27
H index
32
i10 index
8103
Citations
Columbia University | 27 H index 32 i10 index 8103 Citations RESEARCH PRODUCTION: 39 Articles 44 Papers 1 Books 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Robert James Hodrick. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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NBER Working Papers / National Bureau of Economic Research, Inc | 30 |
CEPR Discussion Papers / C.E.P.R. Discussion Papers | 3 |
Working Paper Series, Issues in Financial Regulation / Federal Reserve Bank of Chicago | 2 |
Year | Title of citing document | |
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2022 | The Prior Adaptive Group Lasso and the Factor Zoo. (2022). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2022-05. Full description at Econpapers || Download paper | |
2022 | Working Paper 362 - Economic Growth, Total Factor Productivity and Output Gap in Sierra Leone. (2022). Kumo, Wolassa L. In: Working Paper Series. RePEc:adb:adbwps:2488. Full description at Econpapers || Download paper | |
2023 | Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries. (2023). Nersisyan, Liana ; Lyrio, Marco ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023002. Full description at Econpapers || Download paper | |
2022 | Investor-Driven Corporate Finance: Evidence from Insurance Markets. (2022). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:144. Full description at Econpapers || Download paper | |
2022 | Purchasing Power Gap and Consumer Resilience: An Empirical Investigation with Australia, Germany, Japan, and the United States. (2022). Adom, Dsir A. In: Business, Management and Economics Research. RePEc:arp:bmerar:2022:p:44-50. Full description at Econpapers || Download paper | |
2022 | Weekly idiosyncratic risk metrics and idiosyncratic momentum: Evidence from the Chinese stock market. (2019). Zhou, Wei-Xing ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1910.13115. Full description at Econpapers || Download paper | |
2022 | Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916. Full description at Econpapers || Download paper | |
2022 | Predictive Quantile Regression with Mixed Roots and Increasing Dimensions. (2021). Shin, Youngki ; Lee, Ji Hyung ; Fan, Rui. In: Papers. RePEc:arx:papers:2101.11568. Full description at Econpapers || Download paper | |
2023 | An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975. Full description at Econpapers || Download paper | |
2023 | A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208. Full description at Econpapers || Download paper | |
2022 | Tax Progressivity and Wealth Inequality: Evidence from Forbes 400. (2021). Toda, Alexis Akira ; Sasaki, Yuya ; Lee, Ji Hyung ; Wang, Yulong. In: Papers. RePEc:arx:papers:2105.10007. Full description at Econpapers || Download paper | |
2023 | On Robust Inference in Time Series Regression. (2022). Baillie, Richard T ; Ho, Kun ; Kapetanios, George ; Diebold, Francis X. In: Papers. RePEc:arx:papers:2203.04080. Full description at Econpapers || Download paper | |
2022 | The Cross-Sectional Intrinsic Entropy. A Comprehensive Stock Market Volatility Estimator. (2022). Ausloos, Marcel ; Vinte, Claudiu. In: Papers. RePEc:arx:papers:2205.00104. Full description at Econpapers || Download paper | |
2022 | The perils of Kremlins influence: evidence from Ukraine. (2022). Spruk, Rok ; Kovac, Mitja ; Focacci, Chiara Natalie. In: Papers. RePEc:arx:papers:2206.04950. Full description at Econpapers || Download paper | |
2022 | An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation. (2022). de Faria, Luis Goncalves. In: Papers. RePEc:arx:papers:2206.09772. Full description at Econpapers || Download paper | |
2022 | Dissecting the dot-com bubble in the 1990s NASDAQ. (2022). Fan, Yuchao. In: Papers. RePEc:arx:papers:2206.14130. Full description at Econpapers || Download paper | |
2022 | Risk in Network Economies. (2022). Sellemi, Victor. In: Papers. RePEc:arx:papers:2208.01467. Full description at Econpapers || Download paper | |
2023 | Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper | |
2022 | The boosted HP filter is more general than you might think. (2022). Shi, Zhentao ; PEter, ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2209.09810. Full description at Econpapers || Download paper | |
2022 | Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference. (2022). Seleznev, Sergei ; Khabibullin, Ramis. In: Papers. RePEc:arx:papers:2210.07154. Full description at Econpapers || Download paper | |
2022 | State-dependent Asset Allocation Using Neural Networks. (2022). Neghab, Davood Pirayesh ; Bradrania, Reza. In: Papers. RePEc:arx:papers:2211.00871. Full description at Econpapers || Download paper | |
