Peter L. Bossaerts : Citation Profile


Are you Peter L. Bossaerts?

California Institute of Technology
Centre for Economic Policy Research (CEPR)

9

H index

8

i10 index

518

Citations

RESEARCH PRODUCTION:

13

Articles

11

Papers

RESEARCH ACTIVITY:

   25 years (1988 - 2013). See details.
   Cites by year: 20
   Journals where Peter L. Bossaerts has often published
   Relations with other researchers
   Recent citing documents: 63.    Total self citations: 3 (0.58 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbo132
   Updated: 2020-07-04    RAS profile: 2008-08-28    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Peter L. Bossaerts.

Is cited by:

Guidolin, Massimo (13)

Zame, William (11)

Timmermann, Allan (10)

Pettenuzzo, Davide (9)

Pierdzioch, Christian (7)

Bekaert, Geert (7)

Plott, Charles (7)

Menkhoff, Lukas (7)

Guo, Hui (7)

Sousa, Ricardo (6)

Fahlenbrach, Ruediger (6)

Cites to:

Plott, Charles (18)

Fama, Eugene (6)

Campbell, John (5)

Lucas, Robert (5)

gourieroux, christian (5)

Ghysels, Eric (4)

Singleton, Kenneth (4)

Renault, Eric (4)

Tauchen, George (3)

Härdle, Wolfgang (3)

Grinblatt, Mark (3)

Main data


Where Peter L. Bossaerts has published?


Journals with more than one article published# docs
Review of Financial Studies2
Journal of Economic Dynamics and Control2
Journal of Financial Markets2

Working Papers Series with more than one paper published# docs
IDEI Working Papers / Institut d'conomie Industrielle (IDEI), Toulouse2

Recent works citing Peter L. Bossaerts (2018 and 2017)


YearTitle of citing document
2018Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium. (2018). Veiga, Helena ; Casas, Isabel ; Mao, Xiuping. In: CREATES Research Papers. RePEc:aah:create:2018-10.

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2019The Impact of ETFs on Asset Markets: Experimental Evidence. (2019). Rud, Olga ; Duffy, John ; Rabanal, Jean Paul. In: Working Papers. RePEc:apc:wpaper:154.

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2019Noise Fit, Estimation Error and a Sharpe Information Criterion: Linear Case. (2017). Paulsen, Dirk ; Sohl, Jakob . In: Papers. RePEc:arx:papers:1602.06186.

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2019Stochastic Price Dynamics Equations Via Supply and Demand; Implications for Volatility and Risk. (2019). Caginalp, Gunduz. In: Papers. RePEc:arx:papers:1908.01103.

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2019Stock Price Forecasting and Hypothesis Testing Using Neural Networks. (2019). Varaku, Kerda. In: Papers. RePEc:arx:papers:1908.11212.

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2020Time-varying neural network for stock return prediction. (2020). , Richard ; Azizi, Lamiae ; Chan, Jennifer ; Steven, . In: Papers. RePEc:arx:papers:2003.02515.

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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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2018Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors. (2018). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1886.

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2018Out‐of‐sample stock return predictability in emerging markets. (2018). Bahrami, Afsaneh ; Uylangco, Katherine ; Shamsuddin, Abul. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:3:p:727-750.

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2020A Markov‐switching analysis of Nigerias business cycles: Are election cycles important?. (2020). Olakojo, Solomon. In: African Development Review. RePEc:bla:afrdev:v:32:y:2020:i:1:p:67-79.

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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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2018Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models. (2018). Pettenuzzo, Davide ; Fisher, Jared D ; Carvalho, Carlos. In: Working Papers. RePEc:brd:wpaper:123.

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2019Experimental Asset Markets with An Indefinite Horizon. (2019). Duffy, John ; Xie, Huan ; Jiang, Janet Hua. In: CIRANO Working Papers. RePEc:cir:cirwor:2019s-15.

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2018Investing in managerial honesty. (2018). Gibson, Rajna ; Wagner, Alexander F ; Tanner, Carmen ; Sohn, Matthias. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13207.

