21
H index
34
i10 index
5423
Citations
Ravi Jagannathan : Citation Profile
Northwestern University | RESEARCH PRODUCTION: 48 Articles 51 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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45 years (1974 - 2019). Relations with other researchers
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:
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Main data
Where Ravi Jagannathan has published?
| Journals with more than one article published | # docs |
|---|---|
| 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 |
|---|---|
| Staff Report / Federal Reserve Bank of Minneapolis | 9 |
| Discussion Paper / Institute for Empirical Macroeconomics / Federal Reserve Bank of Minneapolis | 3 |
Recent works citing Ravi Jagannathan (2019 and 2018)
| Year | Title of citing document | |
|---|---|---|
| 2019 | PRESIDENTIAL CYCLES IN THE USA AND THE DOLLAR-POUND EXCHANGE RATE: EVIDENCE FROM OVER TWO CENTURIES. (2019). GUPTA, RANGAN ; Wohar, Mark E. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:2:p:151-163. Full description at Econpapers || Download paper | |
| 2017 | Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19. Full description at Econpapers || Download paper | |
| 2017 | Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28. Full description at Econpapers || Download paper | |
| 2017 | Modelling and forecasting WIG20 daily returns. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-29. Full description at Econpapers || Download paper | |
| 2017 | Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34. Full description at Econpapers || Download paper | |
| 2018 | The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-02. Full description at Econpapers || Download paper | |
| 2018 | The Risk Premia Embedded in Index Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-07. Full description at Econpapers || Download paper | |
| 2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14. Full description at Econpapers || Download paper | |
| 2019 | Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:07-19. Full description at Econpapers || Download paper | |
| 2019 | Measuring Success: Does Predictive Ability of an Asset Price Rest in Memory? Insights from a New Approach. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:11-19. Full description at Econpapers || Download paper | |
| 2019 | Volatility experience of major world stock markets. (2019). Rao, Prabhakara R ; Mallikarjuna, M. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:35-52. Full description at Econpapers || Download paper | |
| 2017 | Modeling of stock indices with HMM-SV models. (2017). Wulu, J T ; Nkemnole, E B. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:2(611):p:45-60. Full description at Econpapers || Download paper | |
| 2019 | Volatility experience of major world stock markets. (2019). Mallikarjuna, Mejari ; Rao, Prabhakara R. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:4(621):p:35-52. Full description at Econpapers || Download paper | |
| 2017 | SYSTEMATIC RISK FACTORS AND STOCK RETURN VOLATILITY. (2017). Ali, Syed Kamran ; Ahmed, Ishtiaq ; Hashmi, Shujahat Haider. In: APSTRACT: Applied Studies in Agribusiness and Commerce. RePEc:ags:apstra:265587. Full description at Econpapers || Download paper | |
| 2018 | The Bayesian MS-GARCH model and Value-at-Risk in South African agricultural commodity price markets. (2018). Shiferaw, Y. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275991. Full description at Econpapers || Download paper | |
| 2018 | Measuring Investor Sentiment. (2018). Zhou, Guofu. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:239-259. Full description at Econpapers || Download paper | |
| 2018 | Forecasting Methods in Finance. (2018). Timmermann, Allan. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:449-479. Full description at Econpapers || Download paper | |
| 2018 | Modeling the Volatility and Forecasting the Stock Price of the German Stock Index (DAX30). (2018). Nguyen, Tristan ; Mai, Thi Thanh. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2018:p:72-92. Full description at Econpapers || Download paper | |
| 2017 | Russian-Doll Risk Models. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1412.4342. Full description at Econpapers || Download paper | |
| 2017 | Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070. Full description at Econpapers || Download paper | |
| 2019 | Solving the Equity Risk Premium Puzzle and Inching Towards a Theory of Everything. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1604.04872. Full description at Econpapers || Download paper | |
| 2019 | Multivariate Garch with dynamic beta. (2018). Raddant, Matthias ; Wagner, Friedrich . In: Papers. RePEc:arx:papers:1609.07051. Full description at Econpapers || Download paper | |
