26
H index
32
i10 index
7768
Citations
Columbia University | 26 H index 32 i10 index 7768 Citations RESEARCH PRODUCTION: 39 Articles 44 Papers 1 Books 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 Robert James Hodrick. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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NBER Working Papers / National Bureau of Economic Research, Inc | 30 |
CEPR Discussion Papers / C.E.P.R. Discussion Papers | 3 |
Working Paper Series, Issues in Financial Regulation / Federal Reserve Bank of Chicago | 2 |
Year | Title of citing document | |
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2022 | The Prior Adaptive Group Lasso and the Factor Zoo. (2022). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2022-05. Full description at Econpapers || Download paper | |
2022 | Working 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. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | Importance 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. Full description at Econpapers || Download paper | |
2021 | A 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. Full description at Econpapers || Download paper | |
2022 | Investor-Driven Corporate Finance: Evidence from Insurance Markets. (2022). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:144. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2022 | Purchasing 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. Full description at Econpapers || Download paper | |
2021 | Tail Risks, Asset prices, and Investment Horizons. (2018). BarunÃÂk, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148. Full description at Econpapers || Download paper | |
2021 | Deep Learning in Asset Pricing. (2019). Zhu, Jason ; Pelger, Markus ; Chen, Luyang. In: Papers. RePEc:arx:papers:1904.00745. Full description at Econpapers || Download paper | |
2022 | Weekly 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. Full description at Econpapers || Download paper | |
2022 | Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916. Full description at Econpapers || Download paper | |
2021 | Low-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. 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 | |
2021 | Early-life Income Shocks and Old-Age Cause-Specific Mortality. (2021). Tavassoli, Nahid ; Noghani, Farzaneh ; Noghanibehambari, Hamid. In: Papers. RePEc:arx:papers:2101.03943. 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 | Statistical Arbitrage Risk Premium by Machine Learning. (2021). Tam, Yu-Man. In: Papers. RePEc:arx:papers:2103.09987. Full description at Econpapers || Download paper | |
2021 | Frequency-Dependent Higher Moment Risks. (2021). BarunÃk, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264. Full description at Econpapers || Download paper | |
2022 | An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975. 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 | |
2022 | Tax 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. Full description at Econpapers || Download paper | |
2021 | Output, 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. Full description at Econpapers || Download paper | |
2021 | The Adaptive Multi-Factor Model and the Financial Market. (2021). Zhu, Liao. In: Papers. RePEc:arx:papers:2107.14410. Full description at Econpapers || Download paper | |
2021 | Uncertainty, volatility and the persistence norms of financial time series. (2021). Rudkin, Simon ; Qiu, Wanling ; Dlotko, Pawel. In: Papers. RePEc:arx:papers:2110.00098. Full description at Econpapers || Download paper | |
2022 | On Robust Inference in Time Series Regression. (2022). Baillie, Richard T ; Ho, Kun ; Kapetanios, George ; Diebold, Francis X. In: Papers. RePEc:arx:papers:2203.04080. Full description at Econpapers || Download paper | |
2022 | The Cross-Sectional Intrinsic Entropy. A Comprehensive Stock Market Volatility Estimator. (2022). Ausloos, Marcel ; Vinte, Claudiu. In: Papers. RePEc:arx:papers:2205.00104. Full description at Econpapers || Download paper | |
2022 | The perils of Kremlins influence: evidence from Ukraine. (2022). Spruk, Rok ; Kovac, Mitja ; Focacci, Chiara Natalie. In: Papers. RePEc:arx:papers:2206.04950. Full description at Econpapers || Download paper | |
2022 | An 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. Full description at Econpapers || Download paper | |
2022 | Dissecting the dot-com bubble in the 1990s NASDAQ. (2022). Fan, Yuchao. In: Papers. RePEc:arx:papers:2206.14130. Full description at Econpapers || Download paper | |
2022 | Risk in Network Economies. (2022). Sellemi, Victor. In: Papers. RePEc:arx:papers:2208.01467. Full description at Econpapers || Download paper | |
2022 | Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper | |
2022 | The boosted HP filter is more general than you might think. (2022). Shi, Zhentao ; PEter, ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2209.09810. Full description at Econpapers || Download paper | |
2022 | Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference. (2022). Seleznev, Sergei ; Khabibullin, Ramis. In: Papers. RePEc:arx:papers:2210.07154. Full description at Econpapers || Download paper | |
2022 | State-dependent Asset Allocation Using Neural Networks. (2022). Neghab, Davood Pirayesh ; Bradrania, Reza. In: Papers. RePEc:arx:papers:2211.00871. Full description at Econpapers || Download paper | |
2022 | A 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. Full description at Econpapers || Download paper | |