2022 | A New Test for Market Efficiency and Uncovered Interest Parity. (2022). Ho, Kun ; Kapetanios, George ; Diebold, Francis X ; Baillie, Richard T. In: Papers. RePEc:arx:papers:2211.01344. Full description at Econpapers || Download paper | |
2022 | Liquidity Costs, Idiosyncratic Volatility and Expected Stock Returns. (2022). Satchell, Stephen ; Peat, Maurice ; Bradrania, Reza M. In: Papers. RePEc:arx:papers:2211.04695. Full description at Econpapers || Download paper | |
2023 | Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752. Full description at Econpapers || Download paper | |
2023 | A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208. Full description at Econpapers || Download paper | |
2023 | A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751. Full description at Econpapers || Download paper | |
2023 | Online Ensemble of Models for Optimal Predictive Performance with Applications to Sector Rotation Strategy. (2023). Polak, Pawel ; Miao, Jiaju. In: Papers. RePEc:arx:papers:2304.09947. Full description at Econpapers || Download paper | |
2023 | Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296. Full description at Econpapers || Download paper | |
2023 | Common Firm-level Investor Fears: Evidence from Equity Options. (2023). Baruník, Jozef ; Ellington, Michael ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2309.03968. Full description at Econpapers || Download paper | |
2022 | Why you should never use the Hodrick-Prescott Filter: Comment. (2022). Moura, Alban. In: BCL working papers. RePEc:bcl:bclwop:bclwp162. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2022 | The Rising Interconnectedness of the Insurance Sector. (2022). Jourde, Tristan. In: Working papers. RePEc:bfr:banfra:857. Full description at Econpapers || Download paper | |
2022 | Global production linkages and stock market co-movement. (2022). Schrimpf, Andreas ; Auer, Raphael ; Wagner, Alexander F ; Iwadate, Bruce Muneaki. In: BIS Working Papers. RePEc:bis:biswps:1003. Full description at Econpapers || Download paper | |
2022 | Monetary policy expectation errors. (2022). Schrimpf, Andreas ; Schmeling, Maik. In: BIS Working Papers. RePEc:bis:biswps:996. Full description at Econpapers || Download paper | |
2022 | Misvaluation and the Asset Growth Anomaly. (2022). Lambertides, Neophytos. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:1:p:105-141. Full description at Econpapers || Download paper | |
2022 | Assessing the usefulness of daily and monthly asset?pricing factors for Australian equities. (2022). Zhong, Angel ; Gray, Philip. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:181-211. Full description at Econpapers || Download paper | |
2023 | How is illiquidity priced in the Chinese stock market?. (2023). Shen, Zhiqi ; Jiang, Fuwei ; Wu, Kai ; Liu, Jun. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1285-1320. Full description at Econpapers || Download paper | |
2023 | Natural and cyclical unemployment: A stochastic frontier decomposition and economic policy implications. (2023). Moral, Alfonso ; Martín-Román, Ángel ; Cuellarmartin, Jaime ; Martinroman, Angel L. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:1:p:5-39. Full description at Econpapers || Download paper | |
2023 | Extracting business cycles with three filters: A comparative study and application in the case of China. (2023). Li, Naiqian ; Sun, Chentong. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:2:p:254-269. Full description at Econpapers || Download paper | |
2023 | Financial conditions and the well?being of the real estate sector—A bottom?up default analysis on five ASEAN economies. (2023). Yiu, Matthew S ; Sun, Wei. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:41:y:2023:i:1:p:41-60. Full description at Econpapers || Download paper | |
2022 | Government Spending Multipliers in Times of Tight and Loose Monetary Policy in New Zealand. (2022). Power, India ; Haug, Alfred A. In: The Economic Record. RePEc:bla:ecorec:v:98:y:2022:i:322:p:249-270. Full description at Econpapers || Download paper | |
2023 | Is it time for popcorn? Daily box office earnings and aggregate stock returns. (2023). Fortin, Steve ; Oz, Seda. In: Financial Management. RePEc:bla:finmgt:v:52:y:2023:i:2:p:375-401. Full description at Econpapers || Download paper | |
2022 | Do short?term institutions exploit stock return anomalies?. (2022). Jiang, George J ; Huang, Wei ; Chen, Yinfei. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:1:p:69-94. Full description at Econpapers || Download paper | |
2023 | Understanding the transmission of crash risk between cryptocurrency and equity markets. (2023). Corbet, Shaen ; Liu, Zhifeng ; Toan, Luu Duc ; Goodell, John W ; Dai, Pengfei. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:3:p:539-573. Full description at Econpapers || Download paper | |
