Ravi Jagannathan : Citation Profile

Are you Ravi Jagannathan?

Northwestern University

25

H index

45

i10 index

8120

Citations

RESEARCH PRODUCTION:

48

Articles

55

Papers

1

Chapters

RESEARCH ACTIVITY:

   49 years (1974 - 2023). See details.
   Cites by year: 165
   Journals where Ravi Jagannathan has often published
   Relations with other researchers
   Recent citing documents: 623.    Total self citations: 35 (0.43 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pja91
   Updated: 2023-11-04    RAS profile: 2021-03-29    
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Relations with other researchers

Works with:

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

Is cited by:

faff, robert (45)

Robotti, Cesare (34)

GUPTA, RANGAN (32)

Engle, Robert (29)

Bollerslev, Tim (28)

Ang, Andrew (27)

Bekaert, Geert (26)

Degiannakis, Stavros (26)

Teräsvirta, Timo (26)

zhang, xiaoyan (26)

Sarno, Lucio (25)

Cites to:

French, Kenneth (34)

Fama, Eugene (33)

Campbell, John (32)

Hansen, Lars (28)

Titman, Sheridan (21)

Shanken, Jay (18)

merton, robert (18)

Shleifer, Andrei (18)

Pedersen, Lasse (17)

Grinblatt, Mark (17)

Sherman, Ann (15)

Main data

Where Ravi Jagannathan has published?

Journals with more than one article published# docs
Journal of Finance11
Quarterly Review4
Journal of Financial Economics4
The Journal of Business3
Journal of Financial Intermediation2
Review of Financial Studies2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc35
Staff Report / Federal Reserve Bank of Minneapolis9
Discussion Paper / Institute for Empirical Macroeconomics / Federal Reserve Bank of Minneapolis3

Recent works citing Ravi Jagannathan (2023 and 2022)

YearTitle of citing document
2022A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Wade, Glen ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian. In: CREATES Research Papers. RePEc:aah:create:2022-01.

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2022Expectations, Economic Uncertainty, and Sentiment. (2022). de Medeiros, Douglas. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:26:y:2022:i:5:1524.

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2022Determinants of Stock Market Volatility in Africa. (2022). Uhunmwangho, Monday. In: African Journal of Economic Review. RePEc:ags:afjecr:320586.

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2023Sensitivity to measurement errors of the distance to the efficient frontier. (2023). Vanhems, Anne ; Szafarz, Ariane ; Simar, Leopold ; Briere, Marie. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023017.

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2022Should we care about ECB inflation expectations?. (2022). Candelon, Bertrand ; Roccazzella, Francesco. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022004.

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2022On the optimal combination of naive and mean-variance portfolio strategies. (2022). Vrins, Frederic ; Vanderveken, Rodolphe ; Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022006.

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2023Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions. (2019). Thors, Erik ; Parolya, Nestor ; Dette, Holger ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1908.04243.

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2022Sharpe Ratio in High Dimensions: Cases of Maximum Out of Sample, Constrained Maximum, and Optimal Portfolio Choice. (2020). Vasconcelos, Gabriel ; Medeiros, Marcelo ; Caner, Mehmet. In: Papers. RePEc:arx:papers:2002.01800.

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2022Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2022High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477.

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2022Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

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2023Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2023Large Non-Stationary Noisy Covariance Matrices: A Cross-Validation Approach. (2020). , Vincent ; Vincent, ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2012.05757.

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2022Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

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2022Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673.

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2023An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2023A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2022A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288.

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2022Diversified reward-risk parity in portfolio construction. (2021). Kim, Young Shin ; Choi, Jae Hyung. In: Papers. RePEc:arx:papers:2106.09055.

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2022Geometric insights into robust portfolio construction with gearing. (2021). Gebbie, Tim ; Dalmeyer, Lara. In: Papers. RePEc:arx:papers:2107.06194.

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2022Deep Signature FBSDE Algorithm. (2021). Zhang, Zhaoyu ; Luo, Man ; Feng, QI. In: Papers. RePEc:arx:papers:2108.10504.

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2022Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities. (2022). James, Nick. In: Papers. RePEc:arx:papers:2112.15321.