2022 | Liquidity Costs, Idiosyncratic Volatility and Expected Stock Returns. (2022). Satchell, Stephen ; Peat, Maurice ; Bradrania, Reza M. In: Papers. RePEc:arx:papers:2211.04695. 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 | |
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 | Measuring the Business Cycle in Bulgaria. (2021). Karamisheva, Tania. In: Economic Studies journal. RePEc:bas:econst:y:2021:i:3:p:17-38. Full description at Econpapers || Download paper | |
2022 | Why you should never use the Hodrick-Prescott Filter: Comment. (2022). Moura, Alban. In: BCL working papers. RePEc:bcl:bclwop:bclwp162. Full description at Econpapers || Download paper | |
2021 | A Sentiment-based Risk Indicator for the Mexican Financial Sector. (2021). Palma, Brenda ; Fernandez, Raul ; Rho, Caterina. In: Working Papers. RePEc:bdm:wpaper:2021-04. Full description at Econpapers || Download paper | |
2022 | The Rising Interconnectedness of the Insurance Sector. (2022). Jourde, Tristan. In: Working papers. RePEc:bfr:banfra:857. Full description at Econpapers || Download paper | |
2022 | Global 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. 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 | Misvaluation and the Asset Growth Anomaly. (2022). Lambertides, Neophytos. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:1:p:105-141. Full description at Econpapers || Download paper | |
2022 | Assessing 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. Full description at Econpapers || Download paper | |
2021 | Markets, 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. Full description at Econpapers || Download paper | |
2021 | DSGE 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. Full description at Econpapers || Download paper | |
2021 | DSGE 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. Full description at Econpapers || Download paper | |
2021 | National 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. Full description at Econpapers || Download paper | |
2022 | Government 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. Full description at Econpapers || Download paper | |
2021 | How 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. Full description at Econpapers || Download paper | |
2021 | Economic 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. 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 | Correlation 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. Full description at Econpapers || Download paper | |
2021 | Defined 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. Full description at Econpapers || Download paper | |
2021 | Can 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. Full description at Econpapers || Download paper | |
2021 | Expectations 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2022 | Do 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. Full description at Econpapers || Download paper | |
2021 | On 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. Full description at Econpapers || Download paper | |
2021 | Provincial 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2022 | Doubly heterogeneous monetary spillovers. (2022). Shah, Nihar. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:2:p:126-150. Full description at Econpapers || Download paper | |
2021 | Internet 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. Full description at Econpapers || Download paper | |
2021 | Buy 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. Full description at Econpapers || Download paper | |
2021 | Forecasting 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. Full description at Econpapers || Download paper | |
2021 | Is 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. Full description at Econpapers || Download paper | |
2021 | The 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. 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 | |
2021 | Distracted 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. 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 | The 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. Full description at Econpapers || Download paper | |
2021 | Limited 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. Full description at Econpapers || Download paper | |
2021 | Model?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. Full description at Econpapers || Download paper | |
2021 | Leveraged 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. Full description at Econpapers || Download paper | |
2021 | Time 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. Full description at Econpapers || Download paper | |
2021 | Tracking 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. Full description at Econpapers || Download paper | |
2021 | Do 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. 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 | Common 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. Full description at Econpapers || Download paper | |
2021 | Information?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. Full description at Econpapers || Download paper | |
2022 | Negative 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. Full description at Econpapers || Download paper | |
2021 | Quantifying 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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2021 | What 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. Full description at Econpapers || Download paper | |
2021 | Consumer 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. Full description at Econpapers || Download paper | |
