27
H index
32
i10 index
8636
Citations
Columbia University | 27 H index 32 i10 index 8636 Citations RESEARCH PRODUCTION: 39 Articles 44 Papers 1 Books 1 Chapters RESEARCH ACTIVITY:
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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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2024 | Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef. In: Papers. RePEc:arx:papers:2104.04264. Full description at Econpapers || Download paper | |
2024 | An Empirical Assessment of Characteristics and Optimal Portfolios. (2024). Zhang, Huacheng ; Lamoureux, Christopher G. In: Papers. RePEc:arx:papers:2104.12975. Full description at Econpapers || Download paper | |
2024 | On Robust Inference in Time Series Regression. (2024). Mora, Aaron ; Kapetanios, George ; Diebold, Francis ; Baillie, Richard T ; Ho, Kun. In: Papers. RePEc:arx:papers:2203.04080. Full description at Econpapers || Download paper | |
2024 | Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper | |
2024 | The boosted HP filter is more general than you might think. (2024). Shi, Zhentao ; Phillips, Peter ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2209.09810. Full description at Econpapers || Download paper | |
2024 | Bayesian Neural Networks for Macroeconomic Analysis. (2024). Marcellino, Massimiliano ; Huber, Florian ; Hauzenberger, Niko ; Klieber, Karin. In: Papers. RePEc:arx:papers:2211.04752. Full description at Econpapers || Download paper | |
2024 | Inference in Predictive Quantile Regressions. (2024). Maynard, Alex ; Kuriyama, Nina ; Shimotsu, Katsumi. In: Papers. RePEc:arx:papers:2306.00296. Full description at Econpapers || Download paper | |
2024 | A time-varying finance-led model for U.S. business cycles. (2024). Santetti, Marcio. In: Papers. RePEc:arx:papers:2310.05153. Full description at Econpapers || Download paper | |
2024 | Stochastic Equilibrium the Lucas Critique and Keynesian Economics. (2024). Staines, David. In: Papers. RePEc:arx:papers:2312.16214. Full description at Econpapers || Download paper | |
2024 | Forecasting CPI inflation under economic policy and geopolitical uncertainties. (2024). Chakraborty, Tanujit ; Singh, Sunny Kumar ; Sengupta, Shovon. In: Papers. RePEc:arx:papers:2401.00249. Full description at Econpapers || Download paper | |
2024 | Revisiting Boehmer et al. (2021): Recent Period, Alternative Method, Different Conclusions. (2024). Ardia, David ; Cenesizoglu, Tolga ; Aymard, Cl'Ement. In: Papers. RePEc:arx:papers:2403.17095. Full description at Econpapers || Download paper | |
2024 | Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335. Full description at Econpapers || Download paper | |
2024 | Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2405.02087. Full description at Econpapers || Download paper | |
2024 | Dynamic Asset Allocation with Asset-Specific Regime Forecasts. (2024). Shu, Yizhan ; Mulvey, John M ; Yu, Chenyu. In: Papers. RePEc:arx:papers:2406.09578. Full description at Econpapers || Download paper | |
2024 | Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity. (2024). Ruiz, Esther ; Rodriguez Caballero, Carlos. In: Papers. RePEc:arx:papers:2406.14145. Full description at Econpapers || Download paper | |
2024 | Longitudinal market structure detection using a dynamic modularity-spectral algorithm. (2024). Schroder, Thomas ; Wirth, Philipp ; Medda, Francesca. In: Papers. RePEc:arx:papers:2407.04500. Full description at Econpapers || Download paper | |
2025 | DisSim-FinBERT: Text Simplification for Core Message Extraction in Complex Financial Texts. (2025). Handschuh, Siegfried ; Lee, Choong Lyol ; Niklaus, Christina ; Kim, Wonseong. In: Papers. RePEc:arx:papers:2501.04959. Full description at Econpapers || Download paper | |
2025 | An Adaptive Moving Average for Macroeconomic Monitoring. (2025). Goulet Coulombe, Philippe ; Klieber, Karin. In: Papers. RePEc:arx:papers:2501.13222. Full description at Econpapers || Download paper | |
2025 | ChatGPT and Deepseek: Can They Predict the Stock Market and Macroeconomy?. (2025). Zhu, WU ; Zhou, Guofu ; Tang, Guohao ; Chen, Jian. In: Papers. RePEc:arx:papers:2502.10008. Full description at Econpapers || Download paper | |
2025 | The Risk-Neutral Equivalent Pricing of Model-Uncertainty. (2025). Wren, Ken Kangda. In: Papers. RePEc:arx:papers:2502.13744. Full description at Econpapers || Download paper | |
2025 | Measuring the Euro Area Output Gap. (2025). Barigozzi, Matteo ; Luciani, Matteo ; Lissona, Claudio. In: Papers. RePEc:arx:papers:2505.05536. Full description at Econpapers || Download paper | |
2025 | The Economic Impact of Low- and High-Frequency Temperature Changes. (2025). Ng, Serena ; Gospodinov, Nikolay ; Gaffney, Ignacio Lopez. In: Papers. RePEc:arx:papers:2505.08950. Full description at Econpapers || Download paper | |
