Rossen Valkanov : Citation Profile

Are you Rossen Valkanov?

University of California-San Diego (UCSD)

12

H index

13

i10 index

1875

Citations

RESEARCH PRODUCTION:

12

Articles

8

Papers

RESEARCH ACTIVITY:

   9 years (2001 - 2010). See details.
   Cites by year: 208
   Journals where Rossen Valkanov has often published
   Relations with other researchers
   Recent citing documents: 441.    Total self citations: 11 (0.58 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pva496
   Updated: 2020-08-01    RAS profile: 2011-01-24    
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Relations with other researchers

Works with:

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

Is cited by:

Marcellino, Massimiliano (63)

Schumacher, Christian (32)

Foroni, Claudia (29)

Götz, Thomas (25)

Hecq, Alain (25)

Galvão, Ana (22)

Bollerslev, Tim (20)

Clements, Michael (18)

GUPTA, RANGAN (16)

Diebold, Francis (16)

Hjalmarsson, Erik (14)

Cites to:

Campbell, John (29)

Bollerslev, Tim (16)

Andersen, Torben (12)

Stambaugh, Robert (12)

Diebold, Francis (11)

Shiller, Robert (10)

Santa-Clara, Pedro (10)

French, Kenneth (9)

merton, robert (8)

Bernanke, Ben (8)

Shephard, Neil (8)

Main data

Where Rossen Valkanov has published?

Journals with more than one article published# docs
Journal of Financial Economics3
Review of Financial Studies2

Recent works citing Rossen Valkanov (2018 and 2017)

YearTitle of citing document
2019PRESIDENTIAL CYCLES IN THE USA AND THE DOLLAR-POUND EXCHANGE RATE: EVIDENCE FROM OVER TWO CENTURIES. (2019). GUPTA, RANGAN ; Wohar, Mark E. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:2:p:151-163.

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2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

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2017Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. (2017). Christiansen, Charlotte ; Jun, AI ; Asgharian, Hossein. In: CREATES Research Papers. RePEc:aah:create:2018-12.

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2017Managing Energy Price Risk using Futures Contracts: A Comparative Analysis. (2017). Hanly, Jim. In: The Energy Journal. RePEc:aen:journl:ej38-3-hanly.

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2017MIDAS models in banking sector – systemic risk comparison. (2017). Mestel, Roland ; Gurgul, Henryk ; Syrek, Robert. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:165-181.

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2018Profitability and Competition in EU Food Retailing. (2018). Finger, Robert ; Hirsch, Stefan ; Lanter, David. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274202.

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2017Weather Derivatives and Water Management in Developing Countries: An Application for an Irrigation District in Central Mexico. (2017). Juarez, Miriam ; Vedenov, Dmitry ; Sanchez-Aragon, Leonardo ; Juarez-Torres, Miriam. In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:257995.

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2019Potential Growth and Natural Yield Curve in Japan. (2019). Vaccaro-Grange, Etienne ; Rhouzlane, Meryem ; Dufrenot, Gilles. In: AMSE Working Papers. RePEc:aim:wpaimx:1912.

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2018Forecasting Methods in Finance. (2018). Timmermann, Allan. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:449-479.

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2018News Co-Occurrence, Attention Spillover and Return Predictability. (2018). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2020Is completeness necessary? Estimation in nonidentified linear models. (2020). Babii, Andrii ; FLORENS, Jean-Pierre. In: Papers. RePEc:arx:papers:1709.03473.

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2018On the Choice of Instruments in Mixed Frequency Specification Tests. (2018). Rho, Yeonwoo ; Liu, Yun. In: Papers. RePEc:arx:papers:1809.05503.

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2018An updated review of (sub-)optimal diversification models. (2018). Bock, Johannes. In: Papers. RePEc:arx:papers:1811.08255.

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2020Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction. (2019). Mogliani, Matteo. In: Papers. RePEc:arx:papers:1903.08025.

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2019Simulation smoothing for nowcasting with large mixed-frequency VARs. (2019). Ankargren, Sebastian ; Jon, Paulina. In: Papers. RePEc:arx:papers:1907.01075.

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2019Forecasting securitys volatility using low-frequency historical data, high-frequency historical data and option-implied volatility. (2019). Cui, Xiangyu ; Zhang, Zhiyuan ; Zhou, Yong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:1907.02666.