2022 | Doubly heterogeneous monetary spillovers. (2022). Shah, Nihar. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:2:p:126-150. Full description at Econpapers || Download paper | |
2023 | Risk and return in the foreign exchange market: Measurement without VARs. (2023). Luo, Shaowen. In: International Finance. RePEc:bla:intfin:v:26:y:2023:i:1:p:64-81. Full description at Econpapers || Download paper | |
2022 | Can technical indicators predict the Chinese equity risk premium?. (2022). Glabadanidis, Paskalis ; Sun, Mingwei. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:114-142. Full description at Econpapers || Download paper | |
2023 | Average skewness in global equity markets. (2023). Kirli, Imra ; Gunaydin, Doruk A ; Demirtas, Ozgur K ; Atilgan, Yigit. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:245-271. Full description at Econpapers || Download paper | |
2023 | Co?movement among oil, stock, bond, and housing markets: An analysis of U.S., Asian, and European economies. (2023). Yunus, Nafeesa. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:393-436. Full description at Econpapers || Download paper | |
2022 | Anomalies and the Expected Market Return. (2022). Rapach, David E ; Li, Yan ; Dong, XI ; Zhou, Guofu. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:1:p:639-681. Full description at Econpapers || Download paper | |
2022 | Common Risk Factors in Cryptocurrency. (2022). Wu, XI ; Tsyvinski, Aleh ; Liu, Yukun. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:1133-1177. Full description at Econpapers || Download paper | |
2022 | Stock Market Spillovers via the Global Production Network: Transmission of U.S. Monetary Policy. (2022). di Giovanni, Julian ; Hale, Galina. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:6:p:3373-3421. Full description at Econpapers || Download paper | |
2023 | How Risky Are U.S. Corporate Assets?. (2023). Yaron, Amir ; Shaliastovich, Ivan ; Richard, Scott ; Davydiuk, Tetiana. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:141-208. Full description at Econpapers || Download paper | |
2023 | Beliefs Aggregation and Return Predictability. (2023). Wang, Yajun ; Obizhaeva, Anna A ; Kyle, Albert S. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:427-486. Full description at Econpapers || Download paper | |
2023 | Pricing Currency Risks. (2023). Chernov, Mikhail ; Lochstoer, Lars ; Dahlquist, Magnus. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:693-730. Full description at Econpapers || Download paper | |
2023 | The Pollution Premium. (2023). Tsou, Chiyang ; Li, Kai ; Hsu, Pohsuan. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1343-1392. Full description at Econpapers || Download paper | |
2022 | Negative bubbles and the market for “dreams”: “Lemons” in the looking glass. (2022). Emery, Douglas R. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:1:p:5-16. Full description at Econpapers || Download paper | |
2022 | The rising interconnectedness of the insurance sector. (2022). Jourde, Tristan. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:2:p:397-425. Full description at Econpapers || Download paper | |
2022 | Currency returns and systematic risk. (2022). Scatimburgo, Pedro ; Ferreira, Alex ; Gonalves, Fernanda. In: Manchester School. RePEc:bla:manchs:v:90:y:2022:i:6:p:609-647. Full description at Econpapers || Download paper | |
2022 | Interregional inequality in Africa, convergence, and multiple equilibria: Evidence from nighttime light data. (2022). Thierry, Kacou Yves. In: Review of Development Economics. RePEc:bla:rdevec:v:26:y:2022:i:2:p:918-940. Full description at Econpapers || Download paper | |
2022 | On the aggregate effects of global uncertainty: Evidence from an emerging economy. (2022). Ahiadorme, Johnson. In: South African Journal of Economics. RePEc:bla:sajeco:v:90:y:2022:i:3:p:390-407. Full description at Econpapers || Download paper | |
2022 | Defence Spending and Economic Growth in South Africa: Evidence from Cointegration and Co-Feature Analysis. (2022). Shaaba, Saba Charles. In: Peace Economics, Peace Science, and Public Policy. RePEc:bpj:pepspp:v:28:y:2022:i:1:p:51-100:n:1. Full description at Econpapers || Download paper | |
2022 | Estimating the Trend of the House Price to Income Ratio in Ireland. (2022). Yao, Fang. In: Research Technical Papers. RePEc:cbi:wpaper:8/rt/22. Full description at Econpapers || Download paper | |
2023 | The midterm election effect on US stock returns: Some practical considerations for investors. (2023). Wagner, Moritz ; Biakowski, Jdrzej ; Anderson, Warwick. In: Working Papers in Economics. RePEc:cbt:econwp:23/05. Full description at Econpapers || Download paper | |