2025 | A Synthetic Business Cycle Approach to Counterfactual Analysis with Nonstationary Macroeconomic Data. (2025). Shi, Zhentao ; Xie, Haitian. In: Papers. RePEc:arx:papers:2505.22388. Full description at Econpapers || Download paper | |
2025 | Income distribution and growth in France: a long-run time-frequency analysis. (2025). Pietropaoli, Alessandro. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1483_25. Full description at Econpapers || Download paper | |
2025 | Output Gap Measurement after COVID for Colombia: Lessons from a Permanent-Transitory Approach. (2025). Parra-Amado, Daniel ; Granados, Camilo. In: Borradores de Economia. RePEc:bdr:borrec:1295. Full description at Econpapers || Download paper | |
2024 | PEnvironmental Preferences and Sector Valuations. (2024). Stalla-Bourdillon, Arthur ; Jourde, Tristan. In: Working papers. RePEc:bfr:banfra:964. Full description at Econpapers || Download paper | |
2024 | Impact of global macroeconomic factors on spillovers among Australian sector markets: Fresh findings from a wavelet‐based analysis. (2024). Alshater, Muneer ; Jiang, Zhuhua ; Yoon, Seongmin ; el Khoury, Rim. In: Australian Economic Papers. RePEc:bla:ausecp:v:63:y:2024:i:1:p:78-105. Full description at Econpapers || Download paper | |
2024 | Sentiment and the cross‐section of expected stock returns. (2024). Lin, Nanying ; Lu, Lei ; Jacoby, Gady ; Liao, Chi. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:2:p:459-485. Full description at Econpapers || Download paper | |
2024 | Interest Rate Skewness and Biased Beliefs. (2024). Chernov, Mikhail ; Bauer, Michael. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:1:p:173-217. Full description at Econpapers || Download paper | |
2024 | Equity Term Structures without Dividend Strips Data. (2024). Kozak, Serhiy ; Kelly, Bryan ; Giglio, Stefano. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:6:p:4143-4196. Full description at Econpapers || Download paper | |
2024 | Capital gain overhang and risk–return trade‐off: An international study. (2024). Zheng, Dazhi ; Li, Huimin. In: Journal of Financial Research. RePEc:bla:jfnres:v:47:y:2024:i:1:p:211-242. Full description at Econpapers || Download paper | |
2024 | Are stress‐tested banks in the United States becoming similar? Evidence from convergence tests. (2024). Payne, James ; Nazlioglu, Saban ; Kirimhan, Destan. In: Journal of Financial Research. RePEc:bla:jfnres:v:47:y:2024:i:1:p:61-88. Full description at Econpapers || Download paper | |
2024 | Give me a U, give me a V, give me an L!: How effective are countercyclical policies in shaping the output dynamic during recessions. (2024). Pearrieta, Luis Castro ; Castaeda, Gonzalo. In: Metroeconomica. RePEc:bla:metroe:v:75:y:2024:i:1:p:107-133. Full description at Econpapers || Download paper | |
2024 | Global Financial Risk, Equity Returns and Economic Activity in Emerging Countries. (2024). Yang, Guanyi ; Horvath, Jaroslav. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:3:p:672-689. Full description at Econpapers || Download paper | |
2024 | Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Working Papers. RePEc:boa:wpaper:202402. Full description at Econpapers || Download paper | |
2024 | Preferences for dividends and stock returns around the world. (2024). XIE, Jing ; Zhong, Yuxiang ; Hameed, Allaudeen. In: Working Papers. RePEc:boa:wpaper:202405. Full description at Econpapers || Download paper | |
2025 | Tails of Cross-Sectional Return Distributions at High Frequencies. (2025). Todorov, Viktor ; Ding, YI ; Andersen, Torben G. In: Working Papers. RePEc:boa:wpaper:202530. Full description at Econpapers || Download paper | |
2024 | Learning about the Long Run. (2024). Nakamura, Emi ; Farmer, Leland E ; Steinsson, JN. In: Department of Economics, Working Paper Series. RePEc:cdl:econwp:qt0tn1s1hp. Full description at Econpapers || Download paper | |
2025 | Event-Driven Changes in Volatility Connectedness in Global Forex Markets. (2025). Kočenda, Evžen ; Albrecht, Peter ; Koenda, Even. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11606. Full description at Econpapers || Download paper | |
2024 | Fiscal Consolidations in Commodity-Exporting Countries: A DSGE Perspective. (2024). Guerra-Salas, Juan ; González-Astudillo, Manuel ; Gonzalez-Astudillo, Manuel ; Lipton, Avi. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:1015. Full description at Econpapers || Download paper | |
2024 | Micro responses to macro shocks. (2024). Sancibrián, Víctor ; Sancibrian, Victor ; Almuzara, Martin. In: Working Papers. RePEc:cmf:wpaper:wp2024_2412. Full description at Econpapers || Download paper | |
2025 | The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities. (2025). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2025_2502. Full description at Econpapers || Download paper | |