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2022Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model. (2022). Ratnayake, Isuru ; Samaranayake, V A. In: Papers. RePEc:arx:papers:2202.03351.

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2022On Solving Robust Log-Optimal Portfolio: A Supporting Hyperplane Approximation Approach. (2022). Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2202.03858.

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2022Neural Generalised AutoRegressive Conditional Heteroskedasticity. (2022). Yin, Zexuan ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2202.11285.

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2022Vulnerability-CoVaR: Investigating the Crypto-market. (2022). Okhrin, Ostap ; Singh, Abhay Kumar ; Waltz, Martin. In: Papers. RePEc:arx:papers:2203.10777.

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2022Reducing overestimating and underestimating volatility via the augmented blending-ARCH model. (2022). Yi, Shao ; Lu, Jun. In: Papers. RePEc:arx:papers:2203.12456.

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2022LoCoV: low dimension covariance voting algorithm for portfolio optimization. (2022). Popescu, Ionel ; Duan, Juntao. In: Papers. RePEc:arx:papers:2204.00204.

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2022Variational Heteroscedastic Volatility Model. (2022). Barucca, Paolo ; Yin, Zexuan. In: Papers. RePEc:arx:papers:2204.05806.

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2022Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2022Misspecification and Weak Identification in Asset Pricing. (2022). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2206.13600.

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2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2022Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

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2022A penalized two-pass regression to predict stock returns with time-varying risk premia. (2022). Scaillet, Olivier ; Guerrier, St'Ephane ; Bakalli, Gaetan. In: Papers. RePEc:arx:papers:2208.00972.

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2022Estimating the Time-Varying Structures of the Fama-French Multi-Factor Models. (2022). Noda, Akihiko. In: Papers. RePEc:arx:papers:2208.01270.

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2022Estimation of growth in fund models. (2022). Ruf, Johannes ; Koo, Hyeng Keun ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:2208.02573.

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2022Estimation of Historical volatility and Allocation strategies using Variance Swaps. (2022). Fiorin, Lucio. In: Papers. RePEc:arx:papers:2208.03164.

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2022Large Volatility Matrix Analysis Using Global and National Factor Models. (2022). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2208.12323.

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2022Systemic Risk of Optioned Portfolios: Controllability and Optimization. (2022). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Papers. RePEc:arx:papers:2209.04685.

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2022An Attention Free Long Short-Term Memory for Time Series Forecasting. (2022). de Villelongue, Ludovic ; Inzirillo, Hugo. In: Papers. RePEc:arx:papers:2209.09548.

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2022The law of one price in mean-variance hedging. (2022). Czichowsky, Christoph ; Vcern, Alevs. In: Papers. RePEc:arx:papers:2210.15613.

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2022Monetary Uncertainty as a Determinant of the Response of Stock Market to Macroeconomic News. (2022). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2212.04525.

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2022Robustifying Markowitz. (2022). Zhivotovskiy, Nikita ; Petukhina, Alla ; Klochkov, Yegor ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2212.13996.

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2023Bitcoin Does Not Hedge Inflation. (2023). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2301.10117.

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2023Risk Budgeting Portfolios from Simulations. (2023). Targino, Rodrigo S ; Pesenti, Silvana M ; Paulo, Bernardo Freitas. In: Papers. RePEc:arx:papers:2302.01196.

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2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

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2023Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002.

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2023Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382.

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2023Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2304.08902.

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2023Large Global Volatility Matrix Analysis Based on Structural Information. (2023). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2305.01464.

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2023Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2023Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282.

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2023Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation. (2023). Jain, Shashi ; Dutta, Sumanjay. In: Papers. RePEc:arx:papers:2305.11298.

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2023Integrating Different Informations for Portfolio Selection. (2023). Wang, Shikun ; Zhu, Shushang ; Li, Duan ; Huang, YI. In: Papers. RePEc:arx:papers:2305.17881.

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2023Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Gallo, Giampiero ; Palandri, Alessandro ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2305.20067.

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2023Fast and Furious: A High-Frequency Analysis of Robinhood Users Trading Behavior. (2023). Cenesizoglu, Tolga ; Aymard, Cl'Ement ; Ardia, David. In: Papers. RePEc:arx:papers:2307.11012.