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2019Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2019). Sanfelici, Simona ; Curato, Imma Valentina. In: Papers. RePEc:arx:papers:1910.06660.

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2019Estimating Large Mixed-Frequency Bayesian VAR Models. (2019). Ankargren, Sebastian ; Jon, Paulina. In: Papers. RePEc:arx:papers:1912.02231.

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2020Estimation and HAC-based Inference for Machine Learning Time Series Regressions. (2019). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:1912.06307.

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2020High-dimensional mixed-frequency IV regression. (2020). Babii, Andrii. In: Papers. RePEc:arx:papers:2003.13478.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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

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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.

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2020Quant Bust 2020. (2020). Kakushadze, Zura. In: Papers. RePEc:arx:papers:2006.05632.

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2020Using Company Specific Headlines and Convolutional Neural Networks to Predict Stock Fluctuations. (2020). Giani, Stefano ; Readshaw, Jonathan. In: Papers. RePEc:arx:papers:2006.12426.

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2020The Macroeconomy as a Random Forest. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2006.12724.

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2017The Hybrid Nature of Real Estate Trusts. (2017). Yildirim, Yildiray ; Liu, Crocker ; Emmerling, Tom. In: ERES. RePEc:arz:wpaper:eres2017_370.

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2018UK Political Cycle and the Effect on National House Prices: An Exploratory Study. (2018). Lee, Timothy ; Higgins, David M ; Aha, Bismark. In: ERES. RePEc:arz:wpaper:eres2018_60.

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2020Study on Price Fluctuation of Industry Index in Chinas Stock Market Based on Empirical Mode Decomposition. (2020). Qiao, FU. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:559-573.

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2018Big Data Econometrics: Now Casting and Early Estimates. (2018). Marcellino, Massimiliano ; Papailias, Fotis ; Mazzi, Gianluigi ; Kapetanios, George ; Buono, Dario. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1882.

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2017A Three-Frequency Dynamic Factor Model for Nowcasting Canadian Provincial GDP Growth. (2017). Cheung, Calista ; Chernis, Tony ; Velasco, Gabriella . In: Discussion Papers. RePEc:bca:bocadp:17-8.

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2018Nowcasting Canadian Economic Activity in an Uncertain Environment. (2018). Chernis, Tony ; Sekkel, Rodrigo. In: Discussion Papers. RePEc:bca:bocadp:18-9.

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2017Small-Sample Tests for Stock Return Predictability with Possibly Non-Stationary Regressors and GARCH-Type Effects. (2017). Luger, Richard ; Gungor, Sermin . In: Staff Working Papers. RePEc:bca:bocawp:17-10.

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2017A Dynamic Factor Model for Nowcasting Canadian GDP Growth. (2017). Chernis, Tony ; Sekkel, Rodrigo. In: Staff Working Papers. RePEc:bca:bocawp:17-2.

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2019From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts. (2019). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1947.

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2017Using the payment system data to forecast the Italian GDP. (2017). Monteforte, Libero ; Ardizzi, Guerino ; aprigliano, valentina. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1098_17.

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2017Are daily financial data useful for forecasting GDP? Evidence from Mexico. (2017). Ibarra, Raul ; Luis, Gomez-Zamudio. In: Working Papers. RePEc:bdm:wpaper:2017-17.

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2019Bayesian MIDAS penalized regressions: estimation, selection, and prediction. (2019). Mogliani, Matteo. In: Working papers. RePEc:bfr:banfra:713.

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2019The Real Effects of Checks and Balances: Policy Uncertainty and Corporate Investment. (2019). Duquerroy, Anne. In: Working papers. RePEc:bfr:banfra:735.

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2020From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: Working Papers. RePEc:bge:wpaper:1142.

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2019Forecasting Quarterly Russian GDP Growth with Mixed-Frequency Data. (2019). Mikosch, Heiner ; Solanko, Laura. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:78:y:2019:i:1:p:19-35.

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2018Investor sentiment and the risk–return tradeoff in the Brazilian market. (2018). Piccoli, Pedro ; da Silva, Wesley Vieira. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:599-618.

