Stephen F. LeRoy : Citation Profile

Are you Stephen F. LeRoy?

University of California-Santa Barbara (UCSB)

17

H index

23

i10 index

1784

Citations

RESEARCH PRODUCTION:

57

Articles

19

Papers

2

Books

RESEARCH ACTIVITY:

   49 years (1973 - 2022). See details.
   Cites by year: 36
   Journals where Stephen F. LeRoy has often published
   Relations with other researchers
   Recent citing documents: 58.    Total self citations: 9 (0.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple714
   Updated: 2024-11-08    RAS profile: 2022-07-18    
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Relations with other researchers

Works with:

Singhania, Rish (2)

Lansing, Kevin (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Stephen F. LeRoy.

Is cited by:

Shiller, Robert (23)

Lansing, Kevin (23)

Campbell, John (19)

Zha, Tao (12)

Hoover, Kevin (12)

Kilian, Lutz (12)

Leeper, Eric (11)

Masih, Abul (10)

Ilomäki, Jukka (10)

Ross, Stephen (10)

Werner, Jan (10)

Cites to:

Lansing, Kevin (11)

Shiller, Robert (9)

Campbell, John (7)

Shleifer, Andrei (7)

Willen, Paul (6)

Gerardi, Kristopher (6)

Mankiw, N. Gregory (5)

Cochrane, John (5)

West, Kenneth (4)

Lee, Do (4)

PUY, Damien (4)

Main data

Where Stephen F. LeRoy has published?

Journals with more than one article published# docs
FRBSF Economic Letter6
American Economic Review6
Economic Theory4
Journal of Finance4
Economics Letters3
Economics Bulletin3
International Economic Review3
The Journal of Business3
Journal of Urban Economics2
The Review of Financial Studies2
Journal of Economic Theory2
Economics and Philosophy2
Journal of Monetary Economics2
Contemporary Economics2

Working Papers Series with more than one paper published# docs
Working Paper Series / Federal Reserve Bank of San Francisco3
Special Studies Papers / Board of Governors of the Federal Reserve System (U.S.)3
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)3
University of California at Santa Barbara, Economics Working Paper Series / Department of Economics, UC Santa Barbara3

Recent works citing Stephen F. LeRoy (2024 and 2023)

YearTitle of citing document
2023The effect of overconfidence behaviour on stock market volatility in Belgium. (2023). Fossou, Ebi Georges ; Emmanuel, Koffi Mouroufie ; Oyibo, Paul Vivien ; Anzian, Kouame Marcel. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(636):y:2023:i:3(636):p:131-146.

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2023A parsimonious inverse Cox-Ingersoll-Ross process for financial price modeling. (2023). Sornette, Didier ; Lin, LI. In: Papers. RePEc:arx:papers:2302.11423.

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2023A Classical Model of Speculative Asset Price Dynamics. (2023). Smith, Vernon ; Inoua, Sabiou. In: Papers. RePEc:arx:papers:2307.00410.

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2024Continuous-time Risk-sensitive Reinforcement Learning via Quadratic Variation Penalty. (2024). Jia, Yanwei. In: Papers. RePEc:arx:papers:2404.12598.

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2023Access to transportation, residential segregation, and economic opportunity. (2023). Yesilirmak, Muharrem ; Yeilirmak, Muharrem ; Yilmaz, Kuzey. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:41:y:2023:i:1:p:103-127.

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2024The real side of stock market exuberance: bubbles, output and productivity at the industry level. (2024). Queiros, Francisco. In: Economica. RePEc:bla:econom:v:91:y:2024:i:361:p:268-291.

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2023TEST OF ARBITRAGE PRICING THEORY ON STOCK INDICES: AN EMPIRICAL STUDY ON BIST100. (2023). Amadou, Cisse Boubacar ; Veli, Akel. In: Revista Economica. RePEc:blg:reveco:v:75:y:2023:i:1:p:7-18.

