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Last updated October, 1 2014 659.157 documents processed, 17.207.940 references and 6.678.773 citations

William D Lastrapes : Citation Profile


Are you William D Lastrapes?

University of Georgia

h-index: 12
i10-index: 14

Articles: 31 (1055 citations)
Papers: 6 (6 citations)

Main publication channels

Recent citing documents: 114
Total times cited: 1061
Total self citations: 16 (1.51 %)

Research activity: 24 years
Starts: 1989
Ends:  2013
Cites by year: 44.21

More details in:
EconPapers
Author's homepage

Note: Citations are only consolidated across paper versions, not across document types. This may result in a higger h-index than in IDEAS rankings

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Permalink for this report:
http://citec.repec.org/pla48

Created: 2014-10-29 04:15:06    

Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with William D Lastrapes.

Is cited by:

Miller, Stephen (19)

Caglayan, Mustafa (13)

Baum, Christopher (11)

Bredin, Don (11)

Bollerslev, Tim (11)

GUPTA, RANGAN (10)

Ghysels, Eric (9)

Fang, WenShwo (9)

Yoon, Seong-Min (8)

Andreou, Elena (8)

Ewing, Bradley (7)

Cites to:

Leeper, Eric (20)

Bernanke, Ben (15)

Watson, Mark (15)

Faust, Jon (12)

Christiano, Lawrence (12)

Quah, Danny (11)

Blanchard, Olivier (11)

Selgin, George (11)

Eichenbaum, Martin (10)

Romer, Christina (9)

Gordon, David (9)

Main data


Main publication channels for William D Lastrapes


Working Papers Series with more than one paper publishedDocs
MPRA Paper / University Library of Munich, Germany14

Journals with more than one article publishedDocs
Journal of Macroeconomics5
Journal of International Money and Finance4
The Review of Economics and Statistics3
Journal of Money, Credit and Banking3
Journal of Business & Economic Statistics2

Recent works citing William D Lastrapes (2014 and 2013)


YearTitle of citing documentCited
2013Dynamic Effects of Drought on the U.S. Livestock Sector. (2013). Leister, Amanda M. ; Paarlberg, Philip P. ; Lee, John G.. In: 2013 Annual Meeting, August 4-6, 2013, Washington, D.C.. RePEc:ags:aaea13:149946.

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2014Option Pricing Accuracy for Estimated Heston Models. (2014). Azencott, Robert ; Glowinski, Roland ; Gadhyan, Yutheeka . In: Papers. RePEc:arx:papers:1404.4014.

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2013Trade Flows and Exchange Rate Shocks in Nigeria: An Empirical Result. (2013). OSEME, Adaobi S. ; UMORU, David . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2013:p:948-977.

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2013The global move into the zero interest rate and high debt trap. (2013). Schnabl, Gunther. In: Working Papers. RePEc:zbw:leiwps:121.

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2013The empirical relevance of the Mises-Hayek theory of the trade cycle. (2013). Lester, Robert ; Wolff, Jonathan . In: The Review of Austrian Economics. RePEc:kap:revaec:v:26:y:2013:i:4:p:433-461.

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2013The empirical relevance of the Mises-Hayek theory of the trade cycle. (2013). Lester, Robert ; Wolff, Jonathan . In: The Review of Austrian Economics. RePEc:kap:revaec:v:26:y:2013:i:4:p:433-461.

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2013What are the Effects of Monetary Policy Shocks? Evidence from Dollarized Countries. (2013). . In: Tinbergen Institute Discussion Papers. RePEc:dgr:uvatin:2010099.

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2014Are There Bubbles in Stock Prices? Testing for Fundamental Shocks. (2014). Velinov, Anton ; Chen, Wenjuan . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1375.

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2014Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market. (2014). Lütkepohl, Helmut ; Netsunajev, Aleksei ; Lutkepohl, Helmut . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1388.

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2014Does the Great Recession imply the end of the Great Moderation? International evidence. (2014). Ferrara, Laurent ; Darné, Olivier ; CHARLES, Amelie. In: EconomiX Working Papers. RePEc:drm:wpaper:2014-21.