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2023Weak (Proxy) Factors Robust Hansen-Jagannathan Distance For Linear Asset Pricing Models. (2023). Kong, Lingwei. In: Papers. RePEc:arx:papers:2307.14499.

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2023The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Kontoyiannis, Ioannis ; Papageorgiou, Ioannis. In: Papers. RePEc:arx:papers:2308.00913.

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2023Analysis of Optimal Portfolio Management Using Hierarchical Clustering. (2023). Panda, Kapil. In: Papers. RePEc:arx:papers:2308.11202.

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2023Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061.

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2023Hedging Forecast Combinations With an Application to the Random Forest. (2023). Wolf, Michael ; Kozbur, Damian ; Beck, Elliot. In: Papers. RePEc:arx:papers:2308.15384.

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2023Diffusion Variational Autoencoder for Tackling Stochasticity in Multi-Step Regression Stock Price Prediction. (2023). Chua, Tat-Seng ; Ng, Ritchie ; Ma, Yunshan. In: Papers. RePEc:arx:papers:2309.00073.

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2023DeepVol: A Deep Transfer Learning Approach for Universal Asset Volatility Modeling. (2023). Kohn, Robert ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Liu, Chen. In: Papers. RePEc:arx:papers:2309.02072.

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2022Exchange Rate Volatility and Exports: The Nigerian Scenario. (2022). Chukwuka, Ekechi ; Ebenyi, Gabriel O ; Uzoechina, Benedict I ; Saleh, Abubakar Sadiq ; Eze, Millicent Adanne ; Duru, Innocent U. In: Asian Journal of Empirical Research. RePEc:asi:ajoerj:v:12:y:2022:i:1:p:11-28:id:4404.

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2023Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303.

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2023Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309.

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2022Asia-Pacific Islamic Stocks and Gold - A Markov-switching Copula Estimation. (2022). Nugroho, Bayu Adi. In: Asian Economics Letters. RePEc:ayb:jrnael:62.

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2023COVID-19 Vaccination, Government Strict Policy and Capital Market Volatility: Evidence from ASEAN Countries. (2023). Suryani, Ani Wilujeng ; Izzahdi, Herjuna Qobush. In: Economic Studies journal. RePEc:bas:econst:y:2023:i:2:p:117-135.

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2022Do buffer requirements for european systemically important banks make them less systemic?. (2022). Broto, Carmen ; Melnychuk, Mariya ; Lafuerza, Luis Fernandez. In: Working Papers. RePEc:bde:wpaper:2243.

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2022Ofertas Públicas de Adquisición y su efecto sobre las rentabilidades en el mercado accionario: El caso de NUTRESA y SURA en Colombia. (2022). Parra-Amado, Daniel ; Melo-Velandia, Luis ; Orozco-Vanegas, Camilo Andres. In: Borradores de Economia. RePEc:bdr:borrec:1195.

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2022SRISK: una medida de riesgo sistémico para la banca colombiana 2005-2021. (2022). Sanchez-Quinto, Camilo Eduardo. In: Borradores de Economia. RePEc:bdr:borrec:1207.

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2022Macroeconomic Forecasting Using Filtered Signals from a Stock Market Cross Section. (2022). Stalla-Bourdillon, Arthur ; Chinn, Menzie ; Chatelais, Nicolas. In: Working papers. RePEc:bfr:banfra:903.

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2022Bank of Japans ETF purchase program and equity risk premium: a CAPM interpretation. (2022). Shino, Junnosuke ; Takahashi, Koji ; Katagiri, Mitsuru. In: BIS Working Papers. RePEc:bis:biswps:1029.

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2022Emerging market bond flows and exchange rate returns. (2022). Valente, Giorgio ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:1042.

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2023Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: BIS Working Papers. RePEc:bis:biswps:1068.

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2022An empirical investigation of the quality of value?at?risk disclosure in Australia. (2022). Smith, Daniel R ; Campbell, Angus. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:469-491.

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2022Hamada’s equation and the beta of debt under CAPM. (2022). Tulig, Steve ; Johnstone, David. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:2:p:2385-2399.

