Robert James Hodrick : Citation Profile


Are you Robert James Hodrick?

Columbia University

24

H index

30

i10 index

6816

Citations

RESEARCH PRODUCTION:

39

Articles

44

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   42 years (1979 - 2021). See details.
   Cites by year: 162
   Journals where Robert James Hodrick has often published
   Relations with other researchers
   Recent citing documents: 574.    Total self citations: 37 (0.54 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pho115
   Updated: 2021-10-16    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 (81)

Sarno, Lucio (58)

Ang, Andrew (47)

Thornton, Daniel (39)

Campbell, John (38)

Wolff, Christian (32)

GUPTA, RANGAN (30)

Engel, Charles (29)

Wagner, Christian (27)

Bollerslev, Tim (26)

Valente, Giorgio (26)

Cites to:

Campbell, John (39)

Hansen, Lars (31)

Bekaert, Geert (27)

Shiller, Robert (25)

French, Kenneth (21)

Fama, Eugene (20)

Harvey, Campbell (18)

merton, robert (13)

West, Kenneth (12)

Marshall, David (11)

Mankiw, N. Gregory (10)

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
Critical Finance Review2
Journal of Political Economy2

Working Papers Series with more than one paper published# docs
Working Paper Series, Issues in Financial Regulation / Federal Reserve Bank of Chicago2

Recent works citing Robert James Hodrick (2021 and 2020)


YearTitle of citing document
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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2020Regional multipliers across the Italian regions. (2020). Fragetta, Matteo ; Destefanis, Sergio ; di Serio, Mario. In: Discussion Paper series in Regional Science & Economic Geography. RePEc:ahy:wpaper:wp4.

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2020Tail 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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2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

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2020Quantile Factor Models. (2019). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang. In: Papers. RePEc:arx:papers:1911.02173.

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2021Predicting 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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2020Investor Experiences and International Capital Flows. (2020). Vanasco, Victoria ; Pouzo, Demian ; Malmendier, Ulrike. In: Papers. RePEc:arx:papers:2001.07790.

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2020Choosing the Right Return Distribution and the Excess Volatility Puzzle. (2020). Fabozzi, Frank J ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2001.08865.

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2020Refined model of the covariance/correlation matrix between securities. (2020). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2001.08911.

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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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2020Spanning analysis of stock market anomalies under Prospect Stochastic Dominance. (2020). Scaillet, Olivier ; Topaloglou, Nikolas ; Arvanitis, Stelios. In: Papers. RePEc:arx:papers:2004.02670.

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2020Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences. (2020). Nwogugu, Michael. In: Papers. RePEc:arx:papers:2005.01709.

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2020Dynamic Network Risk. (2020). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639.

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

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

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2021Tax 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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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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2020Mutual funds performance: the role of distribution networks and bank affiliation. (2020). Marinelli, Giuseppe ; Hamaui, Andrea ; Cardillo, Andrea ; Albareto, Giorgio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1272_20.

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2020The NAIRU and Informality in the Mexican Labor Market. (2020). Alcaraz Pribaz, Carlo ; Rodriguez-Perez, Cid Alonso ; Ramirez, Claudia ; Aguilar-Argaez, Ana Maria . In: Working Papers. RePEc:bdm:wpaper:2020-09.

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2020Term Premium Dynamics and its Determinants: The Mexican Case. (2020). Roldan-Pea, Jessica ; Elizondo, Rocio ; Diego-Fernandez, Maria ; Aguilar-Argaez, Ana. In: Working Papers. RePEc:bdm:wpaper:2020-18.

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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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2020Cross-border Investments and Uncertainty: Firm-level Evidence. (2020). Gigout, Timothee ; CEZAR, Rafael ; Tripier, Fabien. In: Working papers. RePEc:bfr:banfra:766.

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2020Margin trading and price efficiency: information content or price‐adjustment speed?. (2020). Lv, Dayong ; Wu, Wenfeng. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2889-2918.

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2020Stock market volatility: friend or foe?. (2020). Gunasekarage, Abeyratna ; Dempsey, Michael ; Truong, Thanh Tan. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3477-3492.

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2020Is the interest rate setting behaviour of the Bank of Ghana constrained by high debt levels?. (2020). Alagidede, Imhotep Paul ; Iddrisu, Abdulaziz. In: African Development Review. RePEc:bla:afrdev:v:32:y:2020:i:3:p:459-471.