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2020Market segmentation and supply‐chain predictability: evidence from China. (2020). Li, Rui ; Wu, Chongfeng ; Diao, Xundi. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:2:p:1531-1562.

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2020Optimal portfolio choices using financial leverage. (2020). Olmo, Jose ; Laborda, Ricardo. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:72:y:2020:i:2:p:146-166.

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2020Moving markets? Government bond investors and microeconomic policy changes. (2020). Paniagua, Victoria ; Mosley, Layna ; Wibbels, Erik. In: Economics and Politics. RePEc:bla:ecopol:v:32:y:2020:i:2:p:197-249.

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2017Dynamic Asset Allocation with Liabilities. (2017). Giamouridis, Daniel ; Tessaromatis, Nikolaos ; Sakkas, Athanasios. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:2:p:254-291.

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2017The Role of U.S. Market on International Risk-Return Tradeoff Relations. (2017). Sun, Licheng ; Najand, Mohammad ; Meng, Liang . In: The Financial Review. RePEc:bla:finrev:v:52:y:2017:i:3:p:499-526.

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2018Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility. (2018). Schneller, D ; Hamid, A ; Heiden, M. In: German Economic Review. RePEc:bla:germec:v:19:y:2018:i:2:p:209-236.

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2017Should we sample a time series more frequently?: decision support via multirate spectrum estimation. (2017). Nason, Guy P ; Smith, Paul A ; Elliott, Duncan ; Powell, Ben. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:180:y:2017:i:2:p:353-407.

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2017A Simple Approach for Diagnosing Instabilities in Predictive Regressions. (2017). Pitarakis, Jean-Yves. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:5:p:851-874.

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2020Risk and Returns of Income Producing Properties: Core versus Noncore. (2020). Peng, Liang ; Gang, Jianhua ; Thibodeau, Thomas G. In: Real Estate Economics. RePEc:bla:reesec:v:48:y:2020:i:2:p:476-503.

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2020Low Mortgage Rates and Securitization: A Distinct Perspective on the US Housing Boom. (2020). Xu, Fang ; Herwartz, Helmut. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:122:y:2020:i:1:p:164-190.

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2020Real‐Time Fiscal Forecasting Using Mixed‐Frequency Data. (2020). Paredes, Joan ; Asimakopoulos, Stylianos ; Warmedinger, Thomas. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:122:y:2020:i:1:p:369-390.

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2017RELATIONSHIP AMONG POLITICAL INSTABILITY, STOCK MARKET RETURNS AND STOCK MARKET VOLATILITY. (2017). Hira, Irshad . In: Studies in Business and Economics. RePEc:blg:journl:v:12:y:2017:i:2:p:70-99.

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2019Macroeconomic effects of political risk shocks. (2019). Hacioglu Hoke, Sinem. In: Bank of England working papers. RePEc:boe:boeewp:0841.

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2017Should one follow movements in the oil price or in money supply? Forecasting quarterly GDP growth in Russia with higher-frequency indicators. (2017). Solanko, Laura ; Mikosch, Heiner. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2017_019.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2020Exchange Rates and Political Uncertainty: The Brexit Case. (2020). Trigilia, G ; Moramarco, G ; Manasse, P. In: Working Papers. RePEc:bol:bodewp:wp1141.

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2018A simple solution of the spurious regression problem. (2018). Hafner, Christian ; Christian, Hafner ; Shin-Huei, Wang Cindy. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:3:p:14:n:1.

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2018Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff. (2018). LINTON, OLIVER ; Hong, S-Y., . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1877.

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2018A Monthly Indicator of Economic Activity for Ireland. (2018). Walsh, Graeme ; Conefrey, Thomas. In: Economic Letters. RePEc:cbi:ecolet:14/el/18.

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2017Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Neuhierl, Andreas ; Freyberger, Joachim. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6391.

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2017Government Ideology and Economic Policy-Making in the United States. (2017). Potrafke, Niklas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6444.

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2017Why Does Idiosyncratic Risk Increase with Market Risk?. (2017). Bartram, Söhnke ; Stulz, Rene M ; Brown, Gregory . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6560.

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2018Dissecting Characteristics Nonparametrically. (2018). Weber, Michael ; Neuhierl, Andreas ; Freyberger, Joachim. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7187.

