Robert James Hodrick : Citation Profile

Are you Robert James Hodrick?

Columbia University

26

H index

32

i10 index

7768

Citations

RESEARCH PRODUCTION:

39

Articles

44

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   42 years (1979 - 2021). See details.
   Cites by year: 184
   Journals where Robert James Hodrick has often published
   Relations with other researchers
   Recent citing documents: 708.    Total self citations: 38 (0.49 %)

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   Permalink: http://citec.repec.org/pho115
   Updated: 2023-03-25    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 (82)

Sarno, Lucio (62)

Ang, Andrew (48)

Campbell, John (47)

Thornton, Daniel (40)

Wolff, Christian (34)

Engel, Charles (33)

GUPTA, RANGAN (32)

Bollerslev, Tim (28)

Wagner, Christian (27)

Valente, Giorgio (27)

Cites to:

Campbell, John (42)

Bekaert, Geert (32)

Hansen, Lars (31)

Shiller, Robert (27)

French, Kenneth (22)

Fama, Eugene (21)

Harvey, Campbell (18)

merton, robert (16)

Flood, Robert (14)

West, Kenneth (13)

Bollerslev, Tim (12)

Main data

Where Robert James Hodrick has published?

Journals with more than one article published# docs
Journal of Monetary Economics6
Journal of Finance5
Carnegie-Rochester Conference Series on Public Policy3
Journal of International Money and Finance3
Journal of Financial Economics3
Journal of International 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 (2022 and 2021)

YearTitle of citing document
2022The Prior Adaptive Group Lasso and the Factor Zoo. (2022). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2022-05.

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2022Working Paper 362 - Economic Growth, Total Factor Productivity and Output Gap in Sierra Leone. (2022). Kumo, Wolassa L. In: Working Paper Series. RePEc:adb:adbwps:2488.

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2021.

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2021Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO. (2021). Weron, Rafał ; Marcjasz, Grzegorz ; Jędrzejewski, Arkadiusz. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2104.

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2021A Multicountry Model of the Term Structures of Interest Rates with a GVAR. (2021). Moura, Rubens ; Candelon, Bertrand. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021007.

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2022Investor-Driven Corporate Finance: Evidence from Insurance Markets. (2022). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:144.

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2021.

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2022Purchasing Power Gap and Consumer Resilience: An Empirical Investigation with Australia, Germany, Japan, and the United States. (2022). Adom, Dsir A. In: Business, Management and Economics Research. RePEc:arp:bmerar:2022:p:44-50.

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2021Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

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2021Deep Learning in Asset Pricing. (2019). Zhu, Jason ; Pelger, Markus ; Chen, Luyang. In: Papers. RePEc:arx:papers:1904.00745.

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2022Weekly idiosyncratic risk metrics and idiosyncratic momentum: Evidence from the Chinese stock market. (2019). Zhou, Wei-Xing ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1910.13115.

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2022Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916.

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2021Low-volatility Anomaly and the Adaptive Multi-Factor Model. (2020). Jarrow, Robert ; Zhu, Liao ; Wells, Martin T ; Murataj, Rinald. In: Papers. RePEc:arx:papers:2003.08302.

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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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2021Early-life Income Shocks and Old-Age Cause-Specific Mortality. (2021). Tavassoli, Nahid ; Noghani, Farzaneh ; Noghanibehambari, Hamid. In: Papers. RePEc:arx:papers:2101.03943.

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2022Predictive Quantile Regression with Mixed Roots and Increasing Dimensions. (2021). Shin, Youngki ; Lee, Ji Hyung ; Fan, Rui. In: Papers. RePEc:arx:papers:2101.11568.

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2021Statistical Arbitrage Risk Premium by Machine Learning. (2021). Tam, Yu-Man. In: Papers. RePEc:arx:papers:2103.09987.

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2021Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2022An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2022A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2022Tax Progressivity and Wealth Inequality: Evidence from Forbes 400. (2021). Toda, Alexis Akira ; Sasaki, Yuya ; Lee, Ji Hyung ; Wang, Yulong. In: Papers. RePEc:arx:papers:2105.10007.

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2021Output, Employment, and Price Effects of U.S. Narrative Tax Changes: A Factor-Augmented Vector Autoregression Approach. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2106.10844.

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2021The Adaptive Multi-Factor Model and the Financial Market. (2021). Zhu, Liao. In: Papers. RePEc:arx:papers:2107.14410.

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2021Uncertainty, volatility and the persistence norms of financial time series. (2021). Rudkin, Simon ; Qiu, Wanling ; Dlotko, Pawel. In: Papers. RePEc:arx:papers:2110.00098.

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2022On 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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2022The Cross-Sectional Intrinsic Entropy. A Comprehensive Stock Market Volatility Estimator. (2022). Ausloos, Marcel ; Vinte, Claudiu. In: Papers. RePEc:arx:papers:2205.00104.

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2022The perils of Kremlins influence: evidence from Ukraine. (2022). Spruk, Rok ; Kovac, Mitja ; Focacci, Chiara Natalie. In: Papers. RePEc:arx:papers:2206.04950.

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2022An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation. (2022). de Faria, Luis Goncalves. In: Papers. RePEc:arx:papers:2206.09772.

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2022Dissecting the dot-com bubble in the 1990s NASDAQ. (2022). Fan, Yuchao. In: Papers. RePEc:arx:papers:2206.14130.

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2022Risk in Network Economies. (2022). Sellemi, Victor. In: Papers. RePEc:arx:papers:2208.01467.

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

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2022The 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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2022Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference. (2022). Seleznev, Sergei ; Khabibullin, Ramis. In: Papers. RePEc:arx:papers:2210.07154.

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2022State-dependent Asset Allocation Using Neural Networks. (2022). Neghab, Davood Pirayesh ; Bradrania, Reza. In: Papers. RePEc:arx:papers:2211.00871.

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2022A New Test for Market Efficiency and Uncovered Interest Parity. (2022). Ho, Kun ; Kapetanios, George ; Diebold, Francis X ; Baillie, Richard T. In: Papers. RePEc:arx:papers:2211.01344.

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2022Liquidity Costs, Idiosyncratic Volatility and Expected Stock Returns. (2022). Satchell, Stephen ; Peat, Maurice ; Bradrania, Reza M. In: Papers. RePEc:arx:papers:2211.04695.

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2022Enhanced 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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2021Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp21154.

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2021Measuring the Business Cycle in Bulgaria. (2021). Karamisheva, Tania. In: Economic Studies journal. RePEc:bas:econst:y:2021:i:3:p:17-38.

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2022Why you should never use the Hodrick-Prescott Filter: Comment. (2022). Moura, Alban. In: BCL working papers. RePEc:bcl:bclwop:bclwp162.

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2021A Sentiment-based Risk Indicator for the Mexican Financial Sector. (2021). Palma, Brenda ; Fernandez, Raul ; Rho, Caterina. In: Working Papers. RePEc:bdm:wpaper:2021-04.

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2022The Rising Interconnectedness of the Insurance Sector. (2022). Jourde, Tristan. In: Working papers. RePEc:bfr:banfra:857.

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2022Global production linkages and stock market co-movement. (2022). Schrimpf, Andreas ; Auer, Raphael ; Wagner, Alexander F ; Iwadate, Bruce Muneaki. In: BIS Working Papers. RePEc:bis:biswps:1003.

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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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2022Misvaluation and the Asset Growth Anomaly. (2022). Lambertides, Neophytos. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:1:p:105-141.

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2022Assessing the usefulness of daily and monthly asset?pricing factors for Australian equities. (2022). Zhong, Angel ; Gray, Philip. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:181-211.

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2021Markets, mis?direction and motives: A factual analysis of hoarding and speculation in southern Murray–Darling Basin water markets. (2021). Mateo, Luis ; Adamson, David ; Auricht, Christopher ; Loch, Adam. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:65:y:2021:i:2:p:291-317.

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2021DSGE models, detrending, and the method of moments. (2021). MAO TAKONGMO, Charles Olivier. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:1:p:67-99.

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2021DSGE modelling for the UK economy 1974–2017. (2021). Asteriou, Dimitrios ; Pilbeam, Keith ; Litsios, Ioannis. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:2:p:295-323.

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2021National support for the European integration project: Does financial integration matter?. (2021). Herwartz, Helmut ; Estevegonzalez, Patricia ; Theilen, Bernd. In: Economics and Politics. RePEc:bla:ecopol:v:33:y:2021:i:2:p:357-378.

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2022Government Spending Multipliers in Times of Tight and Loose Monetary Policy in New Zealand. (2022). Power, India ; Haug, Alfred A. In: The Economic Record. RePEc:bla:ecorec:v:98:y:2022:i:322:p:249-270.

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2021How to build a factor portfolio: Does the allocation strategy matter?. (2021). Wendt, Viktoriasophie ; Drobetz, Wolfgang ; Dichtl, Hubert. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:20-58.

