18
H index
19
i10 index
2815
Citations
Swiss Finance Institute (50% share) | 18 H index 19 i10 index 2815 Citations RESEARCH PRODUCTION: 23 Articles 21 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Amit Goyal. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Review of Financial Studies | 5 |
Journal of Finance | 5 |
Journal of Financial and Quantitative Analysis | 4 |
Financial Management | 2 |
Journal of Financial Economics | 2 |
Working Papers Series with more than one paper published | # docs |
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Swiss Finance Institute Research Paper Series / Swiss Finance Institute | 13 |
Yale School of Management Working Papers / Yale School of Management | 3 |
NBER Working Papers / National Bureau of Economic Research, Inc | 3 |
Year | Title of citing document | |
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2021 | Multifactorial analysis of the price formation in the terms of a risk-free rate. (2021). Radu, Iulian ; Anghel, Mdlina-Gabriela ; Anghelache, Constantin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(628):y:2021:i:3(628):p:33-44. Full description at Econpapers || Download paper | |
2023 | Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542. Full description at Econpapers || Download paper | |
2022 | News Co-Occurrence, Attention Spillover and Return Predictability. (2018). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715. Full description at Econpapers || Download paper | |
2021 | On LASSO for Predictive Regression. (2018). Lee, Ji Hyung ; Gao, Zhan ; Shi, Zhentao ; Hyung, JI. In: Papers. RePEc:arx:papers:1810.03140. Full description at Econpapers || Download paper | |
2022 | A Note on Bayesian Long-Term S&P 500 Factor Investing. (2019). Sarantsev, Andrey ; Reshad, Akram ; Grove, Taran. In: Papers. RePEc:arx:papers:1905.04603. Full description at Econpapers || Download paper | |
2021 | An approximate solution for the power utility optimization under predictable returns. (2019). Ivasiuk, Dmytro. In: Papers. RePEc:arx:papers:1911.06552. Full description at Econpapers || Download paper | |
2021 | Asymptotic Marginal Propensity to Consume. (2020). Toda, Alexis Akira ; Ma, Qingyin. In: Papers. RePEc:arx:papers:2002.09108. Full description at Econpapers || Download paper | |
2021 | Machine Learning Portfolio Allocation. (2020). Ruppert, David ; Pinelis, Michael. In: Papers. RePEc:arx:papers:2003.00656. Full description at Econpapers || Download paper | |
2021 | A Theory of the Saving Rate of the Rich. (2020). Toda, Alexis Akira ; Ma, Qingyin. In: Papers. RePEc:arx:papers:2005.02379. Full description at Econpapers || Download paper | |
2021 | Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). BarunÃÂk, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394. Full description at Econpapers || Download paper | |
2022 | Forecasting financial markets with semantic network analysis in the COVID-19 crisis. (2020). Violante, Francesco ; Ravazzolo, F ; Grassi, S ; Colladon, Fronzetti A. In: Papers. RePEc:arx:papers:2009.04975. Full description at Econpapers || Download paper | |
2021 | Price, Volatility and the Second-Order Economic Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2009.14278. Full description at Econpapers || Download paper | |
2022 | Predicting Recession Probabilities Using Term Spreads: New Evidence from a Machine Learning Approach. (2021). Choi, Jaehyuk ; Sohn, Sungbin ; Ge, Desheng. In: Papers. RePEc:arx:papers:2101.09394. Full description at Econpapers || Download paper | |
2021 | Uncertainty Network Risk and Currency Returns. (2021). BarunÃk, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738. Full description at Econpapers || Download paper | |
2022 | Predictive Quantile Regression with Mixed Roots and Increasing Dimensions. (2021). Shin, Youngki ; Lee, Ji Hyung ; Fan, Rui. In: Papers. RePEc:arx:papers:2101.11568. Full description at Econpapers || Download paper | |
2021 | Time-varying properties of asymmetric volatility and multifractality in Bitcoin. (2021). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2102.07425. Full description at Econpapers || Download paper | |
2022 | A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208. Full description at Econpapers || Download paper | |
2021 | Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455. Full description at Econpapers || Download paper | |
2021 | Estimating high-dimensional Markov-switching VARs. (2021). Maung, Kenwin. In: Papers. RePEc:arx:papers:2107.12552. Full description at Econpapers || Download paper | |