| 2017 | A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990. Full description at Econpapers || Download paper | |
| 2017 | Non-parametric and semi-parametric asset pricing. (2017). Ormos, Mihály ; Zibriczky, David ; Erdos, Peter . In: Papers. RePEc:arx:papers:1703.09500. Full description at Econpapers || Download paper | |
| 2017 | A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?. (2017). Stavroyiannis, Stavros. In: Papers. RePEc:arx:papers:1705.00535. Full description at Econpapers || Download paper | |
| 2017 | Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Gerlach, Richard ; Chen, Qian ; Wang, Chao. In: Papers. RePEc:arx:papers:1707.03715. Full description at Econpapers || Download paper | |
| 2017 | Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets. (2017). Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:1707.05552. Full description at Econpapers || Download paper | |
| 2018 | Statistical properties and multifractality of Bitcoin. (2018). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:1707.07618. Full description at Econpapers || Download paper | |
| 2019 | Spectral backtests of forecast distributions with application to risk management. (2019). Gordy, Michael ; McNeil, Alexander J ; Lok, Hsiao Yen . In: Papers. RePEc:arx:papers:1708.01489. Full description at Econpapers || Download paper | |
| 2017 | Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece. (2017). Dikaiakos, Christos ; Stratigakos, Akylas ; Siettos, Kostas ; Papaioannou, George P. In: Papers. RePEc:arx:papers:1708.07063. Full description at Econpapers || Download paper | |
| 2017 | Semiparametric GARCH via Bayesian model averaging. (2017). Gerlach, Richard H ; Ye, Wilson . In: Papers. RePEc:arx:papers:1708.07587. Full description at Econpapers || Download paper | |
| 2017 | Value-at-Risk and Expected Shortfall for the major digital currencies. (2017). Stavroyiannis, Stavros. In: Papers. RePEc:arx:papers:1708.09343. Full description at Econpapers || Download paper | |
| 2018 | Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models. (2018). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392. Full description at Econpapers || Download paper | |
| 2019 | A nonparametric copula approach to conditional Value-at-Risk. (2019). Dunn, Richard ; Geenens, Gery. In: Papers. RePEc:arx:papers:1712.05527. Full description at Econpapers || Download paper | |
| 2019 | Regression Based Expected Shortfall Backtesting. (2019). Dimitriadis, Timo ; Bayer, Sebastian. In: Papers. RePEc:arx:papers:1801.04112. Full description at Econpapers || Download paper | |
| 2018 | Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2018). Crisóstomo, Ricardo ; Couso, Lorena. In: Papers. RePEc:arx:papers:1801.08007. Full description at Econpapers || Download paper | |
| 2018 | Reducing Estimation Risk in Mean-Variance Portfolios with Machine Learning. (2018). Kinn, Daniel. In: Papers. RePEc:arx:papers:1804.01764. Full description at Econpapers || Download paper | |
| 2020 | 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 | |
| 2018 | Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators. (2018). Lee, Seojeong. In: Papers. RePEc:arx:papers:1806.00953. Full description at Econpapers || Download paper | |
| 2018 | Asymmetric response to PMI announcements in Chinas stock returns. (2018). Yang, Xiaoguang ; Wang, Yingli. In: Papers. RePEc:arx:papers:1806.04347. Full description at Econpapers || Download paper | |
| 2019 | Factor models with many assets: strong factors, weak factors, and the two-pass procedure. (2019). Anatolyev, Stanislav ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:1807.04094. Full description at Econpapers || Download paper | |
| 2018 | Entropy Analysis of Financial Time Series. (2018). Schwill, Stephan. In: Papers. RePEc:arx:papers:1807.09423. Full description at Econpapers || Download paper | |
| 2018 | Adaptive l1-regularization for short-selling control in portfolio selection. (2018). de Simone, Valentina ; Corsaro, Stefania. In: Papers. RePEc:arx:papers:1808.00982. Full description at Econpapers || Download paper | |
| 2018 | Analytic Moments for GARCH Processes. (2018). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese. In: Papers. RePEc:arx:papers:1808.09666. Full description at Econpapers || Download paper | |
| 2019 | Improved Inference on the Rank of a Matrix. (2019). Fang, Zheng ; Chen, Qihui. In: Papers. RePEc:arx:papers:1812.02337. Full description at Econpapers || Download paper | |
| 2018 | Quantification of market efficiency based on informational-entropy. (2018). Rothenstein, Roland . In: Papers. RePEc:arx:papers:1812.02371. Full description at Econpapers || Download paper | |