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2024Challenges and Opportunities for Twenty First Century Bayesian Econometricians: A Personal View. (2024). Herman, Van Dijk. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:155-176:n:12.

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2023The Impact of Covid-19 on Oil Market Returns: Has Market Efficiency Being Violated?. (2023). Phiri, Andrew ; Anyikwa, Izunna ; Moyo, Clement. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-01-16.

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2023A classical model of speculative asset price dynamics. (2023). Smith, Vernon ; Inoua, Sabiou M. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001022.

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2023Testing the martingale difference hypothesis in high dimension. (2023). Shao, Xiaofeng ; Jiang, Qing ; Chang, Jinyuan. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:972-1000.

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2023The macroeconomic effects of uncertainty and risk aversion shocks. (2023). Berthold, Brendan. In: European Economic Review. RePEc:eee:eecrev:v:154:y:2023:i:c:s0014292123000715.

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2024House price bubbles under the COVID-19 pandemic. (2024). Pedersen, Thomas Q ; Moller, Stig V ; Hansen, Jacob H ; Schutte, Christian M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001299.

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2024The impact of public transportation and commuting on urban labor markets: Evidence from the New Survey of London Life and Labour, 1929–1932. (2024). wadsworth, jonathan ; Seltzer, Andrew J. In: Explorations in Economic History. RePEc:eee:exehis:v:91:y:2024:i:c:s0014498323000475.

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2023Contingent capital conversion under dual asset and equity jump–diffusions. (2023). Nejadmalayeri, Ali ; Li, Wei Ping ; Javadi, Siamak. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003149.

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2023Price discovery in carbon exchange traded fund markets. (2023). Suresh, Sheena Sara ; Naysary, Babak ; Shrestha, Keshab. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003307.

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2024Stock market prices and Dividends in the US: Bubbles or Long-run equilibria relationships?. (2024). YAYA, OLAOLUWA ; Gil-Alana, Luis ; Dettoni, Robinson. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002515.

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2023Testing the hypothesis of duration dependence in the U.S. housing market. (2023). Gil-Alana, Luis ; Dettoni, Robinson. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323010140.

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2024Discount rates and cash flows: A local projection approach. (2024). Lof, Matthijs ; Nyberg, Henri. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:162:y:2024:i:c:s0378426624000475.

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2023Extrapolative asset pricing. (2023). Liu, Jun. In: Journal of Economic Theory. RePEc:eee:jetheo:v:210:y:2023:i:c:s0022053123000479.

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2023Price bubbles in the European natural gas market between 2011 and 2020. (2023). Kocaaslan, Ozge Kandemir ; Akcora, Begum. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006298.

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2024The impact of road rationing on housing demand and sorting. (2024). Wu, Jing ; Li, Shanjun ; Barwick, Panle Jia ; Jerch, Rhiannon. In: Journal of Urban Economics. RePEc:eee:juecon:v:140:y:2024:i:c:s0094119024000123.

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2024The Problem Has Existed over Endless Years: Racialized Difference in Commuting, 1980–2019. (2024). Rolheiser, Lyndsey ; Fu, Ellen ; Bunten, Devin Michelle ; Severen, Christopher. In: Journal of Urban Economics. RePEc:eee:juecon:v:141:y:2024:i:c:s0094119023000116.

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2023Micro-geographic property price and rent indices. (2023). Seidel, Tobias ; Heblich, Stephan ; Ahlfeldt, Gabriel M. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:98:y:2023:i:c:s0166046222000746.

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2023Extraction rights allocation with liquidity constraints. (2023). McConnell, Kenneth ; Holzer, Jorge. In: Resource and Energy Economics. RePEc:eee:resene:v:71:y:2023:i:c:s0928765522000628.

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2023Does competition exacerbate investment inefficiencies? Evidence from Japanese firms. (2023). Xu, BO ; Tinaikar, Surjit. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:35-53.

