Robert James Hodrick : Citation Profile

Columbia University

28

H index

33

i10 index

8614

Citations

RESEARCH PRODUCTION:

39

Articles

44

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   42 years (1979 - 2021). See details.
   Cites by year: 205
   Journals where Robert James Hodrick has often published
   Relations with other researchers
   Recent citing documents: 262.    Total self citations: 38 (0.44 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pho115
   Updated: 2025-04-12    RAS profile: 2021-06-09    
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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 Robert James Hodrick.

Is cited by:

Bekaert, Geert (89)

Sarno, Lucio (70)

Ang, Andrew (53)

Campbell, John (48)

Thornton, Daniel (41)

Engel, Charles (38)

GUPTA, RANGAN (35)

Wagner, Christian (34)

Wolff, Christian (34)

Bollerslev, Tim (30)

Valente, Giorgio (28)

Cites to:

Campbell, John (46)

Bekaert, Geert (36)

Hansen, Lars (33)

Shiller, Robert (28)

French, Kenneth (23)

Fama, Eugene (21)

Harvey, Campbell (18)

merton, robert (16)

Bollerslev, Tim (14)

Flood, Robert (14)

Jagannathan, Ravi (13)

Main data

Production by document typepaperchapterarticlebook1980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020210510Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published19791980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020210255075100Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received19801981198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250200400600Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year19791980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020210k1k2k3kCitations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 28Most cited documents1234567891011121314151617181920212223242526272829300k1k2k3kNumber of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040102030h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Robert James Hodrick has published?

Journals with more than one article published# docs
Journal of Monetary Economics6
Journal of Finance5
Journal of International Economics3
Journal of International Money and Finance3
Carnegie-Rochester Conference Series on Public Policy3
Journal of Financial Economics3
Journal of Political Economy2
Critical Finance Review2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc30
CEPR Discussion Papers / C.E.P.R. Discussion Papers3
Working Paper Series, Issues in Financial Regulation / Federal Reserve Bank of Chicago2

Recent works citing Robert James Hodrick (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2024An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2024On Robust Inference in Time Series Regression. (2022). Baillie, Richard T ; Ho, Kun ; Kapetanios, George ; Diebold, Francis X. In: Papers. RePEc:arx:papers:2203.04080.

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2024Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2024The boosted HP filter is more general than you might think. (2022). Shi, Zhentao ; PEter, ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2209.09810.

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2024Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752.

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2024Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296.

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2024A time-varying finance-led model for U.S. business cycles. (2023). Santetti, Marcio. In: Papers. RePEc:arx:papers:2310.05153.

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2024Revisiting Boehmer et al. (2021): Recent Period, Alternative Method, Different Conclusions. (2024). Cenesizoglu, Tolga ; Aymard, Cl'Ement ; Ardia, David. In: Papers. RePEc:arx:papers:2403.17095.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2024Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2405.02087.

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2025An Adaptive Moving Average for Macroeconomic Monitoring. (2025). Klieber, Karin ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2501.13222.

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2025ChatGPT and Deepseek: Can They Predict the Stock Market and Macroeconomy?. (2025). Zhu, WU ; Zhou, Guofu ; Tang, Guohao ; Chen, Jian. In: Papers. RePEc:arx:papers:2502.10008.

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2025The Risk-Neutral Equivalent Pricing of Model-Uncertainty. (2025). Wren, Ken Kangda. In: Papers. RePEc:arx:papers:2502.13744.

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2025Output Gap Measurement after COVID for Colombia: Lessons from a Permanent-Transitory Approach. (2025). Granados, Camilo ; Parra-Amado, Daniel. In: Borradores de Economia. RePEc:bdr:borrec:1295.

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2024.

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2024.

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2024Interest Rate Skewness and Biased Beliefs. (2024). Chernov, Mikhail ; Bauer, Michael. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:1:p:173-217.

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2024Equity Term Structures without Dividend Strips Data. (2024). Kozak, Serhiy ; Kelly, Bryan ; Giglio, Stefano. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:6:p:4143-4196.

