John H. Cochrane : Citation Profile

Are you John H. Cochrane?

Stanford University (82% share)
National Bureau of Economic Research (NBER) (9% share)
Stanford University (2% share)
Cato Institute (3% share)

37

H index

53

i10 index

10872

Citations

RESEARCH PRODUCTION:

51

Articles

69

Papers

1

Books

8

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   34 years (1988 - 2022). See details.
   Cites by year: 319
   Journals where John H. Cochrane has often published
   Relations with other researchers
   Recent citing documents: 835.    Total self citations: 52 (0.48 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pco57
   Updated: 2023-05-27    RAS profile: 2021-08-27    
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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 John H. Cochrane.

Is cited by:

Zhang, Lu (66)

Lettau, Martin (64)

Bekaert, Geert (60)

Lustig, Hanno (49)

Van Nieuwerburgh, Stijn (48)

Wachter, Jessica (47)

Schrimpf, Andreas (44)

Campbell, John (43)

Swanson, Eric (42)

Leeper, Eric (40)

Nagel, Stefan (40)

Cites to:

Campbell, John (82)

Shiller, Robert (42)

Fama, Eugene (33)

Hansen, Lars (32)

French, Kenneth (32)

Woodford, Michael (29)

Piazzesi, Monika (24)

Lucas, Robert (24)

Sargent, Thomas (18)

Eichenbaum, Martin (18)

Obstfeld, Maurice (16)

Main data

Where John H. Cochrane has published?

Journals with more than one article published# docs
Journal of Political Economy9
Journal of Monetary Economics5
Journal of Finance4
Journal of Economic Dynamics and Control3
American Economic Review3
Review of Financial Studies3
Economic Perspectives3
European Economic Review2
Review of Economic Dynamics2
Review2
Journal of Applied Corporate Finance2
Foundations and Trends(R) in Finance2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc49
University of California at Los Angeles, Anderson Graduate School of Management / Anderson Graduate School of Management, UCLA3
Scholarly Articles / Harvard University Department of Economics2
Economics Working Papers / Hoover Institution, Stanford University2

Recent works citing John H. Cochrane (2022 and 2021)

YearTitle of citing document
2021The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11.

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2022A Tutorial on the Generalized Method of Moments (GMM) in Finance. (2022). Astorino, Paula ; de Genaro, Alan. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:26:y:2022:i:sup2022:1527.

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2022Asset Price Booms and Macroeconomic Policy: A Risk-Shifting Approach. (2022). Gale, Douglas ; Barlevy, Gadi ; Allen, Franklin. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:14:y:2022:i:2:p:243-80.

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2021Implied Dividend Volatility and Expected Growth. (2021). Martin, Ian ; Gormsen, Niels J. In: AEA Papers and Proceedings. RePEc:aea:apandp:v:111:y:2021:p:361-65.

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2021Trend, Cycles and Chance. (2021). DIEBOLT, Claude. In: Working Papers. RePEc:afc:wpaper:05-21.

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2021.

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2022The risk premium in New Keynesian DSGE models: the cost of inflation channel. (2022). Wouters, Rafael ; Tretiakov, Pavel ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022008.

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2021How Optimistic and Pessimistic Narratives about COVID-19 Impact Economic Behavior. (2021). Rockenbach, Bettina ; Muller, Lara Marie ; Harrs, Soren. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:091.

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2021.

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2022Is There a Stable Relationship between Unemployment and Future Inflation?. (2022). Kulish, Mariano ; Jones, Callum ; Nicolini, Juan Pablo ; Fitzgerald, Terry. In: Working Papers. RePEc:aoz:wpaper:159.

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2023Consumption smoothing in the working-class households of interwar Japan. (2019). Ogasawara, Kota. In: Papers. RePEc:arx:papers:1807.05737.

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2021Stability of Equilibrium Asset Pricing Models: A Necessary and Sufficient Condition. (2019). Borovička, Jaroslav ; Stachurski, John ; Borovicka, Jaroslav. In: Papers. RePEc:arx:papers:1910.00778.

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2022Robustness of Delta hedging in a jump-diffusion model. (2019). Stadje, Mitja ; Bosserhoff, Frank. In: Papers. RePEc:arx:papers:1910.08946.

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2022High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing. (2019). Chen, Mingli ; Madrid, Oscar Hernan ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1912.02151.

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2021Robust Multiple Stopping -- A Pathwise Duality Approach. (2020). Laeven, Roger ; Stadje, Mitja ; John , . In: Papers. RePEc:arx:papers:2006.01802.

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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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2022Permutation-based tests for discontinuities in event studies. (2020). Li, Jia ; Bugni, Federico A. In: Papers. RePEc:arx:papers:2007.09837.

