Gregory Connor : Citation Profile

Are you Gregory Connor?

14

H index

16

i10 index

1215

Citations

RESEARCH PRODUCTION:

19

Articles

28

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   40 years (1984 - 2024). See details.
   Cites by year: 30
   Journals where Gregory Connor has often published
   Relations with other researchers
   Recent citing documents: 60.    Total self citations: 16 (1.3 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pco532
   Updated: 2024-11-04    RAS profile: 2024-08-08    
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Relations with other researchers

Works with:

Korajczyk, Robert (2)

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

Is cited by:

Bai, Jushan (25)

LINTON, OLIVER (24)

Scaillet, Olivier (23)

Swanson, Norman (23)

Barigozzi, Matteo (23)

Hallin, Marc (22)

Pesaran, Mohammad (19)

Kapetanios, George (19)

Ossola, Elisa (16)

Jagannathan, Ravi (16)

Forni, Mario (16)

Cites to:

Reinhart, Carmen (28)

Campbell, John (25)

Korajczyk, Robert (24)

LINTON, OLIVER (24)

French, Kenneth (20)

Fama, Eugene (18)

Engle, Robert (16)

Rogoff, Kenneth (12)

Bai, Jushan (11)

Bollerslev, Tim (11)

Shanken, Jay (10)

Main data

Where Gregory Connor has published?

Journals with more than one article published# docs
Financial Analysts Journal3
Journal of Financial Economics2
Journal of International Money and Finance2

Working Papers Series with more than one paper published# docs
Economics Department Working Paper Series / Department of Economics, National University of Ireland - Maynooth12
Research Program in Finance Working Papers / University of California at Berkeley7

Recent works citing Gregory Connor (2024 and 2023)

YearTitle of citing document
2023Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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2023A projection based approach for interactive fixed effects panel data models. (2022). Soberon, Alexandra ; Rodriguez-Poo, Juan M ; Keilbar, Georg ; Wang, Weining. In: Papers. RePEc:arx:papers:2201.11482.

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2023Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974.

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2023Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2024Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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2023Estimation of Characteristics-based Quantile Factor Models. (2023). Gonzalo, Jesus ; Pan, Haozi ; Dolado, Juan Jose ; Chen, Liang. In: Papers. RePEc:arx:papers:2304.13206.

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2024Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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2024Asymptotic equivalence of Principal Component and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864.

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2024Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2023Inference for Low-rank Models without Estimating the Rank. (2023). Kwon, Hyukjun ; Choi, Jungjun ; Liao, Yuan. In: Papers. RePEc:arx:papers:2311.16440.

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2023Economic Forecasts Using Many Noises. (2023). Neuhierl, Andreas ; Liao, Yuan ; Shi, Zhentao ; Ma, Xinjie. In: Papers. RePEc:arx:papers:2312.05593.

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2024From Factor Models to Deep Learning: Machine Learning in Reshaping Empirical Asset Pricing. (2024). Wang, Guiling ; Uddin, Ajim ; Gu, Jingyi ; Goswami, Bhaskar ; Ye, Junyi. In: Papers. RePEc:arx:papers:2403.06779.

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2023Real‐Time Risk Pricing Over the Business Cycle: Some Evidence for the UK. (2006). Alan, ; Evans, Kevin P. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:33:y:2006:i:1-2:p:263-283.

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2023Who Owns What? A Factor Model for Direct Stockholding. (2023). Ramadorai, Tarun ; Campbell, John ; Ranish, Benjamin ; Balasubramaniam, Vimal. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1545-1591.

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2023Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359.

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2023Impacts of tidal stream power on energy system security: An Isle of Wight case study. (2023). Miles, Jon ; Pennock, Shona ; Crawford, Scott ; Stevens, Rob ; Wray, Bevan ; Coles, Daniel. In: Applied Energy. RePEc:eee:appene:v:334:y:2023:i:c:s0306261923000508.

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2023Socially conscious investment funds and home country institutions. (2023). Smimou, K ; Hoover, Gary A. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:395-417.

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2023High dimensional semiparametric moment restriction models. (2023). GAO, Jiti ; Linton, Oliver ; Dong, Chaohua. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:320-345.

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2023Canonical correlation-based model selection for the multilevel factors. (2023). Shin, Yongcheol ; Lin, Rui ; Choi, IN. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:22-44.

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2023Information criteria for latent factor models: A study on factor pervasiveness and adaptivity. (2023). Tang, Cheng Yong ; Chen, YU ; Guo, Xiao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:237-250.

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2023Binary response models for heterogeneous panel data with interactive fixed effects. (2023). GAO, Jiti ; Yan, Yayi ; Peng, Bin ; Liu, Fei. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1654-1679.

