Robert James Hodrick : Citation Profile

Columbia University

26

H index

32

i10 index

7150

Citations

RESEARCH PRODUCTION:

38

Articles

44

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   42 years (1979 - 2021). See details.
   Cites by year: 170
   Journals where Robert James Hodrick has often published
   Relations with other researchers
   Recent citing documents: 397.    Total self citations: 37 (0.51 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pho115
   Updated: 2025-01-10    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 (84)

Sarno, Lucio (58)

Campbell, John (45)

Ang, Andrew (45)

Thornton, Daniel (41)

Engel, Charles (35)

Wolff, Christian (34)

GUPTA, RANGAN (29)

Lewis, Karen (25)

Wagner, Christian (25)

Wei, Min (25)

Cites to:

Campbell, John (53)

Bekaert, Geert (33)

Hansen, Lars (33)

Shiller, Robert (28)

French, Kenneth (24)

Fama, Eugene (21)

merton, robert (19)

Harvey, Campbell (19)

Jagannathan, Ravi (17)

Bollerslev, Tim (16)

West, Kenneth (14)

Main data

Production by document typechapterpaperarticlebook1980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020210510Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published19791980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020210255075100Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received1980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240100200300400Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year19791980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020210k1k2k3kCitations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 26Most cited documents123456789101112131415161718192021222324252627280k1k2k3kNumber of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025010102030h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Robert James Hodrick has published?

Journals with more than one article published# docs
Journal of Monetary Economics6
Journal of Finance4
Journal of Financial Economics3
Journal of International Economics3
Journal of International Money and Finance3
Carnegie-Rochester Conference Series on Public Policy3
Critical Finance Review2
Journal of Political Economy2

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 (2024 and 2023)

Year  ↓Title of citing document  ↓
2023Oil price shocks and energy transition in Africa. (2023). Nchofoung, Tii. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:23/064.

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2023Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries. (2023). Nersisyan, Liana ; Lyrio, Marco ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023002.

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2023A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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

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

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

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2023Adaptive hedging horizon and hedging performance estimation. (2023). Han, Qing ; Di, Junpeng ; Haoyu, Wang. In: Papers. RePEc:arx:papers:2302.00251.

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2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

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

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

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2023Valuation Duration of the Stock Market. (2023). Wang, Chen ; Li, YE. In: Papers. RePEc:arx:papers:2310.07110.

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2023Adaptive Bayesian Learning with Action and State-Dependent Signal Variance. (2023). Hou, Kaiwen. In: Papers. RePEc:arx:papers:2311.12878.

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

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

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

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2023.

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2023A robust model for the term structure of interest rates: some applications in Colombia. (2023). Rodríguez-Novoa, Daniela ; Sanchez-Quinto, Camilo Eduardo ; Rodriguez-Novoa, Daniela ; Cabrera-Rodriguez, Wilmar Alexander. In: Borradores de Economia. RePEc:bdr:borrec:1255.

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2023.

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2023A state‐price volatility index for the U.S. government bond market. (2018). Pan, Zheyao. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:573-597.

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2023How is illiquidity priced in the Chinese stock market?. (2023). Shen, Zhiqi ; Jiang, Fuwei ; Wu, Kai ; Liu, Jun. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1285-1320.

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2023Natural and cyclical unemployment: A stochastic frontier decomposition and economic policy implications. (2023). Moral, Alfonso ; Martín-Román, Ángel ; Cuellarmartin, Jaime ; Martinroman, Angel L. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:1:p:5-39.

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2023Extracting business cycles with three filters: A comparative study and application in the case of China. (2023). Li, Naiqian ; Sun, Chentong. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:2:p:254-269.

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2023Is it time for popcorn? Daily box office earnings and aggregate stock returns. (2023). Fortin, Steve ; Oz, Seda. In: Financial Management. RePEc:bla:finmgt:v:52:y:2023:i:2:p:375-401.

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2023.

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2023Understanding the transmission of crash risk between cryptocurrency and equity markets. (2023). Corbet, Shaen ; Liu, Zhifeng ; Toan, Luu Duc ; Goodell, John W ; Dai, Pengfei. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:3:p:539-573.

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2023Risk and return in the foreign exchange market: Measurement without VARs. (2023). Luo, Shaowen. In: International Finance. RePEc:bla:intfin:v:26:y:2023:i:1:p:64-81.

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2023Average skewness in global equity markets. (2023). Kirli, Imra ; Gunaydin, Doruk A ; Demirtas, Ozgur K ; Atilgan, Yigit. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:245-271.

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2023How Risky Are U.S. Corporate Assets?. (2023). Yaron, Amir ; Shaliastovich, Ivan ; Richard, Scott ; Davydiuk, Tetiana. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:141-208.

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2023Beliefs Aggregation and Return Predictability. (2023). Wang, Yajun ; Obizhaeva, Anna A ; Kyle, Albert S. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:427-486.

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2023Pricing Currency Risks. (2023). Chernov, Mikhail ; Lochstoer, Lars ; Dahlquist, Magnus. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:693-730.

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2023.

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2023The Pollution Premium. (2023). Tsou, Chiyang ; Li, Kai ; Hsu, Pohsuan. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1343-1392.

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

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

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2023Consumer 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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2024Give me a U, give me a V, give me an L!: How effective are countercyclical policies in shaping the output dynamic during recessions. (2024). Pearrieta, Luis Castro ; Castaeda, Gonzalo. In: Metroeconomica. RePEc:bla:metroe:v:75:y:2024:i:1:p:107-133.

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

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2023Carry trade and forward premium puzzle from the perspective of a safe?haven currency. (2020). Nitschka, Thomas ; Haab, David R. In: Review of International Economics. RePEc:bla:reviec:v:28:y:2020:i:2:p:376-394.

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2023Shadow rates as a measure of the monetary policy stance: Some international evidence. (2023). Caporale, Guglielmo Maria ; Anderl, Christina. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:70:y:2023:i:5:p:399-422.

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2023Modeling which Factors Impact Interest Rates. (2023). Wang, Guizhou ; Hausken, Kjell. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:12:y:2023:i:2:p:211-237.

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2023The midterm election effect on US stock returns: Some practical considerations for investors. (2023). Wagner, Moritz ; Biakowski, Jdrzej ; Anderson, Warwick. In: Working Papers in Economics. RePEc:cbt:econwp:23/05.

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2023The Asymmetric Impact of Economic Policy and Oil Price Uncertainty on Inflation: Evidence from Developed and Emerging Economies. (2023). Anderl, Christina ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10276.

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2023Monetary policy and local industry structure. (2023). Steininger, Lea ; Popov, Alexander. In: Working Paper Series. RePEc:ecb:ecbwps:20232778.

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2023Investor-driven corporate finance: evidence from insurance markets. (2023). Kubitza, Christian. In: Working Paper Series. RePEc:ecb:ecbwps:20232816.

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2023Price setting on the two sides of the Atlantic: evidence from supermarket-scanner data. (2023). Karadi, Peter ; Wursten, Jesse ; Seiler, Pascal ; Bachiller, Javier Sanchez ; Amann, Juergen. In: Working Paper Series. RePEc:ecb:ecbwps:20232853.

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2023Non-overlap of suitable areas of agro-climatic resources and main planting areas is the main reason for potato drought disaster in Inner Mongolia, China. (2023). Liu, Xingping ; Bao, Yongbin ; Guga, Suri ; Riao, Dao ; Zhang, Jiquan ; Tong, Zhijun. In: Agricultural Water Management. RePEc:eee:agiwat:v:275:y:2023:i:c:s0378377422005807.

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2023Social credit and patent quality: Evidence from China. (2023). Fei, Qingyu ; Yu, Yongze ; Hu, Shan. In: Journal of Asian Economics. RePEc:eee:asieco:v:84:y:2023:i:c:s1049007822001269.

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2023Banks’ net interest rate spread and the transmission of monetary policy in Korea. (2023). Kim, Jinyong ; Jung, Yong-Gook. In: Journal of Asian Economics. RePEc:eee:asieco:v:89:y:2023:i:c:s104900782300074x.

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2023The beta anomaly and the quality effect in international stock markets. (2023). Wu, Winston ; Veron, Jose Francisco ; Bradrania, Reza. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000229.

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2023Company name fluency and stock returns. (2023). , Remco ; van den Assem, Martijn J ; Montone, Maurizio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000333.

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2023Beta, value, and growth: Do dichotomous risk-preferences explain stock returns?. (2023). Montone, Maurizio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000485.

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2023Asymmetric response to earnings news across different sentiment states: The role of cognitive dissonance. (2023). Huang, Zhijian James ; Wen, Fenghua ; Li, Zhuo. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001869.

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

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2023Social contagion and the survival of diverse investment styles. (2023). Hirshleifer, David ; Zhang, Ruixun ; Lo, Andrew W. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:154:y:2023:i:c:s0165188923001173.

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2023Firm heterogeneity, financial frictions and ambiguity. (2023). Maurici, Filippo ; Carbonari, Lorenzo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:155:y:2023:i:c:s0165188923001422.

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

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

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

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

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

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

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2023Are greenhouse gas emissions converging in Latin America? Implications for environmental policies. (2023). Molina, José Alberto ; Belloc, Ignacio. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:337-356.

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2023The asymmetric impact of exchange rate misalignment on economic growth of India: An application of Hodrick–Prescott filter technique. (2023). Wohar, Mark ; Nosheen, Misbah ; Mahmood, Fatima ; Iqbal, Javed. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:809-823.

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2023Club convergence of labor market institutions in the European Union. (2023). Arčabić, Vladimir ; Dumani, Lucija Rogi ; Arabi, Vladimir ; Obadi, Alka. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:876-896.

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2023Modelling output gaps in the Euro Area with structural breaks: The COVID-19 recession. (2023). , Joo ; Dias, Jose Carlos ; Dutra, Tiago Mota ; Fernandes, Mario Correia. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1046-1058.

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2023Assessment of Fiji’s exchange rate. (2023). Vuniivi, Viliame ; Prakash, Branesh ; Prabheesh, K P. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1282-1305.

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2023Currency portfolio behavior in seven major Asian markets. (2023). Lin, Chinho ; Chang, Hao-Wen. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:540-559.

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2023The increased interest in Bitcoin and the immediate and long-term impact of Bitcoin volatility on global stock markets. (2023). Bazan-Palomino, Walter. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:1080-1095.

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2023Forecasting dividend growth: The role of adjusted earnings yield. (2023). Li, Luyang ; Chen, LI ; Huang, Difang ; Yu, Deshui. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322004254.

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2023Idiosyncratic risk and cross-section of stock returns in emerging European markets. (2023). Wojtowicz, Tomasz ; Czapkiewicz, Anna ; Zaremba, Adam. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001347.

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2023Macroeconomic volatility and the current account: Extending the evidence. (2023). Jalles, Joao ; Karras, Georgios. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001463.

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2023A time-varying Phillips curve with global factors: Are global factors important?. (2023). Poon, Aubrey ; Kabundi, Alain ; Wu, Ping. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002353.

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2023Sovereign yield curves and the COVID-19 in emerging markets. (2023). Moura, Rubens ; Candelon, Bertrand. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s0264999323002651.

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2023Drivers of risk correlation among financial institutions: A study based on a textual risk disclosure perspective. (2023). Feng, Yuyao ; Li, Jingyu ; Jing, Zhongbo. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323002808.

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2023Regime-dependent effects of macroeconomic uncertainty on realized volatility in the U.S. stock market. (2023). Garrett, Ian ; Liu, Wei. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s026499932300295x.

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2023The heterogeneity of Okuns law: A metaregression analysis. (2023). Martín-Román, Ángel ; Martin-Roman, Angel L ; Porras-Arena, Sylvina M. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003024.

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2023ICT and economic resilience: Evidence from the COVID-19 pandemic. (2023). Papaioannou, Sotiris K. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003127.

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

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

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

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2023The RP-PCA factors and stock return predictability: An aligned approach. (2023). Shi, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001978.

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2023Evaluating asset pricing models with non-traded factors using the method of maximum-correlated portfolios. (2023). Kimmel, Robert L ; Yin, Ximing ; Yang, GE. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:68:y:2023:i:c:s1062940823001031.

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

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

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

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

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2023The energy transition and export diversification in oil-dependent countries: The role of structural factors. (2023). Omgba, Luc Desire ; Karanfil, Fatih. In: Ecological Economics. RePEc:eee:ecolec:v:204:y:2023:i:pb:s0921800922003421.

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

Works by Robert James Hodrick:

Year  ↓Title  ↓Type  ↓Cited  ↓
1990Volatility in the Foreign Exchange and Stock Markets: Is It Excessive? In: American Economic Review.
[Full Text][Citation analysis]		article7
1990On Testing for Speculative Bubbles. In: Journal of Economic Perspectives.
[Full Text][Citation analysis]		article174
1986 Asset Price Volatility, Bubbles, and Process Switching. In: Journal of Finance.
[Full Text][Citation analysis]		article44
1986Asset Price Volatility, Bubbles, and Process Switching.(1986) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 44		paper
1992 Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets. In: Journal of Finance.
[Full Text][Citation analysis]		article289
1991Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets.(1991) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 289		paper
2001Expectations Hypotheses Tests In: Journal of Finance.
[Full Text][Citation analysis]		article180
2000Expectations Hypotheses Tests.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 180		paper
2009International Stock Return Comovements In: Journal of Finance.
[Full Text][Citation analysis]		article370
2006International Stock Return Comovements.(2006) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 370		paper
2008International stock return comovements.(2008) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 370		paper
2005International Stock Return Comovements.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 370		paper
2005International Stock Return Comovements.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 370		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]		paper92
2012Aggregate Idiosyncratic Volatility.(2012) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 92		article
2010Aggregate Idiosyncratic Volatility.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 92		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 nother version. Agregated cites: 16		paper
2002Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics? In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article23
1981International asset pricing with time-varying risk premia In: Journal of International Economics.
[Full Text][Citation analysis]		article29
1986Real aspects of exchange rate regime choice with collapsing fixed rates In: Journal of International Economics.
[Full Text][Citation analysis]		article37
1985Real Aspects of Exchange Rate Regime Choice with Collapsing Fixed Rates.(1985) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		paper
1987Foreign currency futures In: Journal of International Economics.
[Full Text][Citation analysis]		article32
1985Foreign Currency Futures.(1985) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		paper
2016Estimating the risk-return trade-off with overlapping data inference In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2014Estimating the Risk-Return Trade-off with Overlapping Data Inference.(2014) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother 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]		article214
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 nother version. Agregated cites: 214		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 nother version. Agregated cites: 214		paper
2001Evaluating the specification errors of asset pricing models In: Journal of Financial Economics.
[Full Text][Citation analysis]		article93
2000Evaluating the Specification Errors of Asset Pricing Models.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 93		paper
2009High idiosyncratic volatility and low returns: International and further U.S. evidence In: Journal of Financial Economics.
[Full Text][Citation analysis]		article505
2008High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 505		paper
1993On biases in the measurement of foreign exchange risk premiums In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article160
1991On Biases in the Measurement of Foreign Exchange Risk Premiums.(1991) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 160		paper
1984An investigation of risk and return in forward foreign exchange In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article117
1983An Investigation of Risk and Return in Forward Foreign Exchange.(1983) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 117		paper
1986The covariation of risk premiums and expected future spot exchange rates In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article85
1985The Covariation of Risk Premiums and Expected Future Spot Exchange Rates.(1985) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 85		paper
1982On the effects of macroeconomic policy in a maximizing model of a small open economy In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article5
1989Risk, uncertainty, and exchange rates In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article125
1987Risk, Uncertainty and Exchange Rates.(1987) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 125		paper
1997The implications of first-order risk aversion for asset market risk premiums In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article94
1994The implications of first-order risk aversion for asset market risk premiums.(1994) In: Working Paper Series, Macroeconomic Issues.
[Citation analysis]
This paper has nother version. Agregated cites: 94		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 nother version. Agregated cites: 94		paper
1997The implications of first-order risk aversion for asset market risk premiums.(1997) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 94		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 nother version. Agregated cites: 94		paper
2001Peso problem explanations for term structure anomalies In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article164
1997\Peso problem\ explanations for term structure anomalies.(1997) In: Working Paper Series, Issues in Financial Regulation.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 164		paper
1997Peso Problem Explanations for Term Structure Anomalies.(1997) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 164		paper
2002Comment on:: Time varying liquidity in foreign exchange In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article0
1980Dynamic effects of government policies in an open economy In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article5
1982The dynamic adjustment path for perfectly foreseen changes in monetary policy In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article3
2000Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate Dynamics?. In: Columbia - Graduate School of Business.
[Citation analysis]		paper2
1984Exchange Rate and Price Dynamics with Asymmetric Information. In: International Economic Review.
[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 nother version. Agregated cites: 21		paper
1997Postwar U.S. Business Cycles: An Empirical Investigation. In: Journal of Money, Credit and Banking.
[Citation analysis]		article2231
1981Post-War U.S. Business Cycles: An Empirical Investigation.(1981) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2231		paper
1983Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models In: NBER Chapters.
[Full Text][Citation analysis]		chapter136
1991Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement In: NBER Technical Working Papers.
[Full Text][Citation analysis]		paper10
2004The Cross-Section of Volatility and Expected Returns In: NBER Working Papers.
[Full Text][Citation analysis]		paper15
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 nother version. Agregated cites: 9		article
1986Money and the Open Economy Business Cycle: A Flexible Price Model In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
1986An Evaluation of Recent Evidence on Stock Market Bubbles In: NBER Working Papers.
[Full Text][Citation analysis]		paper22
2014Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2014The Carry Trade: Risks and Drawdowns In: NBER Working Papers.
[Full Text][Citation analysis]		paper47
2017The Carry Trade: Risks and Drawdowns.(2017) In: Critical Finance Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 47		article
2018Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
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 nother version. Agregated cites: 4		article
2020An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper34
1989The Variability of Velocity in Cash-In-Advance Models In: NBER Working Papers.
[Full Text][Citation analysis]		paper89
1991The Variability of Velocity in Cash-in-Advance Models..(1991) In: Journal of Political Economy.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 89		article
1989Testable Implications of Indeterminacies in Models with Rational Expectations In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
1992Financial Market Efficiency Tests In: NBER Working Papers.
[Full Text][Citation analysis]		paper35
2002Pricing the Global Industry Portfolios In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement. In: The Review of Financial Studies.
[Full Text][Citation analysis]		article723
1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis. In: Journal of Political Economy.
[Full Text][Citation analysis]		article879

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