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2024.

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2024.

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2024Give me a U, give me a V, give me an L!: How effective are countercyclical policies in shaping the output dynamic during recessions. (2024). Pearrieta, Luis Castro ; Castaeda, Gonzalo. In: Metroeconomica. RePEc:bla:metroe:v:75:y:2024:i:1:p:107-133.

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2024Global Financial Risk, Equity Returns and Economic Activity in Emerging Countries. (2024). Yang, Guanyi ; Horvath, Jaroslav. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:3:p:672-689.

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2024Learning about the Long Run. (2024). Nakamura, Emi ; Farmer, Leland E ; Steinsson, JN. In: Department of Economics, Working Paper Series. RePEc:cdl:econwp:qt0tn1s1hp.

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2025Event-Driven Changes in Volatility Connectedness in Global Forex Markets. (2025). Kočenda, Evžen ; Koenda, Even ; Albrecht, Peter. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11606.

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2025The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities. (2025). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2025_2502.

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2025Impact of business cycles on energy poverty: Exploring the significance with sustainable development goals in newly industrialized economies. (2025). Ul, Wasi ; Yasmeen, Rizwana. In: Applied Energy. RePEc:eee:appene:v:378:y:2025:i:pa:s0306261924021603.

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2024Business aspects in focus, investor underreaction and return predictability. (2024). Jin, Zuben. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s0929119923001748.

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2024Foreign investors, firm level productivity, and European economic integration. (2024). Phylaktis, Kate ; Onay, Ceylan ; Muradoglu, Gulnur ; Bailey, Warren. In: Journal of Corporate Finance. RePEc:eee:corfin:v:85:y:2024:i:c:s0929119924000269.

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2024Estimating the effects of demographics on interest rates: A robust Bayesian perspective. (2024). Ho, Paul. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s0165188923001781.

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2024Labor market dynamics with sorting. (2024). Schulz, Bastian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s0165188923001823.

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2024Dynamic industry uncertainty networks and the business cycle. (2024). faff, robert ; Baruník, Jozef ; Bevilacqua, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923001999.

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2024A contagion test with unspecified heteroscedastic errors. (2024). Peng, Liang ; Hsiao, Cody Yu-Ling ; Lo, Chia Chun ; Ko, Stanley Iat-Meng ; Aboagye, Ernest. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923002105.

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2024The productivity puzzle and the decline of unions. (2024). Mitra, Aruni. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923002129.

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2024Nominal exchange rates and heterogeneous beliefs. (2024). Lu, Lei ; Jiao, Feng ; Croitoru, Benjamin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924000964.

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2024Dynamic mean-variance portfolio selection under factor models. (2024). Cui, Xiangyu ; Kong, Lingjie ; Yang, Lanzhi ; Li, Duan ; Shi, Yun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:167:y:2024:i:c:s0165188924001155.

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2024What drives the tail risk effect in the Chinese stock market?. (2024). Zhu, Yifeng ; Wang, Hui ; Sun, Kaisi. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999323004431.

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2024Characterizing the schooling cycle. (2024). Sadaba, Barbara ; MAIER, SOFIA ; Vuji, Sunica. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999324000051.

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2024Business cycle synchronization and asymmetry in the European Union. (2024). Tica, Josip ; Panovska, Irina ; Arčabić, Vladimir ; Arabi, Vladimir. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001676.

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2024The gender factor in monetary policy: An event-study design. (2024). Giraldo, Anna ; Favaro, Donata ; Paggiaro, Adriano. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002670.

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2024Labor market policies in high- and low-interest rate environments: Evidence from the euro area. (2024). Lastauskas, Povilas ; Staknas, Julius. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400275x.

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2024Climate pattern effects on global economic conditions. (2024). Pourroy, Marc ; Ginn, William ; Dufrnot, Gilles. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002773.