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2023Uniform predictive inference for factor models with instrumental and idiosyncratic betas. (2023). Yang, Xiye ; Liao, Yuan ; Cheng, Mingmian. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002123.

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2023A methodology for cost-effective analysis of hydrokinetic energy projects. (2023). Iglesias, G ; Gonzalez, X P ; Lopez, I ; Carballo, R ; Fouz, D M. In: Energy. RePEc:eee:energy:v:282:y:2023:i:c:s036054422301767x.

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2023A latent factor model for the Chinese stock market. (2023). Jiang, Fuwei ; Leong, Wen Jun ; Ma, Tian. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000716.

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2023The long-run risk premium in the intertemporal CAPM: International evidence. (2023). Sakemoto, Ryuta. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001221.

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2023Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096.

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2023Harry Markowitz: An appreciation. (2023). Guerard, John. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1496-1501.

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2023Accounting comparability and relative performance evaluation by capital markets. (2023). Xue, Wenjie ; Wu, Sang. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:75:y:2023:i:1:s0165410122000581.

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2023Canonical portfolios: Optimal asset and signal combination. (2023). Firoozye, Nikan ; Zohren, Stefan ; Tan, Vincent. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001577.

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2023What are the events that shake our world? Measuring and hedging global COVOL. (2023). Campos-Martins, Susana ; Engle, Robert F. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:1:p:221-242.

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2023Dynamic asset (mis)pricing: Build-up versus resolution anomalies. (2023). OPP, CHRISTIAN ; Tamoni, Andrea ; Boons, Martijn ; van Binsbergen, Jules H. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:406-431.

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2023What matters in a characteristic?. (2023). Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:1:p:52-72.

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2023Fire sale risk and expected stock returns. (2023). Kim, Min S ; Aragon, George O. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:578-609.

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2023A finance approach to climate stress testing. (2023). van Dijk, Mathijs ; Schoenmaker, Dirk ; Reinders, Henk Jan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560622002005.

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2023Which factor model? A systematic return covariation perspective. (2023). Tsvetanov, Daniel ; Symeonidis, Lazaros ; Bu, Ziwen ; Ahmed, Shamim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000669.

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2024What difference do new factor models make in portfolio allocation?. (2024). Jiang, Fuwei ; Huang, Dashan ; Fabozzi, Frank J ; Wang, Jiexun. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001985.

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2023Robust projected principal component analysis for large-dimensional semiparametric factor modeling. (2023). Ling, Nengxiang ; Yang, Shuquan. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:195:y:2023:i:c:s0047259x23000015.

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2023Institutional ownership and momentum in the Chinese A-share market. (2023). Wang, Peng ; Xiong, Tao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000860.

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2024Exploiting the temporal characteristics of tidal stream power for green ammonia production. (2024). Baares-Alcantara, Rene ; Salmon, Nicholas ; Driscoll, Honora. In: Renewable Energy. RePEc:eee:renene:v:226:y:2024:i:c:s0960148124004427.

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2024Liquidity risk and expected returns in China’s stock market: A multidimensional liquidity approach. (2024). , Keith ; Qin, Zhenjiang ; Yu, BO ; Dong, Liang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000394.

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2023The Econometrics of Factor Loadings and Implications for Monetary Policy in a Small Open Economy (2005- 2020) – Sierra Leone. (2023). Warburton, Christopher ; Jackson, Emerson A. In: Journal of Economic Policy Researches. RePEc:ist:iujepr:v:10:y:2023:i:1:p:19-35.

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2023Exploring the Nonlinear Idiosyncratic Volatility Puzzle: Evidence from China. (2023). Yao, Yao ; Louhichi, Wael ; Liu, Zhenya ; Boubaker, Sabri. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10265-3.

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2023What we know about the low-risk anomaly: a literature review. (2023). Traut, Joshua. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:3:d:10.1007_s11408-023-00427-0.

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2024Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance. (2024). Irsova, Zuzana ; Havranek, Tomas ; Novak, Jiri ; Yang, Fan. In: MetaArXiv. RePEc:osf:metaar:ps2yn.

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2023Arbitrage Pricing Theory for Idiosyncratic Variance Factors*. (2023). , Bas ; Van, Thijs ; Renault, Eric. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:5:p:1403-1442..

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2023Which Factors for Corporate Bond Returns?. (2023). He, Zhiguo ; Prokopczuk, Marcel ; Hollstein, Fabian ; Dang, Thuy Duong. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:13:y:2023:i:4:p:615-652..

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2023Notes on the convergence of the estimated risk factor matrix in linear regression models. (2023). Klepfish, E G ; Riposo, Julien. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:2:d:10.1057_s41260-022-00285-x.

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2024Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance. (2024). Irsova, Zuzana ; Havranek, Tomas ; Novak, Jiri ; Yang, Fan. In: EconStor Preprints. RePEc:zbw:esprep:289497.