| 2020 | Salvaging Falsified Instrumental Variable Models. (2019). Poirier, Alexandre ; Masten, Matthew A. In: Papers. RePEc:arx:papers:1812.11598. Full description at Econpapers || Download paper | |
| 2019 | A General Framework for Prediction in Time Series Models. (2019). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1902.01622. Full description at Econpapers || Download paper | |
| 2019 | A Bootstrap Test for the Existence of Moments for GARCH Processes. (2019). Heinemann, Alexander. In: Papers. RePEc:arx:papers:1902.01808. Full description at Econpapers || Download paper | |
| 2019 | Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series. (2019). Cripps, Sally ; Gerlach, Richard ; Marchant, Roman ; James, Nick . In: Papers. RePEc:arx:papers:1902.03350. Full description at Econpapers || Download paper | |
| 2019 | Conditional Density Estimation with Neural Networks: Best Practices and Benchmarks. (2019). Ulrich, Maxim ; Walther, Simon ; Ferreira, Fabio ; Rothfuss, Jonas. In: Papers. RePEc:arx:papers:1903.00954. Full description at Econpapers || Download paper | |
| 2019 | Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961. Full description at Econpapers || Download paper | |
| 2019 | Multivariate Modeling of Natural Gas Spot Trading Hubs Incorporating Futures Market Realized Volatility. (2019). Ensor, Katherine B ; Han, YU ; Weylandt, Michael. In: Papers. RePEc:arx:papers:1907.10152. Full description at Econpapers || Download paper | |
| 2019 | Quantile-Frequency Analysis and Spectral Divergence Metrics for Diagnostic Checks of Time Series With Nonlinear Dynamics. (2019). Li, Ta-Hsin . In: Papers. RePEc:arx:papers:1908.02545. Full description at Econpapers || Download paper | |
| 2019 | Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1908.04569. Full description at Econpapers || Download paper | |
| 2019 | Automatic Financial Trading Agent for Low-risk Portfolio Management using Deep Reinforcement Learning. (2019). Cho, Sung-Bae ; Bu, Seok-Jun ; Shin, Wonsup. In: Papers. RePEc:arx:papers:1909.03278. Full description at Econpapers || Download paper | |
| 2019 | Estimating the volatility of Bitcoin using GARCH models. (2019). Gyamerah, Samuel Asante. In: Papers. RePEc:arx:papers:1909.04903. Full description at Econpapers || Download paper | |
| 2020 | Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144. Full description at Econpapers || Download paper | |
| 2019 | Hybrid quantile estimation for asymmetric power GARCH models. (2019). Zhu, Ke ; Li, Wai Keung ; Wang, Guochang. In: Papers. RePEc:arx:papers:1911.09343. Full description at Econpapers || Download paper | |
| 2019 | Building and Testing Yield Curve Generators for P&C Insurance. (2019). Shang, Kailan ; Venter, Gary. In: Papers. RePEc:arx:papers:1912.10526. Full description at Econpapers || Download paper | |
| 2020 | Equal risk option pricing with deep reinforcement learning. (2020). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2002.08492. Full description at Econpapers || Download paper | |
| 2020 | Modelling volatility with v-transforms. (2020). McNeil, Alexander J. In: Papers. RePEc:arx:papers:2002.10135. Full description at Econpapers || Download paper | |
| 2020 | Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723. Full description at Econpapers || Download paper | |
| 2020 | Rationalizing Rational Expectations? Tests and Deviations. (2020). Maurel, Arnaud ; D'Haultfoeuille, Xavier ; Gaillac, Christophe. In: Papers. RePEc:arx:papers:2003.11537. Full description at Econpapers || Download paper | |
| 2020 | Company classification using machine learning. (2020). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven. In: Papers. RePEc:arx:papers:2004.01496. Full description at Econpapers || Download paper | |
| 2020 | Machine Learning Algorithms for Financial Asset Price Forecasting. (2020). Ndikum, Philip. In: Papers. RePEc:arx:papers:2004.01504. Full description at Econpapers || Download paper | |
| 2020 | Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674. Full description at Econpapers || Download paper | |
| 2020 | A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400. Full description at Econpapers || Download paper | |
| 2020 | 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 | |
| 2020 | 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 | |
| 2020 | 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 | |
| 2020 | Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458. Full description at Econpapers || Download paper | |
| 2020 | Re-evaluating cryptocurrencies contribution to portfolio diversification -- A portfolio analysis with special focus on German investors. (2020). Hoffmann, Ingo ; Schmitz, Tim. In: Papers. RePEc:arx:papers:2006.06237. Full description at Econpapers || Download paper | |