2023 | The Asymmetric Impact of Economic Policy and Oil Price Uncertainty on Inflation: Evidence from Developed and Emerging Economies. (2023). Anderl, Christina ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10276. Full description at Econpapers || Download paper | |
2022 | Coherence of Output Gaps in the Euro Area: The Impact of the Covid-19 Shock. (2022). Zijm, Renske ; An, J ; de Haan, Jakob. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9654. Full description at Econpapers || Download paper | |
2022 | Shadow Rates as a Measure of the Monetary Policy Stance: Some International Evidence. (2022). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9839. Full description at Econpapers || Download paper | |
2022 | Boosting the HP Filter for Trending Time Series with Long Range Dependence. (2022). , Peter ; PEter, ; Sabzikar, Farzad ; Biswas, Eva. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2347. Full description at Econpapers || Download paper | |
2022 | The boosted HP filter is more general than you might think. (2022). , Peter ; PEter, ; Shi, Zhentao ; Mei, Ziwei. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2348. Full description at Econpapers || Download paper | |
2023 | Monetary policy and local industry structure. (2023). Steininger, Lea ; Popov, Alexander. In: Working Paper Series. RePEc:ecb:ecbwps:20232778. Full description at Econpapers || Download paper | |
2023 | Investor-driven corporate finance: evidence from insurance markets. (2023). Kubitza, Christian. In: Working Paper Series. RePEc:ecb:ecbwps:20232816. Full description at Econpapers || Download paper | |
2022 | On the Effectiveness of Stock Index Futures for Tail Risk Protection. (2022). Zouari, Hammadi. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-03-5. Full description at Econpapers || Download paper | |
2023 | Non-overlap of suitable areas of agro-climatic resources and main planting areas is the main reason for potato drought disaster in Inner Mongolia, China. (2023). Liu, Xingping ; Bao, Yongbin ; Guga, Suri ; Riao, Dao ; Zhang, Jiquan ; Tong, Zhijun. In: Agricultural Water Management. RePEc:eee:agiwat:v:275:y:2023:i:c:s0378377422005807. Full description at Econpapers || Download paper | |
2022 | Testing for the uncovered interest parity condition in a small open economy: A state space modelling approach. (2022). Jayanthakumaran, Kankesu ; Harvie, Charles ; Nepal, Rabindra ; Bhatta, Guna Raj. In: Journal of Asian Economics. RePEc:eee:asieco:v:82:y:2022:i:c:s1049007822000811. Full description at Econpapers || Download paper | |
2023 | Social credit and patent quality: Evidence from China. (2023). Fei, Qingyu ; Yu, Yongze ; Hu, Shan. In: Journal of Asian Economics. RePEc:eee:asieco:v:84:y:2023:i:c:s1049007822001269. Full description at Econpapers || Download paper | |
2022 | Immigration narrative sentiment from TV news and the stock market. (2022). Mazzotta, Stefano . In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:34:y:2022:i:c:s2214635022000259. Full description at Econpapers || Download paper | |
2023 | Leadership in a pandemic: Do more able managers keep firms out of trouble?. (2023). Truong, Cameron ; Pham, Mia Hang ; Nguyen, Hung T. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001034. Full description at Econpapers || Download paper | |
2023 | The beta anomaly and the quality effect in international stock markets. (2023). Wu, Winston ; Veron, Jose Francisco ; Bradrania, Reza. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000229. Full description at Econpapers || Download paper | |
2022 | Corporate diversification and stock risk: Evidence from a global shock. (2022). Mascia, Danilo V ; Onali, Enrico. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119921002728. Full description at Econpapers || Download paper | |
2023 | Wage gap and stock returns: Do investors dislike pay inequality?. (2023). Zhu, Yuhao ; Montone, Maurizio ; Dittmann, Ingolf. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001651. Full description at Econpapers || Download paper | |
2023 | Asymmetric response to earnings news across different sentiment states: The role of cognitive dissonance. (2023). Huang, Zhijian James ; Wen, Fenghua ; Li, Zhuo. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001869. Full description at Econpapers || Download paper | |
2023 | The equity value implications of court ideology: Evidence from federal judge turnover. (2023). Rizzo, Emanuele A ; Cassella, Stefano. In: Journal of Corporate Finance. RePEc:eee:corfin:v:79:y:2023:i:c:s0929119923000391. Full description at Econpapers || Download paper | |
2022 | On the use of random forest for two-sample testing. (2022). Naf, Jeffrey ; Michel, Loris ; Hediger, Simon. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:170:y:2022:i:c:s0167947322000159. Full description at Econpapers || Download paper | |
