24
H index
44
i10 index
7449
Citations
Northwestern University | 24 H index 44 i10 index 7449 Citations RESEARCH PRODUCTION: 48 Articles 53 Papers 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 Ravi Jagannathan. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Finance | 11 |
Management Science | 8 |
Quarterly Review | 4 |
Journal of Financial Economics | 4 |
The Journal of Business | 3 |
Journal of Financial Intermediation | 2 |
Review of Financial Studies | 2 |
Working Papers Series with more than one paper published | # docs |
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NBER Working Papers / National Bureau of Economic Research, Inc | 33 |
Staff Report / Federal Reserve Bank of Minneapolis | 9 |
Discussion Paper / Institute for Empirical Macroeconomics / Federal Reserve Bank of Minneapolis | 3 |
Year | Title of citing document | |
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2021 | Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model. (2021). Terasvirta, Timo ; Silvennoinen, Annastiina ; Hall, Anthony D. In: CREATES Research Papers. RePEc:aah:create:2021-13. Full description at Econpapers || Download paper | |
2022 | A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Wade, Glen ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian. In: CREATES Research Papers. RePEc:aah:create:2022-01. Full description at Econpapers || Download paper | |
2022 | Expectations, Economic Uncertainty, and Sentiment. (2022). de Medeiros, Douglas. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:26:y:2022:i:5:1524. Full description at Econpapers || Download paper | |
2021 | Econometric history of the growth–volatility relationship in the USA: 1919–2017. (2021). Darne, Olivier ; Charles, Amelie. In: Cliometrica, Journal of Historical Economics and Econometric History. RePEc:afc:cliome:v:15:y:2021:i:2:p:419-442. Full description at Econpapers || Download paper | |
2021 | Volatility Forecasting, Market Efficiency and Effect of Recession of SRI Indices. (2021). Roy, Subrata. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(627):y:2021:i:2(627):p:259-284. Full description at Econpapers || Download paper | |
2022 | Determinants of Stock Market Volatility in Africa. (2022). Uhunmwangho, Monday. In: African Journal of Economic Review. RePEc:ags:afjecr:320586. Full description at Econpapers || Download paper | |
2021 | Preisvolatilität auf Agrarmärkten. (2021). Brummer, Bernhard. In: IAMO Discussion Papers. RePEc:ags:iamodp:310089. Full description at Econpapers || Download paper | |
2021 | Discounted cash flow valuation of conventional and cage-free production investments. (2021). Thompson, Jada. In: International Food and Agribusiness Management Review. RePEc:ags:ifaamr:316241. Full description at Econpapers || Download paper | |
2021 | Modelación de la Volatilidad del Tipo de Cambio del Dólar en el Perú: Aplicación de los Modelos GARCH y EGARCH.. (2021). Alva, Victor Chung. In: Revista de Análisis Económico y Financiero. RePEc:alp:revaef:07-02. Full description at Econpapers || Download paper | |
2021 | Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey. (2021). Tetik, Metin. In: World Journal of Applied Economics. RePEc:ana:journl:v:7:y:2021:i:2:p:35-46. Full description at Econpapers || Download paper | |
2021 | High Dimensional Estimation and Multi-Factor Models. (2019). Jarrow, Robert ; Wells, Martin T ; Basu, Sumanta ; Zhu, Liao. In: Papers. RePEc:arx:papers:1804.08472. Full description at Econpapers || Download paper | |
2021 | Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach. (2018). Zhou, Chao ; Wei, Xiaoli ; Pham, Huyen. In: Papers. RePEc:arx:papers:1809.01464. Full description at Econpapers || Download paper | |
2022 | Sharpe Ratio in High Dimensions: Cases of Maximum Out of Sample, Constrained Maximum, and Optimal Portfolio Choice. (2020). Vasconcelos, Gabriel ; Medeiros, Marcelo ; Caner, Mehmet. In: Papers. RePEc:arx:papers:2002.01800. Full description at Econpapers || Download paper | |
2021 | Modelling volatility with v-transforms. (2020). McNeil, Alexander J. In: Papers. RePEc:arx:papers:2002.10135. Full description at Econpapers || Download paper | |
2022 | Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204. Full description at Econpapers || Download paper | |
2021 | Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868. Full description at Econpapers || Download paper | |
2021 | Robust Multiple Stopping -- A Pathwise Duality Approach. (2020). Laeven, Roger ; Stadje, Mitja ; John , . In: Papers. RePEc:arx:papers:2006.01802. Full description at Econpapers || Download paper | |
2021 | Time series copula models using d-vines and v-transforms: an alternative to GARCH modelling. (2020). McNeil, Alexander J ; Bladt, Martin. In: Papers. RePEc:arx:papers:2006.11088. Full description at Econpapers || Download paper | |