2021 | Closed-form portfolio optimization under GARCH models. (2021). Zagst, Rudi ; Gollart, Maximilian ; Escobar-Anel, Marcos. In: Papers. RePEc:arx:papers:2109.00433. Full description at Econpapers || Download paper | |
2021 | Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility. (2021). Jos'e Javier N'u~nez-Vel'azquez, ; Alonso-Gonz, Pablo J ; Ramos, Eduardo. In: Papers. RePEc:arx:papers:2109.12621. Full description at Econpapers || Download paper | |
2021 | A New Multivariate Predictive Model for Stock Returns. (2021). Xie, Jianying. In: Papers. RePEc:arx:papers:2110.01873. Full description at Econpapers || Download paper | |
2021 | Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice. (2021). Peng, Bin ; Gao, Jiti ; Dong, Chaohua ; Tu, Yundong. In: Papers. RePEc:arx:papers:2111.02023. Full description at Econpapers || Download paper | |
2021 | Decrease of capital guarantees in life insurance products: can reinsurance stop it?. (2021). Kschonnek, Michel ; Havrylenko, Yevhen ; Escobar-Anel, Marcos ; Zagst, Rudi. In: Papers. RePEc:arx:papers:2111.03603. Full description at Econpapers || Download paper | |
2021 | Modeling and Forecasting Intraday Market Returns: a Machine Learning Approach. (2021). Medeiros, Marcelo C ; Ferreira, Iuri H. In: Papers. RePEc:arx:papers:2112.15108. Full description at Econpapers || Download paper | |
2022 | Optimal market completion through financial derivatives with applications to volatility risk. (2022). Davison, Matt ; Zhu, Yichen ; Escobar-Anel, Marcos. In: Papers. RePEc:arx:papers:2202.08148. Full description at Econpapers || Download paper | |
2022 | Sparse multivariate modeling for stock returns predictability. (2022). Bernardi, Mauro ; Bianco, Nicolas ; Bianchi, Daniele. In: Papers. RePEc:arx:papers:2202.12644. Full description at Econpapers || Download paper | |
2022 | Characteristics-driven returns in equilibrium. (2022). Coqueret, Guillaume. In: Papers. RePEc:arx:papers:2203.07865. Full description at Econpapers || Download paper | |
2022 | Most claimed statistical findings in cross-sectional return predictability are likely true. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2206.15365. Full description at Econpapers || Download paper | |
2022 | Estimation of growth in fund models. (2022). Ruf, Johannes ; Koo, Hyeng Keun ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:2208.02573. Full description at Econpapers || Download paper | |
2022 | Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974. Full description at Econpapers || Download paper | |
2022 | 150 Years of Return Predictability Around the World: A Holistic View. (2022). Bai, Yang. In: Papers. RePEc:arx:papers:2209.00121. Full description at Econpapers || Download paper | |
2022 | Trade Co-occurrence, Trade Flow Decomposition, and Conditional Order Imbalance in Equity Markets. (2022). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2209.10334. Full description at Econpapers || Download paper | |
2022 | Asset Pricing and Deep Learning. (2022). Zhang, Chen. In: Papers. RePEc:arx:papers:2209.12014. Full description at Econpapers || Download paper | |
2022 | Publication Bias in Asset Pricing Research. (2022). Zimmermann, Tom ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2209.13623. Full description at Econpapers || Download paper | |
2022 | DeFi vs TradFi: Valuation Using Multiples and Discounted Cash Flow. (2022). Lommers, Kristof ; Xu, Jiahua. In: Papers. RePEc:arx:papers:2210.16846. Full description at Econpapers || Download paper | |
2022 | Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752. Full description at Econpapers || Download paper | |
2022 | On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052. Full description at Econpapers || Download paper | |
2023 | Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models. (2023). GAO, Jiti ; Peng, Bin ; Tu, Yundong ; Dong, Chaohua. In: Papers. RePEc:arx:papers:2301.06631. Full description at Econpapers || Download paper | |
2023 | PRUDEX-Compass: Towards Systematic Evaluation of Reinforcement Learning in Financial Markets. (2023). An, BO ; Wang, Xinrun ; Qin, Molei ; Sun, Shuo. In: Papers. RePEc:arx:papers:2302.00586. Full description at Econpapers || Download paper | |
2023 | Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates. (2023). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: Papers. RePEc:arx:papers:2302.02866. Full description at Econpapers || Download paper | |
2021 | Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20154. Full description at Econpapers || Download paper | |
2021 | Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp21154. Full description at Econpapers || Download paper | |