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2023E-commerce, delivery drones and their impact on cities. (2023). Verhoef, Erik ; Straubinger, Anna ; de Groot, Henri. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:178:y:2023:i:c:s0965856423002616.

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2023Micro-geographic property price and rent indices. (2022). Seidel, Tobias ; Heblich, Stephan ; Ahlfeldt, Gabriel M. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:116649.

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2023.

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2023.

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2024.

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2023Artificial Intelligence and the Economics of Decision-Making. (2023). Naudé, Wim. In: IZA Discussion Papers. RePEc:iza:izadps:dp16000.

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2023Long Term Expectations and Aggregate Fluctuations. (2023). Shleifer, Andrei ; O'Brien, Matthew ; la Porta, Rafael ; Gennaioli, Nicola ; Bordalo, Pedro. In: NBER Chapters. RePEc:nbr:nberch:14860.

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2023Introduction to the Special Issue in Memory of Thomas F. Cooley. (). Ohanian, Lee ; Karabarbounis, Loukas ; Guner, Nezih ; Greenwood, Jeremy. In: Review of Economic Dynamics. RePEc:red:issued:23-174.

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2023Causal Entropic Forces, Narratives and Self-organisation of Capital Markets. (2023). Bocher, Romain. In: Journal of Interdisciplinary Economics. RePEc:sae:jinter:v:35:y:2023:i:2:p:172-190.

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2024Soccer Bubble: Is There a Speculative Bubble in the Price of International Soccer Players?. (2024). Addessi, Giorgio ; Auteri, Nicola ; Pancotto, Francesca. In: Journal of Sports Economics. RePEc:sae:jospec:v:25:y:2024:i:5:p:535-556.

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2023Price impact in Nash equilibria. (2023). Seppi, Duane J ; Larsen, Kasper ; Choi, Jin Hyuk ; Chen, Xiao. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:2:d:10.1007_s00780-023-00499-w.

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2023Microfounding GARCH models and beyond: a Kyle-inspired model with adaptive agents. (2023). Benzaquen, Michael ; Toth, Bence ; Mastromatteo, Iacopo ; Vodret, Michele. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:18:y:2023:i:3:d:10.1007_s11403-023-00379-8.

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2023Fundamental and bubble spillovers in stock markets: a common trend approach. (2023). Sethu, Raja S ; Hafsal, K. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:3:d:10.1007_s43546-023-00437-0.

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2023Information Aggregation Bias and Samuelsons Dictum. (2023). Choi, Yongok ; Walker, Todd B ; Rondina, Giacomo. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:55:y:2023:i:5:p:1119-1145.

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2023Managing dissonance: Bureaucratic justice and public procurement. (2023). Craven, Richard. In: Regulation & Governance. RePEc:wly:reggov:v:17:y:2023:i:1:p:215-233.

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Works by Stephen F. LeRoy:

YearTitleTypeCited
1978Determining the Monetary Instrument: A Diagrammatic Exposition. In: American Economic Review.
[Full Text][Citation analysis]		article3
1978Determining the monetary instrument: a diagrammatic exposition.(1978) In: Special Studies Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 3		paper
1981Identification and Estimation of Money Demand. In: American Economic Review.
[Full Text][Citation analysis]		article80
1984Efficiency and the Variability of Asset Prices. In: American Economic Review.
[Full Text][Citation analysis]		article11
1984Econometric Policy Evaluation: Note. In: American Economic Review.
[Full Text][Citation analysis]		article47
1986What Will Take the Con Out of Econometrics? A Reply Identification andEstimation of Money Demand. In: American Economic Review.
[Full Text][Citation analysis]		article2
1992Stock Price Volatility: Tests Based on the Geometric Random Walk. In: American Economic Review.
[Full Text][Citation analysis]		article21
1989Efficient Capital Markets and Martingales. In: Journal of Economic Literature.
[Full Text][Citation analysis]		article147
1976Efficient Capital Markets: Comment. In: Journal of Finance.
[Full Text][Citation analysis]		article25
1982 Expectations Models of Asset Prices: A Survey of Theory. In: Journal of Finance.
[Full Text][Citation analysis]		article16
1986 A Note on the Local Expectations Hypothesis: A Discrete-Time Exposition. In: Journal of Finance.
[Full Text][Citation analysis]		article13
1987 A Note on the Local Expectations Hypothesis: A Discrete-Time Exposition--Erratum. In: Journal of Finance.
[Citation analysis]		article0
1992Bublles and Charges. In: Carleton Economic Papers.
[Citation analysis]		paper42
1992Bubbles and Charges..(1992) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 42		article
1991On the Arbitrage Pricing Theory. In: Carleton Economic Papers.
[Citation analysis]		paper12
1991On the Arbitrage Pricing Theory..(1991) In: Economic Theory.
[Citation analysis]
This paper has nother version. Agregated cites: 12		article
1990The Arbitrage Pricing Theory: A Geometric Interpretation. In: Carleton Economic Papers.
[Citation analysis]		paper1
1991Econometric Aspects of the Variance-Bound Tests: A Survey. In: Carleton Economic Papers.
[Citation analysis]		paper29
1991Econometric Aspects of the Variance-Bounds Tests: A Survey..(1991) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		article
2001Liquidity and Liquidation In: University of California at Santa Barbara, Economics Working Paper Series.
[Full Text][Citation analysis]		paper2
2007Liquidity and Liquidation.(2007) In: Economic Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2019Causal Inference In: University of California at Santa Barbara, Economics Working Paper Series.
[Full Text][Citation analysis]		paper0
2001Infinite Portfolios In: University of California at Santa Barbara, Economics Working Paper Series.
[Full Text][Citation analysis]		paper0
2014Principles of Financial Economics In: Cambridge Books.
[Citation analysis]		book26
2014Principles of Financial Economics.(2014) In: Cambridge Books.
[Citation analysis]
This paper has nother version. Agregated cites: 26		book
2016IMPLEMENTATION-NEUTRAL CAUSATION In: Economics and Philosophy.
[Full Text][Citation analysis]		article0
2018IMPLEMENTATION NEUTRALITY AND TREATMENT EVALUATION In: Economics and Philosophy.
[Full Text][Citation analysis]		article0
2003Expected utility: a defense In: Economics Bulletin.
[Full Text][Citation analysis]		article0
2004Bubbles and the Intertemporal Government Budget Constraint In: Economics Bulletin.
[Full Text][Citation analysis]		article1
2005Positivity and bubbles in overlapping generations models In: Economics Bulletin.
[Full Text][Citation analysis]		article1
1981The Present-Value Relation: Tests Based on Implied Variance Bounds. In: Econometrica.
[Full Text][Citation analysis]		article552
1982Risk-aversion and the term structure of real interest rates In: Economics Letters.
[Full Text][Citation analysis]		article3
1983Risk-aversion and the term structure of real interest rates correction In: Economics Letters.
[Full Text][Citation analysis]		article1
1998Arbitrage, martingales and bubbles In: Economics Letters.
[Full Text][Citation analysis]		article0
2014Risk aversion, investor information and stock market volatility In: European Economic Review.
[Full Text][Citation analysis]		article11
2022Examining the sources of excess return predictability: Stochastic volatility or market inefficiency? In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article3
2022Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?.(2022) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
1980Entry and equilibrium under adjustment costs In: Journal of Economic Theory.
[Full Text][Citation analysis]		article1
1987A monetarist model of inflation In: Journal of Economic Theory.
