Ravi Jagannathan : Citation Profile

Northwestern University

26

H index

46

i10 index

8742

Citations

RESEARCH PRODUCTION:

51

Articles

59

Papers

1

Chapters

RESEARCH ACTIVITY:

   51 years (1974 - 2025). See details.
   Cites by year: 171
   Journals where Ravi Jagannathan has often published
   Relations with other researchers
   Recent citing documents: 382.    Total self citations: 38 (0.43 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pja91
   Updated: 2025-05-17    RAS profile: 2024-04-05    
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Relations with other researchers

Works with:

Pelizzon, Loriana (2)

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)

GUPTA, RANGAN (36)

Robotti, Cesare (36)

Chang, Chia-Lin (34)

Engle, Robert (29)

Bollerslev, Tim (29)

Bekaert, Geert (28)

zhang, xiaoyan (28)

Guidolin, Massimo (27)

Ang, Andrew (27)

Teräsvirta, Timo (27)

Cites to:

French, Kenneth (33)

Campbell, John (32)

Fama, Eugene (31)

Hansen, Lars (27)

Shleifer, Andrei (26)

Titman, Sheridan (21)

merton, robert (18)

Grinblatt, Mark (17)

Shanken, Jay (17)

Pedersen, Lasse (17)

Sherman, Ann (15)

Main data

Where Ravi Jagannathan has published?

Journals with more than one article published# docs
Journal of Finance12
Quarterly Review4
Journal of Financial Economics4
The Journal of Business3
The Review of Financial Studies2
Journal of Financial Intermediation2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc39
Staff Report / Federal Reserve Bank of Minneapolis9
Discussion Paper / Institute for Empirical Macroeconomics / Federal Reserve Bank of Minneapolis3

Recent works citing Ravi Jagannathan (2025 and 2024)

YearTitle of citing document
2024Modeling Asymmetric Effects of Exchange Rate Fluctuations on Agricultural Trade Balance: Evidence from Iran and Iraq. (2024). Falsafian, Azadeh ; Hamad, Mudhafar Ahmed. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:348977.

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2024Dynamic Connectedness between Crypto and Conventional Financial Assets: Novel Findings from Russian Financial Market. (2024). Ullah, Mirzat. In: Journal of Applied Economic Research. RePEc:aiy:jnjaer:v:23:y:2024:i:1:p:110-135.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

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2024UK Business Investment: Economists, Managers, Financiers An Integrated Framework to Analyse the Past and Underpin Prospects. (2024). Mann, Catherine L. In: Insight Papers. RePEc:anj:ppaper:036.

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2024Adversarial Estimation of Riesz Representers. (2024). Newey, Whitney ; Chernozhukov, Victor ; Syrgkanis, Vasilis ; Singh, Rahul. In: Papers. RePEc:arx:papers:2101.00009.

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2024Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef. In: Papers. RePEc:arx:papers:2104.04264.

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2024An Empirical Assessment of Characteristics and Optimal Portfolios. (2024). Zhang, Huacheng ; Lamoureux, Christopher G. In: Papers. RePEc:arx:papers:2104.12975.

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2024Geometric insights into robust portfolio construction. (2024). Gebbie, Tim ; Dalmeyer, Lara. In: Papers. RePEc:arx:papers:2107.06194.

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2024Keep it Tighter -- A Story on Analytical Mean Embeddings. (2024). Szab, Zolt'An ; Chamakh, Linda. In: Papers. RePEc:arx:papers:2110.09516.

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943.

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2024). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

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2024Time Instability of the Fama-French Multifactor Models: An International Evidence. (2024). Noda, Akihiko. In: Papers. RePEc:arx:papers:2208.01270.

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2024The law of one price in quadratic hedging and mean-variance portfolio selection. (2024). Černý, Aleš ; Czichowsky, Christoph ; Vcern, Alevs. In: Papers. RePEc:arx:papers:2210.15613.

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2024Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2024). Lu, Yutong ; Cucuringu, Mihai ; Reinert, Gesine. In: Papers. RePEc:arx:papers:2302.09382.

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2024Large Global Volatility Matrix Analysis Based on Observation Structural Information. (2024). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2305.01464.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2025Global Neural Networks and The Data Scaling Effect in Financial Time Series Forecasting. (2025). Kohn, Robert ; Gerlach, Richard ; Tran, Minh-Ngoc ; Liu, Chen ; Wang, Chao. In: Papers. RePEc:arx:papers:2309.02072.

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2025Uses of Sub-sample Estimates to Reduce Errors in Stochastic Optimization Models. (2025). Birge, John. In: Papers. RePEc:arx:papers:2310.07052.

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2025Regressions under Adverse Conditions. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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2024Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049.

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2024Modelling and Predicting the Conditional Variance of Bitcoin Daily Returns: Comparsion of Markov Switching GARCH and SV Models. (2024). Younas, Zahid I ; Jeleskovic, Vahidin ; Koch, Dennis. In: Papers. RePEc:arx:papers:2401.03393.