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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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2022Market-consistent pricing with acceptable risk. (2020). Munari, Cosimo ; Arduca, Maria. In: Papers. RePEc:arx:papers:2012.08351.

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2021The Great Equalizer: Medicare and the Geography of Consumer Financial Strain. (2021). Wallace, Jacob ; Goldsmith-Pinkham, Paul ; Pinkovskiy, Maxim. In: Papers. RePEc:arx:papers:2102.02142.

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2023A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2021Three Remarks On Asset Pricing. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2105.13903.

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2021Feasible Implied Correlation Matrices from Factor Structures. (2021). Schadner, Wolfgang. In: Papers. RePEc:arx:papers:2107.00427.

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2021Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455.

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2022Feasible Weighted Projected Principal Component Analysis for Factor Models with an Application to Bond Risk Premia. (2021). Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2108.10250.

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2022Deep Signature FBSDE Algorithm. (2021). Zhang, Zhaoyu ; Luo, Man ; Feng, QI. In: Papers. RePEc:arx:papers:2108.10504.

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2021Bilinear Input Normalization for Neural Networks in Financial Forecasting. (2021). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Tran, Dat Thanh. In: Papers. RePEc:arx:papers:2109.00983.

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2021Money Creation and Banking: Theory and Evidence. (2021). Lee, Heon. In: Papers. RePEc:arx:papers:2109.15096.

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2022Solution to the Equity Premium Puzzle Using the Sufficiency Factor of the Model. (2021). Aras, Atilla. In: Papers. RePEc:arx:papers:2110.14405.

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2021The Evolving Causal Structure of Equity Risk Factors. (2021). BONCHI, FRANCESCO ; Bajardi, Paolo ; D'Acunto, Gabriele ; de Francisci, Gianmarco. In: Papers. RePEc:arx:papers:2111.05072.

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2021Long Run Law and Entropy. (2021). Tian, Weidong. In: Papers. RePEc:arx:papers:2111.06238.

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2021Risk measures beyond frictionless markets. (2021). Munari, Cosimo ; Arduca, Maria. In: Papers. RePEc:arx:papers:2111.08294.

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2022Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308.

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2022Semiparametric Conditional Factor Models: Estimation and Inference. (2021). Wang, Xiaoliang ; Roussanov, Nikolai ; Chen, Qihui. In: Papers. RePEc:arx:papers:2112.07121.

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2022Sensitivity to large losses and $\rho$-arbitrage for convex risk measures. (2022). Herdegen, Martin ; Khan, Nazem. In: Papers. RePEc:arx:papers:2202.07610.

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2022Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2022Do t-Statistic Hurdles Need to be Raised. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2204.10275.

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2023Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2022). Wang, FA ; Urga, Giovanni. In: Papers. RePEc:arx:papers:2205.12126.

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2022A mean field game approach to equilibrium consumption under external habit formation. (2022). Yu, Xiang ; Wang, Shihua ; Bo, Lijun. In: Papers. RePEc:arx:papers:2206.13341.

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2022Misspecification and Weak Identification in Asset Pricing. (2022). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2206.13600.

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2022A penalized two-pass regression to predict stock returns with time-varying risk premia. (2022). Scaillet, Olivier ; Guerrier, St'Ephane ; Bakalli, Gaetan. In: Papers. RePEc:arx:papers:2208.00972.

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2022Estimation of growth in fund models. (2022). Ruf, Johannes ; Koo, Hyeng Keun ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:2208.02573.

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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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2022A Unified Framework for Estimation of High-dimensional Conditional Factor Models. (2022). Chen, Qihui. In: Papers. RePEc:arx:papers:2209.00391.

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2022TechRank. (2022). Mermoud, Alain ; Maillart, Thomas ; Tsesmelis, Michael ; Gillard, S'Ebastien ; Lacube, William ; David, Dimitri Percia ; Mar, Loic ; Mezzetti, Anita. In: Papers. RePEc:arx:papers:2210.07824.

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2022Relative growth rate optimization under behavioral criterion. (2022). Xu, Zuo Quan ; Wei, Pengyu ; Peng, Jing. In: Papers. RePEc:arx:papers:2211.05402.

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2023Inflation targeting strategy and its credibility. (2023). Posada, Carlos Esteban. In: Papers. RePEc:arx:papers:2301.11207.

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2023Inference in Non-stationary High-Dimensional VARs. (2023). Smeekes, Stephan ; Margaritella, Luca. In: Papers. RePEc:arx:papers:2302.01434.

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2023The Elasticity of Quantitative Investment. (2023). Davis, Carter. In: Papers. RePEc:arx:papers:2303.14533.

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2022International Risk Sharing for Food Staples. (2022). Bradford, Scott ; Ramaswami, Bharat ; Negi, Digvijay Singh . In: Working Papers. RePEc:ash:wpaper:74.

