17
H index
23
i10 index
1749
Citations
Stephen F. LeRoy : Citation Profile
University of California-Santa Barbara (UCSB) | RESEARCH PRODUCTION: 57 Articles 19 Papers 2 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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49 years (1973 - 2022). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Stephen F. LeRoy. | Is cited by:
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Main data
Where Stephen F. LeRoy has published?
Recent works citing Stephen F. LeRoy (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | The 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. Full description at Econpapers || Download paper |
| 2023 | A parsimonious inverse Cox-Ingersoll-Ross process for financial price modeling. (2023). Sornette, Didier ; Lin, LI. In: Papers. RePEc:arx:papers:2302.11423. Full description at Econpapers || Download paper |
| 2023 | A Classical Model of Speculative Asset Price Dynamics. (2023). Smith, Vernon ; Inoua, Sabiou. In: Papers. RePEc:arx:papers:2307.00410. Full description at Econpapers || Download paper |
| 2023 | Access 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. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | TEST 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. Full description at Econpapers || Download paper |
| 2023 | The 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. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2023 | Testing 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. Full description at Econpapers || Download paper |
| 2023 | The 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. Full description at Econpapers || Download paper |
| 2023 | Contingent 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. Full description at Econpapers || Download paper |
| 2023 | Price 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. Full description at Econpapers || Download paper |
| 2023 | Extrapolative asset pricing. (2023). Liu, Jun. In: Journal of Economic Theory. RePEc:eee:jetheo:v:210:y:2023:i:c:s0022053123000479. Full description at Econpapers || Download paper |
| 2023 | Price 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. Full description at Econpapers || Download paper |
| 2023 | Micro-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. Full description at Econpapers || Download paper |
| 2023 | Extraction 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. Full description at Econpapers || Download paper |
| 2023 | Does 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. Full description at Econpapers || Download paper |
| 2023 | Micro-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. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Artificial Intelligence and the Economics of Decision-Making. (2023). Naudé, Wim. In: IZA Discussion Papers. RePEc:iza:izadps:dp16000. Full description at Econpapers || Download paper |
| 2023 | Long 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. Full description at Econpapers || Download paper |
| 2023 | Introduction 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. Full description at Econpapers || Download paper |
| 2023 | Causal 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. Full description at Econpapers || Download paper |
| 2023 | Price 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. Full description at Econpapers || Download paper |
| 2023 | Microfounding 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. Full description at Econpapers || Download paper |
| 2023 | Fundamental 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. Full description at Econpapers || Download paper |
| 2023 | Information 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. Full description at Econpapers || Download paper |
| 2023 | Managing dissonance: Bureaucratic justice and public procurement. (2023). Craven, Richard. In: Regulation & Governance. RePEc:wly:reggov:v:17:y:2023:i:1:p:215-233. Full description at Econpapers || Download paper |
Works by Stephen F. LeRoy:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1978 | Determining the Monetary Instrument: A Diagrammatic Exposition. In: American Economic Review. [Full Text][Citation analysis] | article | 3 |
| 1978 | Determining the monetary instrument: a diagrammatic exposition.(1978) In: Special Studies Papers. [Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 1981 | Identification and Estimation of Money Demand. In: American Economic Review. [Full Text][Citation analysis] | article | 79 |
| 1984 | Efficiency and the Variability of Asset Prices. In: American Economic Review. [Full Text][Citation analysis] | article | 11 |