2021 | Convergence 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. Full description at Econpapers || Download paper | |
2021 | Disparities 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. Full description at Econpapers || Download paper | |
2022 | Interregional 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. Full description at Econpapers || Download paper | |
2021 | Did 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. Full description at Econpapers || Download paper | |
2021 | Income 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. Full description at Econpapers || Download paper | |
2021 | How 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. Full description at Econpapers || Download paper | |
2022 | Defence 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. Full description at Econpapers || Download paper | |
2021 | Interest Rate Skewness and Biased Beliefs. (2021). Chernov, Mikhail ; Bauer, Michael D. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9150. Full description at Econpapers || Download paper | |
2021 | Measuring Market Expectations. (2021). Baumeister, Christiane. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9305. Full description at Econpapers || Download paper | |
2022 | Coherence 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. Full description at Econpapers || Download paper | |
2022 | Shadow 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. Full description at Econpapers || Download paper | |
2021 | Currency Anomalies. (2021). Bartram, Söhnke ; Garratt, Anthony ; Djuranovik, Leslie . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15653. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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1990 | Volatility in the Foreign Exchange and Stock Markets: Is It Excessive? In: American Economic Review. [Full Text][Citation analysis] | article | 7 |
1990 | On Testing for Speculative Bubbles. In: Journal of Economic Perspectives. [Full Text][Citation analysis] | article | 167 |
1986 | Asset Price Volatility, Bubbles, and Process Switching. In: Journal of Finance. [Full Text][Citation analysis] | article | 41 |
1986 | Asset 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] | article | 279 |
1991 | Characterizing 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 | |
2001 | Expectations Hypotheses Tests In: Journal of Finance. [Full Text][Citation analysis] | article | 177 |
2000 | Expectations Hypotheses Tests.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 177 | paper | |
2006 | The Cross?Section of Volatility and Expected Returns In: Journal of Finance. [Full Text][Citation analysis] | article | 1175 |
2004 | The 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 | |
2009 | International Stock Return Comovements In: Journal of Finance. [Full Text][Citation analysis] | article | 317 |
2006 | International Stock Return Comovements.(2006) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 317 | paper | |
2008 | International stock return comovements.(2008) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 317 | paper | |
2005 | International Stock Return Comovements.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 317 | paper | |
2005 | International Stock Return Comovements.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 317 | paper | |
1982 | Perfect Foresight, Financial Policies, and Exchange-Rate Dynamics. In: Canadian Journal of Economics. [Full Text][Citation analysis] | article | 2 |
2001 | Do We Need Multi-Country Models to Explain Exchange Rate, Interest Rate and Bond Return Dynamics? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Aggregate Idiosyncratic Volatility In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 81 |
2012 | Aggregate Idiosyncratic Volatility.(2012) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 81 | article | |
2010 | Aggregate Idiosyncratic Volatility.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 81 | paper | |
2018 | International Financial Management In: Cambridge Books. [Citation analysis] | book | 9 |
1979 | On the monetary analysis of exchange rates : A comment In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 4 |
1982 | Monetary accomodation and the variability of output, prices, and exchange rates : A comment In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 0 |
1989 | U.S. International capital flows: Perspectives from rational maximizing models In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 16 |
1988 | U.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 | |
2002 | Do 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] | article | 22 |
1981 | International asset pricing with time-varying risk premia In: Journal of International Economics. [Full Text][Citation analysis] | article | 28 |
1986 | Real aspects of exchange rate regime choice with collapsing fixed rates In: Journal of International Economics. [Full Text][Citation analysis] | article | 36 |
1985 | Real 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 | |
1987 | Foreign currency futures In: Journal of International Economics. [Full Text][Citation analysis] | article | 29 |
1985 | Foreign Currency Futures.(1985) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | paper | |
2016 | Estimating the risk-return trade-off with overlapping data inference In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 5 |
2014 | Estimating 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 | |