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2013A 10 min tick volatility analysis between the Ibovespa and the S&P500. (2013). Ceretta, Paulo Sergio ; Muller, Fernanda Maria ; Righi, Marcelo Brutti ; Da costa, Alexandre Silva . In: Economics Bulletin. RePEc:ebl:ecbull:eb-13-00459.

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2014A regime-dependent investigation of the impact of macroeconomic variables on the housing market activity in Turkey. (2014). catik, nazif ; Akseki, Utku ; Gok, Bar ; atk, Abdurrahman Nazif . In: Economics Bulletin. RePEc:ebl:ecbull:eb-13-00749.

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2013Exchange Rate Volatility and U.S. Auto-Industry Exports: A Panel Cointegration Approach. (2013). TURKCAN, Kemal ; Avsar, Veysel. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2013-04-1.

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2014Maximum likelihood estimation of the Markov-switching GARCH model. (2014). Augustyniak, Maciej . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:61-75.

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2014Stock prices and monetary policy shocks: A general equilibrium approach. (2014). Giannitsarou, Chryssi ; Challe, Edouard. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:40:y:2014:i:c:p:46-66.

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2013Regime-switching in volatility and correlation structure using range-based models with Markov-switching. (2013). Wu, Chun-Chou ; Su, Yi-Kai ; Miao, Daniel Wei-Chung . In: Economic Modelling. RePEc:eee:ecmode:v:31:y:2013:i:c:p:87-93.

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2013House price dynamics and their reaction to macroeconomic changes. (2013). Brooks, Chris ; Ward, Charles W. R., ; Nneji, Ogonna . In: Economic Modelling. RePEc:eee:ecmode:v:32:y:2013:i:c:p:172-178.

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2013Testing volatility persistence on Markov switching stochastic volatility models. (2013). Li, Yong ; Pan, Qi. In: Economic Modelling. RePEc:eee:ecmode:v:35:y:2013:i:c:p:45-50.

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2014Monetary easing policy and long-run food prices: Evidence from China. (2014). Yu, Xiaohua. In: Economic Modelling. RePEc:eee:ecmode:v:40:y:2014:i:c:p:175-183.

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2013Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options. (2013). Lin, Bing-Huei ; Huang, Teng-Ching ; Chuang, Wen-I, . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:25:y:2013:i:c:p:168-187.

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2013Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil. (2013). Asai, Manabu ; Brugal, Ivan . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:25:y:2013:i:c:p:202-213.

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2013How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches. (2013). Zhang, Zhaoyong ; Ho, Kin-Yip ; Shi, Yanlin . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:26:y:2013:i:c:p:436-456.

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2013Using CARRX models to study factors affecting the volatilities of Asian equity markets. (2013). SIN, Chor-yiu (CY). In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:26:y:2013:i:c:p:552-564.

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2013Spurious persistence in stochastic volatility. (2013). Krämer, Walter ; Messow, Philip ; Kramer, Walter . In: Economics Letters. RePEc:eee:ecolet:v:121:y:2013:i:2:p:221-223.

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2013Powerful tests for structural changes in volatility. (2013). Xu, Ke-Li . In: Journal of Econometrics. RePEc:eee:econom:v:173:y:2013:i:1:p:126-142.

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2013Modelling volatility by variance decomposition. (2013). Teräsvirta, Timo ; Amado, Cristina ; Terasvirta, Timo . In: Journal of Econometrics. RePEc:eee:econom:v:175:y:2013:i:2:p:142-153.

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2013Analyzing the effects of US monetary policy shocks in dollarized countries. (2013). Willems, Tim. In: European Economic Review. RePEc:eee:eecrev:v:61:y:2013:i:c:p:101-115.

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2013Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?. (2013). Moreno, Manuel ; Marroqun-Martnez, Naroa . In: European Journal of Operational Research. RePEc:eee:ejores:v:225:y:2013:i:3:p:429-442.

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2013The Tunisian stock market index volatility: Long memory vs. switching regime. (2013). CHARFEDDINE, Lanouar ; Ajmi, Ahdi Noomen. In: Emerging Markets Review. RePEc:eee:ememar:v:16:y:2013:i:c:p:170-182.

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2014Intraday asymmetric liquidity and asymmetric volatility in FTSE-100 futures market. (2014). Xiang, Ju ; Zhu, Xiaoneng . In: Journal of Empirical Finance. RePEc:eee:empfin:v:25:y:2014:i:c:p:134-148.