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2024Option listing and underlying commodity futures volatility in China. (2024). Guo, Jin ; Wen, Xiaoqian. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002839.

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2024Does pension fund ownership reduce market manipulation? Evidence from China. (2024). Ur, Faheem ; Ma, Xiang ; Zhu, Xingting ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001249.

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2024Systematic COVID risk, idiosyncratic COVID risk and stock returns. (2024). Zhang, Jiachen ; Wan, Xiaoyuan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001274.

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2024The role of investor sentiment and market belief in forecasting V-shaped disposition effect: Evidence from a Bayesian learning process with DSSW model. (2024). Bataineh, Hassan ; Gider, Zeynullah ; Hassan, Kabir M ; Bouteska, Ahmed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000081.

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2024Option trading volume and the cross-section of option returns. (2024). Hu, Sen ; Yuan, Jianglei ; Liu, Dehong ; Chen, Carl R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001542.

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2024Size and ESG premiums: Evidence from Chinese A-share market. (2024). Wu, Yanran ; Zhou, Riwang ; Zhang, Chao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001712.

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2024Optimizing composite early warning indicators. (2024). Dalal, Vihar M ; Jahan-Parvar, Mohammad R ; Paine, Fiona A ; Beltran, Daniel O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s106294082400175x.

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2024Growth accelerations and takeoffs: Is there a role for capital accumulation?. (2024). Parello, Carmelo Pierpaolo ; Federico, Antonio Pietro. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000594.

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2024Do supercycles dominate commodity price movements?. (2024). Kabundi, Alain ; Baffes, John. In: Economics Letters. RePEc:eee:ecolet:v:237:y:2024:i:c:s0165176524001290.

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2024A new macro-financial condition index for the euro area. (2024). MORANA, CLAUDIO. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:64-87.

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2024Reassessing grain price variability in early modern Europe (c. 1500–1800). (2024). Seim, Andrea ; Ljungqvist, Fredrik Charpentier. In: European Economic Review. RePEc:eee:eecrev:v:170:y:2024:i:c:s0014292124001818.

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2024Tail risks and private equity performance. (2024). Markarian, Garen ; Kurtovi, Hrvoje. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s092753982300124x.

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2024Enhancing betting against beta with stochastic dominance. (2024). Xu, Xia ; Kolokolova, Olga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:76:y:2024:i:c:s0927539823001329.

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2024Non-standard errors in asset pricing: Mind your sorts. (2024). Verwijmeren, Patrick ; van Vliet, Bart ; Soebhag, Amar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000525.

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2024The risk–return tradeoff among equity factors. (2024). Barroso, Pedro ; Maio, Paulo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000537.

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2024Estimation and inference in low frequency factor model regressions with overlapping observations. (2024). Dossani, Asad. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000719.

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2024Contagion network of idiosyncratic volatility: Does corporate environmental responsibility matter?. (2024). Wang, Mengxin ; Li, Yanling ; Liao, Gaoke. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006667.

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2024Financial market development and corporate risk management: Evidence from Shanghai crude oil futures launched in China. (2024). Wu, Ji ; Chen, Longxuan ; Hao, Jing. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300748x.

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2024The impact of oil and global markets on Saudi stock market predictability: A machine learning approach. (2024). Ibrahim, Bassam A ; Abedin, Mohammad Zoynul ; Elamer, Ahmed A ; Abdou, Hussein A. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001245.

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2024Energy transition and housing market bubbles: Evidence from prefecture cities in China. (2024). Fang, Jie ; Sun, Yongping ; Liu, Sinuo ; Jin, YI. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324001932.

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2024Oil price shocks and energy transition in Africa. (2024). Nchofoung, Tii N. In: Energy Policy. RePEc:eee:enepol:v:184:y:2024:i:c:s0301421523004408.

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2024Verified carbon emissions and stock returns in the EU Emissions Trading System. (2024). Galanti, Sébastien ; Benchora, Inessa. In: Energy Policy. RePEc:eee:enepol:v:193:y:2024:i:c:s0301421524002842.