[Full Text][Citation analysis]		article0
1983Paradise lost and regained: Transportation innovation, income, and residential location In: Journal of Urban Economics.
[Full Text][Citation analysis]		article194
1976Urban land rent and the incidence of property taxes In: Journal of Urban Economics.
[Full Text][Citation analysis]		article4
1985Contemporary macroeconomic modelling : edited by Pierre Malgrange and Pierre-Alain Muet (Blackwell, Oxford, 1984) pp. x + 319, $37.95 In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article0
1985Atheoretical macroeconometrics: A critique In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article241
1997Returns on illiquid assets: are they fair games? In: Working Papers in Applied Economic Theory.
[Full Text][Citation analysis]		paper0
1990Mutual deposit insurance In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article6
2010Risky mortgages and mortgage default premiums In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article2
2010Is the “invisible hand” still relevant? In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2010Underwater mortgages In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article1
2010Convex payoffs: implications for risk-taking and financial reform In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2013Can risk aversion explain stock price volatility? In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article1
1990Capital market efficiency: an update In: Economic Review.
[Full Text][Citation analysis]		article1
1988Stock price volatility: an inequality test based on the geometric random walk In: Proceedings.
[Citation analysis]		article2
2009Mortgage default and mortgage valuation In: Working Paper Series.
[Full Text][Citation analysis]		paper6
2010Risk aversion and stock price volatility In: Working Paper Series.
[Full Text][Citation analysis]		paper1
2019Bubbles as Payoffs at Infinity In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper0
1993Stochastic bubbles in Markov economies In: Finance and Economics Discussion Series.
[Citation analysis]		paper0
1996Bubbles as payoffs at infinity In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper0
2005Liquidity and fire sales In: Proceedings.
[Full Text][Citation analysis]		article2
1975Efficient use of current information in short-run monetary control In: Special Studies Papers.
[Citation analysis]		paper2
1975Observability, measurement error, and the optimal use of information for monetary policy In: Special Studies Papers.
[Citation analysis]		paper0
1991Pricing Interest-Sensitive Claims when Interest Rates Have Stationary Components. In: Rochester, Business - General.
[Citation analysis]		paper1
1983Keyness theory of investment In: History of Political Economy.
[Full Text][Citation analysis]		article4
1973Risk Aversion and the Martingale Property of Stock Prices. In: International Economic Review.
[Full Text][Citation analysis]		article79
1977Applications of the Kalman Filter in Short-Run Monetary Control. In: International Economic Review.
[Full Text][Citation analysis]		article24
2020Deposit insurance and the coexistence of commercial and shadow banks In: Annals of Finance.
[Full Text][Citation analysis]		article1
1976Stock Market Optimality: Comment In: The Quarterly Journal of Economics.
[Full Text][Citation analysis]		article0
1996Mortgage Valuation under Optimal Prepayment. In: The Review of Financial Studies.
[Full Text][Citation analysis]		article35
2009Subprime Mortgages In: 2009 Meeting Papers.
[Full Text][Citation analysis]		paper0
2001Equilibrium valuation of illiquid assets In: Economic Theory.
[Full Text][Citation analysis]		article7
1997Bubbles as payoffs at infinity (*) In: Economic Theory.
[Citation analysis]		article4
2003Review of Peter Bossaerts, The Paradox of Asset Pricing In: International Journal of the Economics of Business.
[Full Text][Citation analysis]		article0
2022Size and power in tests of return predictability In: Quantitative Finance.
[Full Text][Citation analysis]		article0
1981Risk Aversion and the Dispersion of Asset Prices. In: The Journal of Business.
[Full Text][Citation analysis]		article16
1984Nominal Prices and Interest Rates in General Equilibrium: Money Shocks. In: The Journal of Business.
[Full Text][Citation analysis]		article21
1984Nominal Prices and Interest Rates in General Equilibrium: Endowment Shocks. In: The Journal of Business.
[Full Text][Citation analysis]		article20
1987Knight on Risk and Uncertainty. In: Journal of Political Economy.
[Full Text][Citation analysis]		article59
2012Infinite Portfolio Strategies In: Contemporary Economics.
[Full Text][Citation analysis]		article0
2018Implementation-Neutral Causation in Structural Models In: Contemporary Economics.
[Full Text][Citation analysis]		article0

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