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2014Modelling changes in the unconditional variance of long stock return series. (2014). Teräsvirta, Timo ; Amado, Cristina ; Terasvirta, Timo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:25:y:2014:i:c:p:15-35.

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2014How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process. (2014). Yoon, Seong-Min ; Mensi, Walid ; Hammoudeh, Shawkat . In: Energy Economics. RePEc:eee:eneeco:v:42:y:2014:i:c:p:343-354.

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2014Volatility persistence in crude oil markets. (2014). Darné, Olivier ; Charles, Amelie ; Darne, Olivier . In: Energy Policy. RePEc:eee:enepol:v:65:y:2014:i:c:p:729-742.

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2013Government intervention and institutional trading strategy: Evidence from a transition country. (2013). HASAN, IFTEKHAR ; Liu, Zhiyuan ; Yao, Yi ; Yang, Rong . In: Global Finance Journal. RePEc:eee:glofin:v:24:y:2013:i:1:p:44-68.

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2013Beta risk and price synchronicity of bank acquirers’ common stock following merger announcements. (2013). Bozos, Konstantinos ; Song, Wei ; Koutmos, Dimitrios . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:27:y:2013:i:c:p:47-58.

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2013Dynamics of credit spread moments of European corporate bond indexes. (2013). Gabrielsen, Alexandros ; Alizadeh, Amir H.. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:8:p:3125-3144.

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2014Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities. (2014). Zhou, Yinggang . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:38:y:2014:i:c:p:216-228.

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2014Modeling and predicting the CBOE market volatility index. (2014). Medeiros, Marcelo ; Fernandes, Marcelo ; Scharth, Marcel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:40:y:2014:i:c:p:1-10.

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2014The importance of the volatility risk premium for volatility forecasting. (2014). Prokopczuk, Marcel ; Simen, Chardin Wese . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:40:y:2014:i:c:p:303-320.

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2013Macroeconomic antecedents to U.S. investment in Latin America. (2013). Ruiz, Isabel ; Arbelaez, Harvey. In: Journal of Business Research. RePEc:eee:jbrese:v:66:y:2013:i:3:p:439-447.

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2014Dynamic correlation structure and security risk. (2014). Vozlyublennaia, Nadia ; Meshcheryakov, Artem . In: Journal of Economics and Business. RePEc:eee:jebusi:v:73:y:2014:i:c:p:48-64.

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2013The extreme value in crude oil and US dollar markets. (2013). Wu, Chih-Chiang ; Chen, Wei-Peng ; Choudhry, Taufiq . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:36:y:2013:i:c:p:191-210.

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2013Exchange rate shocks and trade: A multivariate GARCH-M approach. (2013). Grier, Kevin ; Smallwood, Aaron D.. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:37:y:2013:i:c:p:282-305.

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2013Sources of time-varying trade balance and real exchange rate dynamics in East Asia. (2013). Rafiq, Sohrab . In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:29:y:2013:i:c:p:117-141.

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2013The long-run impact of inflation in South Africa. (2013). GUPTA, RANGAN ; Amusa, Kafayat ; Simo-Kengne, Beatrice D. ; Simo -Kengne, Beatrice D. ; Karolia, Shaakira . In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:35:y:2013:i:5:p:798-812.

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2013What affects the cool-off duration under price limits?. (2013). Ko, Kuan-Cheng ; Chou, Robin K. ; Chao, Chun-Yi . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:24:y:2013:i:c:p:256-278.

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2013Stock price dynamics and option valuations under volatility feedback effect. (2013). Kanniainen, Juho ; Piche, Robert . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:392:y:2013:i:4:p:722-740.

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2014Time spans between price maxima and price minima in stock markets. (2014). Zou, Yongjie ; Li, Honggang . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:395:y:2014:i:c:p:303-309.

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2014Modeling record-breaking stock prices. (2014). Wergen, Gregor . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:396:y:2014:i:c:p:114-133.

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2014Internet information arrival and volatility of SME PRICE INDEX. (2014). ZHANG, YONG JIE ; Xiong, Xiong ; Shen, Dehua ; JIN, XI ; Feng, Lina . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:399:y:2014:i:c:p:70-74.