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2024Oil market cyclical shocks and fiscal stance in OPEC+. (2024). Sohag, Kazi ; Samargandi, Nahla ; Kalina, Irina. In: Energy. RePEc:eee:energy:v:296:y:2024:i:c:s0360544224007217.

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2024Exploring the complex interplay of green finance, business cycles, and energy development. (2024). Sultanuzzaman, Md Reza ; Yahya, Farzan ; Lee, Chien-Chiang. In: Energy. RePEc:eee:energy:v:306:y:2024:i:c:s0360544224022539.

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2024Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic. (2024). Al-Faryan, Mamdouh Abdulaziz Sa ; Ur, Mobeen ; Kashif, Muhammad ; Palwishah, Rana. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004350.

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2024The sources of portfolio volatility and mutual fund performance. (2024). Rakowski, David ; Vafai, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300501x.

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2024Bank credit, consumption risk, and the cross-section of expected returns. (2024). Ho, JI. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000358.

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2024Non-standard errors in the cryptocurrency world. (2024). Zaremba, Adam ; Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

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2024Intermediate cross-sectional prospect theory value in stock markets: A novel method. (2024). Park, Jong Won ; Eom, Yunsung. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000528.

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2024Network centrality, information diffusion and asset pricing. (2024). Zhong, Angel ; Hu, Xiaolu ; Yu, Miao. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001558.

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2024Understanding co-movements based on heterogeneous information associations. (2024). Chen, Huayi ; Shi, Huai-Long. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s105752192400245x.

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2024Why does uncovered interest parity fail empirically?. (2024). Aziz, Nusrate. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003612.

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2024Trading on trends: How the ordering of historical volume predicts Chinese stock returns?. (2024). Li, Yihan. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pc:s1057521924004502.

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2024Constructing stock portfolios by sorting on ESG ratings: Does the rating provider matter?. (2024). Oehler, Andreas ; Horn, Matthias. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005003.

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2024Risks of heterogeneously persistent higher moments. (2024). Baruník, Jozef ; Kurka, Josef ; Barunk, Jozef. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005052.

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2024Crowd-sourced CEO approval and turnover. (2024). Park, Kwangwoo ; Jimmy, Ji Yeol ; Chang, Sea-Jin. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005192.

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2024Exploring the factor zoo with a machine-learning portfolio. (2024). Chng, Michael T ; Huang, Tao ; Sak, Halis. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005313.

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2024ESG components and equity returns: Evidence from real estate investment trusts. (2024). , Louis ; Shen, Jianfu ; Fan, Kwok Yuen. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006483.

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2024‘E’ of ESG and firm performance: Evidence from China. (2024). Tan, Yusen ; Poshakwale, Sunil ; Qian, Binsheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006835.

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2024Investor attention and anomalies: Evidence from the Chinese stock market. (2024). Wen, Danyan ; Zhang, Zihao ; Nie, Jing ; Cao, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924007075.

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2024ETF MAX and MIN effects. (2024). Yang, Joey W ; Sun, Zhiyue ; Gould, John. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012072.

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2024An aspirational perspective on the negative risk-return relationship. (2024). Neszveda, Gabor ; Bako, Barna. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000072.

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

Works by Robert James Hodrick:

Year  ↓Title  ↓Type  ↓Cited  ↓
1990Volatility in the Foreign Exchange and Stock Markets: Is It Excessive? In: American Economic Review.
[Full Text][Citation analysis]		article7
1990On Testing for Speculative Bubbles. In: Journal of Economic Perspectives.
[Full Text][Citation analysis]		article174
1986 Asset Price Volatility, Bubbles, and Process Switching. In: Journal of Finance.
[Full Text][Citation analysis]		article44
1986Asset Price Volatility, Bubbles, and Process Switching.(1986) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 44		paper
1992 Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets. In: Journal of Finance.
[Full Text][Citation analysis]		article289
1991Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets.(1991) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 289		paper
2001Expectations Hypotheses Tests In: Journal of Finance.
[Full Text][Citation analysis]		article180
2000Expectations Hypotheses Tests.(2000) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 180		paper
2006The Cross‐Section of Volatility and Expected Returns In: Journal of Finance.
[Full Text][Citation analysis]		article1358
2004The Cross-Section of Volatility and Expected Returns.(2004) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 1358		paper
2009International Stock Return Comovements In: Journal of Finance.
[Full Text][Citation analysis]		article376
2006International Stock Return Comovements.(2006) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 376		paper
2008International stock return comovements.(2008) In: Working Paper Series.
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This paper has nother version. Agregated cites: 376		paper
2005International Stock Return Comovements.(2005) In: Working Papers.
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This paper has nother version. Agregated cites: 376		paper
2005International Stock Return Comovements.(2005) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 376		paper
1982Perfect Foresight, Financial Policies, and Exchange-Rate Dynamics. In: Canadian Journal of Economics.
[Full Text][Citation analysis]		article2
2001Do We Need Multi-Country Models to Explain Exchange Rate, Interest Rate and Bond Return Dynamics? In: CEPR Discussion Papers.
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2010Aggregate Idiosyncratic Volatility In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper94
2012Aggregate Idiosyncratic Volatility.(2012) In: Journal of Financial and Quantitative Analysis.
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This paper has nother version. Agregated cites: 94		article
2010Aggregate Idiosyncratic Volatility.(2010) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 94		paper
2018International Financial Management In: Cambridge Books.
[Citation analysis]		book9
1979On the monetary analysis of exchange rates : A comment In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article4
1982Monetary accomodation and the variability of output, prices, and exchange rates : A comment In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article0
1989U.S. International capital flows: Perspectives from rational maximizing models In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article16
1988U.S. International Capital Flows: Perspectives From Rational Maximizing Models.(1988) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 16		paper
2002Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics? In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article24
1981International asset pricing with time-varying risk premia In: Journal of International Economics.
[Full Text][Citation analysis]		article29
1986Real aspects of exchange rate regime choice with collapsing fixed rates In: Journal of International Economics.
[Full Text][Citation analysis]		article37
1985Real Aspects of Exchange Rate Regime Choice with Collapsing Fixed Rates.(1985) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 37		paper
1987Foreign currency futures In: Journal of International Economics.
[Full Text][Citation analysis]		article32
1985Foreign Currency Futures.(1985) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 32		paper
2016Estimating the risk-return trade-off with overlapping data inference In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article7
2014Estimating the Risk-Return Trade-off with Overlapping Data Inference.(2014) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 7		paper
1997On biases in tests of the expectations hypothesis of the term structure of interest rates In: Journal of Financial Economics.
[Full Text][Citation analysis]		article215
1996On biases in tests of the expectations hypothesis of the term structure of interest rates.(1996) In: Working Paper Series, Issues in Financial Regulation.
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This paper has nother version. Agregated cites: 215		paper
1996On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates.(1996) In: NBER Technical Working Papers.
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This paper has nother version. Agregated cites: 215		paper
2001Evaluating the specification errors of asset pricing models In: Journal of Financial Economics.
[Full Text][Citation analysis]		article93
2000Evaluating the Specification Errors of Asset Pricing Models.(2000) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 93		paper
2009High idiosyncratic volatility and low returns: International and further U.S. evidence In: Journal of Financial Economics.
[Full Text][Citation analysis]		article510
2008High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence.(2008) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 510		paper
1993On biases in the measurement of foreign exchange risk premiums In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article161
1991On Biases in the Measurement of Foreign Exchange Risk Premiums.(1991) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 161		paper
1984An investigation of risk and return in forward foreign exchange In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article117