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2021Economic policy uncertainty and momentum. (2021). Wu, Yangru ; Sun, Minxing ; Gu, Ming ; Xu, Weike. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:237-259.

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2021Relevance 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.

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2021Correlation and the omitted variable: A tale of two prices. (2021). Pan, Zheyao ; Han, Xing. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:2:p:519-552.

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2021Defined benefit pension de?risking and corporate risk?taking. (2021). Silverstein, Brian. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:4:p:1085-1111.

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2021Can hedge funds benefit from corporate social responsibility investment?. (2021). Li, Yongjia ; Huang, Qiping ; Duanmu, Jun ; McBrayer, Garrett A. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:251-278.

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2021Expectations and financial markets: Lessons from Brexit. (2021). Hibbert, Ann Marie ; Gu, Chen. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:279-299.

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2021The trend is an analysts friend: Analyst recommendations and market technicals. (2021). Flugum, Ryan. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:301-330.

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2021The role of asymmetry and dynamics in carry trade and general financial markets. (2021). Wu, ChihChiang ; Huang, Meichi. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:331-353.

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2022Do short?term institutions exploit stock return anomalies?. (2022). Jiang, George J ; Huang, Wei ; Chen, Yinfei. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:1:p:69-94.

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2021On the synchronization of the business cycles of Mexican states and its relationship to their economic complexity, 2000–2014. (2021). Llanosguerrero, Alejandra ; Gomezzaldivar, Manuel. In: Growth and Change. RePEc:bla:growch:v:52:y:2021:i:3:p:1576-1592.

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2021Provincial income convergence clubs in Indonesia: Identification and conditioning factors. (2021). Mendez-Guerra, Carlos ; Otsubo, Shigeru ; Gunawan, Anang Budi. In: Growth and Change. RePEc:bla:growch:v:52:y:2021:i:4:p:2540-2575.

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2021The nonlinear causal relationship between short? and long?term interest rates: An empirical assessment of the United States, the United Kingdom, and Japan. (2021). Su, Yang ; Li, Huiqing. In: International Finance. RePEc:bla:intfin:v:24:y:2021:i:3:p:332-355.

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2022Doubly heterogeneous monetary spillovers. (2022). Shah, Nihar. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:2:p:126-150.

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2021Internet Search Intensity and Its Relation with Trading Activity and Stock Returns. (2021). Gharghori, Philip ; Dai, Mengjia ; Chai, Daniel ; Hong, Barbara. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:1:p:282-311.

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2021Buy Low and Sell High: The 52?Week Price Range and Predictability of Returns. (2021). Chang, Tzu-Pu. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:1:p:336-344.

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2021Forecasting the future state of the economy in the United States: The role of tradable “new” risk factors. (2021). Li, Bin ; Shi, QI. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:1039-1046.

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2021Is aggregate volatility a priced risk factor?. (2021). Peterburgsky, Stanley. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:843-864.

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2021The information content of 10?K file size change. (2021). Qiu, Buhui ; Gan, Quan. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:4:p:1251-1285.

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2022Can 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.

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2021Distracted institutions, information asymmetry and stock price stability. (2021). Prevost, Andrew ; Orlova, Svetlana ; Flugum, Ryan ; Sun, LI. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:48:y:2021:i:9-10:p:2015-2048.

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2021Liquidity 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.

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2021The Perception of Dependence, Investment Decisions, and Stock Prices. (2021). Weber, Martin ; Ungeheuer, Michael. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:797-844.

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2021Limited Risk Sharing and International Equity Returns. (2021). Zhang, Shaojun. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:893-933.

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2021Model?Free International Stochastic Discount Factors. (2021). Vedolin, Andrea ; Trojani, Fabio ; Sandulescu, Mirela. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:935-976.

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2021Leveraged Funds and the Shadow Cost of Leverage Constraints. (2021). Qin, Zhongling ; Lu, Zhongjin. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:3:p:1295-1338.

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2021Time Variation of the Equity Term Structure. (2021). Gormsen, Niels Joachim. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:4:p:1959-1999.

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2021Tracking Retail Investor Activity. (2021). Zhang, Xiaoyan ; Jones, Charles M ; Boehmer, Ekkehart. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:5:p:2249-2305.

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2021Do Intermediaries Matter for Aggregate Asset Prices?. (2021). Muir, Tyler ; Haddad, Valentin. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:6:p:2719-2761.

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2021Volatility, 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.

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2022Anomalies 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.