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2024Markowitz Portfolio Construction at Seventy. (2024). Schmelzer, Thomas ; Boyd, Stephen ; Kahn, Ronald ; Schiele, Philipp ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2401.05080.

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2024Reference-dependent asset pricing with a stochastic consumption-dividend ratio. (2024). Yang, Yuting ; He, Xuedong ; Strub, Moris Simon ; de Gennaro, Luca. In: Papers. RePEc:arx:papers:2401.12856.

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2024From GARCH to Neural Network for Volatility Forecast. (2024). Hung, Wilfred Siu ; Zhao, Pengfei ; Zhu, Haoren ; Lee, Dik Lun. In: Papers. RePEc:arx:papers:2402.06642.

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2024Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs. (2024). Tondapu, Narayan. In: Papers. RePEc:arx:papers:2402.07435.

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2024Semi-parametric financial risk forecasting incorporating multiple realized measures. (2024). Gerlach, Richard ; Iroshani, Rangika H ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2402.09985.

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2024The impact of Facebook-Cambridge Analytica data scandal on the USA tech stock market: An event study based on clustering method. (2024). Wan, Yinan ; Jeleskovic, Vahidin. In: Papers. RePEc:arx:papers:2402.14206.

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2024Navigating Complexity: Constrained Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints. (2024). Caner, Mehmet ; Li, Yingying ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2402.17523.

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2024The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model. (2024). Zhou, Wei-Xing ; Dai, Yun-Shi. In: Papers. RePEc:arx:papers:2404.01641.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

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2024Modelling and Forecasting Energy Market Volatility Using GARCH and Machine Learning Approach. (2024). Chung, Seulki. In: Papers. RePEc:arx:papers:2405.19849.

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2024Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2024Dynamic Asset Allocation with Asset-Specific Regime Forecasts. (2024). Shu, Yizhan ; Mulvey, John M ; Yu, Chenyu. In: Papers. RePEc:arx:papers:2406.09578.

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2024Covariance Matrix Analysis for Optimal Portfolio Selection. (2024). Shen, Lim Hao. In: Papers. RePEc:arx:papers:2407.08748.

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2024Regularizing stock return covariance matrices via multiple testing of correlations. (2024). Luger, Richard. In: Papers. RePEc:arx:papers:2407.09696.

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2024Is the difference between deep hedging and delta hedging a statistical arbitrage?. (2024). Franccois, Pascal ; Gauthier, Genevieve ; Fr'ed'eric Godin, ; Octavio, Carlos. In: Papers. RePEc:arx:papers:2407.14736.

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2024The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models. (2024). Ślepaczuk, Robert ; Roszyk, Natalia. In: Papers. RePEc:arx:papers:2407.16780.

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2024NeuralBeta: Estimating Beta Using Deep Learning. (2024). Liu, Yuxin ; Lin, Jimin ; Gopal, Achintya. In: Papers. RePEc:arx:papers:2408.01387.

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2024The continuous-time limit of quasi score-driven volatility models. (2024). He, Ping ; Wu, Yinhao. In: Papers. RePEc:arx:papers:2409.14734.

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2024Consistent Estimation of the High-Dimensional Efficient Frontier. (2024). Parolya, Nestor ; Hautsch, Nikolaus ; Okhrin, Yarema ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2409.15103.

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2024Uniform price auctions with pre-announced revenue targets: Evidence from Chinas SEOs. (2024). Pourkhanali, Armin ; Khezr, Peyman ; Gao, Shenghao. In: Papers. RePEc:arx:papers:2410.00063.

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2024Shocks-adaptive Robust Minimum Variance Portfolio for a Large Universe of Assets. (2024). Yang, Yanrong ; Wu, Ruike ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2410.01826.

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2024Double Descent in Portfolio Optimization: Dance between Theoretical Sharpe Ratio and Estimation Accuracy. (2024). Zhang, Terry ; Yang, Yanrong ; Lu, Yonghe. In: Papers. RePEc:arx:papers:2411.18830.

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2025Advancing Portfolio Optimization: Adaptive Minimum-Variance Portfolios and Minimum Risk Rate Frameworks. (2025). Rachev, Svetlozar T ; Jaffri, Ali ; Shirvani, Abootaleb ; Jha, Ayush ; Fabozzi, Frank J. In: Papers. RePEc:arx:papers:2501.15793.

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2025Growing the Efficient Frontier on Panel Trees. (2025). Feng, Guanhao ; He, Jingyu ; Cong, Lin William. In: Papers. RePEc:arx:papers:2501.16730.

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2025Decision-informed Neural Networks with Large Language Model Integration for Portfolio Optimization. (2025). Lee, Yongjae ; Zohren, Stefan ; Kong, Yaxuan ; Hwang, Yoontae. In: Papers. RePEc:arx:papers:2502.00828.