2021 | A Research on Cross-sectional Return Dispersion and Volatility of US Stock Market during COVID-19. (2020). Du, Jiawei. In: Papers. RePEc:arx:papers:2007.11546. Full description at Econpapers || Download paper | |
2022 | Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061. Full description at Econpapers || Download paper | |
2021 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper | |
2021 | Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model. (2020). Jarrow, Robert A ; Zhu, Liao ; Wells, Martin T. In: Papers. RePEc:arx:papers:2011.04171. Full description at Econpapers || Download paper | |
2021 | Uncertainty Network Risk and Currency Returns. (2021). BarunÃk, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738. Full description at Econpapers || Download paper | |
2021 | Time-varying properties of asymmetric volatility and multifractality in Bitcoin. (2021). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2102.07425. Full description at Econpapers || Download paper | |
2021 | Power-Law Return-Volatility Cross Correlations of Bitcoin. (2021). Takaishi, T. In: Papers. RePEc:arx:papers:2102.08187. Full description at Econpapers || Download paper | |
2021 | A state space approach to fitting higher order moments of empirical financial series with GARCH model parameters. (2021). Savel, Sergey ; de Clerk, Luke. In: Papers. RePEc:arx:papers:2102.11627. Full description at Econpapers || Download paper | |
2021 | Deep Stochastic Volatility Model. (2021). Chen, Ying ; Xu, Xiuqin. In: Papers. RePEc:arx:papers:2102.12658. Full description at Econpapers || Download paper | |
2021 | Deep Equal Risk Pricing of Financial Derivatives with Multiple Hedging Instruments. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2102.12694. Full description at Econpapers || Download paper | |
2022 | Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467. Full description at Econpapers || Download paper | |
2021 | Optimizing Expected Shortfall under an $\ell_1$ constraint -- an analytic approach. (2021). Caccioli, Fabio ; Kondor, Imre ; Papp, G'Abor. In: Papers. RePEc:arx:papers:2103.04375. 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 | |
2021 | Modelling uncertainty in financial tail risk: a forecasting combination and weighted quantile approach. (2021). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2104.04918. Full description at Econpapers || Download paper | |
2021 | Adaptive learning for financial markets mixing model-based and model-free RL for volatility targeting. (2021). Benhamou, Eric ; Chareyron, Franccois ; Wong, Sui Kai ; Tabachnik, Serge ; Saltiel, David. In: Papers. RePEc:arx:papers:2104.10483. Full description at Econpapers || Download paper | |
2022 | Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673. 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 | |
2021 | Aspects of a phase transition in high-dimensional random geometry. (2021). Pruser, Axel ; Engel, Andreas ; Kondor, Imre. In: Papers. RePEc:arx:papers:2105.04395. Full description at Econpapers || Download paper | |
2021 | A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208. Full description at Econpapers || Download paper | |
2021 | Deep Kernel Gaussian Process Based Financial Market Predictions. (2021). Long, Wen ; Dai, Wei ; Shi, Yong ; Li, BO. In: Papers. RePEc:arx:papers:2105.12293. Full description at Econpapers || Download paper | |
2021 | Specification tests for GARCH processes. (2021). Rahbek, Anders ; Perera, Indeewara ; Cavaliere, Giuseppe. In: Papers. RePEc:arx:papers:2105.14081. Full description at Econpapers || Download paper | |
2021 | A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288. Full description at Econpapers || Download paper | |
2021 | An Interpretable Neural Network for Parameter Inference. (2021). Pfitzinger, Johann. In: Papers. RePEc:arx:papers:2106.05536. Full description at Econpapers || Download paper | |
2021 | Diversified reward-risk parity in portfolio construction. (2021). Kim, Young Shin ; Choi, Jae Hyung. In: Papers. RePEc:arx:papers:2106.09055. Full description at Econpapers || Download paper | |
2021 | Portfolio Allocation under Asymmetric Dependence in Asset Returns using Local Gaussian Correlations. (2021). Tjostheim, Dag ; Berentsen, Geir Drage ; Otneim, Haakon ; Stove, Baard ; Sleire, Anders D ; Haugen, Sverre Hauso. In: Papers. RePEc:arx:papers:2106.12425. Full description at Econpapers || Download paper | |
2021 | Clustering Structure of Microstructure Measures. (2021). Wells, Martin T ; Sun, Ningning ; Zhu, Liao. In: Papers. RePEc:arx:papers:2107.02283. Full description at Econpapers || Download paper | |
2022 | Geometric insights into robust portfolio construction with gearing. (2021). Gebbie, Tim ; Dalmeyer, Lara. In: Papers. RePEc:arx:papers:2107.06194. Full description at Econpapers || Download paper | |
2021 | Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455. Full description at Econpapers || Download paper | |
2021 | Deep equal risk pricing of financial derivatives with non-translation invariant risk measures. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2107.11340. Full description at Econpapers || Download paper | |
2021 | Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866. 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 | Deep Signature FBSDE Algorithm. (2021). Zhang, Zhaoyu ; Luo, Man ; Feng, QI. In: Papers. RePEc:arx:papers:2108.10504. Full description at Econpapers || Download paper | |
2021 | Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. (2021). Timphus, Maike ; Fritzsch, Simon ; Weiss, Gregor. In: Papers. RePEc:arx:papers:2109.10946. Full description at Econpapers || Download paper | |
2021 | Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility. (2021). Jos'e Javier N'u~nez-Vel'azquez, ; Alonso-Gonz, Pablo J ; Ramos, Eduardo. In: Papers. RePEc:arx:papers:2109.12621. Full description at Econpapers || Download paper | |
2021 | No-Regret Forecasting with Egalitarian Committees. (2021). Su, Jiun-Hua. In: Papers. RePEc:arx:papers:2109.13801. Full description at Econpapers || Download paper | |
2021 | Kernel Minimum Divergence Portfolios. (2021). Szab, Zolt'An ; Chamakh, Linda. In: Papers. RePEc:arx:papers:2110.09516. Full description at Econpapers || Download paper | |
2021 | Long Run Law and Entropy. (2021). Tian, Weidong. In: Papers. RePEc:arx:papers:2111.06238. Full description at Econpapers || Download paper | |
2021 | Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?. (2021). Parolya, Nestor ; Thors, Erik ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2111.12532. Full description at Econpapers || Download paper | |
2021 | Mesoscopic Structure of the Stock Market and Portfolio Optimization. (2021). Garlaschelli, Diego ; Squartini, Tiziano ; Fagiolo, Giorgio ; Zema, Sebastiano Michele. In: Papers. RePEc:arx:papers:2112.06544. Full description at Econpapers || Download paper | |
2021 | Mean-Covariance Robust Risk Measurement. (2021). Filipovi, Damir ; Abadeh, Soroosh Shafieezadeh ; Nguyen, Viet Anh ; Kuhn, Daniel. In: Papers. RePEc:arx:papers:2112.09959. Full description at Econpapers || Download paper | |
2022 | Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities. (2022). James, Nick. In: Papers. RePEc:arx:papers:2112.15321. Full description at Econpapers || Download paper | |
2022 | Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model. (2022). Ratnayake, Isuru ; Samaranayake, V A. In: Papers. RePEc:arx:papers:2202.03351. Full description at Econpapers || Download paper | |
2022 | On Solving Robust Log-Optimal Portfolio: A Supporting Hyperplane Approximation Approach. (2022). Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2202.03858. Full description at Econpapers || Download paper | |
2022 | Neural Generalised AutoRegressive Conditional Heteroskedasticity. (2022). Yin, Zexuan ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2202.11285. Full description at Econpapers || Download paper | |
2022 | Vulnerability-CoVaR: Investigating the Crypto-market. (2022). Okhrin, Ostap ; Singh, Abhay Kumar ; Waltz, Martin. In: Papers. RePEc:arx:papers:2203.10777. Full description at Econpapers || Download paper | |
2022 | Reducing overestimating and underestimating volatility via the augmented blending-ARCH model. (2022). Yi, Shao ; Lu, Jun. In: Papers. RePEc:arx:papers:2203.12456. Full description at Econpapers || Download paper | |
2022 | LoCoV: low dimension covariance voting algorithm for portfolio optimization. (2022). Popescu, Ionel ; Duan, Juntao. In: Papers. RePEc:arx:papers:2204.00204. Full description at Econpapers || Download paper | |
2022 | Variational Heteroscedastic Volatility Model. (2022). Barucca, Paolo ; Yin, Zexuan. In: Papers. RePEc:arx:papers:2204.05806. Full description at Econpapers || Download paper | |
2022 | Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943. Full description at Econpapers || Download paper | |
2022 | Misspecification and Weak Identification in Asset Pricing. (2022). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2206.13600. Full description at Econpapers || Download paper | |
2022 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2021 | India VIX and Forecasting Ability of Symmetric and Asymmetric GARCH Models. (2021). Reddy, Y V ; Naik, Maithili S. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:252-262. Full description at Econpapers || Download paper | |
2022 | Exchange Rate Volatility and Exports: The Nigerian Scenario. (2022). Chukwuka, Ekechi ; Ebenyi, Gabriel O ; Uzoechina, Benedict I ; Saleh, Abubakar Sadiq ; Eze, Millicent Adanne ; Duru, Innocent U. In: Asian Journal of Empirical Research. RePEc:asi:ajoerj:v:12:y:2022:i:1:p:11-28:id:4404. Full description at Econpapers || Download paper | |
2021 | Modelling the Monetary Impact of Oil Price Volatility in Nigeria: Evidence from GARCH Models. (2021). Eze, Millicent Adanne ; Yusuf, Abubakar ; Duru, Innocent U ; Chile, Nzeh Innocent. In: Energy Economics Letters. RePEc:asi:eneclt:2021:p:70-94. Full description at Econpapers || Download paper | |
2022 | Asia-Pacific Islamic Stocks and Gold - A Markov-switching Copula Estimation. (2022). Nugroho, Bayu Adi. In: Asian Economics Letters. RePEc:ayb:jrnael:62. Full description at Econpapers || Download paper | |
2021 | The Influence of Uncertainty on Market Efficiency: Evidence from Selected European Financial Markets. (2021). Paskaleva, Mariya ; Stoykova, Ani. In: Economic Studies journal. RePEc:bas:econst:y:2021:i:8:p:175-198. Full description at Econpapers || Download paper | |
2021 | Brexit: Cyclical dependence in market neutral hedge funds. (2021). Galvez, Julio ; Crego, Julio A. In: Working Papers. RePEc:bde:wpaper:2141. Full description at Econpapers || Download paper | |
2021 | The effect of treasury auctions on 10?year Treasury note futures. (2021). Smales, Lee. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:1517-1555. Full description at Econpapers || Download paper | |
2022 | An empirical investigation of the quality of value?at?risk disclosure in Australia. (2022). Smith, Daniel R ; Campbell, Angus. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:469-491. Full description at Econpapers || Download paper | |
2022 | Hamada’s equation and the beta of debt under CAPM. (2022). Tulig, Steve ; Johnstone, David. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:2:p:2385-2399. Full description at Econpapers || Download paper | |
2022 | A timing momentum strategy. (2022). Ko, Kuancheng ; Chou, Robin K ; Yang, Nientzu ; Lin, Chaonan. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1339-1379. Full description at Econpapers || Download paper | |
2021 | Modelling Asymmetry and Leverage in Cryptocurrencies and Emerging Financial Markets. (2021). ALAGIDEDE, IMHOTEP ; Omaneadjepong, Maurice. In: Economic Papers. RePEc:bla:econpa:v:40:y:2021:i:2:p:152-166. Full description at Econpapers || Download paper | |
2021 | Recovering the market risk premium from higher?order moment risks. (2021). Rompolis, Leonidas ; Chalamandaris, George. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:147-186. Full description at Econpapers || Download paper | |
2022 | Economic forecasts, anchoring bias, and stock returns. (2022). Yu, Han ; Dutta, Sandip ; Birz, Gene. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:169-191. 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 | Disagreement between hedge funds and other institutional investors and the cross?section of expected stock returns. (2022). Celiker, Umut ; Caglayan, Mustafa O ; Sonaer, Gokhan. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:663-689. Full description at Econpapers || Download paper | |
2021 | Volatility and returns: Evidence from China†. (2021). 邓, 彬斌 ; Yan, Sibo ; Qiao, Xiao ; Chi, Yeguang ; Deng, Binbin . In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:4:p:1441-1463. Full description at Econpapers || Download paper | |
2022 | Chasing dividends during the COVID?19 pandemic. (2022). Weisskopf, Jeanphilippe ; Isakov, Duan ; Ducret, Romain ; Eugster, Nicolas. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:2:p:335-345. Full description at Econpapers || Download paper | |
2022 | Are retail investors really passive? Shareholder activism in the digital age. (2022). Wongchoti, Udomsak ; Kabir, Humayun M ; Hafeez, Bilal. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:49:y:2022:i:3-4:p:423-460. Full description at Econpapers || Download paper | |
2021 | WHERE DO WE STAND IN CRYPTOCURRENCIES ECONOMIC RESEARCH? A SURVEY BASED ON HYBRID ANALYSIS. (2021). Fernandez Bariviera, Aurelio ; Meredizsola, Ignasi. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:377-407. Full description at Econpapers || Download paper | |
2021 | AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614. 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 | Sentiment Trading and Hedge Fund Returns. (2021). han, bing ; Chen, Yong ; Pan, Jing. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:4:p:2001-2033. Full description at Econpapers || Download paper | |
2021 | Can the Market Multiply and Divide? Non?Proportional Thinking in Financial Markets. (2021). Townsend, Richard R ; Shue, Kelly. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:5:p:2307-2357. 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 | Stock Market and No?Dividend Stocks. (2022). Basak, Suleyman ; Atmaz, Adem. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:1:p:545-599. Full description at Econpapers || Download paper | |
2022 | Volatility Expectations and Returns. (2022). Muir, Tyler ; Lochstoer, Lars A. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:1055-1096. Full description at Econpapers || Download paper | |
2021 | Hedging uncertainty with cryptocurrencies: Is bitcoin your best bet?. (2021). Zopounidis, Constantin ; King, Timothy ; Koutmos, Dimitrios. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:4:p:815-837. Full description at Econpapers || Download paper | |
2021 | Quantile?frequency analysis and spectral measures for diagnostic checks of time series with nonlinear dynamics. (2021). Li, Tahsin. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:2:p:270-290. Full description at Econpapers || Download paper | |
2022 | State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124. Full description at Econpapers || Download paper | |
2022 | Is the ECB’s conventional monetary policy state?dependent? An event study approach. (2022). Perdichizzi, Salvatore ; Torluccio, Giuseppe ; Cotugno, Matteo. In: Manchester School. RePEc:bla:manchs:v:90:y:2022:i:2:p:213-236. Full description at Econpapers || Download paper | |
2021 | Generalized statistical arbitrage concepts and related gain strategies. (2021). Schmidt, Thorsten ; Ruschendorf, Ludger ; Rein, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:563-594. Full description at Econpapers || Download paper | |
2022 | Portfolio diversification and model uncertainty: A robust dynamic mean?variance approach. (2022). Zhou, Chao ; Wei, Xiaoli ; Pham, Huyen. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:1:p:349-404. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2010 | Cross-Sectional Asset Pricing Tests In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 16 |
2002 | Generalized Method of Moments: Applications in Finance. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 18 |
2005 | Reforming the Bookbuilding Process for IPOs In: Journal of Applied Corporate Finance. [Full Text][Citation analysis] | article | 12 |
1985 | An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model. In: Journal of Finance. [Full Text][Citation analysis] | article | 43 |
1993 | On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. In: Journal of Finance. [Full Text][Citation analysis] | article | 3362 |
1993 | On the relation between the expected value and the volatility of the nominal excess return on stocks.(1993) In: Staff Report. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3362 | paper | |
1996 | The Conditional CAPM and the Cross-Section of Expected Returns. In: Journal of Finance. [Full Text][Citation analysis] | article | 839 |
1996 | The conditional CAPM and the cross-section of expected returns.(1996) In: Staff Report. [Full Text][Citation analysis] This paper has another version. Agregated cites: 839 | paper | |
1997 | Assessing Specification Errors in Stochastic Discount Factor Models. In: Journal of Finance. [Full Text][Citation analysis] | article | 365 |
1994 | Assessing specification errors in stochastic discount factor models.(1994) In: Staff Report. [Full Text][Citation analysis] This paper has another version. Agregated cites: 365 | paper | |
1994 | Assessing Specification Errors in Stochastic Discount Factor Models.(1994) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 365 | paper | |
2003 | Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps In: Journal of Finance. [Full Text][Citation analysis] | article | 472 |
2002 | Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 472 | paper | |
2005 | The Stock Markets Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks In: Journal of Finance. [Full Text][Citation analysis] | article | 301 |
2001 | The Stock Markets Reaction to Unemployment News: Why Bad News is Usually Good for Stocks.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 301 | paper | |
2007 | Lazy Investors, Discretionary Consumption, and the Cross?Section of Stock Returns In: Journal of Finance. [Full Text][Citation analysis] | article | 91 |
2010 | Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation In: Journal of Finance. [Full Text][Citation analysis] | article | 95 |
2006 | Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 95 | paper | |
2019 | Dividend Dynamics, Learning, and Expected Stock Index Returns In: Journal of Finance. [Full Text][Citation analysis] | article | 10 |
2015 | Dividend Dynamics, Learning, and Expected Stock Index Returns.(2015) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2019 | Corrigendum for Dividend Dynamics, Learning, and Expected Stock Index Returns In: Journal of Finance. [Full Text][Citation analysis] | article | 10 |
2019 | A Note on “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps” In: Journal of Finance. [Full Text][Citation analysis] | article | 0 |
2009 | Avoiding the Next Crisis In: The Economists' Voice. [Full Text][Citation analysis] | article | 7 |
2014 | Momentum Trading, Return Chasing, and Predictable Crashes In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 16 |
2014 | Momentum Trading, Return Chasing and Predictable Crashes.(2014) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2014 | Momentum Trading, Return Chasing, and Predictable Crashes.(2014) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2002 | A direct test for the mean variance efficiency of a portfolio In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 35 |
1999 | Does product market competition reduce agency costs? In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 24 |
2000 | Does Product Market Competition Reduce Agency Costs?.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2003 | An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices In: Journal of Econometrics. [Full Text][Citation analysis] | article | 41 |
2001 | An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
1994 | A contingent claim approach to performance evaluation In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 58 |
1993 | A contingent claim approach to performance evaluation.(1993) In: Staff Report. [Full Text][Citation analysis] This paper has another version. Agregated cites: 58 | paper | |
2012 | CAPM for estimating the cost of equity capital: Interpreting the empirical evidence In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 36 |
2009 | CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
2016 | Why do firms use high discount rates? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 26 |
1984 | Call options and the risk of underlying securities In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 26 |
1998 | Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 106 |
1997 | Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes.(1997) In: Staff Report. [Full Text][Citation analysis] This paper has another version. Agregated cites: 106 | paper | |
2013 | Causes of the great recession of 2007–2009: The financial crisis was the symptom not the disease! In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 10 |
2015 | Share auctions of initial public offerings: Global evidence In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 17 |
1990 | Ex-day behavior of japanese stock prices: New insights from new methodology In: Journal of the Japanese and International Economies. [Full Text][Citation analysis] | article | 6 |
1990 | Ex-day behavior of Japanese stock prices: new insights from new methodology.(1990) In: Discussion Paper / Institute for Empirical Macroeconomics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
1990 | Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology.(1990) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
1997 | Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market In: Discussion Paper / Institute for Empirical Macroeconomics. [Full Text][Citation analysis] | paper | 55 |
1998 | Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market..(1998) In: The Journal of Business. [Full Text][Citation analysis] This paper has another version. Agregated cites: 55 | article | |
1990 | Implications of security market data for models of dynamic economies In: Discussion Paper / Institute for Empirical Macroeconomics. [Full Text][Citation analysis] | paper | 744 |
1990 | Implications of Security Market Data for Models of Dynamic Economies.(1990) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 744 | paper | |
1991 | Implications of Security Market Data for Models of Dynamic Economies..(1991) In: Journal of Political Economy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 744 | article | |
1990 | The simple analytics of commodity futures markets: do they stabilize prices? Do they raise welfare? In: Quarterly Review. [Full Text][Citation analysis] | article | 0 |
1995 | The CAPM debate In: Quarterly Review. [Full Text][Citation analysis] | article | 12 |
1996 | Why should older people invest less in stock than younger people? In: Quarterly Review. [Full Text][Citation analysis] | article | 69 |
2000 | The declining U.S. equity premium In: Quarterly Review. [Full Text][Citation analysis] | article | 64 |
2001 | The Declining U.S. Equity Premium.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 64 | paper | |
1987 | Seasonalities in security returns: the case of earnings announcements In: Staff Report. [Full Text][Citation analysis] | paper | 3 |
1993 | The CAPM is alive and well In: Staff Report. [Full Text][Citation analysis] | paper | 22 |
1994 | THE CAPM IS ALIVE AND WELL.(1994) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
1994 | Ex-dividend price behavior of common stocks In: Staff Report. [Full Text][Citation analysis] | paper | 57 |
1994 | Ex-dividend price behavior of common stocks.(1994) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 57 | paper | |
1994 | Ex-dividend Price Behavior of Common Stocks..(1994) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 57 | article | |
1996 | Econometric evaluation of asset pricing models In: Staff Report. [Full Text][Citation analysis] | paper | 7 |
2002 | Do We Need CAPM for Capital Budgeting? In: Financial Management. [Citation analysis] | article | 16 |
2002 | Do We Need CAPM for Capital Budgeting?.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
1974 | A Sequential Algorithm for a Class of Programming Problems with Nonlinear Constraints In: Management Science. [Full Text][Citation analysis] | article | 0 |
1978 | A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem In: Management Science. [Full Text][Citation analysis] | article | 1 |
1979 | Erratum to A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem In: Management Science. [Full Text][Citation analysis] | article | 0 |
1985 | Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models In: Management Science. [Full Text][Citation analysis] | article | 7 |
1985 | An Algorithm for a Class of Nonconvex Programming Problems with Nonlinear Fractional Objectives In: Management Science. [Full Text][Citation analysis] | article | 2 |
1987 | Note---Response In: Management Science. [Full Text][Citation analysis] | article | 0 |
2009 | Jackknife Estimator for Tracking Error Variance of Optimal Portfolios In: Management Science. [Full Text][Citation analysis] | article | 17 |
2012 | Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns In: Management Science. [Full Text][Citation analysis] | article | 8 |
2004 | A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1 In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2005 | Consumption Risk and the Cost of Equity Capital In: NBER Working Papers. [Full Text][Citation analysis] | paper | 7 |
2006 | Why Do IPO Auctions Fail? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 18 |
2007 | When Does a Mutual Funds Trade Reveal its Skill? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | Price Momentum In Stocks: Insights From Victorian Age Data In: NBER Working Papers. [Full Text][Citation analysis] | paper | 10 |
2008 | Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2009 | Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom not the Disease! In: NBER Working Papers. [Full Text][Citation analysis] | paper | 7 |
2009 | Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 12 |
2010 | Why Dont Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
2011 | The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
2011 | Price Dividend Ratio Factors : Proxies for Long Run Risk In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2015 | Price-Dividend Ratio Factor Proxies for Long-Run Risks.(2015) In: Review of Asset Pricing Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2012 | Tail Risk in Momentum Strategy Returns In: NBER Working Papers. [Full Text][Citation analysis] | paper | 28 |
2012 | Building Castles in the Air: Evidence from Industry IPO Waves In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Growth Expectations, Dividend Yields, and Future Stock Returns In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2017 | Environmental, Social, and Governance Criteria: Why Investors are Paying Attention In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
2017 | Stock Price Crashes: Role of Slow-Moving Capital In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | On Frequent Batch Auctions for Stocks In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
2020 | Return to Venture Capital in the Aggregate In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | A Return Based Measure of Firm Quality In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
1999 | Valuing the Reload Features of Executive Stock Options In: NBER Working Papers. [Full Text][Citation analysis] | paper | 11 |
2001 | Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods In: NBER Working Papers. [Full Text][Citation analysis] | paper | 14 |
2002 | Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
2005 | UNDERSTANDING MUTUAL FUND AND HEDGE FUND STYLES USING RETURN-BASED STYLE ANALYSIS.(2005) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | chapter | |
1984 | Banking Panics In: Discussion Papers. [Full Text][Citation analysis] | paper | 51 |
1989 | Effects of Insider Trading Disclosures on Speculative Activity and Future Prices. In: Economic Inquiry. [Citation analysis] | article | 2 |
1990 | Price Stability and Futures Trading in Commodities In: The Quarterly Journal of Economics. [Full Text][Citation analysis] | article | 12 |
2011 | Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds In: Review of Financial Studies. [Full Text][Citation analysis] | article | 21 |
1986 | Assessing the Market Timing Performance of Managed Portfolios. In: The Journal of Business. [Full Text][Citation analysis] | article | 95 |
1986 | Correcting for Heteroscedasticity in Tests for Market Timing Ability. In: The Journal of Business. [Full Text][Citation analysis] | article | 10 |
2021 | Recovery from fast crashes: Role of mutual funds In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
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