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2022Common Risk Factors in Cryptocurrency. (2022). Wu, XI ; Tsyvinski, Aleh ; Liu, Yukun. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:1133-1177.

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2021Information?driven stock price comovement. (2021). Shang, Danjue ; Box, Travis. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:2:p:403-429.

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2022Negative bubbles and the market for “dreams”: “Lemons” in the looking glass. (2022). Emery, Douglas R. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:1:p:5-16.

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2021Quantifying the trendiness of trends. (2021). Ekstrom, Claus Thorn ; Jensen, Andreas Kryger. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:1:p:98-121.

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2022The rising interconnectedness of the insurance sector. (2022). Jourde, Tristan. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:2:p:397-425.

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2021What affects the price movements in Bitcoin and Ethereum?. (2021). Park, Hail ; Wang, Wenbo ; Sabalionis, Arturas. In: Manchester School. RePEc:bla:manchs:v:89:y:2021:i:1:p:102-127.

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2021Consumer confidence, consumption, and macroeconomic fluctuations: A systemic stock?flow consistent model. (2021). Sahin, Sercin. In: Metroeconomica. RePEc:bla:metroe:v:72:y:2021:i:4:p:868-904.

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2021Convergence in Sovereign Debt Defaults: Quantifying the Roles of Institutions. (2021). Inekwe, John ; Bhattacharya, Mita. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:3:p:792-811.

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2021Disparities in regional productivity, capital accumulation, and efficiency across Indonesia: A club convergence approach. (2021). Mendez-Guerra, Carlos ; Kataoka, Mitsuhiko. In: Review of Development Economics. RePEc:bla:rdevec:v:25:y:2021:i:2:p:790-809.

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2022Interregional inequality in Africa, convergence, and multiple equilibria: Evidence from nighttime light data. (2022). Thierry, Kacou Yves. In: Review of Development Economics. RePEc:bla:rdevec:v:26:y:2022:i:2:p:918-940.

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2021Did 272 billion dollars from China help stabilize business cycle fluctuations in recipient countries?. (2021). Karras, Georgios ; Abdelwahed, Loujaina. In: Review of International Economics. RePEc:bla:reviec:v:29:y:2021:i:2:p:314-358.

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2021Income Shocks, Inequality, and Democracy. (2021). Sunde, Uwe ; Kotschy, Rainer. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:123:y:2021:i:1:p:295-326.

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2021How frequent a BEER? Assessing the impact of data frequency on real exchange rate misalignment estimation. (2021). Giordano, Claire. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:68:y:2021:i:3:p:365-404.

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2022Defence Spending and Economic Growth in South Africa: Evidence from Cointegration and Co-Feature Analysis. (2022). Shaaba, Saba Charles. In: Peace Economics, Peace Science, and Public Policy. RePEc:bpj:pepspp:v:28:y:2022:i:1:p:51-100:n:1.

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2021Interest Rate Skewness and Biased Beliefs. (2021). Chernov, Mikhail ; Bauer, Michael D. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9150.

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2021Measuring Market Expectations. (2021). Baumeister, Christiane. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9305.

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2022Coherence of Output Gaps in the Euro Area: The Impact of the Covid-19 Shock. (2022). Zijm, Renske ; An, J ; de Haan, Jakob. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9654.

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2022Shadow Rates as a Measure of the Monetary Policy Stance: Some International Evidence. (2022). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9839.

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2021Currency Anomalies. (2021). Bartram, Söhnke ; Garratt, Anthony ; Djuranovik, Leslie . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15653.

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

Works by Robert James Hodrick:

YearTitleTypeCited
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]		article167
1986 Asset Price Volatility, Bubbles, and Process Switching. In: Journal of Finance.
[Full Text][Citation analysis]		article41
1986Asset Price Volatility, Bubbles, and Process Switching.(1986) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41		paper
1992 Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets. In: Journal of Finance.
[Full Text][Citation analysis]		article279
1991Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets.(1991) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 279		paper
2001Expectations Hypotheses Tests In: Journal of Finance.
[Full Text][Citation analysis]		article177
2000Expectations Hypotheses Tests.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 177		paper
2006The Cross?Section of Volatility and Expected Returns In: Journal of Finance.
[Full Text][Citation analysis]		article1175
2004The Cross-Section of Volatility and Expected Returns.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1175		paper
2009International Stock Return Comovements In: Journal of Finance.
[Full Text][Citation analysis]		article317
2006International Stock Return Comovements.(2006) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 317		paper
2008International stock return comovements.(2008) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 317		paper
2005International Stock Return Comovements.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 317		paper
2005International Stock Return Comovements.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 317		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.
[Full Text][Citation analysis]		paper0
2010Aggregate Idiosyncratic Volatility In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper81
2012Aggregate Idiosyncratic Volatility.(2012) In: Journal of Financial and Quantitative Analysis.
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This paper has another version. Agregated cites: 81		article
2010Aggregate Idiosyncratic Volatility.(2010) In: NBER Working Papers.
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This paper has another version. Agregated cites: 81		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.
[Full Text][Citation analysis]
This paper has another 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]		article22
1981International asset pricing with time-varying risk premia In: Journal of International Economics.
[Full Text][Citation analysis]		article28
1986Real aspects of exchange rate regime choice with collapsing fixed rates In: Journal of International Economics.
[Full Text][Citation analysis]		article36
1985Real Aspects of Exchange Rate Regime Choice with Collapsing Fixed Rates.(1985) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36		paper
1987Foreign currency futures In: Journal of International Economics.
[Full Text][Citation analysis]		article29
1985Foreign Currency Futures.(1985) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		paper
2016Estimating the risk-return trade-off with overlapping data inference In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2014Estimating the Risk-Return Trade-off with Overlapping Data Inference.(2014) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		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]		article205
1996On biases in tests of the expectations hypothesis of the term structure of interest rates.(1996) In: Working Paper Series, Issues in Financial Regulation.
[Citation analysis]
This paper has another version. Agregated cites: 205		paper
1996On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates.(1996) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 205		paper
2001Evaluating the specification errors of asset pricing models In: Journal of Financial Economics.
[Full Text][Citation analysis]		article92
2000Evaluating the Specification Errors of Asset Pricing Models.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 92		paper
2009High idiosyncratic volatility and low returns: International and further U.S. evidence In: Journal of Financial Economics.
[Full Text][Citation analysis]		article434
2008High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 434		paper
1993On biases in the measurement of foreign exchange risk premiums In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article154
1991On Biases in the Measurement of Foreign Exchange Risk Premiums.(1991) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 154		paper
1984An investigation of risk and return in forward foreign exchange In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article116
1983An Investigation of Risk and Return in Forward Foreign Exchange.(1983) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 116		paper
1986The covariation of risk premiums and expected future spot exchange rates In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article79
1985The Covariation of Risk Premiums and Expected Future Spot Exchange Rates.(1985) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 79		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]		article115
1987Risk, Uncertainty and Exchange Rates.(1987) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 115		paper
1997The implications of first-order risk aversion for asset market risk premiums In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article92
1994The implications of first-order risk aversion for asset market risk premiums.(1994) In: Working Paper Series, Macroeconomic Issues.
[Citation analysis]
This paper has another version. Agregated cites: 92		paper
1994The Implications of First-Order Risk Aversion for Asset Market Risk Premiums.(1994) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 92		paper
1997The implications of first-order risk aversion for asset market risk premiums.(1997) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 92		paper
1997The implications of first-order risk aversion for asset market risk premiums.(1997) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 92		paper
2001Peso problem explanations for term structure anomalies In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article162
1997\Peso problem\ explanations for term structure anomalies.(1997) In: Working Paper Series, Issues in Financial Regulation.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 162		paper
1997Peso Problem Explanations for Term Structure Anomalies.(1997) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 162		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]		paper0
1984Exchange Rate and Price Dynamics with Asymmetric Information. In: International Economic Review.
[Full Text][Citation analysis]		article0
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
1997Postwar U.S. Business Cycles: An Empirical Investigation. In: Journal of Money, Credit and Banking.
[Citation analysis]		article2039
1981Post-War U.S. Business Cycles: An Empirical Investigation.(1981) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2039		paper
1983Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models In: NBER Chapters.
[Full Text][Citation analysis]		chapter129
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.
[Full Text][Citation analysis]
This paper has another 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]		paper19
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]		paper37
2017The Carry Trade: Risks and Drawdowns.(2017) In: Critical Finance Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 37		article
2018Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2021Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications.(2021) In: Critical Finance Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2020An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper22
1989The Variability of Velocity in Cash-In-Advance Models In: NBER Working Papers.
[Full Text][Citation analysis]		paper85
1991The Variability of Velocity in Cash-in-Advance Models..(1991) In: Journal of Political Economy.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 85		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]		paper34
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: Review of Financial Studies.
[Full Text][Citation analysis]		article677
1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis. In: Journal of Political Economy.
[Full Text][Citation analysis]		article816

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