| 1984 | Econometric Policy Evaluation: Note. In: American Economic Review. [Full Text][Citation analysis] | article | 45 |
| 1986 | What Will Take the Con Out of Econometrics? A Reply Identification andEstimation of Money Demand. In: American Economic Review. [Full Text][Citation analysis] | article | 2 |
| 1992 | Stock Price Volatility: Tests Based on the Geometric Random Walk. In: American Economic Review. [Full Text][Citation analysis] | article | 21 |
| 1989 | Efficient Capital Markets and Martingales. In: Journal of Economic Literature. [Full Text][Citation analysis] | article | 147 |
| 1976 | Efficient Capital Markets: Comment. In: Journal of Finance. [Full Text][Citation analysis] | article | 25 |
| 1982 | Expectations Models of Asset Prices: A Survey of Theory. In: Journal of Finance. [Full Text][Citation analysis] | article | 16 |
| 1986 | A Note on the Local Expectations Hypothesis: A Discrete-Time Exposition. In: Journal of Finance. [Full Text][Citation analysis] | article | 11 |
| 1987 | A Note on the Local Expectations Hypothesis: A Discrete-Time Exposition--Erratum. In: Journal of Finance. [Citation analysis] | article | 0 |
| 1992 | Bublles and Charges. In: Carleton Economic Papers. [Citation analysis] | paper | 41 |
| 1992 | Bubbles and Charges..(1992) In: International Economic Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | article | |
| 1991 | On the Arbitrage Pricing Theory. In: Carleton Economic Papers. [Citation analysis] | paper | 12 |
| 1991 | On the Arbitrage Pricing Theory..(1991) In: Economic Theory. [Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 1990 | The Arbitrage Pricing Theory: A Geometric Interpretation. In: Carleton Economic Papers. [Citation analysis] | paper | 1 |
| 1991 | Econometric Aspects of the Variance-Bound Tests: A Survey. In: Carleton Economic Papers. [Citation analysis] | paper | 29 |
| 1991 | Econometric Aspects of the Variance-Bounds Tests: A Survey..(1991) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | article | |
| 2001 | Liquidity and Liquidation In: University of California at Santa Barbara, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2007 | Liquidity and Liquidation.(2007) In: Economic Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2019 | Causal Inference In: University of California at Santa Barbara, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Infinite Portfolios In: University of California at Santa Barbara, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Principles of Financial Economics In: Cambridge Books. [Citation analysis] | book | 26 |
| 2014 | Principles of Financial Economics.(2014) In: Cambridge Books. [Citation analysis] This paper has nother version. Agregated cites: 26 | book | |
| 2016 | IMPLEMENTATION-NEUTRAL CAUSATION In: Economics and Philosophy. [Full Text][Citation analysis] | article | 0 |
| 2018 | IMPLEMENTATION NEUTRALITY AND TREATMENT EVALUATION In: Economics and Philosophy. [Full Text][Citation analysis] | article | 0 |
| 2003 | Expected utility: a defense In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2004 | Bubbles and the Intertemporal Government Budget Constraint In: Economics Bulletin. [Full Text][Citation analysis] | article | 1 |
| 2005 | Positivity and bubbles in overlapping generations models In: Economics Bulletin. [Full Text][Citation analysis] | article | 1 |
| 1981 | The Present-Value Relation: Tests Based on Implied Variance Bounds. In: Econometrica. [Full Text][Citation analysis] | article | 540 |
| 1982 | Risk-aversion and the term structure of real interest rates In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
| 1983 | Risk-aversion and the term structure of real interest rates correction In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 1998 | Arbitrage, martingales and bubbles In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2014 | Risk aversion, investor information and stock market volatility In: European Economic Review. [Full Text][Citation analysis] | article | 11 |
| 2022 | Examining the sources of excess return predictability: Stochastic volatility or market inefficiency? In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 1 |
| 2022 | Examining 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: 1 | paper | |
| 1980 | Entry and equilibrium under adjustment costs In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 1 |
| 1987 | A monetarist model of inflation In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 0 |
| 1983 | Paradise lost and regained: Transportation innovation, income, and residential location In: Journal of Urban Economics. [Full Text][Citation analysis] | article | 187 |
| 1976 | Urban land rent and the incidence of property taxes In: Journal of Urban Economics. [Full Text][Citation analysis] | article | 4 |