2021 | Stock Price Dynamics Surrounding Company-Specific Shocks. (2021). Kudryavtsev, Andrey. In: Economic Studies journal. RePEc:bas:econst:y:2021:i:7:p:32-45. Full description at Econpapers || Download paper | |
2021 | Machine Learning and Oil Price Point and Density Forecasting. (2021). Gaglianone, Wagner ; Lin, Yihao ; Issler, Joo Victor ; Teixeira, Osmani ; Cavalcanti, Pedro ; Bonnet, Alexandre. In: Working Papers Series. RePEc:bcb:wpaper:544. Full description at Econpapers || Download paper | |
2022 | Macroeconomic Forecasting Using Filtered Signals from a Stock Market Cross Section. (2022). Stalla-Bourdillon, Arthur ; Chinn, Menzie ; Chatelais, Nicolas. In: Working papers. RePEc:bfr:banfra:903. Full description at Econpapers || Download paper | |
2021 | Evaluating Forecast Performance with State Dependence. (2021). Sekhposyan, Tatevik ; Rossi, Barbara ; Odendahl, Florens. In: Working Papers. RePEc:bge:wpaper:1295. Full description at Econpapers || Download paper | |
2022 | Forecasting Inflation: The Use of Dynamic Factor Analysis and Nonlinear Combinations. (2022). Wang, Yongli ; Tavlas, George S ; Hall, Stephen G. In: Discussion Papers. RePEc:bir:birmec:22-12. Full description at Econpapers || Download paper | |
2022 | Monetary policy expectation errors. (2022). Schrimpf, Andreas ; Schmeling, Maik. In: BIS Working Papers. RePEc:bis:biswps:996. Full description at Econpapers || Download paper | |
2022 | Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity. (2022). Wagner, Niklas ; Kinateder, Harald ; Batten, Jonathan A. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:3:p:567-588. Full description at Econpapers || Download paper | |
2021 | Is 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. Full description at Econpapers || Download paper | |
2021 | Do outliers matter? The predictive ability of average skewness on market returns using robust skewness measures. (2021). Yan, WU ; Shi, Jing ; Liao, Yin ; Han, Jianlei ; Bo, Xu Chong. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:3977-4006. Full description at Econpapers || Download paper | |
2021 | Implied volatility smirk in the Australian dollar market. (2021). Ruan, Xinfeng ; Zhang, Jin E ; Gehricke, Sebastian A. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4573-4599. Full description at Econpapers || Download paper | |
2021 | Earnings momentum meets short?term return reversal. (2021). Tu, Jun ; Sun, Licheng ; Zhu, Zhaobo. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:2379-2405. Full description at Econpapers || Download paper | |
2022 | Global equity fund performance adjusted for equity and currency factors. (2022). Warren, Geoffrey J ; Schmidt, Camille H ; Harman, Graham ; Gallagher, David R. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1535-1565. Full description at Econpapers || Download paper | |
2021 | Semiparametric partial common principal component analysis for covariance matrices. (2021). Zhao, YI ; Luo, XI ; Wang, Bingkai ; Caffo, Brian. In: Biometrics. RePEc:bla:biomet:v:77:y:2021:i:4:p:1175-1186. Full description at Econpapers || Download paper | |
2022 | Stock 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. Full description at Econpapers || Download paper | |
2021 | Learning 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. Full description at Econpapers || Download paper | |
2021 | Relevance of the disposition effect on the options market: New evidence. (2021). Chou, Robin K ; Chiu, Hsinyu ; Chiang, Mihsiu. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:75-106. Full description at Econpapers || Download paper | |
2021 | Price anchors and short?term reversals. (2021). Stivers, Chris ; Sun, Licheng ; Zhu, Zhaobo. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:2:p:425-454. Full description at Econpapers || Download paper | |
2021 | Are 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. Full description at Econpapers || Download paper | |
2021 | The impact of trading behavioral biases on market liquidity under different volatility levels: Evidence from the Chinese commodity futures market. (2021). Zheng, Kaixin ; Tse, Yiuman ; Liu, Qingfu. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:4:p:671-692. Full description at Econpapers || Download paper | |
2022 | Shrinking 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. Full description at Econpapers || Download paper | |
2022 | Global financial crisis versus COVID?19: Evidence from sentiment analysis. (2022). Abdoh, Hussein ; Maghyereh, Aktham. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:2:p:218-248. Full description at Econpapers || Download paper | |