2022 | Time to build and bond risk premia. (2022). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:136:y:2022:i:c:s0165188921000154. Full description at Econpapers || Download paper | |
2022 | Far away from home: Investors’ underreaction to geographically dispersed information. (2022). Tu, Jun ; Liang, Dawei ; Chu, Liya ; Chen, Zilin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:136:y:2022:i:c:s0165188922000306. Full description at Econpapers || Download paper | |
2022 | Asymmetries in risk premia, macroeconomic uncertainty and business cycles. (2022). Yeromonahos, Mallory ; Gortz, Christoph. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000355. Full description at Econpapers || Download paper | |
2022 | Information acquisition and expected returns: Evidence from EDGAR search traffic. (2022). Sun, Chengzhu ; Li, Frank Weikai. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:141:y:2022:i:c:s0165188922000884. Full description at Econpapers || Download paper | |
2022 | Momentum and the Cross-section of Stock Volatility. (2022). Liu, Jiadong ; Kearney, Fearghal ; Fan, Minyou. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002287. Full description at Econpapers || Download paper | |
2022 | Smooth Transition Simultaneous Equation Models. (2022). Krishnakumar, Jaya ; Kadilli, Anjeza. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:145:y:2022:i:c:s0165188922002494. Full description at Econpapers || Download paper | |
2023 | Interest rate changes and the cross-section of global equity returns. (2023). Long, Huaigang ; Bianchi, Robert J ; Cakici, Nusret ; Zaremba, Adam. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188923000027. Full description at Econpapers || Download paper | |
2023 | Trade competitiveness and the aggregate returns in global stock markets. (2023). Umar, Zaghum ; Zaremba, Adam ; Long, Huaigang ; Chiah, Mardy. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:148:y:2023:i:c:s0165188923000246. Full description at Econpapers || Download paper | |
2022 | Do oil price shocks have any implications for stock return momentum?. (2022). Kang, Sanghoon ; Maitra, Debasish ; Dash, Saumya Ranjan ; Balakumar, Suganya. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:75:y:2022:i:c:p:637-663. Full description at Econpapers || Download paper | |
2023 | Are greenhouse gas emissions converging in Latin America? Implications for environmental policies. (2023). Molina, José Alberto ; Belloc, Ignacio. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:337-356. Full description at Econpapers || Download paper | |
2023 | The asymmetric impact of exchange rate misalignment on economic growth of India: An application of Hodrick–Prescott filter technique. (2023). Wohar, Mark ; Nosheen, Misbah ; Mahmood, Fatima ; Iqbal, Javed. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:809-823. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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1990 | Volatility in the Foreign Exchange and Stock Markets: Is It Excessive? In: American Economic Review. [Full Text][Citation analysis] | article | 7 |
1990 | On Testing for Speculative Bubbles. In: Journal of Economic Perspectives. [Full Text][Citation analysis] | article | 171 |
1986 | Asset Price Volatility, Bubbles, and Process Switching. In: Journal of Finance. [Full Text][Citation analysis] | article | 42 |
1986 | Asset Price Volatility, Bubbles, and Process Switching.(1986) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | paper | |
1992 | Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets. In: Journal of Finance. [Full Text][Citation analysis] | article | 283 |
1991 | Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets.(1991) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 283 | paper | |
2001 | Expectations Hypotheses Tests In: Journal of Finance. [Full Text][Citation analysis] | article | 180 |
2000 | Expectations Hypotheses Tests.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 180 | paper | |
2006 | The Cross?Section of Volatility and Expected Returns In: Journal of Finance. [Full Text][Citation analysis] | article | 1248 |
2004 | The Cross-Section of Volatility and Expected Returns.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1248 | paper | |
2009 | International Stock Return Comovements In: Journal of Finance. [Full Text][Citation analysis] | article | 343 |
2006 | International Stock Return Comovements.(2006) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 343 | paper | |
2008 | International stock return comovements.(2008) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 343 | paper | |
2005 | International Stock Return Comovements.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 343 | paper | |