2024 | Impacto de la sincronización sub-nacional sobre el comportamiento de los ciclos nacionales en economías emergentes con inflación objetivo. (2024). Quintero, Jorge David ; de Jesus, Alcides. In: Documentos Departamento de Economía. RePEc:col:000383:000054. Full description at Econpapers || Download paper | |
2025 | Impact of business cycles on energy poverty: Exploring the significance with sustainable development goals in newly industrialized economies. (2025). Ul, Wasi ; Yasmeen, Rizwana. In: Applied Energy. RePEc:eee:appene:v:378:y:2025:i:pa:s0306261924021603. Full description at Econpapers || Download paper | |
2024 | Salience theory, investor sentiment, and commonality in sentiment: Evidence from the Chinese stock market. (2024). Hu, Zhijun ; Sun, Ping-Wen. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:42:y:2024:i:c:s2214635024000492. Full description at Econpapers || Download paper | |
2024 | Business aspects in focus, investor underreaction and return predictability. (2024). Jin, Zuben. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s0929119923001748. Full description at Econpapers || Download paper | |
2024 | Foreign investors, firm level productivity, and European economic integration. (2024). Phylaktis, Kate ; Bailey, Warren ; Muradoglu, Gulnur ; Onay, Ceylan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:85:y:2024:i:c:s0929119924000269. Full description at Econpapers || Download paper | |
2024 | Estimating the effects of demographics on interest rates: A robust Bayesian perspective. (2024). Ho, Paul. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s0165188923001781. Full description at Econpapers || Download paper | |
2024 | Labor market dynamics with sorting. (2024). Schulz, Bastian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s0165188923001823. Full description at Econpapers || Download paper | |
2024 | Dynamic industry uncertainty networks and the business cycle. (2024). faff, robert ; Baruník, Jozef ; Bevilacqua, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923001999. Full description at Econpapers || Download paper | |
2024 | A contagion test with unspecified heteroscedastic errors. (2024). Ko, Stanley Iat-Meng ; Peng, Liang ; Aboagye, Ernest ; Hsiao, Cody Yu-Ling ; Lo, Chia Chun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923002105. Full description at Econpapers || Download paper | |
2024 | The productivity puzzle and the decline of unions. (2024). Mitra, Aruni. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923002129. Full description at Econpapers || Download paper | |
2024 | Nominal exchange rates and heterogeneous beliefs. (2024). Lu, Lei ; Jiao, Feng ; Croitoru, Benjamin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924000964. Full description at Econpapers || Download paper | |
2024 | Dynamic mean-variance portfolio selection under factor models. (2024). Shi, Yun ; Cui, Xiangyu ; Kong, Lingjie ; Yang, Lanzhi ; Li, Duan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:167:y:2024:i:c:s0165188924001155. Full description at Econpapers || Download paper | |
2025 | The nexus of overnight trend and asset prices in China. (2025). Li, Youwei ; Guo, Jiaqi ; Han, Xing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:170:y:2025:i:c:s0165188924001891. Full description at Econpapers || Download paper | |
2024 | What drives the tail risk effect in the Chinese stock market?. (2024). Zhu, Yifeng ; Sun, Kaisi ; Wang, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999323004431. Full description at Econpapers || Download paper | |
2024 | Characterizing the schooling cycle. (2024). Sadaba, Barbara ; MAIER, SOFIA ; Vuji, Sunica. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999324000051. Full description at Econpapers || Download paper | |
2024 | Business cycle synchronization and asymmetry in the European Union. (2024). Tica, Josip ; Panovska, Irina ; Arčabić, Vladimir ; Arabi, Vladimir. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001676. Full description at Econpapers || Download paper | |
2024 | The gender factor in monetary policy: An event-study design. (2024). Giraldo, Anna ; Favaro, Donata ; Paggiaro, Adriano. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002670. Full description at Econpapers || Download paper | |
2024 | Labor market policies in high- and low-interest rate environments: Evidence from the euro area. (2024). Lastauskas, Povilas ; Staknas, Julius. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400275x. Full description at Econpapers || Download paper | |
2024 | Climate pattern effects on global economic conditions. (2024). Pourroy, Marc ; Ginn, William ; Dufrnot, Gilles. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002773. Full description at Econpapers || Download paper | |
2024 | Option listing and underlying commodity futures volatility in China. (2024). Guo, Jin ; Wen, Xiaoqian. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002839. Full description at Econpapers || Download paper | |
2024 | Does pension fund ownership reduce market manipulation? Evidence from China. (2024). Zhu, Xingting ; Ma, Xiang ; Ur, Faheem ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001249. Full description at Econpapers || Download paper | |
2024 | Systematic COVID risk, idiosyncratic COVID risk and stock returns. (2024). Wan, Xiaoyuan ; Zhang, Jiachen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001274. Full description at Econpapers || Download paper | |
2024 | The role of investor sentiment and market belief in forecasting V-shaped disposition effect: Evidence from a Bayesian learning process with DSSW model. (2024). Gider, Zeynullah ; Hassan, Kabir M ; Bataineh, Hassan ; Bouteska, Ahmed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000081. Full description at Econpapers || Download paper | |
2024 | Unlocking portfolio resilient and persistent risk: A holistic approach to unveiling potential grounds. (2024). Reis, Pedro Nogueira ; Soares, Antonio Pedro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001232. Full description at Econpapers || Download paper | |
2024 | Option trading volume and the cross-section of option returns. (2024). Hu, Sen ; Yuan, Jianglei ; Liu, Dehong ; Chen, Carl R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001542. Full description at Econpapers || Download paper | |
2024 | Size and ESG premiums: Evidence from Chinese A-share market. (2024). Wu, Yanran ; Zhou, Riwang ; Zhang, Chao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001712. Full description at Econpapers || Download paper | |
2024 | Optimizing composite early warning indicators. (2024). Beltran, Daniel ; Dalal, Vihar M ; Jahan-Parvar, Mohammad R ; Paine, Fiona A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s106294082400175x. Full description at Econpapers || Download paper | |
2025 | Stock market volatility and multi-scale positive and negative bubbles. (2025). Nel, Jacobus ; Gupta, Rangan ; Pierdzioch, Christian ; Nielsen, Joshua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002250. Full description at Econpapers || Download paper | |
2024 | Growth accelerations and takeoffs: Is there a role for capital accumulation?. (2024). Parello, Carmelo ; Federico, Antonio Pietro. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000594. Full description at Econpapers || Download paper | |
2024 | Do supercycles dominate commodity price movements?. (2024). Kabundi, Alain ; Baffes, John. In: Economics Letters. RePEc:eee:ecolet:v:237:y:2024:i:c:s0165176524001290. Full description at Econpapers || Download paper | |
2024 | Braveheart: On the divergence of recommendations between normal and star analysts. (2024). Li, Yingmei Esme ; Zeng, Sipeng. In: Economics Letters. RePEc:eee:ecolet:v:240:y:2024:i:c:s0165176524002490. Full description at Econpapers || Download paper | |
2025 | Do countries default in bad times? The role of alternative detrending techniques. (2025). Panizza, Ugo. In: Economics Letters. RePEc:eee:ecolet:v:246:y:2025:i:c:s0165176524005603. Full description at Econpapers || Download paper | |
2024 | Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach. (2024). Su, Liangjun ; Phillips, Peter ; Ke, Shuyao. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624001076. Full description at Econpapers || Download paper | |
2024 | Inference in predictive quantile regressions. (2024). Maynard, Alex ; Shimotsu, Katsumi ; Kuriyama, Nina. In: Journal of Econometrics. RePEc:eee:econom:v:245:y:2024:i:1:s0304407624002203. Full description at Econpapers || Download paper | |
2024 | A new macro-financial condition index for the euro area. (2024). MORANA, CLAUDIO. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:64-87. Full description at Econpapers || Download paper | |
2024 | Revisiting international house price convergence using house price level data. (2024). GUPTA, RANGAN ; André, Christophe ; Christou, Christina. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:2:s0939362524000037. Full description at Econpapers || Download paper | |
2024 | Reassessing grain price variability in early modern Europe (c. 1500–1800). (2024). Seim, Andrea ; Ljungqvist, Fredrik Charpentier. In: European Economic Review. RePEc:eee:eecrev:v:170:y:2024:i:c:s0014292124001818. Full description at Econpapers || Download paper | |
2025 | Time-varying stock return correlation, news shocks, and business cycles. (2025). Metiu, Norbert ; Prieto, Esteban. In: European Economic Review. RePEc:eee:eecrev:v:172:y:2025:i:c:s0014292124002459. Full description at Econpapers || Download paper | |
2024 | Tail risks and private equity performance. (2024). Kurtovi, Hrvoje ; Markarian, Garen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s092753982300124x. Full description at Econpapers || Download paper | |
2024 | Enhancing betting against beta with stochastic dominance. (2024). Xu, Xia ; Kolokolova, Olga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:76:y:2024:i:c:s0927539823001329. Full description at Econpapers || Download paper | |
2024 | Non-standard errors in asset pricing: Mind your sorts. (2024). Verwijmeren, Patrick ; van Vliet, Bart ; Soebhag, Amar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000525. Full description at Econpapers || Download paper | |
2024 | The risk–return tradeoff among equity factors. (2024). Barroso, Pedro ; Maio, Paulo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000537. Full description at Econpapers || Download paper | |
2024 | Estimation and inference in low frequency factor model regressions with overlapping observations. (2024). Dossani, Asad. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000719. Full description at Econpapers || Download paper | |
2024 | Is firm-level political risk priced in the corporate bond market?. (2024). Piljak, Vanja ; Ceballos, Luis ; Swinkels, Laurens. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000963. Full description at Econpapers || Download paper | |
2024 | Jump tail risk exposure and the cross-section of stock returns. (2024). Alexiou, Lykourgos ; Rompolis, Leonidas S. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000999. Full description at Econpapers || Download paper | |
2025 | Market neutrality and beta crashes. (2025). Xu, Xia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001117. Full description at Econpapers || Download paper | |
2024 | Contagion network of idiosyncratic volatility: Does corporate environmental responsibility matter?. (2024). Li, Yanling ; Wang, Mengxin ; Liao, Gaoke. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006667. Full description at Econpapers || Download paper | |
2024 | Financial market development and corporate risk management: Evidence from Shanghai crude oil futures launched in China. (2024). Wu, Ji ; Chen, Longxuan ; Hao, Jing. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300748x. Full description at Econpapers || Download paper | |
2024 | The impact of oil and global markets on Saudi stock market predictability: A machine learning approach. (2024). Abedin, Mohammad Zoynul ; Abdou, Hussein A ; Ibrahim, Bassam A ; Elamer, Ahmed A. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001245. Full description at Econpapers || Download paper | |
2024 | Energy transition and housing market bubbles: Evidence from prefecture cities in China. (2024). Sun, Yongping ; Jin, YI ; Liu, Sinuo ; Fang, Jie. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324001932. Full description at Econpapers || Download paper | |
2024 | Oil price shocks and bond risk premia: Evidence from a panel of 15 countries. (2024). Lyrio, Marco ; Nersisyan, Liana ; Iania, Leonardo. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324006480. Full description at Econpapers || Download paper | |
2024 | Renewable energy production across U.S. states: Convergence or divergence?. (2024). Smyth, Russell ; Payne, James ; Nazlioglu, Saban ; Saunoris, James W. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324007230. Full description at Econpapers || Download paper | |
2025 | Performance of energy ETFs and climate risks. (2025). Nguyen, Minh Nhat ; Li, Youwei ; Liu, Rui Peng. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007400. Full description at Econpapers || Download paper | |
2024 | Oil price shocks and energy transition in Africa. (2024). Nchofoung, Tii N. In: Energy Policy. RePEc:eee:enepol:v:184:y:2024:i:c:s0301421523004408. Full description at Econpapers || Download paper | |
2024 | Verified carbon emissions and stock returns in the EU Emissions Trading System. (2024). Galanti, Sébastien ; Benchora, Inessa. In: Energy Policy. RePEc:eee:enepol:v:193:y:2024:i:c:s0301421524002842. Full description at Econpapers || Download paper | |
2024 | Oil market cyclical shocks and fiscal stance in OPEC+. (2024). Sohag, Kazi ; Samargandi, Nahla ; Kalina, Irina. In: Energy. RePEc:eee:energy:v:296:y:2024:i:c:s0360544224007217. Full description at Econpapers || Download paper | |
2024 | Exploring the complex interplay of green finance, business cycles, and energy development. (2024). Lee, Chien-Chiang ; Sultanuzzaman, Md Reza ; Yahya, Farzan. In: Energy. RePEc:eee:energy:v:306:y:2024:i:c:s0360544224022539. Full description at Econpapers || Download paper | |
2024 | Did the 1917–21 economic depression accelerate the epidemiological transition? Milk prices, summer peak of mortality, and food-and-water causes of death in Madrid, Spain. (2024). Mazzoni, Stanislao ; Oris, Michel ; Ramiro-Farias, Diego. In: Explorations in Economic History. RePEc:eee:exehis:v:94:y:2024:i:c:s0014498324000391. Full description at Econpapers || Download paper | |