2021 | Asymmetric Correlations in Predicting Portfolio Returns. (2021). Huang, Zhuo ; Zhang, Lijie ; Wang, Nianling ; Li, Yong. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:1:p:97-120. Full description at Econpapers || Download paper | |
2021 | Variants 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. Full description at Econpapers || Download paper | |
2022 | Can technical indicators predict the Chinese equity risk premium?. (2022). Glabadanidis, Paskalis ; Sun, Mingwei. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:114-142. Full description at Econpapers || Download paper | |
2022 | Does the kitchen?sink model work forecasting the equity premium?. (2022). Yin, Anwen. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:223-247. Full description at Econpapers || Download paper | |
2021 | Independent director attention and the cost of equity capital. (2021). Xie, Hong ; Wang, Chong ; He, Henry ; Zhou, Jian. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:48:y:2021:i:7-8:p:1468-1493. Full description at Econpapers || Download paper | |
2021 | AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614. Full description at Econpapers || Download paper | |
2021 | Liquidity Supply in the Corporate Bond Market. (2021). Nozawa, Yoshio ; Goldberg, Jonathan. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:755-796. Full description at Econpapers || Download paper | |
2021 | Asset Managers: Institutional Performance and Factor Exposures. (2021). Morse, Adair ; Linnainmaa, Juhani T ; Gerakos, Joseph. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:4:p:2035-2075. Full description at Econpapers || Download paper | |
2021 | The Limits of p?Hacking: Some Thought Experiments. (2021). Chen, Andrew Y. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:5:p:2447-2480. Full description at Econpapers || Download paper | |
2021 | Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment. (2021). Martin, Ian ; Gao, Can. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:6:p:3211-3254. Full description at Econpapers || Download paper | |
2022 | Anomalies and the Expected Market Return. (2022). Rapach, David E ; Li, Yan ; Dong, XI ; Zhou, Guofu. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:1:p:639-681. Full description at Econpapers || Download paper | |
2022 | Late to Recessions: Stocks and the Business Cycle. (2022). Gomezcram, Roberto. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:923-966. Full description at Econpapers || Download paper | |
2022 | Luck versus Skill in the Cross Section of Mutual Fund Returns: Reexamining the Evidence. (2022). Liu, Yan ; Harvey, Campbell R. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1921-1966. Full description at Econpapers || Download paper | |
2021 | Which economic uncertainty measure matters for households portfolio decision?. (2021). Kim, Insik ; Jeon, Yoontae ; Lee, Kiryoung. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:2:p:343-369. Full description at Econpapers || Download paper | |
2021 | When it rains, it pours: Multifactor asset management in good and bad times. (2021). Szafarz, Ariane ; Briere, Marie. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:3:p:641-669. Full description at Econpapers || Download paper | |
2021 | Religious differences and households investment decisions. (2021). Han, Seung H ; Kim, Kyoung T. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:4:p:753-788. Full description at Econpapers || Download paper | |
2022 | Mutual fund performance and changes in factor exposure. (2022). Matallinsaez, Juan Carlos ; Juan Carlos Matallin Saez, ; de Mingolopez, Diego Victor ; Conlon, Thomas ; Bessler, Wolfgang. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:1:p:17-52. Full description at Econpapers || Download paper | |
2021 | Insurer risk and performance before, during, and after the 2008 financial crisis: The role of monitoring institutional ownership. (2021). Ren, Yayuan ; Ma, YuLuen . In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:2:p:351-380. Full description at Econpapers || Download paper | |
2022 | The risk protection and redistribution effects of long?term care co?payments. (2022). Wong, Albert ; Hussem, Arjen ; Wouterse, Bram. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:1:p:161-186. Full description at Econpapers || Download paper | |
2021 | Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions. (2021). Pitarakis, Jean-Yves ; Gonzalo, Jesus ; da Silva, Anibal Emiliano. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:3:p:713-741. Full description at Econpapers || Download paper | |