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2014Bubble-like housing boom–bust cycles: Evidence from the predictive power of households’ expectations. (2014). Huang, MeiChi . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:54:y:2014:i:1:p:2-16.

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2013Volatility transmission between gold and oil futures under structural breaks. (2013). Ewing, Bradley ; Malik, Farooq . In: International Review of Economics & Finance. RePEc:eee:reveco:v:25:y:2013:i:c:p:113-121.

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2013Causality between trading volume and returns: Evidence from quantile regressions. (2013). Wohar, Mark ; Gebka, Bartosz. In: International Review of Economics & Finance. RePEc:eee:reveco:v:27:y:2013:i:c:p:144-159.

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2013Impacts of global and domestic shocks on inflation and economic growth for actual and potential GCC member countries. (2013). Hammoudeh, Shawkat ; Kim, Won Joong . In: International Review of Economics & Finance. RePEc:eee:reveco:v:27:y:2013:i:c:p:298-317.

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2014An investigation of the causal relations between exchange rates and interest rate differentials using wavelets. (2014). Karlsson, Hyunjoo Kim ; Mnsson, Kristofer ; Hacker, Scott R.. In: International Review of Economics & Finance. RePEc:eee:reveco:v:29:y:2014:i:c:p:321-329.

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2014Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements. (2014). Yoon, Seong-Min ; Hammoudeh, Shawkat ; Mensi, Walid . In: International Review of Economics & Finance. RePEc:eee:reveco:v:30:y:2014:i:c:p:101-119.

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2014Conference calls around merger and acquisition announcements: Do they reduce information asymmetry? UK Evidence. (2014). Tsekrekos, Andrianos ; Spyrou, Spyros ; Siougle, Georgia . In: Research in International Business and Finance. RePEc:eee:riibaf:v:30:y:2014:i:c:p:148-172.

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2014Quasi-maximum likelihood estimation for multiple volatility shifts. (2014). Kim, Moosup ; Noh, Jungsik ; Lee, Taewook ; Baek, Changryong . In: Statistics & Probability Letters. RePEc:eee:stapro:v:86:y:2014:i:c:p:50-60.

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2013Trading volume and volatility in the shipping forward freight market. (2013). Alizadeh, Amir H.. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:49:y:2013:i:1:p:250-265.

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2014Oil prices and the economy: A global perspective. (2014). Vespignani, Joaquin ; Ratti, Ronald. In: CAMA Working Papers. RePEc:een:camaaa:2014-41.

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2013Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries. (2013). Cevik, Emrah ; KOSEOGLU, Sinem Derindere . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:63:y:2013:i:1:p:65-86.

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2013Collateral constraints and macroeconomic asymmetries. (2013). Iacoviello, Matteo ; Guerrieri, Luca. In: International Finance Discussion Papers. RePEc:fip:fedgif:1082.

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2014Volatility persistence in crude oil markets. (2014). Darné, Olivier ; Charles, Amelie ; Darne, Olivier . In: Post-Print. RePEc:hal:journl:hal-00940312.

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2014Does the Great Recession imply the end of the Great Moderation? International evidence. (2014). Ferrara, Laurent ; Darné, Olivier ; Charles, Amelie . In: Working Papers. RePEc:hal:wpaper:hal-00952951.

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2014Transmission de la volatilité et Central-Banking. (2014). Bensafta, Kamel Malik ; Semedo, Gervasio . In: Working Papers. RePEc:hal:wpaper:halshs-01012058.

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2014Structural Vector Autoregressions with Smooth Transition in Variances - The Interaction Between U.S. Monetary Policy and the Stock Market. (2014). Lütkepohl, Helmut ; Netsunajev, Aleksei ; Lutkepohl, Helmut . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2014-031.

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2013Credit Constraints, Political Instability, and Capital Accumulation. (2013). Turk Ariss, Rima ; Herrala, Risto. In: IMF Working Papers. RePEc:imf:imfwpa:13/246.

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2013Sudden Changes in Volatility in European Stock Markets. (2013). Teulon, Frédéric ; GUESMI, Khaled ; Ftiti, Zied. In: Working Papers. RePEc:ipg:wpaper:2013-032.

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2014Responses of international stock markets to oil price surges: a regimeswitching perspective. (2014). Nguyen, Duc Khuong ; JAMMAZI, RANIA. In: Working Papers. RePEc:ipg:wpaper:2014-080.

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2014Evaluation of the profitability of companies financed by venture capital (CVC) listed on the French market. (2014). Teulon, Frédéric ; MOSCHETTO, Bruno-Laurent ; Khalfallah, Moez . In: Working Papers. RePEc:ipg:wpaper:2014-085.

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2014Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching. (2014). GUPTA, RANGAN ; Ben Nasr, Adnen ; Ajmi, Ahdi Noomen ; Lux, Thomas . In: Working Papers. RePEc:ipg:wpaper:2014-236.

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2014Modelling the Real Exchange Rate: A new Sequential Approach. (2014). Teulon, Frédéric ; Ftiti, Zied ; Chaouachi, Slim . In: Working Papers. RePEc:ipg:wpaper:2014-390.

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2014Temporal Causality between House Prices and Output in the U. S.: A Bootstrap Rolling-Window Approach. (2014). Miller, Stephen ; GUPTA, RANGAN ; Balcilar, Mehmet ; Das, Sonali ; Nyakabawo, Wendy . In: Working Papers. RePEc:ipg:wpaper:2014-476.

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2014True or Spurious Long Memory in Volatility : Further Evidence on the Energy Futures Markets. (2014). Lanouar, Charfeddine . In: Working Papers. RePEc:ipg:wpaper:2014-503.

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2013Sudden Changes in Volatility in European Stock Markets. (2013). Guesmi, Khaled ; Ftiti, Zied ; Teulon, Frdric . In: Working Papers. RePEc:ipg:wpaper:32.

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2013Sources of fluctuations in parallel exchange rates and policy reform in Myanmar. (2013). Kubo, Koji. In: IDE Discussion Papers. RePEc:jet:dpaper:dpaper388.

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2014An empirical testing of informational efficiency in Bangladesh capital market. (2014). Joarder, Mohammad Abdul Munim ; Haque, Tahsina ; Ahmed, Monir ; Hasanuzzaman, Syed . In: Economic Change and Restructuring. RePEc:kap:ecopln:v:47:y:2014:i:1:p:63-87.

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2013Impact of exchange-rate variability on commodity trade between U.S. and Germany. (2013). Bahmani-Oskooee, Mohsen ; Hajilee, Masoomeh . In: Empirica. RePEc:kap:empiri:v:40:y:2013:i:2:p:287-324.

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2013Exchange-rate variability and U.S.-French trade flows: evidence from industry data. (2013). Hegerty, Scott ; Bahmani-Oskooee, Mohsen ; Harvey, Hanafiah . In: Empirica. RePEc:kap:empiri:v:40:y:2013:i:4:p:685-719.

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2013How Do Stock Markets in the US and Europe Price Efficiency Gains from Bank M&As?. (2013). Girardone, Claudia ; Chronopoulos, Dimitris ; Nankervis, John . In: Journal of Financial Services Research. RePEc:kap:jfsres:v:43:y:2013:i:3:p:243-263.

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2013The Determinants of Mergers and Acquisitions in Banking. (2013). Beccalli, Elena ; Frantz, Pascal . In: Journal of Financial Services Research. RePEc:kap:jfsres:v:43:y:2013:i:3:p:265-291.

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2013Commercial Property Rent Dynamics in U.S. Metropolitan Areas: An Examination of Office, Industrial, Flex and Retail Space. (2013). Pennington-Cross, Anthony ; Ibanez, Maria . In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:46:y:2013:i:2:p:232-259.

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2013The empirical relevance of the Mises-Hayek theory of the trade cycle. (2013). Lester, Robert ; Wolff, Jonathan . In: The Review of Austrian Economics. RePEc:kap:revaec:v:26:y:2013:i:4:p:433-461.

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2014The price discovery of day trading activities in futures market. (2014). Chen, Ming-Hsien ; Tai, Vivian . In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:2:p:217-239.

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2014Uncovering a positive risk-return relation: the role of implied volatility index. (2014). Kanas, Angelos . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:42:y:2014:i:1:p:159-170.

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2013Financialisation of Food Commodity Markets, Price Surge and Volatility: New Evidence. (2013). Imai, Katsushi ; Mathur, Kritika ; Thapa, Ganesh ; Gaiha, Raghav ; Kaicker, Nidhi . In: Discussion Paper Series. RePEc:kob:dpaper:dp2013-22.

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2013The Tunisian stock market index volatility: Long memory vs. switching regime. (2013). CHARFEDDINE, Lanouar ; Ajmi, Ahdi Noomen. In: Emerging Markets Review. RePEc:eee:ememar:v:16:y:2013:i:c:p:170-182.

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2013.

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2014Cross-Country Interactions, the Great Moderation and the Role of Output Volatility in Growth. (2014). Trypsteen, Steven . In: Discussion Papers. RePEc:not:notcfc:14/10.

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2013Oil Price Shocks and Volatility in Australian Stock Returns ‎. (2013). Ratti, Ronald ; Hasan, Zahid M.. In: MPRA Paper. RePEc:pra:mprapa:49043.

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2013Exchange rate uncertainty and export performance: what meta-analysis reveals?. (2013). Selmi, Refk ; bouoiyour, jamal. In: MPRA Paper. RePEc:pra:mprapa:49249.

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2014Modeling Covariance Breakdowns in Multivariate GARCH. (2014). Maheu, John ; Jin, Xin. In: MPRA Paper. RePEc:pra:mprapa:55243.

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2014Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization. (2014). Sinha, Pankaj ; Agnihotri, Shalini . In: MPRA Paper. RePEc:pra:mprapa:56307.

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2014Modelização VAR da volatilidade dos preços do ouro e dos índices dos mercados financeiros. (2014). Marques, António ; Fuinhas, José ; Antunes, Joo Marques . In: MPRA Paper. RePEc:pra:mprapa:57017.

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2014Investigating impact of volatility persistence, market asymmetry and information inflow on volatility of stock indices using bivariate GJR-GARCH. (2014). Sinha, Pankaj ; Agnihotri, Shalini . In: MPRA Paper. RePEc:pra:mprapa:58303.

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2013Temporal Causality between House Prices and Output in the U. S.: A Bootstrap Rolling-Window Approach. (2013). Miller, Stephen ; GUPTA, RANGAN ; Balcilar, Mehmet ; Das, Sonali ; Nyakabawo, Wendy . In: Working Papers. RePEc:pre:wpaper:201329.

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2013Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model. (2013). GUPTA, RANGAN ; Ben Nasr, Adnen ; Ajmi, Ahdi Noomen. In: Working Papers. RePEc:pre:wpaper:201357.

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2014Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching. (2014). GUPTA, RANGAN ; Ben Nasr, Adnen ; Ajmi, Ahdi Noomen ; Lux, Thomas . In: Working Papers. RePEc:pre:wpaper:201412.

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2027Perspectives on PPP and Long-Run Real Exchange Rates. (2027). Rogoff, Kenneth ; Froot, Ken . In: Working Paper. RePEc:qsh:wpaper:32027.

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2013Capital Inflows and Exchange Rate Volatility in Korea. (2013). Chung, Kyuil . In: 2013 Meeting Papers. RePEc:red:sed013:890.

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2013Using news analytics data in GARCH models. (2013). Balash, Vladimir ; Date, Paresh ; Sidorov, Sergei . In: Applied Econometrics. RePEc:ris:apltrx:0204.

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

Articles by William D Lastrapes:


YearTitleCited
2012Home Equity Lending and Retail Spending: Evidence from a Natural Experiment in Texas In: American Economic Journal: Macroeconomics.
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5
1994Endogenous Trading Volume and Momentum in Stock-Return Volatility. In: Journal of Business & Economic Statistics.
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57
1990Persistence in Variance, Structural Change, and the GARCH Model. In: Journal of Business & Economic Statistics.
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279
1990 Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects. In: Journal of Finance.
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193
2012Banknotes And Economic Growth In: Scottish Journal of Political Economy.
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1997The Check Tax: Fiscal Folly and the Great Monetary Contraction In: The Journal of Economic History.
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2
2004Cross-Country Variation in the Liquidity Effect: The Role of Financial Markets In: Economic Journal.
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10
2006Durable goods and the forward-looking theory of consumption: Estimates implied by the dynamic effects of money In: Journal of Economic Dynamics and Control.
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2
2005Estimating and identifying vector autoregressions under diagonality and block exogeneity restrictions In: Economics Letters.
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6
2002Real wages and aggregate demand shocks: contradictory evidence from VARs In: Journal of Economics and Business.
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1
2002The Real Price of Housing and Money Supply Shocks: Time Series Evidence and Theoretical Simulations In: Journal of Housing Economics.
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13
1993The impact of exchange rate volatility on international trade: Reduced form estimates using the GARCH-in-mean model In: Journal of International Money and Finance.
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59
1998International evidence on equity prices, interest rates and money In: Journal of International Money and Finance.
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51
2003Estimating the liquidity effect in post-reform Chile: do inflationary expectations matter? In: Journal of International Money and Finance.
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1
1990International transmission of aggregate shocks under fixed and flexible exchange rate regimes: United Kingdom, France, and Germany, 1959 to 1985 In: Journal of International Money and Finance.
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3
1990Exchange rate volatility and U.S. multilateral trade flows In: Journal of Macroeconomics.
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22
1995The liquidity effect: Identifying short-run interest rate dynamics using long-run restrictions In: Journal of Macroeconomics.
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20
1998Identifying the Effects of Money Supply Shocks on Industry-Level Output In: Journal of Macroeconomics.
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1
2002Comments on A vector error-correction forecasting model of the US economy In: Journal of Macroeconomics.
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0
2012Has the Fed been a failure? In: Journal of Macroeconomics.
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8
1993New Keynesian economics, volume 2 : Edited by N. Gregory Mankiw and David Romer, MIT Press, 1991, 450 pp. In: International Review of Economics & Finance.
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1998Abnormal Returns in the Acquisition Market: The Case of Bank Holding Companies, 1990–1993 In: Journal of Financial Services Research.
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5
1989Exchange Rate Volatility and U.S. Monetary Policy: An ARCH Application. In: Journal of Money, Credit and Banking.
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55
1994Buffer-Stock Money: Interpreting Short-Run Dynamics Using Long-Run Restrictions. In: Journal of Money, Credit and Banking.
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12
2013Evidence on the Relationship between Housing and Consumption in the United States: A State‐Level Analysis In: Journal of Money, Credit and Banking.
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1
1996The Dynamic Responses of Crop and Livestock Prices to Money-Supply Shocks: A Bayesian Analysis Using Long-Run Identifying Restrictions In: American Journal of Agricultural Economics.
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11
1993Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities. In: Review of Financial Studies.
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102
2007The cost channel of monetary transmission-revisited In: Applied Economics Letters.
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1989Real Exchange Rate Volatility and U.S. Bilateral Trade: A VAR Approach. In: The Review of Economics and Statistics.
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60
1992Sources of Fluctuations in Real and Nominal Exchange Rates. In: The Review of Economics and Statistics.
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75
1998The Dynamic Effects Of Money: Combining Short-Run And Long-Run Identifying Restrictions Using Bayesian Techniques In: The Review of Economics and Statistics.
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1

Papers by William D Lastrapes:


YearTitleCited
2000The Real Price of Housing and Money Supply Shocks: Time Series Evidence and Theoretical Simulations. In: Georgia - College of Business Administration, Department of Economics.
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0
1993An Empirical Analysis of Stock Price and Interest Rate Dynamics: The Role of Money. In: Georgia - College of Business Administration, Department of Economics.
[Citation analysis]
0
1993The Dynamic Responses of Crop and Livestock Prices to Money Supply Shocks: A Bayesian Analysis using Long Run Restrictions. In: Georgia - College of Business Administration, Department of Economics.
[Citation analysis]
6
1993Equity Prices, Interest Rates and Money in Europe: An Empirical Analysis. In: Georgia - College of Business Administration, Department of Economics.
[Citation analysis]
0
2000Real Wages and Aggregate Demand Shocks: Contradictory Evidence from Vars. In: Georgia - College of Business Administration, Department of Economics.
[Citation analysis]
0
2001Cross-Country Variation in the Liquidity Effect In: Departmental Working Papers.
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0

Books by William D Lastrapes:


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Chapters by William D Lastrapes:


YearTitleCited