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2021Financial, Absorption and Business Cycles in Selected African Countries. (2021). Yah, Neba Cletus ; Awoutcha, Romuald Fernand. In: International Journal of Social and Administrative Sciences. RePEc:asi:ijosaa:2021:p:14-25.

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2021.

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2021The ECB and the Cost of Independence. Unearthing a New Doom-Loop in the European Monetary Union. (2021). Marozzi, Armando. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20152.

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2021The ECB and the Cost of Independence. Unearthing a New Doom-Loop in the European Monetary Union. (2021). Marozzi, Armando. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp21152.

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2022Effects of Cross Country Fiscal Interdependence on Multipliers within a Monetary Union.. (2022). Vanessa, Kunzmann. In: Working Papers. RePEc:bav:wpaper:216_kunzmann.

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2023The 2021–22 Surge in Inflation. (2023). Uzeda, Luis ; MacGee, James (Jim) ; Kryvtsov, Oleksiy. In: Discussion Papers. RePEc:bca:bocadp:23-3.

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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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2021Monetary Policy, Trends in Real Interest Rates and Depressed Demand. (2021). Meh, Cesaire ; Beaudry, Paul. In: Staff Working Papers. RePEc:bca:bocawp:21-27.

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2021Tariffs and the Exchange Rate: Evidence from Twitter. (2021). Ruge-Murcia, Francisco ; Matveev, Dmitry. In: Staff Working Papers. RePEc:bca:bocawp:21-36.

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2021(Optimal) Monetary Policy with and without Debt. (2021). Vogel, Lukas ; Priftis, Romanos ; Oikonomou, Rigas ; Chafweh, Boris. In: Staff Working Papers. RePEc:bca:bocawp:21-5.

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2021Discount Rates, Debt Maturity, and the Fiscal Theory. (2021). Morales, Gonzalo ; Kung, Howard ; Kind, Thilo ; Corhay, Alexandre. In: Staff Working Papers. RePEc:bca:bocawp:21-58.

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2022Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification. (2022). Ottonello, Pablo ; Song, Wenting. In: Staff Working Papers. RePEc:bca:bocawp:22-24.

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2022House Price Responses to Monetary Policy Surprises: Evidence from the U.S. Listings Data. (2022). Kudlyak, Marianna ; Kryvtsov, Oleksiy ; Gorea, Denis. In: Staff Working Papers. RePEc:bca:bocawp:22-39.

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2022Windfall Income Shocks with Finite Planning Horizons. (2022). Boutros, Michael. In: Staff Working Papers. RePEc:bca:bocawp:22-40.

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2021Does information about current inflation affect expectations and decisions? Another look at Italian firms.. (2021). Rosolia, Alfonso. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1353_21.

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2022The role of central bank communication in inflation-targeting Eastern European emerging economies. (2022). Coco, Alberto ; Ciarlone, Alessio ; Astuti, Valerio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1381_22.

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2022Real-time ineuqalities and policies during the pandemic in the US. (2022). Giglioli, Simona ; Fantozzi, Daniela ; Corrado, Luisa. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1396_22.

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2021ARE FISCAL DEFICITS INFLATIONARY IN NIGERIA? NEW EVIDENCE FROM BOUNDS TESTING TO COINTEGRATION WITH STRUCTURAL BREAKS. (2021). Adetokunbo, Abiodun ; Fajobi, Ayinke ; Fasanya, Ismail O. In: Economic Annals. RePEc:beo:journl:v:66:y:2021:i:228:p:123-148.

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2021MUTUAL FUND PERFORMANCE: SOME RECENT EVIDENCE FROM EUROPEAN EQUITY FUNDS. (2021). Boovi, Milo. In: Economic Annals. RePEc:beo:journl:v:66:y:2021:i:230:p:7-34.

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2021REVISITING THE DEBT–GROWTH NEXUS: EVIDENCE FROM INDIA. (2021). Muniyoor, Krishna ; Saini, Pratibha. In: Economic Annals. RePEc:beo:journl:v:66:y:2021:i:231:p:151-172.

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2021No country is an island. International cooperation and climate change.. (2021). Pagliari, Maria Sole ; Massimo, Ferrari. In: Working papers. RePEc:bfr:banfra:815.

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2021Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective. (2021). Sahuc, Jean-Guillaume ; Mouabbi, Sarah ; Renne, Jean-Paul. In: Working papers. RePEc:bfr:banfra:844.

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2021The Central Bank, the Treasury, or the Market: Which One Determines the Price Level?. (2021). Mengus, Eric ; Plantin, Guillaume ; Barthelemy, Jean. In: Working papers. RePEc:bfr:banfra:855.

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2022The Conditional Path of Central Bank Asset Purchases. (2022). Hubert, Paul ; Creel, Jerome ; Bozou, Caroline ; Blot, Christophe. In: Working papers. RePEc:bfr:banfra:885.

