Ravi Jagannathan : Citation Profile

Are you Ravi Jagannathan?

Northwestern University

24

H index

42

i10 index

7217

Citations

RESEARCH PRODUCTION:

48

Articles

53

Papers

1

Chapters

RESEARCH ACTIVITY:

   47 years (1974 - 2021). See details.
   Cites by year: 153
   Journals where Ravi Jagannathan has often published
   Relations with other researchers
   Recent citing documents: 956.    Total self citations: 34 (0.47 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pja91
   Updated: 2022-06-25    RAS profile: 2021-03-29    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Pelizzon, Loriana (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Ravi Jagannathan.

Is cited by:

McAleer, Michael (71)

faff, robert (42)

Robotti, Cesare (34)

GUPTA, RANGAN (30)

Bollerslev, Tim (27)

Engle, Robert (27)

Ang, Andrew (26)

zhang, xiaoyan (26)

Degiannakis, Stavros (26)

Chang, Chia-Lin (25)

Teräsvirta, Timo (24)

Cites to:

Fama, Eugene (33)

French, Kenneth (33)

Campbell, John (32)

Hansen, Lars (29)

Titman, Sheridan (21)

Shleifer, Andrei (18)

merton, robert (18)

Grinblatt, Mark (17)

Shanken, Jay (17)

Pedersen, Lasse (16)

Singleton, Kenneth (14)

Main data

Where Ravi Jagannathan has published?

Journals with more than one article published# docs
Journal of Finance11
Management Science8
Journal of Financial Economics4
Quarterly Review4
The Journal of Business3
Review of Financial Studies2
Journal of Financial Intermediation2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc33
Staff Report / Federal Reserve Bank of Minneapolis9
Discussion Paper / Institute for Empirical Macroeconomics / Federal Reserve Bank of Minneapolis3

Recent works citing Ravi Jagannathan (2021 and 2020)

YearTitle of citing document
2020Time-Varying Spillovers between Currency and Stock Markets in the USA: Historical Evidence From More than Two Centuries. (2020). Hkiri, Besma ; Gupta, Rangan ; Coronado, Semei ; Rojas, Omar. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:4:p:44-76.

Full description at Econpapers || Download paper

2020Origins of Mutual Fund Skill: Market versus Accounting Based Asset Pricing Anomalies. (2020). Christiansen, Charlotte ; Xu, Yue ; Xing, Ran. In: CREATES Research Papers. RePEc:aah:create:2020-14.

Full description at Econpapers || Download paper

2021Four 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

2022A 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

2022Expectations, 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

2021Econometric 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

2021Volatility 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

2021Preisvolatilität auf Agrarmärkten. (2021). Brummer, Bernhard. In: IAMO Discussion Papers. RePEc:ags:iamodp:310089.

Full description at Econpapers || Download paper

2021Discounted 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

2020Time-Varying Spillovers between Currency and Stock Markets in the USA: Historical Evidence From More than Two Centuries. (2020). Gupta, Rangan ; Coronado, Semei ; Rojas, Omar ; Hkiri, Besma. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:4:p:44-76.

Full description at Econpapers || Download paper

2020Meta-learning approaches for recovery rate prediction. (2020). Vrins, Frédéric ; Roccazzella, Francesco ; Gambetti, Paolo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020007.

Full description at Econpapers || Download paper

2021Modelación 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

2021Comparison 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

2021High 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

2021Portfolio 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

2020Salvaging Falsified Instrumental Variable Models. (2019). Poirier, Alexandre ; Masten, Matthew A. In: Papers. RePEc:arx:papers:1812.11598.

Full description at Econpapers || Download paper

2020Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1908.04569.

Full description at Econpapers || Download paper

2020Quantitative portfolio selection: using density forecasting to find consistent portfolios. (2019). Beasley, John ; Adcock, C J ; Meade, N. In: Papers. RePEc:arx:papers:1908.08442.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Data-driven covariance estimators for high-dimensional minimum-variance portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.13960.