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2025Improving volatility forecasts of the Nikkei 225 stock index using a realized EGARCH model with realized and realized range-based volatilities. (2025). Chang, Yaming. In: Papers. RePEc:arx:papers:2502.02695.

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2025The Uncertainty of Machine Learning Predictions in Asset Pricing. (2025). Neuhierl, Andreas ; Ma, Xinjie ; Liao, Yuan ; Schilling, Linda. In: Papers. RePEc:arx:papers:2503.00549.

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2025Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851.

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2025Assessing Uncertainty in Stock Returns: A Gaussian Mixture Distribution-Based Method. (2025). Wang, Yanlong ; Xu, Jian ; Huang, Shao-Lun ; Sun, Danny Dongning ; Zhang, Xiao-Ping. In: Papers. RePEc:arx:papers:2503.06929.

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2025From Deep Learning to LLMs: A survey of AI in Quantitative Investment. (2025). Guo, Jian ; Cao, Bokai ; Wang, Saizhuo ; Lin, Xinyi ; Zhang, Haohan ; Wu, Xiaojun ; Ni, Lionel M. In: Papers. RePEc:arx:papers:2503.21422.

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2025Asymmetry in Distributions of Accumulated Gains and Losses in Stock Returns. (2025). Serota, R A ; Farahani, Hamed. In: Papers. RePEc:arx:papers:2503.24241.

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2025How Election Shocks Move Markets: Evidence from Sectoral Stock Prices. (2025). Amburgey, Aaron J. In: Papers. RePEc:arx:papers:2504.02731.

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2025Deep Reinforcement Learning Algorithms for Option Hedging. (2025). Kosseim, Leila ; Fr'ed'eric Godin, ; Neagu, Andrei. In: Papers. RePEc:arx:papers:2504.05521.

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2025Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure. (2025). Zhang, Ruixun ; Xu, Yumin ; Chen, Minshuo. In: Papers. RePEc:arx:papers:2504.06566.

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2025Robust Social Planning. (2025). Mudekereza, Florian. In: Papers. RePEc:arx:papers:2504.07401.

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2025Integrated GARCH-GRU in Financial Volatility Forecasting. (2025). Cui, Zhenyu ; Yang, Steve ; Wei, Jingyi. In: Papers. RePEc:arx:papers:2504.09380.

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2025Bridging Econometrics and AI: VaR Estimation via Reinforcement Learning and GARCH Models. (2025). SADEFO KAMDEM, Jules ; Benhmad, Franccois ; Pokou, Fredy. In: Papers. RePEc:arx:papers:2504.16635.

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2024A Study of Hierarchical Risk Parity in Portfolio Construction. (2024). Prybutok, Victor R ; Palit, Debjani. In: Journal of Economic Analysis. RePEc:bba:j00001:v:3:y:2024:i:3:p:106-125:d:218.

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2024A Study on the Performance of Japanese ETFs. (2024). Rompotis, Gerasimos G. In: Economic Analysis Letters. RePEc:bba:j00004:v:3:y:2024:i:3:p:46-63:d:359.

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2024Analyzing the Day of the Week Effect: A Study on Stock Market Returns. (2024). Adam, Norashikin ; Mohd, Msiti Musliha ; Yussof, Khairunnisa ; Yacob, Norzahidah ; Wan, Wan Rasyidah. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:8:y:2024:i:9:p:1843-1853.

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2025Comparing the systemic risk of Italian insurers and banks. (2025). Bianchi, Michele Leonardo ; Pallante, Federica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_922_25.

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2024Negative Externalities of Regulation: Identity‐relevant Information in Mandatory Short‐selling Disclosures. (2024). Madelaine, Alexandre. In: Abacus. RePEc:bla:abacus:v:60:y:2024:i:4:p:892-934.

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2024Transitory and permanent shock transmissions between real estate investment trusts and other assets: Evidence from time‐frequency decomposition and machine learning. (2024). Wang, Jinghua ; Ngene, Geoffrey M. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:539-573.

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2024Higher‐order moments and asset pricing in the Australian stock market. (2024). Ahadzie, Richard Mawulawoe ; Jeyasreedharan, Nagaratnam. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:75-128.

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2024Can corporate environmental, social, and governance performance influence foreign institutional investors to hold shares? Evidence from China. (2024). Tang, Sha ; Feng, Juzhang ; Zhong, Junhao. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:33:y:2024:i:5:p:4310-4330.

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2024Where does ex‐dividend trading occur: An examination of trading venues around dividends. (2024). van Ness, Robert ; Fuller, Kathleen P ; Cox, Justin. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:1:p:31-55.

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2024Asset Pricing and Machine Learning: A critical review. (2024). Bagnara, Matteo. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:1:p:27-56.

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2024Foreign Exchange Fixings and Returns around the Clock. (2024). Mueller, Philippe ; Whelan, Paul ; