Andrew Ang : Citation Profile


Are you Andrew Ang?

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

25

H index

32

i10 index

5711

Citations

RESEARCH PRODUCTION:

34

Articles

43

Papers

1

Books

RESEARCH ACTIVITY:

   19 years (1998 - 2017). See details.
   Cites by year: 300
   Journals where Andrew Ang has often published
   Relations with other researchers
   Recent citing documents: 885.    Total self citations: 43 (0.75 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pan374
   Updated: 2019-10-21    RAS profile: 2018-03-16    
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Relations with other researchers


Works with:

Papanikolaou, Dimitris (2)

Westerfield, Mark (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 (102)

Bekaert, Geert (58)

Rudebusch, Glenn (55)

Favero, Carlo (48)

Moreno, Antonio (32)

GUPTA, RANGAN (31)

Inghelbrecht, Koen (31)

Diebold, Francis (30)

Ravazzolo, Francesco (30)

Monfort, Alain (30)

Chernov, Mikhail (29)

Cites to:

Campbell, John (46)

Bekaert, Geert (41)

Harvey, Campbell (25)

Hodrick, Robert (22)

Fama, Eugene (22)

Shiller, Robert (22)

French, Kenneth (20)

Duffie, Darrell (16)

Piazzesi, Monika (15)

Stambaugh, Robert (15)

Watson, Mark (13)

Main data


Where Andrew Ang has published?


Journals with more than one article published# docs
Journal of Finance6
Journal of Financial Economics6
Journal of Monetary Economics3
Proceedings3
Review of Financial Studies3

Recent works citing Andrew Ang (2018 and 2017)


YearTitle of citing document
2017The Walking Debt Crisis. (2017). Wegener, Christoph ; Kruse, Robinson ; Basse, Tobias. In: CREATES Research Papers. RePEc:aah:create:2017-06.

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2017Time-varying coefficient estimation in SURE models. Application to portfolio management. (2017). Casas, Isabel ; Orbe, Susan ; Ferreira, Eva. In: CREATES Research Papers. RePEc:aah:create:2017-33.

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2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

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2018Time-varying parameters: New test tailored to applications in finance and macroeconomics. (2018). Davidson, Russell ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-22.

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2018Disappearing money illusion. (2018). Engsted, Tom ; Pedersen, Thomas Q. In: CREATES Research Papers. RePEc:aah:create:2018-24.

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2018A multilevel factor approach for the analysis of CDS commonality and risk contribution. (2018). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Caporin, Massimiliano ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2018-33.

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2018The dynamics of factor loadings in the cross-section of returns. (2018). Urga, Giovanni ; Mikkelsen, Jakob ; Hillebrand, Eric ; Borghi, Riccardo. In: CREATES Research Papers. RePEc:aah:create:2018-38.

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2019Explaining Bond Return Predictability in an Estimated New Keynesian Model. (2019). Andreasen, Martin M. In: CREATES Research Papers. RePEc:aah:create:2019-11.

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2018Exchange-Traded Funds 101 for Economists. (2018). Madhavan, Ananth ; Lettau, Martin. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:32:y:2018:i:1:p:135-54.

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2017What drives the regional integration of agribusiness stocks? Evidence in worldwide perspective. (2017). Valdes, Rodrigo . In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258265.

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2017Weekend Effect and Short Sales: Evidence from Hong Kong. (2017). Cai, Jinghan ; Zhai, Weili ; Xia, LE ; He, Jibao. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:8-18.

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2017Russian-Doll Risk Models. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1412.4342.

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2018Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables. (2018). Baruník, Jozef ; Kley, Tobias. In: Papers. RePEc:arx:papers:1510.06946.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

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2017Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk. (2017). Chernozhukov, Victor ; Chen, Mingli ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1607.00286.

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2017Two-Stage Stochastic International Portfolio Optimisation under Regular-Vine-Copula-Based Scenarios. (2017). Chatsanga, Nonthachote ; Parkes, Andrew J. In: Papers. RePEc:arx:papers:1704.01174.

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2018General Equilibrium Under Convex Portfolio Constraints and Heterogeneous Risk Preferences. (2018). Abbot, Tyler . In: Papers. RePEc:arx:papers:1706.05877.

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2017The Size Premium in Equity Markets: Where is the Risk?. (2017). Ciliberti, Stefano ; Bouchaud, Jean-Philippe ; Lemp, Yves ; Simon, Guillaume ; Emmanuel, . In: Papers. RePEc:arx:papers:1708.00644.

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2017Financial option insurance. (2017). Wang, Qi-Wen ; Shu, Jian-Jun . In: Papers. RePEc:arx:papers:1708.02180.

