Eric Capen Engstrom : Citation Profile

Federal Reserve Board (Board of Governors of the Federal Reserve System)

8

H index

8

i10 index

532

Citations

RESEARCH PRODUCTION:

4

Articles

17

Papers

RESEARCH ACTIVITY:

   18 years (2004 - 2022). See details.
   Cites by year: 29
   Journals where Eric Capen Engstrom has often published
   Relations with other researchers
   Recent citing documents: 20.    Total self citations: 11 (2.03 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pen96
   Updated: 2025-03-15    RAS profile: 2023-02-24    
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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 Eric Capen Engstrom.

Is cited by:

Bekaert, Geert (43)

Hoerova, Marie (14)

Van Nieuwerburgh, Stijn (11)

Bollerslev, Tim (11)

Lustig, Hanno (10)

Campbell, John (8)

Viceira, Luis (8)

Londono, Juan M. (8)

Zhou, Hao (7)

Wachter, Jessica (7)

Inghelbrecht, Koen (7)

Cites to:

Campbell, John (24)

Bekaert, Geert (24)

Abel, Andrew (16)

Cochrane, John (12)

Ang, Andrew (9)

Bollerslev, Tim (6)

Chernov, Mikhail (5)

Wei, Min (5)

Perez Quiros, Gabriel (5)

Tauchen, George (5)

Bansal, Ravi (4)

Main data

Production by document typearticlepaper2004200520062007200820092010201120122013201420152016201720182019202020212022052.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published20042005200620072008200920102011201220132014201520162017201820192020202120220102030Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received2005200620072008200920102011201220132014201520162017201820192020202120222023202420250255075Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year20042005200620072008200920102011201220132014201520162017201820192020202120220100200300Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 8Most cited documents123456789100100200Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025030510h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Eric Capen Engstrom has published?

Working Papers Series with more than one paper published# docs
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)5
NBER Working Papers / National Bureau of Economic Research, Inc4
CEPR Discussion Papers / C.E.P.R. Discussion Papers4
FEDS Notes / Board of Governors of the Federal Reserve System (U.S.)4

Recent works citing Eric Capen Engstrom (2025 and 2024)

Year  ↓Title of citing document  ↓
2024A look back at 25 years of the ECB SPF. (2024). Allayioti, Anastasia ; Healy, Peter ; Botelho, Vasco ; Meyler, Aidan ; Minasian, Ryan ; Bates, Colm ; Arioli, Rodolfo ; Fonseca, Lus ; Fagandini, Bruno ; Zahrt, Octavia. In: Occasional Paper Series. RePEc:ecb:ecbops:2024364.

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2025Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model. (2025). Renne, Jean-Paul ; Lemke, Wolfgang ; Bletzinger, Tilman. In: Working Paper Series. RePEc:ecb:ecbwps:20253012.

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2024Risks and risk premia in the US Treasury market. (2024). Sarno, Lucio ; Zinna, Gabriele ; Li, Junye. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s016518892300194x.

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2024Financial conditions, macroeconomic uncertainty, and macroeconomic tail risks. (2024). Ma, Jun ; Luo, Sui ; Liao, Wenting ; Huang, Yu-Fan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000630.

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2024Copper-to-gold ratio as a leading indicator for the 10-Year Treasury yield. (2024). Parnes, Dror. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001390.

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2024Locally robust inference for non-Gaussian linear simultaneous equations models. (2024). Mesters, Geert ; Lee, Adam. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407623003639.

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2024Multifactor conditional equity premium model: Evidence from Chinas stock market. (2024). Shi, Yongdong ; Guo, Hui ; Cheng, Hang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000372.

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2024Vulnerable funding in the global economy. (2024). Uribe, Jorge ; Chuliá, Helena ; Garrn, Ignacio. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:169:y:2024:i:c:s0378426624002280.

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2024Prices and returns: Role of inflation. (2024). Sun, Yulong. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:147:y:2024:i:c:s0261560624001360.

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2024Why do rational investors like variance at the peak of a crisis? A learning-based explanation. (2024). Seo, Sang Byung ; Kilic, Mete ; Ghaderi, Mohammad. In: Journal of Monetary Economics. RePEc:eee:moneco:v:142:y:2024:i:c:s0304393223001009.

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2024Life-cycle risk-taking with personal disaster risk. (2024). Bagliano, Fabio ; Fugazza, Carolina ; Nicodano, Giovanna. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:378-396.

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2024COVID-19 and US females’ portfolio decisions. (2024). Apergis, Nicholas. In: International Review of Economics & Finance. RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004830.

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2024Recession fears and stock markets: An application of directional wavelet coherence and a machine learning-based economic agent-determined Google fear index. (2024). Brzeszczyski, Janusz ; Obojska, Lidia ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pa:s0275531924002411.

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2024The Impact of Inflation on the U.S. Stock Market after the COVID-19 Pandemic. (2024). Thorbecke, Willem. In: Discussion papers. RePEc:eti:dpaper:24087.

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2025The Impact of Inflation on the U.S. Stock Market After the COVID-19 Pandemic. (2025). Thorbecke, Willem. In: IJFS. RePEc:gam:jijfss:v:13:y:2025:i:1:p:9-:d:1565900.

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2024High-Frequency Tail Risk Premium and Stock Return Predictability. (2024). Orlowski, Piotr ; Garcia, Ren ; Freire, Gustavo ; Ardison, Kim ; Almeida, Caio. In: Post-Print. RePEc:hal:journl:hal-04927211.

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Works by Eric Capen Engstrom:

Year  ↓Title  ↓Type  ↓Cited  ↓
2004Stock and Bond Returns with Moody Investors In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper90
2006Stock and Bond Returns with Moody Investors.(2006) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 90		paper
2010Stock and bond returns with Moody Investors.(2010) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 90		article
2006Stock and Bond Returns with Moody Investors.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 90		paper
2006Risk, Uncertainty and Asset Prices In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper188
2009Risk, uncertainty, and asset prices.(2009) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 188		article
2005Risk, uncertainty, and asset prices.(2005) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 188		paper
2006Risk, Uncertainty and Asset Prices.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 188		paper
2010Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper39
2009Asset Return Dynamics under Bad Environment Good Environment Fundamentals.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		paper
2010Inflation and the stock market: Understanding the Fed Model In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article73
2009Inflation and the stock market: Understanding the “Fed Model”.(2009) In: Proceedings.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 73		article
2009Inflation and the Stock Market:Understanding the Fed Model.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 73		paper
2015Asset Return Dynamics under Habits and Bad-Environment Good-Environment Fundamentals In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper75
2017Macro Risks and the Term Structure of Interest Rates In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper26
2018The Near-Term Forward Yield Spread as a Leading Indicator : A Less Distorted Mirror In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper6
2020Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper18
2014Forecasting Stock Market Crashes is Hard--Especially Future Ones: Can Option Prices Help? In: FEDS Notes.
[Full Text][Citation analysis]		paper1
2016Has the Inflation Risk Premium Fallen? Is it Now Negative? In: FEDS Notes.
[Full Text][Citation analysis]		paper15
2018(Dont Fear) The Yield Curve In: FEDS Notes.
[Full Text][Citation analysis]		paper1
2022(Dont Fear) The Yield Curve, Reprise In: FEDS Notes.
[Full Text][Citation analysis]		paper0

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