2005 | International Stock Return Comovements.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 343 | paper | |
1982 | Perfect Foresight, Financial Policies, and Exchange-Rate Dynamics. In: Canadian Journal of Economics. [Full Text][Citation analysis] | article | 2 |
2001 | Do We Need Multi-Country Models to Explain Exchange Rate, Interest Rate and Bond Return Dynamics? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Aggregate Idiosyncratic Volatility In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 83 |
2012 | Aggregate Idiosyncratic Volatility.(2012) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | article | |
2010 | Aggregate Idiosyncratic Volatility.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | paper | |
2018 | International Financial Management In: Cambridge Books. [Citation analysis] | book | 9 |
1979 | On the monetary analysis of exchange rates : A comment In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 4 |
1982 | Monetary accomodation and the variability of output, prices, and exchange rates : A comment In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 0 |
1989 | U.S. International capital flows: Perspectives from rational maximizing models In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 16 |
1988 | U.S. International Capital Flows: Perspectives From Rational Maximizing Models.(1988) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2002 | Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics? In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 23 |
1981 | International asset pricing with time-varying risk premia In: Journal of International Economics. [Full Text][Citation analysis] | article | 28 |
1986 | Real aspects of exchange rate regime choice with collapsing fixed rates In: Journal of International Economics. [Full Text][Citation analysis] | article | 36 |
1985 | Real Aspects of Exchange Rate Regime Choice with Collapsing Fixed Rates.(1985) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
1987 | Foreign currency futures In: Journal of International Economics. [Full Text][Citation analysis] | article | 31 |
1985 | Foreign Currency Futures.(1985) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2016 | Estimating the risk-return trade-off with overlapping data inference In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 5 |
2014 | Estimating the Risk-Return Trade-off with Overlapping Data Inference.(2014) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
1997 | On biases in tests of the expectations hypothesis of the term structure of interest rates In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 214 |
1996 | On biases in tests of the expectations hypothesis of the term structure of interest rates.(1996) In: Working Paper Series, Issues in Financial Regulation. [Citation analysis] This paper has another version. Agregated cites: 214 | paper | |
1996 | On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates.(1996) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 214 | paper | |
2001 | Evaluating the specification errors of asset pricing models In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 94 |
2000 | Evaluating the Specification Errors of Asset Pricing Models.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 94 | paper | |
2009 | High idiosyncratic volatility and low returns: International and further U.S. evidence In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 470 |
2008 | High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 470 | paper | |
1993 | On biases in the measurement of foreign exchange risk premiums In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 157 |
1991 | On Biases in the Measurement of Foreign Exchange Risk Premiums.(1991) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 157 | paper | |
1984 | An investigation of risk and return in forward foreign exchange In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 117 |
1983 | An Investigation of Risk and Return in Forward Foreign Exchange.(1983) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 117 | paper | |
1986 | The covariation of risk premiums and expected future spot exchange rates In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 84 |
1985 | The Covariation of Risk Premiums and Expected Future Spot Exchange Rates.(1985) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 84 | paper | |
1982 | On the effects of macroeconomic policy in a maximizing model of a small open economy In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 5 |
1989 | Risk, uncertainty, and exchange rates In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 120 |
1987 | Risk, Uncertainty and Exchange Rates.(1987) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 120 | paper | |
