL PORTFOLIO CAPITAL FLOWS DURING PANDEMIC AND CRISIS PERIODS. (2021). Rusak, Denys ; Pryiatelchuk, Olena ; Dziuba, Pavlo. In: Baltic Journal of Economic Studies. RePEc:bal:journl:2256-0742:2021:7:3:12.

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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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2021Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia in portfolios. (2021). Pesaran, M ; Smith, Run. In: BCAM Working Papers. RePEc:bbk:bbkcam:2108.

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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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2021Evaluating the Effects of Forward Guidance and Large-scale Asset Purchases. (2021). Zhang, XU. In: Staff Working Papers. RePEc:bca:bocawp:21-54.

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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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2021Do inflation expectations improve model-based inflation Forecasts?. (2021). Menz, Jan-Oliver ; Leiva-Leon, Danilo ; Babura, Marta. In: Working Papers. RePEc:bde:wpaper:2138.

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2022The Term Structure of Interest Rates in a Heterogeneous Monetary Union. (2022). Thomas, Carlos ; Nuo, Galo ; Costain, James. In: Working Papers. RePEc:bde:wpaper:2223.

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2021A composite indicator of sovereign bond market liquidity in the euro area. (2021). Taboga, Marco ; Poli, Riccardo. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_663_21.

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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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2022Global production linkages and stock market co-movement. (2022). Schrimpf, Andreas ; Auer, Raphael ; Wagner, Alexander F ; Iwadate, Bruce Muneaki. In: BIS Working Papers. RePEc:bis:biswps:1003.

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2021Firm-specific risk-neutral distributions with options and CDS. (2021). Jahan-Parvar, Mohammad ; Aramonte, Sirio ; Schindler, John W ; Rosen, Samuel. In: BIS Working Papers. RePEc:bis:biswps:921.

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2022Term premium dynamics and its determinants: the Mexican case. (2022). Roldan-Pea, Jessica ; Elizondo, Rocio ; Diego-Fernandez, Maria ; Aguilar, Ana. In: BIS Working Papers. RePEc:bis:biswps:993.

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2022Monetary policy expectation errors. (2022). Schrimpf, Andreas ; Schmeling, Maik. In: BIS Working Papers. RePEc:bis:biswps:996.

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2022Misvaluation and the Asset Growth Anomaly. (2022). Lambertides, Neophytos. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:1:p:105-141.

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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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2021Implied volatility smirk in the Australian dollar market. (2021). Ruan, Xinfeng ; Zhang, Jin E ; Gehricke, Sebastian A. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4573-4599.

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2022Assessing the usefulness of daily and monthly asset?pricing factors for Australian equities. (2022). Zhong, Angel ; Gray, Philip. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:181-211.

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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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2022Stock return predictability: Evaluation based on interval forecasts. (2022). Kim, Jae H ; Darne, Olivier ; Charles, Amelie. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:363-385.

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2022A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683.

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2022Exploring the dependencies among main cryptocurrency log?returns: A hidden Markov model. (2022). Bartolucci, Francesco ; Forte, Gianfranco ; Pennoni, Fulvia ; Ametrano, Ferdinando. In: Economic Notes. RePEc:bla:ecnote:v:51:y:2022:i:1:n:e12193.

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2021How to build a factor portfolio: Does the allocation strategy matter?. (2021). Wendt, Viktoriasophie ; Drobetz, Wolfgang ; Dichtl, Hubert. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:20-58.

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2021Learning and predictability via technical analysis: Evidence from bitcoin and stocks with hard?to?value fundamentals. (2021). Strauss, Jack ; Liu, Hong ; Detzel, Andrew ; Zhu, Yingzi ; Zhou, Guofu. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:107-137.

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2021Economic policy uncertainty and momentum. (2021). Wu, Yangru ; Sun, Minxing ; Gu, Ming ; Xu, Weike. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:237-259.

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2021Relevance of the disposition effect on the options market: New evidence. (2021). Chou, Robin K ; Chiu, Hsinyu ; Chiang, Mihsiu. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:75-106.

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2021Correlation and the omitted variable: A tale of two prices. (2021). Pan, Zheyao ; Han, Xing. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:2:p:519-552.

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2021Defined benefit pension de?risking and corporate risk?taking. (2021). Silverstein, Brian. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:4:p:1085-1111.

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2022Economic forecasts, anchoring bias, and stock returns. (2022). Yu, Han ; Dutta, Sandip ; Birz, Gene. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:169-191.

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2022How much for a haircut? Illiquidity, secondary markets, and the value of private equity. (2022). Sensoy, Berk A. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:2:p:501-538.

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2022Stock returns and inflation shocks in weaker economic times. (2022). Sun, Licheng ; Stivers, Chris ; Connolly, Robert A. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:3:p:827-867.

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2021Can hedge funds benefit from corporate social responsibility investment?. (2021). Li, Yongjia ; Huang, Qiping ; Duanmu, Jun ; McBrayer, Garrett A. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:251-278.

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2021Expectations and financial markets: Lessons from Brexit. (2021). Hibbert, Ann Marie ; Gu, Chen. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:279-299.

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2021The trend is an analysts friend: Analyst recommendations and market technicals. (2021). Flugum, Ryan. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:301-330.

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2021The role of asymmetry and dynamics in carry trade and general financial markets. (2021). Wu, ChihChiang ; Huang, Meichi. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:331-353.

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2021The effects of exchange listing on market quality: Evidence from over?the?counter uplistings. (2021). Roseman, Brian ; Griffith, Todd ; Davis, Ryan ; Yildiz, Serhat. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:4:p:645-669.

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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]
paper75
2012Testing conditional factor models.(2012) In: Journal of Financial Economics.
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2011Testing Conditional Factor Models.(2011) In: NBER Working Papers.
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2012Regime Changes and Financial Markets In: Annual Review of Financial Economics.
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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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paper61
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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2008Do Funds-of-Funds Deserve Their Fees-on-Fees? 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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2013Liability Investment with Downside Risk In: NBER Working Papers.
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2013Search for a Common Factor in Public and Private Real Estate Returns 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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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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