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2020Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters. (2020). Reif, Magnus ; Heinrich, Markus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8054.

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2020Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:87.

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2018Forecasting using mixed-frequency VARs with time-varying parameters. (2018). Reif, Magnus ; Heinrich, Markus. In: ifo Working Paper Series. RePEc:ces:ifowps:_273.

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2019Forecasting Japanese inflation with a news-based leading indicator of economic activities. (2019). Yamamoto, Hiroki ; Shintani, Mototsugu ; Ishijima, Hiroshi ; Goshima, Keiichi. In: CARF F-Series. RePEc:cfi:fseres:cf458.

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2020Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis. (2020). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Foroni, Claudia. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-32.

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2017Why is investorsmutual fund market allocation far from the optimum?. (2017). Losada, Ramiro ; Laborda, Ricardo. In: CNMV Working Papers. RePEc:cnv:wpaper:dt_65en.

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2017Political Cycles and Stock Returns. (2017). Pastor, Lubos ; Veronesi, Pietro. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11864.

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2017Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model. (2017). Ravazzolo, Francesco ; Marcellino, Massimiliano ; Foroni, Claudia ; Casarin, Roberto. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12339.

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2017A Portfolio Perspective on the Multitude of Firm Characteristics. (2017). de Miguel, Victor ; Uppal, Raman ; Nogales, Francisco J ; Martin-Utrera, Alberto ; Demiguel, Victor. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12417.

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2018The Leading Premium. (2018). Croce, Mariano Massimiliano ; Schlag, Christian ; Marchuk, Tatyana. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12631.

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2018Paths to Convergence: Stock Price Behavior After Donald Trumps Election. (2018). Zeckhauser, Richard ; Ziegler, Alexandre ; Wagner, Alexander F. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12657.

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2018Risk Everywhere: Modeling and Managing Volatility. (2018). Bollerslev, Tim ; Pedersen, Lasse Heje ; Huss, John ; Hood, Benjamin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12687.

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2018Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692.

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2018Making Parametric Portfolio Policies Work. (2018). Gehrig, Thomas ; Westerkamp, Arne ; Sogner, Leopold . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13193.

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2020From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14267.

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2020Partisan Professionals: Evidence from Credit Rating Analysts. (2020). Tsoutsoura, Margarita ; Kempf, Elisabeth. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14343.

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2017Interest Rate Future Quality Options and Negative Interest Rates. (2017). de la Corte, Alejandro Balbas ; Herrero, Ricardo Laborda . In: INDEM - Working Paper Business Economic Series. RePEc:cte:idrepe:24859.

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2019Comparing Forecasts of Extremely Large Conditional Covariance Matrices. (2019). Ruiz, Esther ; Moura, Guilherme. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29291.

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2017Forecasting the return volatility of energy prices: A GARCH MIDAS approach. (2017). Salisu, Afees ; Swaray, Raymond. In: Working Papers. RePEc:cui:wpaper:0029.

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2017Forecasting GDP with energy series: ADL-MIDAS vs. Linear Time Series Models. (2017). Salisu, Afees ; Ogbonna, Ahamuefula. In: Working Papers. RePEc:cui:wpaper:0035.

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2017The Use of Financial Market Variables in Forecasting. (2017). Gebauer, Stefan. In: DIW Roundup: Politik im Fokus. RePEc:diw:diwrup:115en.

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2017Using debit card payments data for nowcasting Dutch household consumption. (2017). Cruijsen, Carin ; Bolt, Wilko ; van der Cruijsen, Carin ; Verbaan, Roy. In: DNB Working Papers. RePEc:dnb:dnbwpp:571.

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2019Quantitative easing and exuberance in stock markets: Evidence from the euro area. (2019). Hudepohl, Thomas ; de Vette, Nander ; van Lamoen, Ryan . In: DNB Working Papers. RePEc:dnb:dnbwpp:660.

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2017What account for the differences in rent-price ratio and turnover rate? A search-and-matching approach. (2017). Tse, Chung-Yi ; Leung, Charles ; Ka, Charles ; Huang, Daisy J. In: ISER Discussion Paper. RePEc:dpr:wpaper:0990.

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2019Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems. (2019). Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-14.