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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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2020Glamour among value: P/E ratios and value investor attention. (2020). Moore, Jordan. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:673-706.

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2020Portfolio manager home‐country culture and mutual fund risk‐taking. (2020). Jiao, Wei. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:805-838.

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2020FAMILY FIRM PERFORMANCE OVER THE BUSINESS CYCLE: A META‐ANALYSIS. (2020). Neuenkirch, Matthias ; Block, Joern ; Hansen, Christopher. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:34:y:2020:i:3:p:476-511.

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2020Consumption Fluctuations and Expected Returns. (2020). Priestley, Richard ; Moller, Stig V ; Atanasov, Victoria. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1677-1713.

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2020The Banking View of Bond Risk Premia. (2020). Sraer, David ; Haddad, Valentin. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2465-2502.

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2020Low‐Risk Anomalies?. (2020). Zechner, Josef ; Wagner, Christian ; Schneider, Paul. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2673-2718.

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2020Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy. (2020). Pflueger, Carolin E ; Du, Wenxin ; Schreger, Jesse. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:6:p:3097-3138.

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2020Impact of IFRS 9 on the cost of funding of banks in Europe. (2020). Ouenniche, Jamal ; Bock, Robert ; Fatouh, Mahmoud. In: Bank of England working papers. RePEc:boe:boeewp:0851.

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2020The welfare cost of inflation with banking time. (2020). Gillman, Max ; Max, Gillman. In: The B.E. Journal of Macroeconomics. RePEc:bpj:bejmac:v:20:y:2020:i:1:p:20:n:18.

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2020Validity of the Expectations Hypothesis of the Term Structure of Interest Rates: The Case of Saudi Arabia. (2020). Hamed, Alhoshan ; Nizar, Harrathi. In: Review of Middle East Economics and Finance. RePEc:bpj:rmeecf:v:16:y:2020:i:1:p:18:n:1.

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2020The term structure of Eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach. (2020). lucey, brian ; Bekiros, Stelios ; Brian, Lucey ; Stelios, Bekiros ; Christos, Avdoulas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:4:p:23:n:4.

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2020Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp677.

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2020Leaning against the Wind and Crisis Risk. (2020). Ward, Felix ; Steege, Lucas Ter ; Schularick, Moritz. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8484.

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2020Chinese Exchange Rate Policy: Lessons for Global Investors. (2020). Westermann, Frank ; Melvin, Michael . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8493.

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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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2020Cross-border Investments and Uncertainty Firm-level Evidence. (2020). Tripier, Fabien ; CEZAR, Rafael ; Gigout, Timothee. In: Working Papers. RePEc:cii:cepidt:2020-03.

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2020Composite Survey Sentiment as a Predictor of Future Market Returns: Evidence for German Equity Indices. (2020). Rakovská, Zuzana. In: Working Papers. RePEc:cnb:wpaper:2020/13.

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2020Estimation bayésienne d’un modèle DSGE pour une petite économie ouverte : Cas de la RD Congo. (2020). UMBA, Gilles Bertrand. In: Dynare Working Papers. RePEc:cpm:dynare:057.

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2020Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models. (2020). Favero, Carlo A ; Melone, Alessandro. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14417.

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2021The Dynamics of the House Price-to-Income Ratio: Theory and Evidence. (2021). Leung, Charles ; Ho, Edward Chi ; Ka, Charles. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2021_005.

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2020Currency Futures Risk Premia and Risk Factors. (2020). Bernoth, Kerstin ; de Vries, Casper G ; Vonhagen, Jurgen ; von Hagen, Jurgen. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1866.

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2021Income Business Cycles. (2021). Kriwoluzky, Alexander ; Dany-Knedlik, Geraldine ; Pasch, Sandra. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1964.

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2020“Normal†growth of the Chinese economy: new metrics based on consumer confidence data. (2020). Soria, Petar. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00168.

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2021A machine learning approach to risk disclosure reporting. (2021). Ferreira, Alexandre ; Resende, Max. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00810.

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2020Fiscal transfers and economic convergence. (2020). Checherita Westphal, Cristina ; Capella-Ramos, Joo ; Leiner-Killinger, Nadine ; Checherita-Westphal, Cristina. In: Occasional Paper Series. RePEc:ecb:ecbops:2020252.