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2022A timing momentum strategy. (2022). Ko, Kuancheng ; Chou, Robin K ; Yang, Nientzu ; Lin, Chaonan. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1339-1379.

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2023The day?of?the?month effect and the performance of the dollar cost averaging strategy: Evidence from China. (2023). Yu, Bin ; Li, Hongze ; Jin, Xuejun. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:797-815.

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2023Tail risk of coal futures in Chinas market. (2023). Wan, Qing ; Wang, Minglu ; Shen, ZE. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s2:p:2827-2845.

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2023Time?frequency comovement among green financial assets and cryptocurrency uncertainties. (2023). Ul, Inzamam. In: Economic Notes. RePEc:bla:ecnote:v:52:y:2023:i:1:n:e12216.

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2022Economic forecasts, anchoring bias, and stock returns. (2022). Yu, Han ; Dutta, Sandip ; Birz, Gene. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:169-191.

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2022Disagreement between hedge funds and other institutional investors and the cross?section of expected stock returns. (2022). Sonaer, Gokhan ; Celiker, Umut ; Caglayan, Mustafa O. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:663-689.

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2023Auctions versus bookbuilding: The effects of IPO regulation in Japan. (2023). Weber, Matthias ; Lehmann, Timo. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:1:p:117-141.

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2022Chasing dividends during the COVID?19 pandemic. (2022). Weisskopf, Jeanphilippe ; Isakov, Duan ; Ducret, Romain ; Eugster, Nicolas. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:2:p:335-345.

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2022Are retail investors really passive? Shareholder activism in the digital age. (2022). Wongchoti, Udomsak ; Kabir, Humayun M ; Hafeez, Bilal. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:49:y:2022:i:3-4:p:423-460.

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2022Organization capital effect in stock returns—The role of R&D. (2022). Lin, Chubin ; Chan, Konan ; Wang, Yanzhi. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:49:y:2022:i:7-8:p:1237-1263.

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2022Stock Market and No?Dividend Stocks. (2022). Basak, Suleyman ; Atmaz, Adem. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:1:p:545-599.

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2022Volatility Expectations and Returns. (2022). Muir, Tyler ; Lochstoer, Lars A. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:1055-1096.

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2022Long?Run Risk: Is It There?. (2022). Matthies, Ben ; Liu, Yukun. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1587-1633.

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2022Factor Momentum and the Momentum Factor. (2022). Linnainmaa, Juhani T ; Ehsani, Sina. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1877-1919.

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2022Presidential Address: Corporate Finance and Reality. (2022). Graham, John R. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:4:p:1975-2049.

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2023International Yield Curves and Currency Puzzles. (2023). Creal, Drew ; Chernov, Mikhail. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:209-245.

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2023Principal Portfolios. (2023). Pedersen, Lasse Heje ; Malamud, Semyon ; Kelly, Bryan. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:347-387.

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2023Pricing 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.

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

Works by Ravi Jagannathan:

YearTitleTypeCited
2010Cross-Sectional Asset Pricing Tests In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article18
2002Generalized Method of Moments: Applications in Finance. In: Journal of Business & Economic Statistics.
[Citation analysis]		article23
2005Reforming the Bookbuilding Process for IPOs In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article12
1985 An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model. In: Journal of Finance.
[Full Text][Citation analysis]		article43
1993 On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. In: Journal of Finance.
[Full Text][Citation analysis]		article3674
1993On the relation between the expected value and the volatility of the nominal excess return on stocks.(1993) In: Staff Report.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3674		paper
1996 The Conditional CAPM and the Cross-Section of Expected Returns. In: Journal of Finance.
[Full Text][Citation analysis]		article865
1996The conditional CAPM and the cross-section of expected returns.(1996) In: Staff Report.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 865		paper
1997 Assessing Specification Errors in Stochastic Discount Factor Models. In: Journal of Finance.
[Full Text][Citation analysis]		article371
1994Assessing specification errors in stochastic discount factor models.(1994) In: Staff Report.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 371		paper
1994Assessing Specification Errors in Stochastic Discount Factor Models.(1994) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 371		paper
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