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2017The Impact of Money Supply on Nigeria Economy: A Comparison of Mixed Data Sampling (MIDAS) and ARDL Approach. (2017). Oluseyi, Adeniji Sesan ; Eweke, Gamaliel O ; Olasehinde, Timilehin John. In: EuroEconomica. RePEc:dug:journl:y:2017:i:2:p:123-134.

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2017Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons. (2017). Chevillon, Guillaume. In: ESSEC Working Papers. RePEc:ebg:essewp:dr-17010.

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2017Intra-industry information diffusion in Chinas stock market. (2017). Lean, Hooi Hooi ; Dong, Chi ; Ahmad, Zamri. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00823.

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2019Identifying horizon-based heterogeneity in the cross section of portfolio returns. (2019). Lundberg, Clark. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00123.

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2018Mixed frequency models with MA components. (2018). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Foroni, Claudia. In: Working Paper Series. RePEc:ecb:ecbwps:20182206.

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2019Forecasting daily electricity prices with monthly macroeconomic variables. (2019). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Working Paper Series. RePEc:ecb:ecbwps:20192250.

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2017Forecasting in a Mixed Up World: Nowcasting Hawaii Tourism. (2017). Fuleky, Peter ; Bonham, Carl ; Jones, James ; Hirashima, Ashley . In: Annals of Tourism Research. RePEc:eee:anture:v:63:y:2017:i:c:p:191-202.

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2018Usefulness of economic and energy data at different frequencies for carbon price forecasting in the EU ETS. (2018). Zhao, Xin ; Kang, Wanglin ; Ding, Lili ; Han, Meng. In: Applied Energy. RePEc:eee:appene:v:216:y:2018:i:c:p:132-141.

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2019How do policies mobilize private finance for renewable energy?—A systematic review with an investor perspective. (2019). Schmidt, Tobias S ; Steffen, Bjarne ; Egli, Florian ; Polzin, Friedemann. In: Applied Energy. RePEc:eee:appene:v:236:y:2019:i:c:p:1249-1268.

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2018Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy. (2018). Joyeux, Roselyne ; girardin, eric ; Deng, Yongheng. In: China Economic Review. RePEc:eee:chieco:v:48:y:2018:i:c:p:205-222.

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2019The risk return relationship: Evidence from index returns and realised variances. (2019). Yang, Minxian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:5.

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

Works by Rossen Valkanov:

YearTitleTypeCited
2007Valuation in US Commercial Real Estate In: European Financial Management.
[Full Text][Citation analysis]		article14
2003The Presidential Puzzle: Political Cycles and the Stock Market In: Journal of Finance.
[Full Text][Citation analysis]		article158
2008The Cross‐Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations In: Real Estate Economics.
[Full Text][Citation analysis]		article10
2003There is a Risk-Return Tradeoff After All In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper337
2004There is a Risk-Return Tradeoff After All.(2004) In: CIRANO Working Papers.
[Full Text][Citation analysis]
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2004There is a Risk-Return Tradeoff After All.(2004) In: NBER Working Papers.
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This paper has another version. Agregated cites: 337		paper
2005There is a risk-return trade-off after all.(2005) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 337		article
2004Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper301
2006Predicting volatility: getting the most out of return data sampled at different frequencies.(2006) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 301		article
2004Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 301		paper
2004The MIDAS Touch: Mixed Data Sampling Regression Models In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper195
2005Functional Central Limit Theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data In: Economics Letters.
[Full Text][Citation analysis]		article3
2003Long-horizon regressions: theoretical results and applications In: Journal of Financial Economics.
[Full Text][Citation analysis]		article179
2007Do industries lead stock markets? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article169
2004Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns In: NBER Working Papers.
[Full Text][Citation analysis]		paper65
2009Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns.(2009) In: Review of Financial Studies.
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2010Expected Returns and Expected Growth in Rents of Commercial Real Estate In: Review of Financial Studies.
[Full Text][Citation analysis]		article48
2007MIDAS Regressions: Further Results and New Directions In: Econometric Reviews.
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2004On Predicting Stock Returns with Nearly Integrated Explanatory Variables In: The Journal of Business.
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2001The neglected effect of fiscal policy on stock and bond returns In: FEUNL Working Paper Series.
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