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Works by Gregory Connor:

YearTitleTypeCited
1993 A Test for the Number of Factors in an Approximate Factor Model. In: Journal of Finance.
[Full Text][Citation analysis]		article247
2012Sliding Doors Cost Measurement: The Net Economic Cost of Lax Regulation of the Irish Banking Sector In: The World Economy.
[Full Text][Citation analysis]		article2
2020A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper0
2006Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper32
2007Semiparametric estimation of a characteristic-based factor model of common stock returns.(2007) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		article
2006Semiparametric estimation of a characteristic-based factor model of common stock returns.(2006) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		paper
2007Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper14
2007Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns.(2007) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2007Efficient estimation of a semiparametric characteristic-based factor model of security returns.(2007) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2007Efficient estimation of a semiparametric characteristic-based factor model of security returns.(2007) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2015A Synthesis of Two Factor Estimation Methods In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article2
2012Efficient Semiparametric Estimation of the Fama–French Model and Extensions In: Econometrica.
[Full Text][Citation analysis]		article50
2006The common and specific components of dynamic volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article34
1984A unified beta pricing theory In: Journal of Economic Theory.
[Full Text][Citation analysis]		article78
1986Performance measurement with the arbitrage pricing theory : A new framework for analysis In: Journal of Financial Economics.
[Full Text][Citation analysis]		article312
1988Risk and return in an equilibrium APT : Application of a new test methodology In: Journal of Financial Economics.
[Full Text][Citation analysis]		article247
2015Strategic, unaffordability and dual-trigger default in the Irish mortgage market In: Journal of Housing Economics.
[Full Text][Citation analysis]		article9
2012The U.S. and Irish credit crises: Their distinctive differences and common features In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article27
2010The U.S. and Irish Credit Crises: Their Distinctive Differences and Common Features.(2010) In: Economics Department Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2013Dynamic stock market covariances in the Eurozone In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article19
2012Dynamic Stock Market Covariances in the Eurozone.(2012) In: Economics Department Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		paper
2006Regulating the output characteristics of tidal current power stations to facilitate better base load matching over the lunar cycle In: Renewable Energy.
[Full Text][Citation analysis]		article24
2004An Introduction to hedge funds In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper5
2001Tests of the Fama and French model in India In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper17
2009Market Dispersion and the Profitability of Hedge Funds In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper3
2009The Risky Lending Gap In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2010Sliding Doors Cost Measurement.A Restrictive Approach to Analyzing the Net Economic Cost of Policy Decisions and an Application to Irish Financial Regulation In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper2
2012A Coasean Approach to Bank Resolution Policy in the Eurozone In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper3
2013Irish Mortgage Default Optionality In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper1
2014Unpublished Appendix:Ancillary Results and Robustness Checks on a Probit Model of Irish Mortgage Defaults In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2014A Performance Comparison of Large-n Factor Estimators In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2018A Performance Comparison of Large-n Factor Estimators.(2018) In: The Review of Asset Pricing Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2015Restructuring and Recovery of the Irish Financial Sector: An Economic Case History V2 In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper3
2016-Adjusted p-values for genome-wide regression analysis with non-normally distributed quantitative phenotypes In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2019Semi-strong factors in asset returns In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper1
2024Semi-Strong Factors in Asset Returns*.(2024) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2010Introduction In: Introductory Chapters.
[Full Text][Citation analysis]		chapter0
2010Portfolio Risk Analysis In: Economics Books.
[Citation analysis]		book28
1985Arbitrage Pricing Theory: The Way Forward In: Australian Journal of Management.
[Full Text][Citation analysis]		article1
In: .
[Full Text][Citation analysis]		article0
In: .
[Full Text][Citation analysis]		article0
In: .
[Full Text][Citation analysis]		article0
1987Estimating Pervasive Economic Factors with Missing Observations. In: Research Program in Finance Working Papers.
[Citation analysis]		paper23
1987Risk and Return in an Equilibrium APT. In: Research Program in Finance Working Papers.
[Citation analysis]		paper14
1987New Cross-Sectional Regression Tests of Beta Pricing Models. In: Research Program in Finance Working Papers.
[Citation analysis]		paper0
1987An Intertemporal Equilibrium Beta Pricing Model. In: Research Program in Finance Working Papers.
[Citation analysis]		paper2
1988The Attributes, Behavior and Performance of U.S. Mutual Funds. In: Research Program in Finance Working Papers.
[Citation analysis]		paper12
1990The Relationship Between Non- Arbitrage and Recursive Competitive Equilibrium Pricing. In: Research Program in Finance Working Papers.
[Citation analysis]		paper0
1995Optimal Cash Management for Investment Funds. In: Research Program in Finance Working Papers.
[Citation analysis]		paper3

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