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2020Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. (2002). Kilian, Lutz ; Goncalves, Silvia. In: Working Paper Series. RePEc:ecb:ecbwps:20020196.

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2020Stock return comovement when investors are distracted: more, and more homogeneous. (2020). Jansen, David-Jan ; Ehrmann, Michael. In: Working Paper Series. RePEc:ecb:ecbwps:20202412.

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2020Risk and return in international corporate bond markets. (2020). Bekaert, Geert ; de Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20202452.

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2021Labor adjustment and productivity in the OECD. (2021). Dossche, Maarten ; Lewis, Vivien ; Gazzani, Andrea. In: Working Paper Series. RePEc:ecb:ecbwps:20212571.

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2020Predicting Returns for Growth and Value Stocks: A Forecast Assessment Approach Using Global Asset Pricing Models. (2020). Phillips, Michael G ; Bommer, William H ; Rana, Shailesh. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-04-12.

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2021Air pollution and behavioral biases: Evidence from stock market anomalies. (2021). Pham, Mia Hang ; Nguyen, Hung T. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303701.

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2021Do opinion polls on government preference influence stock returns?. (2021). Narayan, Seema. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s221463502100037x.

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2021Nudging against panic selling: Making use of the IKEA effect. (2021). Stutz, David ; Rieger, Marc Oliver ; Ashtiani, Amin Zokaei. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000460.

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2020Growth cycles and business cycles of the Chinese economy through the lens of the unobserved components model. (2020). Liu, Zehao ; Han, Yang ; Ma, Jun. In: China Economic Review. RePEc:eee:chieco:v:63:y:2020:i:c:s1043951x19300781.

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2020Policy uncertainty and the capital shortfall of global financial firms. (2020). Papachristopoulou, Andromachi ; Panopoulou, Ekaterini ; Matousek, Roman. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s092911992030002x.

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2020Uncertainty avoidance and mutual funds. (2020). Ramos, Sofia ; Miguel, Antonio F ; Medhat, Mamdouh ; Keswani, Aneel. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301929.

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2021US government TARP bailout and bank lottery behavior. (2021). Kasanen, Eero ; del Viva, Luca ; Trigeorgis, Lenos ; Saunders, Anthony. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920302212.

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2021Major shareholders’ trust and market risk: Substituting weak institutions with trust. (2021). Batten, Jonathan ; Aysan, Ahmet ; Chantziaras, Antonios ; Abdelsalam, Omneya. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920302285.

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2021Behavioral spillover between firms with shared auditors: The monitoring role of capital market investors. (2021). Pham, Anh Viet ; Cao, Viet Nga. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s0929119921000353.

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2021Does good luck make people overconfident? Evidence from a natural experiment in the stock market. (2021). Zhao, Bin ; Shi, Donghui ; Gao, Huasheng. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s0929119921000547.

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2021Does it pay to be socially connected with wall street brokerages? Evidence from cost of equity. (2021). Wu, YI ; Qiu, Buhui ; Luong, Thanh Son. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s0929119921000602.

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2021Mimicking insider trades. (2021). Neupane, Suman ; Marshall, Andrew ; Thapa, Chandra. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s0929119921000614.

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2020Shadow banks, leverage risks, and asset prices. (2020). Feng, XU ; Xiao, Yajun ; Lu, Lei. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919302118.

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2020Okun’s Law across time and frequencies. (2020). Martins, Manuel ; Aguiar-Conraria, Luis ; Soares, Maria Joana. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300658.

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2020International Stock Comovements with Endogenous Clusters. (2020). Owyang, Michael ; Jackson Young, Laura ; Coroneo, Laura. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300725.

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2020Investor overconfidence and the security market line: New evidence from China. (2020). Li, Youwei ; Han, Xing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301299.

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2020Time to build and bond risk premia. (2020). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301925.

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2021Dynamic connectedness among monetary policy cycle, financial cycle and business cycle in China. (2021). Wei, Xiaohui ; Yan, Jing ; Li, Xiao-Lin. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:640-652.

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2021Cyclical drivers of fiscal policy in sub-Saharan Africa: New insights from the time-varying heterogeneity approach. (2021). Altinta, Halil ; Kassouri, Yacouba. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:70:y:2021:i:c:p:51-67.