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2019Harmful diversification: Evidence from alternative investments. (2019). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:1:p:1-23.

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2020Coordination on bubbles in large-group asset pricing experiments. (2020). Hommes, Cars ; Bao, Te ; Massaro, Domenico ; Hennequin, Myrna. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:110:y:2020:i:c:s0165188919300880.

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2019Improving the predictability of the oil–US stock nexus: The role of macroeconomic variables. (2019). Salisu, Afees ; Oloko, Tirimisiyu F ; Swaray, Raymond. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:153-171.

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2019International implied volatility risk indexes and Saudi stock return-volatility predictabilities. (2019). Azibi, Jamel ; Tissaoui, Kais . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:65-84.

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2019Improving the predictability of stock returns with Bitcoin prices. (2019). Salisu, Afees ; Isah, Kazeem ; Akanni, Lateef. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:857-867.

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2020The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

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2017Overpricing and stake size: On the robustness of results from experimental asset markets. (2017). Schindler, David ; Martinsson, Peter ; Kocher, Martin. In: Economics Letters. RePEc:eee:ecolet:v:154:y:2017:i:c:p:101-104.

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2020Option market trading activity and the estimation of the pricing kernel: A Bayesian approach. (2020). Sala, Carlo ; Mira, Antonietta ; Fusari, Nicola ; Barone-Adesi, Giovanni. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:430-449.

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2019Assisted savings for retirement: An experimental analysis. (2019). Holt, Charles ; Schubert, Alexandra V ; Bohr, Clement E. In: European Economic Review. RePEc:eee:eecrev:v:119:y:2019:i:c:p:42-54.

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2018Equity premium predictions with many predictors: A risk-based explanation of the size and value factors. (2018). Stivers, Adam . In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:126-140.

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2018Momentum of return predictability. (2018). Wang, Yudong ; Diao, Xundi ; Ma, Feng ; Liu, LI. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:141-156.

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2020Issuer IPO underpricing and Directed Share Program (DSP). (2020). Chong, Beng ; Liu, Zhenbin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:56:y:2020:i:c:p:105-125.

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2017Predictability and diversification benefits of investing in commodity and currency futures. (2017). Potì, Valerio ; cotter, john ; Poti, Valerio ; Eyiah-Donkor, Emmanuel . In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:52-66.

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2017International stock return predictability: Evidence from new statistical tests. (2017). Kim, Jae ; Darné, Olivier ; Charles, Amelie ; Darne, Olivier. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:97-113.

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2018Déjà vol oil? Predicting S&P 500 equity premium using crude oil price volatility: Evidence from old and recent time-series data. (2018). Nonejad, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:260-270.

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2017Investor protection and institutional investors’ incentive for information production. (2017). Akron, Sagi ; Samdani, Taufique . In: Journal of Financial Stability. RePEc:eee:finsta:v:30:y:2017:i:c:p:1-15.

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2017Predicting risk premium under changes in the conditional distribution of stock returns. (2017). Sousa, Ricardo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:204-218.

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2018Can economic policy uncertainty predict stock returns? Global evidence. (2018). Bach, Dinh Hoang ; Tran, Vuong Thao ; Sharma, Susan Sunila. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:134-150.

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2019Structural instability and predictability. (2019). Devpura, Neluka ; Sharma, Susan Sunila ; Narayan, Paresh Kumar. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443119300150.

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2017Forecasting market returns: bagging or combining?. (2017). Wohar, Mark ; Jordan, Steven J ; Vivian, Andrew. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:102-120.

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2019Longshots, overconfidence and efficiency on the Iowa Electronic Market. (2019). Berg, Joyce E ; Rietz, Thomas A. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:271-287.

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2018Deflating asset price bubbles with leverage constraints and monetary policy. (2018). Petersen, Luba ; Mileva, Mariya ; Fenig, Guidon. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:155:y:2018:i:c:p:1-27.

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2019Experimental stock market dynamics: Excess bids, directional learning, and adaptive style-investing in a call-auction with multiple multi-period lived assets. (2019). Neugebauer, Tibor ; Selten, Reinhard. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:157:y:2019:i:c:p:209-224.