2022 | Return predictability between industries and the stock market in China. (2022). Zhang, Gaiyan ; Tse, Yiuman. In: Pacific Economic Review. RePEc:bla:pacecr:v:27:y:2022:i:2:p:194-220. Full description at Econpapers || Download paper | |
2022 | Revisiting the return?volatility relationship of exchange rates: New evidence from offshore RMB. (2022). Wu, Ximing ; Lin, Juan ; Chen, Yue. In: Pacific Economic Review. RePEc:bla:pacecr:v:27:y:2022:i:3:p:277-294. Full description at Econpapers || Download paper | |
2021 | Does CSR Reduce Idiosyncratic Risk? Roles of Operational Efficiency and AI Innovation. (2021). Sethi, Suresh ; Li, NA ; Ali, N. In: Production and Operations Management. RePEc:bla:popmgt:v:30:y:2021:i:7:p:2027-2045. Full description at Econpapers || Download paper | |
2021 | Yield curve momentum. (2021). Sihvonen, Markus. In: Research Discussion Papers. RePEc:bof:bofrdp:2021_015. Full description at Econpapers || Download paper | |
2022 | Forecasting with panel data: estimation uncertainty versus parameter heterogeneity. (2022). Timmermann, A ; Pick, A ; Pesaran, M H. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2219. Full description at Econpapers || Download paper | |
2021 | STATISTICAL-ECONOMETRIC METHODS FOR RISK DIVERSIFICATION. (2021). Iacob, Stefan Virgil ; Anghel, Madalina-Gabriela ; Madalina - Gabriela Anghel, ; Anghelache, Constantin. In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2021:v:5:p:157-163. Full description at Econpapers || Download paper | |
2021 | Uncertainty Network Risk and Currency Returns. (2021). Barunik, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp687. Full description at Econpapers || Download paper | |
2022 | Trading Volume and Liquidity Provision in Cryptocurrency Markets. (2022). Dickerson, Alexander ; Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp730. Full description at Econpapers || Download paper | |
2021 | Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8828. Full description at Econpapers || Download paper | |
2022 | Forecasting With Panel Data: Estimation Uncertainty Versus Parameter Heterogeneity. (2022). Timmermann, Allan ; Pick, Andreas ; Pesaran, Hashem M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9690. Full description at Econpapers || Download paper | |
2022 | Dynamics of Subjective Risk Premia. (2022). Xu, Zhengyang ; Nagel, Stefan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9693. Full description at Econpapers || Download paper | |
2021 | Does Sentiment Affect Stock Returns? A Meta-analysis Across Survey-based Measures. (2021). Gric, Zuzana ; Bajzik, Josef ; Badura, Ondrej. In: Working Papers. RePEc:cnb:wpaper:2021/10. Full description at Econpapers || Download paper | |
2021 | Short-term Momentum. (2021). Schmeling, Maik ; Medhat, Mamdouh. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15857. Full description at Econpapers || Download paper | |
2021 | Search and Predictability of Prices in the Housing Market. (2021). Schütte, Erik Christian ; Timmermann, Allan ; Montes, Erik Christian ; Pedersen, Thomas ; Moller, Stig. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15875. Full description at Econpapers || Download paper | |
2021 | Conditional Rotation Between Forecasting Models. (2021). Zhu, Yinchu ; Timmermann, Allan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15917. Full description at Econpapers || Download paper | |
2021 | Forecasting financial markets with semantic network analysis in the COVID—19 crisis. (2021). Violante, Francesco ; Ravazzolo, Francesco ; Grassi, Stefano ; Colladon, Andrea Fronzetti. In: Working Papers. RePEc:crs:wpaper:2021-06. Full description at Econpapers || Download paper | |
2021 | Pension Funds and Drivers of Heterogeneous Investment Strategies. (2021). Jansen, Kristy ; Broeders, Dirk. In: Working Papers. RePEc:dnb:dnbwpp:712. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2007 | Growth Options, Beta, and the Cost of Capital In: Financial Management. [Full Text][Citation analysis] | article | 21 |
2018 | Distress Anomaly and Shareholder Risk: International Evidence In: Financial Management. [Full Text][Citation analysis] | article | 5 |
2012 | Assessing Project Risk In: Journal of Applied Corporate Finance. [Full Text][Citation analysis] | article | 3 |
2003 | Idiosyncratic Risk Matters! In: Journal of Finance. [Full Text][Citation analysis] | article | 107 |
2006 | Liquidity and Autocorrelations in Individual Stock Returns In: Journal of Finance. [Full Text][Citation analysis] | article | 153 |
2008 | The Selection and Termination of Investment Management Firms by Plan Sponsors In: Journal of Finance. [Full Text][Citation analysis] | article | 44 |