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2021The Commitment Benefit of Consols in Government Debt Management. (2021). Debortoli, Davide ; Yared, Pierre ; Nunes, Ricardo. In: Working Papers. RePEc:bge:wpaper:1253.

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2021The Commitment Benefit of Consols in Government Debt Management. (2021). Debortoli, Davide ; Yared, Pierre ; Nunes, Ricardo. In: Working Papers. RePEc:bge:wpaper:1254.

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2021Evaluating Forecast Performance with State Dependence. (2021). Sekhposyan, Tatevik ; Rossi, Barbara ; Odendahl, Florens. In: Working Papers. RePEc:bge:wpaper:1295.

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2022Q-Monetary Transmission. (2022). Lagos, Ricardo ; Jeenas, Priit. In: Working Papers. RePEc:bge:wpaper:1348.

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2021Testing external habits in an asset pricing model. (2021). Goenka, Aditya ; D'Addona, Stefano ; Boschi, Melisso . In: Discussion Papers. RePEc:bir:birmec:21-11.

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2021Monetary-Fiscal Crosswinds in the European Monetary Union. (2021). Ricco, Giovanni ; Reichlin, Lucrezia ; Tarbe, Matthieu. In: BIS Working Papers. RePEc:bis:biswps:940.

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2021Fiscal and monetary policy interactions in a low interest rate world. (2021). Orphanides, Athanasios ; Mojon, Benoit ; Lombardi, Marco ; Hofmann, Boris. In: BIS Working Papers. RePEc:bis:biswps:954.

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2021Joined at the hip: monetary and fiscal policy in a liquidity-dependent world. (2021). Calvo, Guillermo ; Velasco, Andres. In: BIS Working Papers. RePEc:bis:biswps:967.

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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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2022Interpolation and Shock Persistence of Prewar U.S. Macroeconomic Time Series: A Reconsideration. (2022). Levy, Daniel ; Dezhbakhsh, Hashem. In: Working Papers. RePEc:biu:wpaper:2022-02.

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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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2021The role of public debt on economic growth with capital loss. (2021). Tran, Nhat Thien. In: Australian Economic Papers. RePEc:bla:ausecp:v:60:y:2021:i:2:p:308-327.

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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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2022Firm?specific forecast errors and asymmetric investment propensity. (2022). Tonzer, Lena ; Berner, Julian ; Buchholz, Manuel. In: Economic Inquiry. RePEc:bla:ecinqu:v:60:y:2022:i:2:p:764-793.

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2021Life with habit and expectation: A new explanation of equity premium puzzle. (2021). Cover, James ; Zhuang, Boyi. In: Economic Notes. RePEc:bla:ecnote:v:50:y:2021:i:1:n:e12174.

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2021Recovering the market risk premium from higher?order moment risks. (2021). Rompolis, Leonidas ; Chalamandaris, George. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:147-186.

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2021Shedding light on a dark matter: Jump diffusion and option?implied investor preferences. (2021). Perrakis, Stylianos ; Oancea, Michael ; Ghanbari, Hamed. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:2:p:244-286.

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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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2021Are the risk attitudes of professional investors affected by personal catastrophic experiences?. (2021). Kecskes, Ambrus ; Bhagwat, Vineet ; Bernile, Gennaro ; Nguyen, Phuong Anh. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:2:p:455-486.

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2021The expected investment growth premium. (2021). Yu, Jianfeng ; Wang, Huijun ; Li, Jun. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:4:p:905-933.

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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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2022Shrinking return forecasts. (2022). Wang, Yudong ; Pan, Zhiyuan ; Liu, LI. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:641-661.

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2021Asset pricing factors in Islamic equity returns. (2021). Shamsuddin, Abul ; Safiullah, MD. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:523-554.

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2021Variants of consumption?wealth ratios and predictability of U.S. government bond risk premia. (2021). GUPTA, RANGAN ; Wohar, Mark E ; Epni, Ouzhan. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:661-674.

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2021Industry bubbles and the cross?sectional variation of expected consumption growth. (2021). Alonsoconde, Ana Belen ; Suarez, Javier Rojo ; Rojosuarez, Javier ; Lagobalsalobre, Ruben. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:1047-1055.

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2021Volatility and returns: Evidence from China†. (2021). 邓, 彬斌 ; Yan, Sibo ; Qiao, Xiao ; Chi, Yeguang ; Deng, Binbin . In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:4:p:1441-1463.

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

John H. Cochrane has edited the books:

YearTitleTypeCited

Works by John H. Cochrane:

YearTitleTypeCited
1989The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives. In: American Economic Review.
[Full Text][Citation analysis]		article129
1988The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives.(1988) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 129		paper
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