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2018Are biased beliefs fit to survive? An experimental test of the market selection hypothesis. (2018). Kendall, Chad ; Oprea, Ryan. In: Journal of Economic Theory. RePEc:eee:jetheo:v:176:y:2018:i:c:p:342-371.

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2017Maximum likelihood estimation of the equity premium. (2017). Avdis, Efstathios ; Wachter, Jessica A. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:589-609.

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2019The present value relation over six centuries: The case of the Bazacle company. (2019). Pouget, Sebastien ; Goetzmann, William N ; le Bris, David. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:1:p:248-265.

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2018Information demand and stock return predictability. (2018). Vlastakis, Nikolaos ; Papadimitriou, Fotios I ; Chronopoulos, Dimitris K. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:80:y:2018:i:c:p:59-74.

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2019Can agricultural commodity prices predict Nigerias inflation?. (2019). Salisu, Afees ; Chiemeke, Charles C ; Tule, Moses K. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:16:y:2019:i:c:s2405851318301107.

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2017Sunk-cost fallacy and cognitive ability in individual decision-making. (2017). Haita-Falah, Corina . In: Journal of Economic Psychology. RePEc:eee:joepsy:v:58:y:2017:i:c:p:44-59.

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2019Predicting exchange rate with commodity prices: New evidence from Westerlund and Narayan (2015) estimator with structural breaks and asymmetries. (2019). Salisu, Afees ; Emmanuel, Zachariah ; Alimi, Wasiu A ; Adekunle, Wasiu. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:33-56.

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2017Simple agent-based dynamical system models for efficient financial markets: Theory and examples. (2017). Immonen, Eero . In: Journal of Mathematical Economics. RePEc:eee:mateco:v:69:y:2017:i:c:p:38-53.

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2019Endogenous Leverage and Default in the Laboratory. (2019). Houser, Daniel ; Fostel, Ana ; Cipriani, Marco. In: Staff Reports. RePEc:fip:fednsr:900.

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2017International Stock Return Predictability: Evidence from New Statistical Tests. (2017). Kim, Jae ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-01626101.

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2018FLEXIBLE OPTIMAL MODELS FOR PREDICTING STOCK MARKET RETURNS. (2018). Jeong, Jin-Gil ; Mukherji, Sandip . In: The International Journal of Business and Finance Research. RePEc:ibf:ijbfre:v:12:y:2018:i:2:p:39-48.

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2019A STUDY OF INDONESIA’S STOCK MARKET: HOW PREDICTABLE IS IT?. (2019). Nguyen, Dat Thanh ; Bach, Dinh Hoang. In: Bulletin of Monetary Economics and Banking. RePEc:idn:journl:v:1:y:2019:i:sp2:p:1-12.

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2019Asset Returns Under Model Uncertainty: Evidence from the Euro Area, the US and the UK. (2019). Sousa, Ricardo. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:1:d:10.1007_s10614-017-9696-2.

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2017International stock return predictability: Is the role of U.S. time-varying?. (2017). GUPTA, RANGAN ; Balcilar, Mehmet ; Aye, Goodness C. In: Empirica. RePEc:kap:empiri:v:44:y:2017:i:1:d:10.1007_s10663-015-9313-3.

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2019Individual speculative behavior and overpricing in experimental asset markets. (2019). Weitzel, Utz ; Füllbrunn, Sascha ; Fullbrunn, Sascha ; Janssen, Dirk-Jan . In: Experimental Economics. RePEc:kap:expeco:v:22:y:2019:i:3:d:10.1007_s10683-018-9565-4.

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2017Predicting stock returns in the presence of uncertain structural changes and sample noise. (2017). Mantilla-Garcia, Daniel ; Vaidyanathan, Vijay . In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:3:d:10.1007_s11408-017-0290-3.

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2019Price dynamics in corn cash and futures markets: cointegration, causality, and forecasting through a rolling window approach. (2019). Xu, Xiaojie. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:33:y:2019:i:2:d:10.1007_s11408-019-00330-7.