| 2020 | 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 | |
| 2020 | Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Zong, Xiaoyu ; Ibrahim, Boulis M ; Byrne, Joseph P. In: Papers. RePEc:arx:papers:2006.14023. Full description at Econpapers || Download paper | |
| 2020 | Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network. (2020). J. J. N'u~nez-Vel'azquez, ; Alonso-Gonz, P J ; Ramos, E. In: Papers. RePEc:arx:papers:2006.16383. Full description at Econpapers || Download paper | |
| 2017 | On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636. Full description at Econpapers || Download paper | |
| 2018 | ‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios. (2018). Conrad, Christian ; Glas, Alexander. In: Working Papers. RePEc:awi:wpaper:0655. Full description at Econpapers || Download paper | |
| 2020 | Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit. (2020). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20145. Full description at Econpapers || Download paper | |
| 2018 | Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests. (2018). van Oordt, Maarten. In: Staff Working Papers. RePEc:bca:bocawp:18-54. Full description at Econpapers || Download paper | |
| 2020 | Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields. (2020). Zhao, Guihai. In: Staff Working Papers. RePEc:bca:bocawp:20-14. Full description at Econpapers || Download paper | |
| 2017 | CONDITIONAL CO-MOVEMENT AND DYNAMIC INTERACTIONS: US AND BRIC EQUITY MARKETS. (2017). Singh, Amanjot. In: Economic Annals. RePEc:beo:journl:v:62:y:2017:i:212:p:85-112. Full description at Econpapers || Download paper | |
| 2018 | Risk-Adjusted Linearizations of Dynamic Equilibrium Models. (2018). Lopez, Pierlauro ; Vazquez-Grande, Francisco ; Lopez-Salido, David. In: Working papers. RePEc:bfr:banfra:702. Full description at Econpapers || Download paper | |
| 2017 | Oil, equities, and the zero lower bound. (2017). Vigfusson, Robert ; Datta, Deepa ; Kwon, Hannah ; Johannsen, Benjamin K. In: BIS Working Papers. RePEc:bis:biswps:617. Full description at Econpapers || Download paper | |
| 2019 | Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: BIS Working Papers. RePEc:bis:biswps:766. Full description at Econpapers || Download paper | |
| 2018 | Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation. (2018). Yew, Rand Kwong. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:423-463. Full description at Econpapers || Download paper | |
| 2018 | Investor sentiment and the risk–return tradeoff in the Brazilian market. (2018). Piccoli, Pedro ; da Silva, Wesley Vieira. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:599-618. Full description at Econpapers || Download paper | |
| 2017 | Using a functional approach to test trending volatility in the price of Mexican and international agricultural products. (2017). Guerrero, Santiago ; Torres, Miriam Jureza ; dela Valle, Gerardo Hernndeza. In: Agricultural Economics. RePEc:bla:agecon:v:48:y:2017:i:1:p:3-13. Full description at Econpapers || Download paper | |
| 2018 | Financial risk exposure of returns to education: Panel evidence from Korea*. (2018). Lee, Jaeram ; Ihm, Jungjoon . In: Asian Economic Journal. RePEc:bla:asiaec:v:32:y:2018:i:1:p:83-97. Full description at Econpapers || Download paper | |
| 2017 | Dynamic Asset Allocation with Liabilities. (2017). Giamouridis, Daniel ; Tessaromatis, Nikolaos ; Sakkas, Athanasios. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:2:p:254-291. Full description at Econpapers || Download paper | |
| 2017 | The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation. (2017). Lalancette, Simon ; Simonato, Jeana Guy. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:2:p:325-354. Full description at Econpapers || Download paper | |
| 2017 | The Revealed Preference of Sophisticated Investors. (2017). Blocher, Jesse ; Molyboga, Marat. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:5:p:839-872. Full description at Econpapers || Download paper | |
| 2017 | CEO personal investment decisions and firm risk. (2017). Cen, Wei ; Doukas, John A. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:5:p:920-950. Full description at Econpapers || Download paper | |
| 2018 | Investment beliefs of endowments. (2018). Ang, Andrew ; Goetzmann, William N ; Ayala, Andrs. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:1:p:3-33. Full description at Econpapers || Download paper | |
| 2019 | Stock market integration, cost of equity capital, and corporate investment: Evidence from Brazil. (2019). Loncan, Tiago ; Hillier, David. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:1:p:181-206. Full description at Econpapers || Download paper | |
| 2019 | How do speculators in agricultural commodity markets impact production decisions and commodity prices? A theoretical analysis. (2019). Treuter, Tilo ; Koziol, Christian. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:3:p:718-743. Full description at Econpapers || Download paper | |
| 2020 | Social media bots and stock markets. (2020). Talavera, Oleksandr ; Tran, VU ; Fan, Rui. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:753-777. Full description at Econpapers || Download paper | |
| 2018 | Mutual Fund Stock†Picking Skill: New Evidence from Valuation†versus Liquidity†Motivated Trading. (2018). Rohleder, Martin ; Wilkens, Marco ; Syryca, Janik ; Schulte, Dominik. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:2:p:309-347. Full description at Econpapers || Download paper | |
| 2018 | Productivity Risk and Industry Momentum. (2018). Misirli, Efdal Ulas. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:3:p:739-774. Full description at Econpapers || Download paper | |
| 2019 | Allocation to Anchor Investors, Underpricing, and the After‐Market Performance of IPOs. (2019). Prasad, Durga ; Vishwanatha, S R ; Seth, Rama. In: Financial Management. RePEc:bla:finmgt:v:48:y:2019:i:1:p:159-186. Full description at Econpapers || Download paper | |
| 2020 | Mispriced index option portfolios. (2020). Perrakis, Stylianos ; Czerwonko, Michal ; Constantinides, George M. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:2:p:297-330. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Works by Ravi Jagannathan:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2010 | Cross-Sectional Asset Pricing Tests In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 12 |
| 2002 | Generalized Method of Moments: Applications in Finance. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 15 |
| 2005 | Reforming the Bookbuilding Process for IPOs In: Journal of Applied Corporate Finance. [Full Text][Citation analysis] | article | 9 |
| 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 | 26 |
| 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 | 2464 |
| 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: 2464 | paper | |
| 1996 | The Conditional CAPM and the Cross-Section of Expected Returns. In: Journal of Finance. [Full Text][Citation analysis] | article | 725 |
| 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: 725 | paper | |
| 1997 | Assessing Specification Errors in Stochastic Discount Factor Models. In: Journal of Finance. [Full Text][Citation analysis] | article | 286 |
| 1994 | Assessing specification errors in stochastic discount factor models.(1994) In: Staff Report. [Full Text][Citation analysis] This paper has another version. Agregated cites: 286 | 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: 286 | paper | |
| 2003 | Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps In: Journal of Finance. [Full Text][Citation analysis] | article | 58 |
| 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: 58 | 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 | 224 |
| 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: 224 | paper | |
| 2007 | Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns In: Journal of Finance. [Full Text][Citation analysis] | article | 62 |
| 2010 | Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation In: Journal of Finance. [Full Text][Citation analysis] | article | 73 |
| 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: 73 | paper | |
| 2019 | Dividend Dynamics, Learning, and Expected Stock Index Returns In: Journal of Finance. [Full Text][Citation analysis] | article | 5 |
| 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: 5 | paper | |
| 2019 | Corrigendum for Dividend Dynamics, Learning, and Expected Stock Index Returns In: Journal of Finance. [Full Text][Citation analysis] | article | 5 |
| 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 | 6 |
| 2014 | Momentum Trading, Return Chasing, and Predictable Crashes In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
| 2014 | Momentum Trading, Return Chasing and Predictable Crashes.(2014) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | 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: 8 | 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 | 24 |
| 1999 | Does product market competition reduce agency costs? In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 17 |
| 2000 | Does Product Market Competition Reduce Agency Costs?.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | 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 | 38 |
| 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: 38 | paper | |
| 1994 | A contingent claim approach to performance evaluation In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 42 |
| 1993 | A contingent claim approach to performance evaluation.(1993) In: Staff Report. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | paper | |
| 2012 | CAPM for estimating the cost of equity capital: Interpreting the empirical evidence In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 21 |
| 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: 21 | paper | |
| 2016 | Why do firms use high discount rates? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 10 |
| 1984 | Call options and the risk of underlying securities In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 22 |
| 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 | 90 |
| 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: 90 | 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 | 6 |
| 2015 | Share auctions of initial public offerings: Global evidence In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 9 |
| 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 | 4 |
| 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: 4 | 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: 4 | 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 | 47 |
| 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: 47 | article | |
| 1990 | Implications of security market data for models of dynamic economies In: Discussion Paper / Institute for Empirical Macroeconomics. [Full Text][Citation analysis] | paper | 608 |
| 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: 608 | 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: 608 | 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 | 61 |
| 2000 | The declining U.S. equity premium In: Quarterly Review. [Full Text][Citation analysis] | article | 58 |
| 2001 | The Declining U.S. Equity Premium.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 58 | 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 | 21 |
| 1994 | THE CAPM IS ALIVE AND WELL.(1994) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
| 1994 | Ex-dividend price behavior of common stocks In: Staff Report. [Full Text][Citation analysis] | paper | 48 |
| 1994 | Ex-dividend price behavior of common stocks.(1994) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 48 | 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: 48 | 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 | 13 |
| 2002 | Do We Need CAPM for Capital Budgeting?.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | 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 | 0 |
| 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 | 6 |
| 1985 | An Algorithm for a Class of Nonconvex Programming Problems with Nonlinear Fractional Objectives In: Management Science. [Full Text][Citation analysis] | article | 1 |
| 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 | 9 |
| 2012 | Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns In: Management Science. [Full Text][Citation analysis] | article | 7 |
| 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 | 6 |
| 2006 | Why Do IPO Auctions Fail? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 15 |
| 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 | 6 |
| 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 | 6 |
| 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 | 10 |
| 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 | 3 |
| 2011 | Price Dividend Ratio Factors : Proxies for Long Run Risk In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 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: 0 | article | |
| 2012 | Tail Risk in Momentum Strategy Returns In: NBER Working Papers. [Full Text][Citation analysis] | paper | 23 |
| 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 | 1 |
| 2017 | Environmental, Social, and Governance Criteria: Why Investors are Paying Attention In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 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 |
| 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 | 13 |
| 2002 | Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 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: 3 | 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 | 8 |
| 2011 | Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds In: Review of Financial Studies. [Full Text][Citation analysis] | article | 13 |
| 1986 | Assessing the Market Timing Performance of Managed Portfolios. In: The Journal of Business. [Full Text][Citation analysis] | article | 79 |
| 1986 | Correcting for Heteroscedasticity in Tests for Market Timing Ability. In: The Journal of Business. [Full Text][Citation analysis] | article | 6 |
| 2019 | Liquidity Provision: Normal Times vs Crashes In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
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