2024 | Access to kin, economic stress, and late-life mortality in North Orkney, Scotland, 1851–1911. (2024). Jennings, Julia A. In: Explorations in Economic History. RePEc:eee:exehis:v:94:y:2024:i:c:s0014498324000482. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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1986 | Asset Price Volatility, Bubbles, and Process Switching.(1986) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 45 | paper | |
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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 nother version. Agregated cites: 289 | paper | |
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2004 | The Cross-Section of Volatility and Expected Returns.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1386 | paper | |
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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 nother version. Agregated cites: 216 | paper | |
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2000 | Evaluating the Specification Errors of Asset Pricing Models.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother 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 | 515 |
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1993 | On biases in the measurement of foreign exchange risk premiums In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 161 |
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1984 | An investigation of risk and return in forward foreign exchange In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 118 |
1983 | An Investigation of Risk and Return in Forward Foreign Exchange.(1983) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 118 | 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 | 85 |
1985 | The Covariation of Risk Premiums and Expected Future Spot Exchange Rates.(1985) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 85 | 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 |
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1987 | Risk, Uncertainty and Exchange Rates.(1987) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 128 | paper | |
1997 | The implications of first-order risk aversion for asset market risk premiums In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 95 |
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 nother version. Agregated cites: 95 | 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 nother version. Agregated cites: 95 | 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 nother version. Agregated cites: 95 | 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 nother version. Agregated cites: 95 | paper | |
2001 | Peso problem explanations for term structure anomalies In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 165 |
1997 | \Peso problem\ explanations for term structure anomalies.(1997) In: Working Paper Series, Issues in Financial Regulation. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 165 | paper | |
1997 | Peso Problem Explanations for Term Structure Anomalies.(1997) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 165 | 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 |
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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 nother version. Agregated cites: 21 | paper | |
1997 | Postwar U.S. Business Cycles: An Empirical Investigation. In: Journal of Money, Credit and Banking. [Citation analysis] | article | 2282 |
1981 | Post-War U.S. Business Cycles: An Empirical Investigation.(1981) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2282 | 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 | 136 |
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 nother 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 | 22 |
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 | 47 |
2017 | The Carry Trade: Risks and Drawdowns.(2017) In: Critical Finance Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | 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 | 4 |
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 nother version. Agregated cites: 4 | article | |
2020 | An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data In: NBER Working Papers. [Full Text][Citation analysis] | paper | 37 |
1989 | The Variability of Velocity in Cash-In-Advance Models In: NBER Working Papers. [Full Text][Citation analysis] | paper | 89 |
1991 | The Variability of Velocity in Cash-in-Advance Models..(1991) In: Journal of Political Economy. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 89 | 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 | 36 |
2002 | Pricing the Global Industry Portfolios In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
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1980 | Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 884 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated June, 12 2025. Contact: CitEc Team