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2021Century-long dynamics and convergence of income inequality among the US states. (2021). Lee, Junsoo ; Arčabić, Vladimir ; You, YU ; Kim, Kyoung Tae ; Arabi, Vladimir. In: Economic Modelling. RePEc:eee:ecmode:v:101:y:2021:i:c:s0264999321001152.

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2020Business cycle synchronization: Disentangling direct and indirect effect of financial integration in the Indian context. (2020). Padhan, Rakesh ; Prabheesh, K P. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:272-287.

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2020More effective than we thought: Central bank independence and inflation in developing countries. (2020). Garriga, Ana Carolina ; Rodriguez, Cesar M. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:87-105.

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2020Time-varying dependence in European equity markets: A contagion and investor sentiment driven analysis. (2020). Pochea, Maria Miruna ; Nioi, Mihai. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:133-147.

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2020The devil in the style: Mutual fund style drift, performance and common risk factors. (2020). Sha, Yezhou. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:264-273.

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2020Inflation forecasting using the New Keynesian Phillips Curve with a time-varying trend. (2020). Rumler, Fabio ; Mihailov, Alexander ; McKnight, Stephen. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:383-393.

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2020On the cross-sectional relation between exchange rates and future fundamentals. (2020). Fatnassi, Ibrahim ; Hammami, Yacine ; Kharrat, Sabrine. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:484-501.

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2020The changing nature of the real exchange rate: The role of central bank preferences. (2020). Caputo, Rodrigo ; Pedersen, Michael. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:445-464.

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2020Liquidity shocks: A new solution to the forward premium puzzle. (2020). Kumar, Vikram. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:445-454.

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2020Trends and cycles under changing economic conditions. (2020). Maria, José ; Duarte, Cláudia ; Sazedj, Sharmin. In: Economic Modelling. RePEc:eee:ecmode:v:92:y:2020:i:c:p:126-146.

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2020Country and industry factors in tests of Capital Asset Pricing Models for partially integrated emerging markets. (2020). Green, Christopher J ; Bai, YE. In: Economic Modelling. RePEc:eee:ecmode:v:92:y:2020:i:c:p:180-194.

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2021Is military spending converging to a low level across countries?. (2021). Khamidova, Saida ; Gupta, Sanjeev ; Clements, Benedict J. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:433-441.

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2021The dynamics of global financial cycle and domestic economic cycles: Evidence from India and Indonesia. (2021). Juhro, Solikin ; Anglingkusumo, Reza ; Prabheesh, K P. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:831-842.

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2021Resurrecting the Phillips Curve in Low-Inflation Times. (2021). Conti, Antonio. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:172-195.