Full description at Econpapers || Download paper

2020Equal 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

2021Modelling volatility with v-transforms. (2020). McNeil, Alexander J. In: Papers. RePEc:arx:papers:2002.10135.

Full description at Econpapers || Download paper

2020Where 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

2020Rationalizing 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

2020A Framework for Online Investment Algorithms. (2020). Gebbie, Tim ; van Zyl, Terence ; Paskaramoorthy, Andrew. In: Papers. RePEc:arx:papers:2003.13360.

Full description at Econpapers || Download paper

2020Company classification using machine learning. (2020). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven. In: Papers. RePEc:arx:papers:2004.01496.

Full description at Econpapers || Download paper

2020Machine Learning Algorithms for Financial Asset Price Forecasting. (2020). Ndikum, Philip. In: Papers. RePEc:arx:papers:2004.01504.

Full description at Econpapers || Download paper

2020Skewed 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

2020Microeconometrics with Partial Identification. (2020). Molinari, Francesca. In: Papers. RePEc:arx:papers:2004.11751.

Full description at Econpapers || Download paper

2020A 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

2022Can 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

2021Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868.

Full description at Econpapers || Download paper

2020Temporal mixture ensemble models for intraday volume forecasting in cryptocurrency exchange markets. (2020). Lillo, Fabrizio ; Guo, Tian ; Antulov-Fantulin, Nino. In: Papers. RePEc:arx:papers:2005.09356.

Full description at Econpapers || Download paper

2021Robust 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

2020Doubly 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

2020Re-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

2021Time 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

2020Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Ibrahim, Boulis M ; Byrne, Joseph P ; Zong, Xiaoyu. In: Papers. RePEc:arx:papers:2006.14023.

Full description at Econpapers || Download paper

2020Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network. (2020). Alonso-Gonz, P J ; Ramos, E ; J. J. N'u~nez-Vel'azquez, . In: Papers. RePEc:arx:papers:2006.16383.

Full description at Econpapers || Download paper

2021A 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

2020The Hansen ratio in mean--variance portfolio theory. (2020). Vcern, Alevs. In: Papers. RePEc:arx:papers:2007.15980.

Full description at Econpapers || Download paper

2020Tail risk forecasting using Bayesian realized EGARCH models. (2020). Wang, Chao ; Gerlach, Richard ; Tendenan, Vica. In: Papers. RePEc:arx:papers:2008.05147.

Full description at Econpapers || Download paper

2020Measuring and Managing Carbon Risk in Investment Portfolios. (2020). Roncalli, Thierry ; Sekine, Takaya ; Fr'ed'eric Lepetit, ; le Guenedal, Th'Eo. In: Papers. RePEc:arx:papers:2008.13198.

Full description at Econpapers || Download paper

2020Counterfactual and Welfare Analysis with an Approximate Model. (2020). Rehbeck, John ; Allen, Roy. In: Papers. RePEc:arx:papers:2009.03379.

Full description at Econpapers || Download paper

2020Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341.

Full description at Econpapers || Download paper

2020Distillation of News Flow into Analysis of Stock Reactions. (2020). Bommes, Elisabeth ; Chen, Cathy Y ; Hardle, Wolfgang Karl ; Zhang, Junni L. In: Papers. RePEc:arx:papers:2009.10392.

Full description at Econpapers || Download paper

2020CoVaR with volatility clustering, heavy tails and non-linear dependence. (2020). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2009.10764.

Full description at Econpapers || Download paper

2020Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning. (2020). Zhang, Weizhong ; Yan, Xing ; Wu, QI ; Liu, Wei ; Ma, Lin. In: Papers. RePEc:arx:papers:2010.08263.

Full description at Econpapers || Download paper

2020High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477.

Full description at Econpapers || Download paper

2022Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

Full description at Econpapers || Download paper

2021Using 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

2021Time-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

2020Large Non-Stationary Noisy Covariance Matrices: A Cross-Validation Approach. (2020). , Vincent ; Vincent, ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2012.05757.

Full description at Econpapers || Download paper

2020If Global or Local Investor Sentiments are Prone to Developing an Impact on Stock Returns, is there an Industry Effect?. (2020). Zhu, Tingting ; Ausloos, Marcel ; Shi, Jing. In: Papers. RePEc:arx:papers:2012.12951.

Full description at Econpapers || Download paper

2020Adversarial Estimation of Riesz Representers. (2020). Syrgkanis, Vasilis ; Singh, Rahul ; Newey, Whitney ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2101.00009.

Full description at Econpapers || Download paper

2021Uncertainty Network Risk and Currency Returns. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738.

Full description at Econpapers || Download paper

2021Time-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

2021Power-Law Return-Volatility Cross Correlations of Bitcoin. (2021). Takaishi, T. In: Papers. RePEc:arx:papers:2102.08187.

Full description at Econpapers || Download paper

2021A 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

2021Deep Stochastic Volatility Model. (2021). Chen, Ying ; Xu, Xiuqin. In: Papers. RePEc:arx:papers:2102.12658.

Full description at Econpapers || Download paper

2021Deep 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

2021Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

Full description at Econpapers || Download paper

2021Optimizing 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

2021Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

Full description at Econpapers || Download paper

2021Modelling 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

2021Adaptive 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

2022Backtesting 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

2021An 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

2021Aspects 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

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

Full description at Econpapers || Download paper

2021Deep 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

2021Specification tests for GARCH processes. (2021). Rahbek, Anders ; Perera, Indeewara ; Cavaliere, Giuseppe. In: Papers. RePEc:arx:papers:2105.14081.

Full description at Econpapers || Download paper

2021A 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

2021An Interpretable Neural Network for Parameter Inference. (2021). Pfitzinger, Johann. In: Papers. RePEc:arx:papers:2106.05536.

Full description at Econpapers || Download paper

2021Diversified 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

2021Portfolio 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

2021Clustering 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

2021Geometric 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

2021Time 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

2021Deep 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

2021Machine 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

2021The Adaptive Multi-Factor Model and the Financial Market. (2021). Zhu, Liao. In: Papers. RePEc:arx:papers:2107.14410.

Full description at Econpapers || Download paper

2021Deep Signature FBSDE Algorithm. (2021). Zhang, Zhaoyu ; Luo, Man ; Feng, QI. In: Papers. RePEc:arx:papers:2108.10504.

Full description at Econpapers || Download paper

2021Marginals 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

2021Multi-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

2021No-Regret Forecasting with Egalitarian Committees. (2021). Su, Jiun-Hua. In: Papers. RePEc:arx:papers:2109.13801.

Full description at Econpapers || Download paper

2021Kernel Minimum Divergence Portfolios. (2021). Szab, Zolt'An ; Chamakh, Linda. In: Papers. RePEc:arx:papers:2110.09516.

Full description at Econpapers || Download paper

2021Long Run Law and Entropy. (2021). Tian, Weidong. In: Papers. RePEc:arx:papers:2111.06238.

Full description at Econpapers || Download paper

2021Is 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

2021Mesoscopic 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

2021Mean-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

2022Evolutionary 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

2022Threshold 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

2022On 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

2022Neural Generalised AutoRegressive Conditional Heteroskedasticity. (2022). Yin, Zexuan ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2202.11285.

Full description at Econpapers || Download paper

2022Vulnerability-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

2022Reducing 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

2022LoCoV: 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

2022Variational Heteroscedastic Volatility Model. (2022). Barucca, Paolo ; Yin, Zexuan. In: Papers. RePEc:arx:papers:2204.05806.

Full description at Econpapers || Download paper

2022Option 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

2021India 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

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

Works by Ravi Jagannathan:

YearTitleTypeCited
2010Cross-Sectional Asset Pricing Tests In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article14
2002Generalized Method of Moments: Applications in Finance. In: Journal of Business & Economic Statistics.
[Citation analysis]		article18
2005Reforming the Bookbuilding Process for IPOs In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article12
1985 An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model. In: Journal of Finance.
[Full Text][Citation analysis]		article40
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]		article3208
1993On 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: 3208		paper
1996 The Conditional CAPM and the Cross-Section of Expected Returns. In: Journal of Finance.
[Full Text][Citation analysis]		article825
1996The conditional CAPM and the cross-section of expected returns.(1996) In: Staff Report.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 825		paper
1997 Assessing Specification Errors in Stochastic Discount Factor Models. In: Journal of Finance.
[Full Text][Citation analysis]		article361
1994Assessing specification errors in stochastic discount factor models.(1994) In: Staff Report.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 361		paper
1994Assessing Specification Errors in Stochastic Discount Factor Models.(1994) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 361		paper
2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps In: Journal of Finance.
[Full Text][Citation analysis]		article444
2002Risk 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: 444		paper
2005The Stock Markets Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks In: Journal of Finance.
[Full Text][Citation analysis]		article300
2001The 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: 300		paper
2007Lazy Investors, Discretionary Consumption, and the Cross?Section of Stock Returns In: Journal of Finance.
[Full Text][Citation analysis]		article90
2010Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation In: Journal of Finance.
[Full Text][Citation analysis]		article94
2006Do 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: 94		paper
2019Dividend Dynamics, Learning, and Expected Stock Index Returns In: Journal of Finance.
[Full Text][Citation analysis]		article9
2015Dividend Dynamics, Learning, and Expected Stock Index Returns.(2015) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2019Corrigendum for Dividend Dynamics, Learning, and Expected Stock Index Returns In: Journal of Finance.
[Full Text][Citation analysis]		article9
2019A Note on “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps” In: Journal of Finance.
[Full Text][Citation analysis]		article0
2009Avoiding the Next Crisis In: The Economists' Voice.
[Full Text][Citation analysis]		article7
2014Momentum Trading, Return Chasing, and Predictable Crashes In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper16
2014Momentum Trading, Return Chasing and Predictable Crashes.(2014) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2014Momentum Trading, Return Chasing, and Predictable Crashes.(2014) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2002A direct test for the mean variance efficiency of a portfolio In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article34
1999Does product market competition reduce agency costs? In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article24
2000Does Product Market Competition Reduce Agency Costs?.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		paper
2003An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices In: Journal of Econometrics.
[Full Text][Citation analysis]		article40
2001An 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: 40		paper
1994A contingent claim approach to performance evaluation In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article58
1993A contingent claim approach to performance evaluation.(1993) In: Staff Report.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 58		paper
2012CAPM for estimating the cost of equity capital: Interpreting the empirical evidence In: Journal of Financial Economics.
[Full Text][Citation analysis]		article33
2009CAPM 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: 33		paper
2016Why do firms use high discount rates? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article24
1984Call options and the risk of underlying securities In: Journal of Financial Economics.
[Full Text][Citation analysis]		article24
1998Why 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]		article105
1997Why 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: 105		paper
2013Causes 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]		article10
2015Share auctions of initial public offerings: Global evidence In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article17
1990Ex-day behavior of japanese stock prices: New insights from new methodology In: Journal of the Japanese and International Economies.
[Full Text][Citation analysis]		article6
1990Ex-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
1990Ex-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
1997Relationship 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]		paper55
1998Relationship 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
1990Implications of security market data for models of dynamic economies In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]		paper739
1990Implications 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: 739		paper
1991Implications 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: 739		article
1990The simple analytics of commodity futures markets: do they stabilize prices? Do they raise welfare? In: Quarterly Review.
[Full Text][Citation analysis]		article0
1995The CAPM debate In: Quarterly Review.
[Full Text][Citation analysis]		article12
1996Why should older people invest less in stock than younger people? In: Quarterly Review.
[Full Text][Citation analysis]		article69
2000The declining U.S. equity premium In: Quarterly Review.
[Full Text][Citation analysis]		article64
2001The Declining U.S. Equity Premium.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64		paper
1987Seasonalities in security returns: the case of earnings announcements In: Staff Report.
[Full Text][Citation analysis]		paper3
1993The CAPM is alive and well In: Staff Report.
[Full Text][Citation analysis]		paper21
1994THE CAPM IS ALIVE AND WELL.(1994) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
1994Ex-dividend price behavior of common stocks In: Staff Report.
[Full Text][Citation analysis]		paper56
1994Ex-dividend price behavior of common stocks.(1994) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 56		paper
1994Ex-dividend Price Behavior of Common Stocks..(1994) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 56		article
1996Econometric evaluation of asset pricing models In: Staff Report.
[Full Text][Citation analysis]		paper7
2002Do We Need CAPM for Capital Budgeting? In: Financial Management.
[Citation analysis]		article16
2002Do We Need CAPM for Capital Budgeting?.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
1974A Sequential Algorithm for a Class of Programming Problems with Nonlinear Constraints In: Management Science.
[Full Text][Citation analysis]		article0
1978A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem In: Management Science.
[Full Text][Citation analysis]		article1
1979Erratum to A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem In: Management Science.
[Full Text][Citation analysis]		article0
1985Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models In: Management Science.
[Full Text][Citation analysis]		article6
1985An Algorithm for a Class of Nonconvex Programming Problems with Nonlinear Fractional Objectives In: Management Science.
[Full Text][Citation analysis]		article2
1987Note---Response In: Management Science.
[Full Text][Citation analysis]		article0
2009Jackknife Estimator for Tracking Error Variance of Optimal Portfolios In: Management Science.
[Full Text][Citation analysis]		article17
2012Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns In: Management Science.
[Full Text][Citation analysis]		article8
2004A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1 In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2005Consumption Risk and the Cost of Equity Capital In: NBER Working Papers.
[Full Text][Citation analysis]		paper7
2006Why Do IPO Auctions Fail? In: NBER Working Papers.
[Full Text][Citation analysis]		paper18
2007When Does a Mutual Funds Trade Reveal its Skill? In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2008Price Momentum In Stocks: Insights From Victorian Age Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper10
2008Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2009Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom not the Disease! In: NBER Working Papers.
[Full Text][Citation analysis]		paper7
2009Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper12
2010Why Dont Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2011The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
2011Price Dividend Ratio Factors : Proxies for Long Run Risk In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2015Price-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
2012Tail Risk in Momentum Strategy Returns In: NBER Working Papers.
[Full Text][Citation analysis]		paper28
2012Building Castles in the Air: Evidence from Industry IPO Waves In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2014Growth Expectations, Dividend Yields, and Future Stock Returns In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2017Environmental, Social, and Governance Criteria: Why Investors are Paying Attention In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2017Stock Price Crashes: Role of Slow-Moving Capital In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2019On Frequent Batch Auctions for Stocks In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2020Return to Venture Capital in the Aggregate In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2020A Return Based Measure of Firm Quality In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
1999Valuing the Reload Features of Executive Stock Options In: NBER Working Papers.
[Full Text][Citation analysis]		paper11
2001Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods In: NBER Working Papers.
[Full Text][Citation analysis]		paper14
2002Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2005UNDERSTANDING 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
1984Banking Panics In: Discussion Papers.
[Full Text][Citation analysis]		paper51
1989Effects of Insider Trading Disclosures on Speculative Activity and Future Prices. In: Economic Inquiry.
[Citation analysis]		article2
1990Price Stability and Futures Trading in Commodities In: The Quarterly Journal of Economics.
[Full Text][Citation analysis]		article12
2011Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds In: Review of Financial Studies.
[Full Text][Citation analysis]		article20
1986Assessing the Market Timing Performance of Managed Portfolios. In: The Journal of Business.
[Full Text][Citation analysis]		article93
1986Correcting for Heteroscedasticity in Tests for Market Timing Ability. In: The Journal of Business.
[Full Text][Citation analysis]		article10
2021Recovery from fast crashes: Role of mutual funds In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 30 2022. Contact: CitEc Team