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2018Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models. (2018). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

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2018Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching. (2018). Bo, Lijun ; Yu, Xiang ; Liao, Huafu. In: Papers. RePEc:arx:papers:1712.05676.

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2019A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2018). Lejay, Antoine ; Pigato, Paolo. In: Papers. RePEc:arx:papers:1712.08329.

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2019A Term Structure Model for Dividends and Interest Rates. (2018). Filipovi, Damir ; Willems, Sander. In: Papers. RePEc:arx:papers:1803.02249.

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2018Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management. (2018). Al-Aradi, Ali ; Jaimungal, Sebastian. In: Papers. RePEc:arx:papers:1803.05819.

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2018Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs. (2018). Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:1805.09996.

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2018Determining the dimension of factor structures in non-stationary large datasets. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1806.03647.

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

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2019Forecasting market states. (2018). Procacci, Pier Francesco ; Aste, Tomaso. In: Papers. RePEc:arx:papers:1807.05836.

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2019A factor-model approach for correlation scenarios and correlation stress-testing. (2018). Packham, Natalie ; Woebbeking, Fabian. In: Papers. RePEc:arx:papers:1807.11381.

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2018Combining Independent Smart Beta Strategies for Portfolio Optimization. (2018). Maguire, Phil ; Moffett, Karl. In: Papers. RePEc:arx:papers:1808.02505.

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2018Randomization Tests for Equality in Dependence Structure. (2018). Seo, Juwon. In: Papers. RePEc:arx:papers:1811.02105.

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

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2019Working Paper: Improved Stock Price Forecasting Algorithm based on Feature-weighed Support Vector Regression by using Grey Correlation Degree. (2019). Wang, Quanxi. In: Papers. RePEc:arx:papers:1902.08938.

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2019A novel dynamic asset allocation system using Feature Saliency Hidden Markov models for smart beta investing. (2019). Keane, John ; Zeng, Xiao-Jun ; Yau, Jeffrey ; Dawson, Paula ; Fons, Elizabeth. In: Papers. RePEc:arx:papers:1902.10849.

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

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2019Nonlinear price dynamics of S&P 100 stocks. (2019). Desantis, Mark ; Caginalp, Gunduz. In: Papers. RePEc:arx:papers:1907.04422.

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2019Dynamic Dependence Modeling in financial time series. (2019). Aivaliotis, Georgios ; Liu, Haiyan ; Dou, Yali. In: Papers. RePEc:arx:papers:1908.05130.

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2019Trading 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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2019Regime-Dependent Effects on Stock Market Return Dynamics: Evidence from SAARC Countries. (2019). Mustafa, Khalid ; Ahmed, Zobia Israr. In: Asian Development Policy Review. RePEc:asi:adprev:2019:p:111-132.

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2018Idiosyncratic Risk, Stock Returns and Investor Sentiment. (2018). Hsieh, Tsung-Yu ; Tsai, Ying-Ru ; Huai-I Lee, . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2018:p:914-924.

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2017Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*. (2017). Guidolin, Massimo ; Chincoli, Francesco . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1754.

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2018Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence. (2018). Guidolin, Massimo ; Orlov, Alexei G. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1887.

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2018Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence. (2018). Guidolin, Massimo ; Ricci, Andrea. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1888.

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2018Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence. (2018). Guidolin, Massimo ; Ricci, Andrea. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1889.

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2018Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence. (2018). Guidolin, Massimo ; Orlov, Alexei. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1890.

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2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Pedio, Manuela ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19106.

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2017Stock Market Integration and Financial Crises: Evidence from Chinese Sectoral Portfolios. (2017). Daly, Vincent ; Li, Hong. In: Review of Economics & Finance. RePEc:bap:journl:170403.

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2017Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions. (2017). Diez de los Rios, Antonio. In: Staff Working Papers. RePEc:bca:bocawp:17-33.

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2017Which Model to Forecast the Target Rate?. (2017). van Oordt, Maarten. In: Staff Working Papers. RePEc:bca:bocawp:17-60.

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2018Sluggish Forecasts. (2018). Jain, Monica. In: Staff Working Papers. RePEc:bca:bocawp:18-39.

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2017Empirical Findings on Inflation Expectations in Brazil: a survey. (2017). Gaglianone, Wagner. In: Working Papers Series. RePEc:bcb:wpaper:464.

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2018Multivariate Jump Diffusion Model with Markovian Contagion. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. In: Working Papers Series. RePEc:bcb:wpaper:482.

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2017Systemic Financial Sector and Sovereign Risks. (2017). Nadal De Simone, Francisco ; Jin, Xisong. In: BCL working papers. RePEc:bcl:bclwop:bclwp109.

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2017Monetary policy, stock market and sectoral comovement. (2017). Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Working Papers. RePEc:bde:wpaper:1731.