| 1985 | Contemporary 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] | article | 0 |
| 1985 | Atheoretical macroeconometrics: A critique In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 239 |
| 1997 | Returns on illiquid assets: are they fair games? In: Working Papers in Applied Economic Theory. [Full Text][Citation analysis] | paper | 0 |
| 1990 | Mutual deposit insurance In: FRBSF Economic Letter. [Full Text][Citation analysis] | article | 6 |
| 2010 | Risky mortgages and mortgage default premiums In: FRBSF Economic Letter. [Full Text][Citation analysis] | article | 2 |
| 2010 | Is the “invisible hand” still relevant? In: FRBSF Economic Letter. [Full Text][Citation analysis] | article | 0 |
| 2010 | Underwater mortgages In: FRBSF Economic Letter. [Full Text][Citation analysis] | article | 1 |
| 2010 | Convex payoffs: implications for risk-taking and financial reform In: FRBSF Economic Letter. [Full Text][Citation analysis] | article | 0 |
| 2013 | Can risk aversion explain stock price volatility? In: FRBSF Economic Letter. [Full Text][Citation analysis] | article | 1 |
| 1990 | Capital market efficiency: an update In: Economic Review. [Full Text][Citation analysis] | article | 1 |
| 1988 | Stock price volatility: an inequality test based on the geometric random walk In: Proceedings. [Citation analysis] | article | 2 |
| 2009 | Mortgage default and mortgage valuation In: Working Paper Series. [Full Text][Citation analysis] | paper | 6 |
| 2010 | Risk aversion and stock price volatility In: Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2019 | Bubbles as Payoffs at Infinity In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 4 |
| 1996 | Bubbles as payoffs at infinity.(1996) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 1997 | Bubbles as payoffs at infinity (*).(1997) In: Economic Theory. [Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 1993 | Stochastic bubbles in Markov economies In: Finance and Economics Discussion Series. [Citation analysis] | paper | 0 |
| 2005 | Liquidity and fire sales In: Proceedings. [Full Text][Citation analysis] | article | 2 |
| 1975 | Efficient use of current information in short-run monetary control In: Special Studies Papers. [Citation analysis] | paper | 2 |
| 1975 | Observability, measurement error, and the optimal use of information for monetary policy In: Special Studies Papers. [Citation analysis] | paper | 0 |
| 1991 | Pricing Interest-Sensitive Claims when Interest Rates Have Stationary Components. In: Rochester, Business - General. [Citation analysis] | paper | 1 |
| 1983 | Keyness theory of investment In: History of Political Economy. [Full Text][Citation analysis] | article | 4 |
| 1973 | Risk Aversion and the Martingale Property of Stock Prices. In: International Economic Review. [Full Text][Citation analysis] | article | 77 |
| 1977 | Applications of the Kalman Filter in Short-Run Monetary Control. In: International Economic Review. [Full Text][Citation analysis] | article | 24 |
| 2020 | Deposit insurance and the coexistence of commercial and shadow banks In: Annals of Finance. [Full Text][Citation analysis] | article | 1 |
| 1976 | Stock Market Optimality: Comment In: The Quarterly Journal of Economics. [Full Text][Citation analysis] | article | 0 |
| 1996 | Mortgage Valuation under Optimal Prepayment. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 34 |
| 2009 | Subprime Mortgages In: 2009 Meeting Papers. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Equilibrium valuation of illiquid assets In: Economic Theory. [Full Text][Citation analysis] | article | 7 |
| 2003 | Review of Peter Bossaerts, The Paradox of Asset Pricing In: International Journal of the Economics of Business. [Full Text][Citation analysis] | article | 0 |
| 2022 | Size and power in tests of return predictability In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 1981 | Risk Aversion and the Dispersion of Asset Prices. In: The Journal of Business. [Full Text][Citation analysis] | article | 16 |
| 1984 | Nominal Prices and Interest Rates in General Equilibrium: Money Shocks. In: The Journal of Business. [Full Text][Citation analysis] | article | 21 |
| 1984 | Nominal Prices and Interest Rates in General Equilibrium: Endowment Shocks. In: The Journal of Business. [Full Text][Citation analysis] | article | 20 |
| 1987 | Knight on Risk and Uncertainty. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 56 |
| 2012 | Infinite Portfolio Strategies In: Contemporary Economics. [Full Text][Citation analysis] | article | 0 |
| 2018 | Implementation-Neutral Causation in Structural Models In: Contemporary Economics. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team