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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.
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article5
1990On Testing for Speculative Bubbles. In: Journal of Economic Perspectives.
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article154
1986 Asset Price Volatility, Bubbles, and Process Switching. In: Journal of Finance.
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article37
1986Asset Price Volatility, Bubbles, and Process Switching.(1986) In: NBER Working Papers.
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This paper has another version. Agregated cites: 37
paper
1992 Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets. In: Journal of Finance.
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article259
1991Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets.(1991) In: NBER Working Papers.
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This paper has another version. Agregated cites: 259
paper
2001Expectations Hypotheses Tests In: Journal of Finance.
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article160
2000Expectations Hypotheses Tests.(2000) In: NBER Working Papers.
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This paper has another version. Agregated cites: 160
paper
2006The Cross?Section of Volatility and Expected Returns In: Journal of Finance.
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article1020
2004The Cross-Section of Volatility and Expected Returns.(2004) In: NBER Working Papers.
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This paper has another version. Agregated cites: 1020
paper
2009International Stock Return Comovements In: Journal of Finance.
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article267
2006International Stock Return Comovements.(2006) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 267
paper
2008International stock return comovements.(2008) In: Working Paper Series.
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This paper has another version. Agregated cites: 267
paper
2005International Stock Return Comovements.(2005) In: Working Papers.
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This paper has another version. Agregated cites: 267
paper
2005International Stock Return Comovements.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 267
paper
1982Perfect Foresight, Financial Policies, and Exchange-Rate Dynamics. In: Canadian Journal of Economics.
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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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paper0
2010Aggregate Idiosyncratic Volatility In: CEPR Discussion Papers.
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paper66
2012Aggregate Idiosyncratic Volatility.(2012) In: Journal of Financial and Quantitative Analysis.
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This paper has another version. Agregated cites: 66
article
2010Aggregate Idiosyncratic Volatility.(2010) In: NBER Working Papers.
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This paper has another version. Agregated cites: 66
paper
2018International Financial Management In: Cambridge Books.
[Citation analysis]
book3
1979On the monetary analysis of exchange rates : A comment In: Carnegie-Rochester Conference Series on Public Policy.
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article2
1982Monetary accomodation and the variability of output, prices, and exchange rates : A comment In: Carnegie-Rochester Conference Series on Public Policy.
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article0
1989U.S. International capital flows: Perspectives from rational maximizing models In: Carnegie-Rochester Conference Series on Public Policy.
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article12
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: 12
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.
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article17
1981International asset pricing with time-varying risk premia In: Journal of International Economics.
[Full Text][Citation analysis]
article22
1986Real aspects of exchange rate regime choice with collapsing fixed rates In: Journal of International Economics.
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article31
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: 31
paper
1987Foreign currency futures In: Journal of International Economics.
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article26
1985Foreign Currency Futures.(1985) In: NBER Working Papers.
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This paper has another version. Agregated cites: 26
paper
2016Estimating the risk-return trade-off with overlapping data inference In: Journal of Banking & Finance.
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article3
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: 3
paper
1997On biases in tests of the expectations hypothesis of the term structure of interest rates In: Journal of Financial Economics.
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article184
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: 184
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: 184
paper
2001Evaluating the specification errors of asset pricing models In: Journal of Financial Economics.
[Full Text][Citation analysis]
article83
2000Evaluating the Specification Errors of Asset Pricing Models.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 83
paper
2009High idiosyncratic volatility and low returns: International and further U.S. evidence In: Journal of Financial Economics.
[Full Text][Citation analysis]
article373
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: 373
paper
1993On biases in the measurement of foreign exchange risk premiums In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article146
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: 146
paper
1984An investigation of risk and return in forward foreign exchange In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article100
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: 100
paper
1986The covariation of risk premiums and expected future spot exchange rates In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article71
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: 71
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]
article104
1987Risk, Uncertainty and Exchange Rates.(1987) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 104
paper
1997The implications of first-order risk aversion for asset market risk premiums In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article86
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: 86
paper
1994The Implications of First-Order Risk Aversion for Asset Market Risk Premiums.(1994) In: NBER Working Papers.
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This paper has another version. Agregated cites: 86
paper
1997The implications of first-order risk aversion for asset market risk premiums.(1997) In: Discussion Paper.
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This paper has another version. Agregated cites: 86
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: 86
paper
2001Peso problem explanations for term structure anomalies In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article151
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: 151
paper
1997Peso Problem Explanations for Term Structure Anomalies.(1997) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 151
paper
2002Comment on:: Time varying liquidity in foreign exchange In: Journal of Monetary Economics.
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article0
1980Dynamic effects of government policies in an open economy In: Journal of Monetary Economics.
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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.
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article14
1999An International Dynamic Asset Pricing Model.(1999) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
1997Postwar U.S. Business Cycles: An Empirical Investigation. In: Journal of Money, Credit and Banking.
[Citation analysis]
article1830
1981Post-War U.S. Business Cycles: An Empirical Investigation.(1981) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1830
paper
1983Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models In: NBER Chapters.
[Full Text][Citation analysis]
chapter99
1991Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement In: NBER Technical Working Papers.
[Full Text][Citation analysis]
paper3
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.
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paper1
1986An Evaluation of Recent Evidence on Stock Market Bubbles In: NBER Working Papers.
[Full Text][Citation analysis]
paper15
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]
paper23
2017The Carry Trade: Risks and Drawdowns.(2017) In: Critical Finance Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
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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paper1
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 another version. Agregated cites: 1
article
2020An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data In: NBER Working Papers.
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paper2
1989The Variability of Velocity in Cash-In-Advance Models In: NBER Working Papers.
[Full Text][Citation analysis]
paper83
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: 83
article
1989Testable Implications of Indeterminacies in Models with Rational Expectations In: NBER Working Papers.
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paper3
1992Financial Market Efficiency Tests In: NBER Working Papers.
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paper30
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]
article589
1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis. In: Journal of Political Economy.
[Full Text][Citation analysis]
article711

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