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2018Consumption volatility risk and the inversion of the yield curve. (2018). Natoli, Filippo ; Grasso, Adriana. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1169_18.

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2018Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models. (2018). Taboga, Marco ; Pericoli, Marcello. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1189_18.

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2019¿Cómo y qué tanto impacta la deuda pública a las tasas de interés de mercado?. (2019). Rincon-Castro, Hernan ; Ardila-Dueas, Carlos David. In: Borradores de Economia. RePEc:bdr:borrec:1077.

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2017Price impact of bond supply shocks: Evidence from the Eurosystems asset purchase program.. (2017). Nguyen, Benoît ; Arrata, W. In: Working papers. RePEc:bfr:banfra:623.

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2019Evaluating the macroeconomic effects of the ECB’s unconventional monetary policies. (2019). Sahuc, Jean-Guillaume ; Mouabbi, Sarah. In: Working papers. RePEc:bfr:banfra:708.

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2017Traditional and Shadow Banks during the Crisis. (2017). Chretien, E ; Lyonnet, V. In: Débats économiques et financiers. RePEc:bfr:decfin:27.

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2019The Effects of Conventional and Unconventional Monetary Policy: A New Approach. (2019). Rossi, Barbara ; Inoue, Atsushi. In: Working Papers. RePEc:bge:wpaper:1082.

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2018Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95.

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2018Term premia: models and some stylised facts. (2018). Hördahl, Peter ; Cohen, Benjamin ; Xia, Dora ; Hordahl, Peter. In: BIS Quarterly Review. RePEc:bis:bisqtr:1809h.

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2017Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:676.

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2018An explanation of negative swap spreads: demand for duration from underfunded pension plans. (2018). Klingler, Sven ; Sundaresan, Suresh. In: BIS Working Papers. RePEc:bis:biswps:705.

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2018Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility. (2018). Nason, James ; Mertens, Elmar. In: BIS Working Papers. RePEc:bis:biswps:713.

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2018Non-monetary news in central bank communication. (2018). Cieslak, Anna ; Schrimpf, Andreas. In: BIS Working Papers. RePEc:bis:biswps:761.

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2018Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation. (2018). Yew, Rand Kwong. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:423-463.

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2018What drives flight to quality?. (2018). Opitz, Sebastian ; Szimayer, Alexander. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:529-571.

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2017The Impact of Oil Price on South African GDP Growth: A Bayesian Markov Switching-VAR Analysis. (2017). GUPTA, RANGAN ; Balcilar, Mehmet ; Uwilingiye, Josine ; van Eyden, Renee. In: African Development Review. RePEc:bla:afrdev:v:29:y:2017:i:2:p:319-336.

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2017Diversification into Emerging Markets – An Australian and the US Perspective Using a Time-varying Approach. (2017). Gupta, Rakesh ; Jithendranathan, Thadavillil ; Yang, Junhao . In: Australian Economic Papers. RePEc:bla:ausecp:v:56:y:2017:i:2:p:134-162.

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2018MONETARY POLICY SHOCKS, EXPECTATIONS, AND INFORMATION RIGIDITIES. (2018). Czudaj, Robert ; Beckmann, Joscha. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:4:p:2158-2176.

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2018A Rotated Dynamic Nelson†Siegel Model. (2018). Nyholm, Ken. In: Economic Notes. RePEc:bla:ecnote:v:47:y:2018:i:1:p:113-124.

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2017Dynamic Asset Allocation with Liabilities. (2017). Giamouridis, Daniel ; Tessaromatis, Nikolaos ; Sakkas, Athanasios. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:2:p:254-291.

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2017Where Will the ‘Silver Money’ Go?. (2017). Park, Na Young. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:3:p:459-474.

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2017The Investment CAPM. (2017). Zhang, LU. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:4:p:545-603.

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2018Investment beliefs of endowments. (2018). Ang, Andrew ; Goetzmann, William N ; Ayala, Andrs. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:1:p:3-33.

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2018Maximum diversification strategies along commodity risk factors. (2018). Bernardi, Simone ; Lohre, Harald ; Leippold, Markus. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:1:p:53-78.

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2018Market†based estimates of implicit government guarantees in European financial institutions. (2018). Zhao, Lei. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:1:p:79-112.

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2018Non†myopic portfolio choice with unpredictable returns: The jump†to†default case. (2018). Battauz, Anna ; Sbuelz, Alessandro. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:192-208.

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2018Growth options and firm valuation. (2018). Kraft, Holger ; Weiss, Farina ; Schwartz, Eduardo . In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:209-238.

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2018The mixed vs the integrated approach to style investing: Much ado about nothing?. (2018). Leippold, Markus ; Rueegg, Roger. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:5:p:829-855.