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2019Average Crossing Time: An Alternative Characterization of Mean Aversion and Reversion. (2019). Mehra, Rajnish ; Donaldson, John B. In: NBER Working Papers. RePEc:nbr:nberwo:25519.

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2019Endogenous Leverage and Default in the Laboratory. (2019). Houser, Daniel ; Fostel, Ana ; Cipriani, Marco. In: NBER Working Papers. RePEc:nbr:nberwo:26469.

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2017An Optimal ICO Mechanism. (2017). Sanchez, David Cerezo . In: MPRA Paper. RePEc:pra:mprapa:81285.

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2019Predicting the U.S. Stock Market Return: Evidence from the Improved Augmented Regression Method. (2019). Jurdi, Doureige ; Kim, Jae. In: MPRA Paper. RePEc:pra:mprapa:94028.

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2017The Present Value Relation Over Six Centuries: The Case of the Bazacle Company. (2017). Pouget, Sebastien ; le Bris, David ; Goetzmann, Will . In: TSE Working Papers. RePEc:tse:wpaper:31621.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:2-2018.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:39.

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2017Aggregation and convergence in experimental general equilibrium economies constructed from naturally occurring preferences. (2017). Friedman, Daniel ; Oprea, Ryan ; Crockett, Sean. In: Discussion Papers, Research Professorship Market Design: Theory and Pragmatics. RePEc:zbw:wzbmdn:spii2017501.

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Works by Peter L. Bossaerts:


YearTitleTypeCited
1994 Tax-Induced Intertemporal Restrictions on Security Returns. In: Journal of Finance.
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article4
1996Arbitrage Based Pricing When Volatility Is Stochastic In: CIRANO Working Papers.
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paper5
1996Arbitrage-Based Pricing when Volatility is Stochastic..(1996) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 5
paper
1996Arbitrage-Based Pricing when Volatility is Stochastic..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 5
paper
2005Asset Trading Volume in Infinite-Horizon Economies with Dynamically Complete Markets and Heterogeneous Agents: Comment In: UCLA Economics Working Papers.
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paper8
2006Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment.(2006) In: Finance Research Letters.
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This paper has another version. Agregated cites: 8
article
Equilibrium Asset Pricing Under Heterogeneous Information In: GSIA Working Papers.
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paper8
2003Equilibrium Asset Pricing Under Heterogenous Information.(2003) In: IDEI Working Papers.
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This paper has another version. Agregated cites: 8
paper
2000Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets In: CEPR Discussion Papers.
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paper42
2004Basic Principles of Asset Pricing Theory: Evidence from Large-Scale Experimental Financial Markets.(2004) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 42
article
1988Common nonstationary components of asset prices In: Journal of Economic Dynamics and Control.
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article32
2002The CAPM in thin experimental financial markets In: Journal of Economic Dynamics and Control.
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article10
1997Local parametric analysis of hedging in discrete time In: Journal of Econometrics.
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article14
2002Inducing liquidity in thin financial markets through combined-value trading mechanisms In: European Economic Review.
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article9
2003Excess demand and equilibration in multi-security financial markets: the empirical evidence In: Journal of Financial Markets.
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article20
2003Local parametric analysis of derivatives pricing and hedging In: Journal of Financial Markets.
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article3
2000Expectations and learning in Iowa In: Journal of Banking & Finance.
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article4
1996An optimal IPO mechanism In: IDEI Working Papers.
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paper53
2012Using Neural Data to Test a Theory of Investor Behavior: An Application to Realization Utility In: NBER Working Papers.
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paper5
2013Lucas In The Laboratory In: NBER Working Papers.
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paper7
1999Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn? In: Review of Financial Studies.
[Citation analysis]
article238
1991Market Microstructure Effects of Government Intervention in the Foreign Exchange Market. In: Review of Financial Studies.
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article47
2000LEARNING-INDUCED SECURITIES PRICE VOLATILITY In: Computing in Economics and Finance 2000.
[Citation analysis]
paper5
2001Ipo Post-Issue Markets: Questionable Predilections But Diligent Learners? In: The Review of Economics and Statistics.
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article4

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