22
H index
33
i10 index
5293
Citations
Ravi Jagannathan : Citation Profile
Northwestern University | RESEARCH PRODUCTION: 49 Articles 50 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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44 years (1974 - 2018). 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 | 12 |
| Management Science | 8 |
| Quarterly Review | 4 |
| Journal of Financial Economics | 4 |
| The Journal of Business | 3 |
| Review of Financial Studies | 2 |
| Journal of Financial Intermediation | 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 | |
|---|---|---|
| 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 | |
| 2018 | Realizing Correlations Across Asset Classes. (2018). Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37. Full description at Econpapers || Download paper | |
| 2017 | CAPM applications for appropriate stock pricing – impact of speculation companies. (2017). Skalna, Iwona ; Urbaski, Stanisaw. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:227-245. 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 | |
| 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 | 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 | |
| 2018 | 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 | |
| 2018 | 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 | Analytic solution to variance optimization with no short-selling. (2017). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1612.07067. Full description at Econpapers || Download paper | |
| 2017 | Non-parametric and semi-parametric asset pricing. (2017). Ormos, Mihály ; Erdos, Peter ; Zibriczky, David . 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). Wang, Chao ; Gerlach, Richard ; Chen, Qian. 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). , . 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 | |
| 2018 | Spectral backtests of forecast distributions with application to risk management. (2018). 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). Papaioannou, Panagiotis G ; Dikaiakos, Christos ; Stratigakos, Akylas ; Siettos, Kostas . In: Papers. RePEc:arx:papers:1708.07063. Full description at Econpapers || Download paper | |
| 2017 | Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. 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 | |
| 2017 | A nonparametric copula approach to conditional Value-at-Risk. (2017). Geenens, Gery ; Dunn, Richard . In: Papers. RePEc:arx:papers:1712.05527. Full description at Econpapers || Download paper | |
| 2018 | Regression Based Expected Shortfall Backtesting. (2018). Bayer, Sebastian ; Dimitriadis, Timo . 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 | Large-Scale Dynamic Predictive Regressions. (2018). Bianchi, Daniele ; McAlinn, Kenichiro. In: Papers. RePEc:arx:papers:1803.06738. Full description at Econpapers || Download paper | |
| 2019 | High Dimensional Estimation and Multi-Factor Models. (2018). Jarrow, Robert ; Wells, Martin T ; Basu, Sumanta ; Zhu, Liao. In: Papers. RePEc:arx:papers:1804.08472. Full description at Econpapers || Download paper | |
| 2018 | Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator. (2018). Nguyen, Viet Anh ; Esfahani, Peyman Mohajerin ; Kuhn, Daniel. In: Papers. RePEc:arx:papers:1805.07194. 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). Wang, Yingli ; Yang, Xiaoguang. In: Papers. RePEc:arx:papers:1806.04347. Full description at Econpapers || Download paper | |
| 2018 | Factor models with many assets: strong factors, weak factors, and the two-pass procedure. (2018). 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). Corsaro, Stefania ; de Simone, Valentina . 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 | |
| 2018 | An updated review of (sub-)optimal diversification models. (2018). Bock, Johannes. In: Papers. RePEc:arx:papers:1811.08255. Full description at Econpapers || Download paper | |
| 2018 | Improved Inference on the Rank of a Matrix. (2018). Chen, Qihui ; Fang, Zheng. 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 | |
| 2018 | Salvaging Falsified Instrumental Variable Models. (2018). Masten, Matthew A ; Poirier, Alexandre. In: Papers. RePEc:arx:papers:1812.11598. 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 | |
| 2018 | Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment. (2018). Hansen, Erwin ; Guidolin, Massimo ; Lozano-Banda, Martin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1885. 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 | |
| 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 ; Kwon, Hannah ; Johannsen, Benjamin K ; Datta, Deepa . In: BIS Working Papers. RePEc:bis:biswps:617. 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 | |
| 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 | |
| 2017 | The Role of U.S. Market on International Risk-Return Tradeoff Relations. (2017). Sun, Licheng ; Najand, Mohammad ; Meng, Liang . In: The Financial Review. RePEc:bla:finrev:v:52:y:2017:i:3:p:499-526. Full description at Econpapers || Download paper | |
| 2017 | Specification Error, Estimation Risk, and Conditional Portfolio Rules. (2017). Tian, Weidong ; Yan, Hong ; Kaniel, Ron ; Chapman, David A ; Carlson, Murray. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:263-288. Full description at Econpapers || Download paper | |
| 2017 | Asset Pricing Model Uncertainty: A Tradeoff between Bias and Variance. (2017). Tian, Weidong ; Zhou, Qing. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:289-324. Full description at Econpapers || Download paper | |
| 2017 | MONETARY POLICY SURPRISES, INVESTMENT OPPORTUNITIES, AND ASSET PRICES. (2017). Detzel, Andrew. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:3:p:315-348. Full description at Econpapers || Download paper | |
| 2017 | Crisis Sentiment in the U.S. Insurance Sector. (2017). Irresberger, Felix ; Konig, Fee Elisabeth. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:4:p:1295-1330. Full description at Econpapers || Download paper | |
| 2017 | Detecting at-Most-m Changes in Linear Regression Models. (2017). Wang, Shixuan ; Pouliot, William ; Horvath, Lajos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:552-590. Full description at Econpapers || Download paper | |
| 2018 | Modeling the Interactions between Volatility and Returns using EGARCH‐M. (2018). Lange, Rutger-Jan ; Harvey, Andrew. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:909-919. Full description at Econpapers || Download paper | |
| 2018 | Did the Basel process of capital regulation enhance the resiliency of European Banks?. (2018). Gehrig, Thomas ; Iannino, Maria Chiara . In: Research Discussion Papers. RePEc:bof:bofrdp:2018_016. Full description at Econpapers || Download paper | |
| 2017 | Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48. Full description at Econpapers || Download paper | |
| 2017 | A Study on the Volatility of the Bangladesh Stock Market — Based on GARCH Type Models. (2017). Bhowmik, Roni ; Kumar, Jewel Roy ; Shouyang, Wang ; Chao, WU. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:5:y:2017:i:3:p:193-215:n:1. Full description at Econpapers || Download paper | |
| 2018 | A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns. (2018). Haas, Markus ; Ji-Chun, Liu ; Markus, Haas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:3:p:27:n:3. Full description at Econpapers || Download paper | |
| 2018 | High-frequency Cash Flow Dynamics. (2018). Pettenuzzo, Davide ; Timmermann, Allan ; Sabbatucci, Riccardo. In: Working Papers. RePEc:brd:wpaper:120. Full description at Econpapers || Download paper | |
| 2018 | Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff. (2018). Hong, S-Y., ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1877. Full description at Econpapers || Download paper | |
| 2017 | Investment Fund Risk: The Tale in the Tails. (2017). Dunne, Peter ; Shaw, Frances . In: Research Technical Papers. RePEc:cbi:wpaper:01/rt/17. Full description at Econpapers || Download paper | |
| 2018 | Swiss Franc from the Croatian Perspective. (2018). Bonjak, Mile . In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:7:y:2018:i:3:p:41-56. Full description at Econpapers || Download paper | |
| 2017 | Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14. Full description at Econpapers || Download paper | |
| 2018 | Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach. (2018). Xu, Yongdeng ; Taylor, Nick ; Lu, Wenna. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2018/6. Full description at Econpapers || Download paper | |
| 2017 | Generalized Disappointment Aversion, Learning, and Asset Prices. (2017). Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp606. Full description at Econpapers || Download paper | |
| 2017 | Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Freyberger, Joachim ; Neuhierl, Andreas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6391. Full description at Econpapers || Download paper | |
| 2018 | Diversification Power of Real Estate Market Securities: The Role of Financial Crisis and Dividend Policy. (2018). Ilbasmis, Metin ; Zhao, Yuan ; Gronwald, Marc. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7015. Full description at Econpapers || Download paper | |
| 2018 | Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts. (2018). Dovern, Jonas ; Manner, Hans. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7023. Full description at Econpapers || Download paper | |
| 2018 | Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models. (2018). Caporale, Guglielmo Maria ; Zekokh, Timur. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7167. Full description at Econpapers || Download paper | |
| 2018 | Beauty Contests and the Term Structure. (2018). Tischbirek, Andreas ; Ellison, Martin. In: Discussion Papers. RePEc:cfm:wpaper:1807. Full description at Econpapers || Download paper | |
| 2018 | Robust Estimation with Exponentially Tilted Hellinger Distance. (2018). Antoine, Bertille ; Dovonon, Prosper. In: CIRANO Working Papers. RePEc:cir:cirwor:2018s-38. Full description at Econpapers || Download paper | |
| 2017 | Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: Working Papers. RePEc:cmf:wpaper:wp2017_1711. Full description at Econpapers || Download paper | |
| 2017 | Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report. (2017). Crego, Julio A. In: Working Papers. RePEc:cmf:wpaper:wp2017_1714. Full description at Econpapers || Download paper | |
| 2017 | Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Manresa, Elena ; Sentana, Enrique ; Pearanda, Francisco . In: Working Papers. RePEc:cmf:wpaper:wp2018_1711. Full description at Econpapers || Download paper | |
| 2017 | Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report. (2017). Crego, Julio A. In: Working Papers. RePEc:cmf:wpaper:wp2018_1714. Full description at Econpapers || Download paper | |
| 2018 | Nonlinearities and Regimes in Conditional Correlations with Different Dynamics. (2018). Bauwens, L ; Otrando, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:201803. Full description at Econpapers || Download paper | |
| 2017 | La volatilidad del tipo de cambio paralelo en Venezuela 2005-2015. (2017). Castillo, Laura Daniela ; Ramoni-Perazzi, Josefa . In: REVISTA APUNTES DEL CENES. RePEc:col:000152:015363. 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 | 11 |
| 2002 | Generalized Method of Moments: Applications in Finance. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 13 |
| 2005 | Reforming the Bookbuilding Process for IPOs In: Journal of Applied Corporate Finance. [Full Text][Citation analysis] | article | 8 |
| 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 | 23 |
| 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 | 2191 |
| 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: 2191 | paper | |
| 1996 | The Conditional CAPM and the Cross-Section of Expected Returns. In: Journal of Finance. [Full Text][Citation analysis] | article | 678 |
| 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: 678 | paper | |
| 1997 | Assessing Specification Errors in Stochastic Discount Factor Models. In: Journal of Finance. [Full Text][Citation analysis] | article | 264 |
| 1994 | Assessing specification errors in stochastic discount factor models.(1994) In: Staff Report. [Full Text][Citation analysis] This paper has another version. Agregated cites: 264 | 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: 264 | paper | |
| 1998 | A Note on the Asymptotic Covariance in Fama-MacBeth Regression In: Journal of Finance. [Full Text][Citation analysis] | article | 1 |
| 1998 | An Asymptotic Theory for Estimating Beta-Pricing Models Using Cross-Sectional Regression In: Journal of Finance. [Full Text][Citation analysis] | article | 82 |
| 2002 | Empirical Evaluation of Asset-Pricing Models: A Comparison of the SDF and Beta Methods In: Journal of Finance. [Full Text][Citation analysis] | article | 47 |
| 2001 | Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | paper | |
| 2003 | Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps In: Journal of Finance. [Full Text][Citation analysis] | article | 308 |
| 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: 308 | 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 | 199 |
| 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: 199 | paper | |
| 2007 | Lazy Investors, Discretionary Consumption, and the Cross-Section of Stock Returns In: Journal of Finance. [Full Text][Citation analysis] | article | 53 |
| 2010 | Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation In: Journal of Finance. [Full Text][Citation analysis] | article | 63 |
| 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: 63 | paper | |
| 2019 | Dividend Dynamics, Learning, and Expected Stock Index Returns 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 | 15 |
| 2000 | Does Product Market Competition Reduce Agency Costs?.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | 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 | 36 |
| 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: 36 | 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 | 16 |
| 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: 16 | paper | |
| 2016 | Why do firms use high discount rates? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 6 |
| 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 | 83 |
| 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: 83 | 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 | 2 |
| 2015 | Share auctions of initial public offerings: Global evidence In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 7 |
| 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 | 44 |
| 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: 44 | article | |
| 1990 | Implications of security market data for models of dynamic economies In: Discussion Paper / Institute for Empirical Macroeconomics. [Full Text][Citation analysis] | paper | 577 |
| 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: 577 | 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: 577 | 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 | 13 |
| 1996 | Why should older people invest less in stock than younger people? In: Quarterly Review. [Full Text][Citation analysis] | article | 60 |
| 2000 | The declining U.S. equity premium In: Quarterly Review. [Full Text][Citation analysis] | article | 56 |
| 2001 | The Declining U.S. Equity Premium.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 56 | 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 | 20 |
| 1994 | THE CAPM IS ALIVE AND WELL.(1994) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
| 1994 | Ex-dividend price behavior of common stocks In: Staff Report. [Full Text][Citation analysis] | paper | 45 |
| 1994 | Ex-dividend price behavior of common stocks.(1994) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | 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: 45 | article | |
| 1996 | Econometric evaluation of asset pricing models In: Staff Report. [Full Text][Citation analysis] | paper | 6 |
| 2002 | Do We Need CAPM for Capital Budgeting? In: Financial Management. [Citation analysis] | article | 11 |
| 2002 | Do We Need CAPM for Capital Budgeting?.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | 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 | 7 |
| 2012 | Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns In: Management Science. [Full Text][Citation analysis] | article | 6 |
| 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 | 4 |
| 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 | 18 |
| 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 | 0 |
| 2015 | Dividend Dynamics, Learning, and Expected Stock Index Returns In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 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 |
| 2018 | Stock price crashes: Role of slow-moving capital.(2018) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1999 | Valuing the Reload Features of Executive Stock Options In: NBER Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 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 | 7 |
| 2011 | Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds In: Review of Financial Studies. [Full Text][Citation analysis] | article | 7 |
| 1986 | Assessing the Market Timing Performance of Managed Portfolios. In: The Journal of Business. [Full Text][Citation analysis] | article | 76 |
| 1986 | Correcting for Heteroscedasticity in Tests for Market Timing Ability. In: The Journal of Business. [Full Text][Citation analysis] | article | 5 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated February, 1st 2019. Contact: CitEc Team