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2019Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity. (2019). Savva, Christos S ; Lambertides, Neophytos ; Chelleysteeley, Patricia. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:1:p:116-159.

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2018Productivity Risk and Industry Momentum. (2018). Misirli, Efdal Ulas. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:3:p:739-774.

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2019Short Interest and Lottery Stocks. (2019). Tayal, Jitendra ; Bergsma, Kelley . In: Financial Management. RePEc:bla:finmgt:v:48:y:2019:i:1:p:187-227.

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2018Sovereign Reputation and Yield Spreads: A Case Study on Retroactive Legislation. (2018). Zechner, Josef ; Randl, Otto . In: German Economic Review. RePEc:bla:germec:v:19:y:2018:i:3:p:260-279.

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2017Corporate Hedging and the High Idiosyncratic Volatility Low Return Puzzle. (2017). Chng, Michael T ; Zhang, Hongfeng ; Xiang, Vincent ; Fang, Victor. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:395-425.

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2018Public News Arrival and Cross‐Asset Correlation Breakdown. (2018). Yu, Jing ; Liu, WaiMan ; Ho, KinYip . In: International Review of Finance. RePEc:bla:irvfin:v:18:y:2018:i:3:p:411-451.

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2018FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334.

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2017THE VALUE IN FUNDAMENTAL ACCOUNTING INFORMATION. (2017). Turtle, H J ; Wang, Kainan. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:1:p:113-140.

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2017MONETARY POLICY SURPRISES, INVESTMENT OPPORTUNITIES, AND ASSET PRICES. (2017). Detzel, Andrew. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:3:p:315-348.

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2019THE REACTIVE BETA MODEL. (2019). Grebenkov, Denis ; Aboura, Sofiane ; Valeyre, Sebastien. In: Journal of Financial Research. RePEc:bla:jfnres:v:42:y:2019:i:1:p:71-113.

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2018Tracking and modelling prices using web‐scraped price microdata: towards automated daily consumer price index forecasting. (2018). Powell, Ben ; Winton, Joe ; Davies, Jennifer ; Mayhew, Matthew ; Elliott, Duncan ; Nason, Guy. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:181:y:2018:i:3:p:737-756.

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2018Change Detection and the Causal Impact of the Yield Curve. (2018). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:966-987.

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2017Effective Exchange Rates, Current Accounts and Global Imbalances. (2017). Czudaj, Robert ; Beckmann, Joscha. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:3:p:500-533.

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2017Safe-haven currency: An empirical identification. (2017). Lee, Kang-Soek. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:4:p:924-947.

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2017Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies. (2017). Karimalis, Emmanouil ; Peters, Gareth ; Kosmidis, Ioannis . In: Bank of England working papers. RePEc:boe:boeewp:0655.

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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist. In: Bank of England working papers. RePEc:boe:boeewp:0660.

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2018Estimating nominal interest rate expectations: overnight indexed swaps and the term structure. (2018). Lloyd, Simon. In: Bank of England working papers. RePEc:boe:boeewp:0763.

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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]
paper46
2012Testing conditional factor models.(2012) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46
article
2011Testing Conditional Factor Models.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46
paper
2012Regime Changes and Financial Markets In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article75
2011Regime Changes and Financial Markets.(2011) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 75
paper
2011Regime Changes and Financial Markets.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 75
paper
2002Regime Switches in Interest Rates. In: Journal of Business & Economic Statistics.
[Citation analysis]
article426
1998Regime Switches in Interest Rates.(1998) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 426
paper
2010Locked Up by a Lockup: Valuing Liquidity as a Real Option In: Financial Management.
[Full Text][Citation analysis]
article8
2010Locked Up by a Lockup: Valuing Liquidity as a Real Option.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2004How to Discount Cashflows with Time-Varying Expected Returns In: Journal of Finance.
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article37
2003How to Discount Cashflows with Time-Varying Expected Returns.(2003) In: NBER Working Papers.
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2006The Cross-Section of Volatility and Expected Returns In: Journal of Finance.
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article751
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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article218
2004The Term Structure of Real Rates and Expected Inflation.(2004) In: CEPR Discussion Papers.
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paper
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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2005Risk, Return and Dividends In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper15
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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article10
2006Is IPO Underperformance a Peso Problem?.(2006) In: NBER Working Papers.
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paper
2003Do demographic changes affect risk premiums? Evidence from international data In: Working Paper Series.
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paper43
2003Do Demographic Changes Affect Risk Premiums? Evidence from International Data.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
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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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article79
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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article465
2005Why stocks may disappoint In: Journal of Financial Economics.
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article82
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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article268
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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article750
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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article385
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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article156
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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article180
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 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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2013Liability Investment with Downside Risk 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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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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2012Risks, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches In: Quarterly Journal of Finance (QJF).
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