1983An Investigation of Risk and Return in Forward Foreign Exchange.(1983) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 117		paper
1986The covariation of risk premiums and expected future spot exchange rates In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article85
1985The Covariation of Risk Premiums and Expected Future Spot Exchange Rates.(1985) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 85		paper
1982On the effects of macroeconomic policy in a maximizing model of a small open economy In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article5
1989Risk, uncertainty, and exchange rates In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article128
1987Risk, Uncertainty and Exchange Rates.(1987) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 128		paper
1997The implications of first-order risk aversion for asset market risk premiums In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article95
1994The implications of first-order risk aversion for asset market risk premiums.(1994) In: Working Paper Series, Macroeconomic Issues.
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This paper has nother version. Agregated cites: 95		paper
1994The Implications of First-Order Risk Aversion for Asset Market Risk Premiums.(1994) In: NBER Working Papers.
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1997The implications of first-order risk aversion for asset market risk premiums.(1997) In: Discussion Paper.
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This paper has nother version. Agregated cites: 95		paper
2001Peso problem explanations for term structure anomalies In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article165
1997\Peso problem\ explanations for term structure anomalies.(1997) In: Working Paper Series, Issues in Financial Regulation.
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This paper has nother version. Agregated cites: 165		paper
1997Peso Problem Explanations for Term Structure Anomalies.(1997) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 165		paper
2002Comment on:: Time varying liquidity in foreign exchange In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article0
1980Dynamic effects of government policies in an open economy In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article5
1982The dynamic adjustment path for perfectly foreseen changes in monetary policy In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article3
2000Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate Dynamics?. In: Columbia - Graduate School of Business.
[Citation analysis]		paper2
1984Exchange Rate and Price Dynamics with Asymmetric Information. In: International Economic Review.
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1999An International Dynamic Asset Pricing Model In: International Tax and Public Finance.
[Full Text][Citation analysis]		article21
1999An International Dynamic Asset Pricing Model.(1999) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 21		paper
1997Postwar U.S. Business Cycles: An Empirical Investigation. In: Journal of Money, Credit and Banking.
[Citation analysis]		article2255
1981Post-War U.S. Business Cycles: An Empirical Investigation.(1981) In: Discussion Papers.
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This paper has nother version. Agregated cites: 2255		paper
1983Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models In: NBER Chapters.
[Full Text][Citation analysis]		chapter136
1991Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement In: NBER Technical Working Papers.
[Full Text][Citation analysis]		paper10
1983Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle In: NBER Working Papers.
[Full Text][Citation analysis]		paper9
1985Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle.(1985) In: The Quarterly Journal of Economics.
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This paper has nother version. Agregated cites: 9		article
1986Money and the Open Economy Business Cycle: A Flexible Price Model In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
1986An Evaluation of Recent Evidence on Stock Market Bubbles In: NBER Working Papers.
[Full Text][Citation analysis]		paper22
2014Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2014The Carry Trade: Risks and Drawdowns In: NBER Working Papers.
[Full Text][Citation analysis]		paper47
2017The Carry Trade: Risks and Drawdowns.(2017) In: Critical Finance Review.
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This paper has nother version. Agregated cites: 47		article
2018Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications In: NBER Working Papers.
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2021Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications.(2021) In: Critical Finance Review.
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This paper has nother version. Agregated cites: 4		article
2020An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper36
1989The Variability of Velocity in Cash-In-Advance Models In: NBER Working Papers.
[Full Text][Citation analysis]		paper89
1991The Variability of Velocity in Cash-in-Advance Models..(1991) In: Journal of Political Economy.
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This paper has nother version. Agregated cites: 89		article
1989Testable Implications of Indeterminacies in Models with Rational Expectations In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
1992Financial Market Efficiency Tests In: NBER Working Papers.
[Full Text][Citation analysis]		paper36
2002Pricing the Global Industry Portfolios In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement. In: The Review of Financial Studies.
[Full Text][Citation analysis]		article727
1997The implications of first-order risk aversion for asset market risk premiums In: Other publications TiSEM.
[Full Text][Citation analysis]		paper65
1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis. In: Journal of Political Economy.
[Full Text][Citation analysis]		article881

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