1997 | On biases in tests of the expectations hypothesis of the term structure of interest rates In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 205 |
1996 | On 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 | |
1996 | On 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 | |
2001 | Evaluating the specification errors of asset pricing models In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 92 |
2000 | Evaluating 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 | |
2009 | High idiosyncratic volatility and low returns: International and further U.S. evidence In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 434 |
2008 | High 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 | |
1993 | On biases in the measurement of foreign exchange risk premiums In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 154 |
1991 | On 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 | |
1984 | An investigation of risk and return in forward foreign exchange In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 116 |
1983 | An 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 | |
1986 | The covariation of risk premiums and expected future spot exchange rates In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 79 |
1985 | The 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 | |
1982 | On the effects of macroeconomic policy in a maximizing model of a small open economy In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 5 |
1989 | Risk, uncertainty, and exchange rates In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 115 |
1987 | Risk, Uncertainty and Exchange Rates.(1987) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 115 | paper | |
1997 | The implications of first-order risk aversion for asset market risk premiums In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 92 |
1994 | The 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 | |
1994 | The 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 | |
1997 | The 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 | |
1997 | The 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 | |
2001 | Peso problem explanations for term structure anomalies In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 162 |
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 | |
1997 | Peso Problem Explanations for Term Structure Anomalies.(1997) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 162 | paper | |
2002 | Comment on:: Time varying liquidity in foreign exchange In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 0 |
1980 | Dynamic effects of government policies in an open economy In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 5 |
1982 | The dynamic adjustment path for perfectly foreseen changes in monetary policy In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 3 |
2000 | Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate Dynamics?. In: Columbia - Graduate School of Business. [Citation analysis] | paper | 0 |
1984 | Exchange Rate and Price Dynamics with Asymmetric Information. In: International Economic Review. [Full Text][Citation analysis] | article | 0 |
1999 | An International Dynamic Asset Pricing Model In: International Tax and Public Finance. [Full Text][Citation analysis] | article | 21 |
1999 | An International Dynamic Asset Pricing Model.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
1997 | Postwar U.S. Business Cycles: An Empirical Investigation. In: Journal of Money, Credit and Banking. [Citation analysis] | article | 2039 |
1981 | Post-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 | |
1983 | Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models In: NBER Chapters. [Full Text][Citation analysis] | chapter | 129 |
1991 | Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 10 |
1983 | Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle In: NBER Working Papers. [Full Text][Citation analysis] | paper | 9 |
1985 | Optimal 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 | |
1986 | Money and the Open Economy Business Cycle: A Flexible Price Model In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
1986 | An Evaluation of Recent Evidence on Stock Market Bubbles In: NBER Working Papers. [Full Text][Citation analysis] | paper | 19 |
2014 | Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2014 | The Carry Trade: Risks and Drawdowns In: NBER Working Papers. [Full Text][Citation analysis] | paper | 37 |
2017 | The Carry Trade: Risks and Drawdowns.(2017) In: Critical Finance Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | article | |
2018 | Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2021 | Taking 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 | |
2020 | An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data In: NBER Working Papers. [Full Text][Citation analysis] | paper | 22 |
1989 | The Variability of Velocity in Cash-In-Advance Models In: NBER Working Papers. [Full Text][Citation analysis] | paper | 85 |
1991 | The 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 | |
1989 | Testable Implications of Indeterminacies in Models with Rational Expectations In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
1992 | Financial Market Efficiency Tests In: NBER Working Papers. [Full Text][Citation analysis] | paper | 34 |
2002 | Pricing the Global Industry Portfolios In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
1992 | Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 677 |
1980 | Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 816 |
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