2010 | Performance and Persistence in Institutional Investment Management In: Journal of Finance. [Full Text][Citation analysis] | article | 79 |
2019 | Equity Misvaluation and Default Options In: Journal of Finance. [Full Text][Citation analysis] | article | 3 |
2011 | Buyers Versus Sellers: Who Initiates Trades And When? In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
2016 | Buyers versus Sellers: Who Initiates Trades, and When?.(2016) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2012 | Misvaluation and Return Anomalies in Distress Stocks In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2018 | p-Hacking: Evidence from Two Million Trading Strategies In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
2019 | Option Trading and Stock Price Informativeness In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
2019 | Implied Volatility Changes and Corporate Bond Returns In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2020 | The Cross-Sectional Pricing of Corporate Bonds Using Big Data and Machine Learning In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
2020 | Choosing Investment Managers In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2020 | Cheap Options Are Expensive In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2021 | Unlocking ESG Premium from Options In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2021 | Pricing Event Risk: Evidence from Concave Implied Volatility Curves In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2021 | A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1452 |
2004 | A Comprehensive Look at the Empirical Performance of Equity Premium Prediction.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1452 | paper | |
2008 | A Comprehensive Look at The Empirical Performance of Equity Premium Prediction.(2008) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1452 | article | |
.() In: . [Full Text][Citation analysis] This paper has another version. Agregated cites: 1452 | paper | ||
2021 | Picking Partners: Manager Selection in Private Equity In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2021 | Illiquidity and the Cost of Equity Capital: Evidence from Actual Estimates of Capital Cost for U.S. Data In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2004 | Demographics, Stock Market Flows, and Stock Returns In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 41 |
2015 | Is Momentum an Echo? In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 26 |
2017 | Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 30 |
2008 | How common are common return factors across the NYSE and Nasdaq? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 15 |
2008 | How common are common return factors across NYSE and Nasdaq?.(2008) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
2009 | Cross-section of option returns and volatility In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 81 |
2000 | Understanding the financial crisis in Asia In: Pacific-Basin Finance Journal. [Full Text][Citation analysis] | article | 26 |
2022 | Are Equity Option Returns Abnormal? IPCA Says No In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2003 | Predicting the Equity Premium with Dividend Ratios In: Management Science. [Full Text][Citation analysis] | article | 342 |
2002 | Predicting the Equity Premium With Dividend Ratios.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 342 | paper | |
.() In: . [Full Text][Citation analysis] This paper has another version. Agregated cites: 342 | paper | ||
2012 | Empirical cross-sectional asset pricing: a survey In: Financial Markets and Portfolio Management. [Full Text][Citation analysis] | article | 43 |
2004 | A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability In: NBER Working Papers. [Full Text][Citation analysis] | paper | 143 |
2005 | A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability.(2005) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 143 | article | |
2014 | Investing in a Global World In: Review of Finance. [Full Text][Citation analysis] | article | 24 |
2006 | The Impact of Trades on Daily Volatility In: Review of Financial Studies. [Full Text][Citation analysis] | article | 107 |
2018 | Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference? In: Review of Financial Studies. [Full Text][Citation analysis] | article | 28 |
2020 | Anomalies and False Rejections In: Review of Financial Studies. [Full Text][Citation analysis] | article | 27 |
2021 | Digital Identity in India In: Springer Books. [Citation analysis] | chapter | 0 |
In: . [Full Text][Citation analysis] | paper | 0 |
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