1997 | The implications of first-order risk aversion for asset market risk premiums In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 94 |
1994 | The implications of first-order risk aversion for asset market risk premiums.(1994) In: Working Paper Series, Macroeconomic Issues. [Citation analysis] This paper has another version. Agregated cites: 94 | paper | |
1994 | The Implications of First-Order Risk Aversion for Asset Market Risk Premiums.(1994) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 94 | paper | |
1997 | The implications of first-order risk aversion for asset market risk premiums.(1997) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 94 | paper | |
1997 | The implications of first-order risk aversion for asset market risk premiums.(1997) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 94 | paper | |
2001 | Peso problem explanations for term structure anomalies In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 163 |
1997 | \Peso problem\ explanations for term structure anomalies.(1997) In: Working Paper Series, Issues in Financial Regulation. [Full Text][Citation analysis] This paper has another version. Agregated cites: 163 | paper | |
1997 | Peso Problem Explanations for Term Structure Anomalies.(1997) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 163 | paper | |
2002 | Comment on:: Time varying liquidity in foreign exchange In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 0 |
1980 | Dynamic effects of government policies in an open economy In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 5 |
1982 | The dynamic adjustment path for perfectly foreseen changes in monetary policy In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 3 |
2000 | Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate Dynamics?. In: Columbia - Graduate School of Business. [Citation analysis] | paper | 2 |
1984 | Exchange Rate and Price Dynamics with Asymmetric Information. In: International Economic Review. [Full Text][Citation analysis] | article | 0 |
1999 | An International Dynamic Asset Pricing Model In: International Tax and Public Finance. [Full Text][Citation analysis] | article | 21 |
1999 | An International Dynamic Asset Pricing Model.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
1997 | Postwar U.S. Business Cycles: An Empirical Investigation. In: Journal of Money, Credit and Banking. [Citation analysis] | article | 2104 |
1981 | Post-War U.S. Business Cycles: An Empirical Investigation.(1981) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2104 | paper | |
1983 | Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models In: NBER Chapters. [Full Text][Citation analysis] | chapter | 135 |
1991 | Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 10 |
1983 | Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle In: NBER Working Papers. [Full Text][Citation analysis] | paper | 9 |
1985 | Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle.(1985) In: The Quarterly Journal of Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
1986 | Money and the Open Economy Business Cycle: A Flexible Price Model In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
1986 | An Evaluation of Recent Evidence on Stock Market Bubbles In: NBER Working Papers. [Full Text][Citation analysis] | paper | 21 |
2014 | Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2014 | The Carry Trade: Risks and Drawdowns In: NBER Working Papers. [Full Text][Citation analysis] | paper | 43 |
2017 | The Carry Trade: Risks and Drawdowns.(2017) In: Critical Finance Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | article | |
2018 | Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2021 | Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications.(2021) In: Critical Finance Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2020 | An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data In: NBER Working Papers. [Full Text][Citation analysis] | paper | 28 |
1989 | The Variability of Velocity in Cash-In-Advance Models In: NBER Working Papers. [Full Text][Citation analysis] | paper | 86 |
1991 | The Variability of Velocity in Cash-in-Advance Models..(1991) In: Journal of Political Economy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 86 | article | |
1989 | Testable Implications of Indeterminacies in Models with Rational Expectations In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
1992 | Financial Market Efficiency Tests In: NBER Working Papers. [Full Text][Citation analysis] | paper | 34 |
2002 | Pricing the Global Industry Portfolios In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
1992 | Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 703 |
1980 | Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 857 |
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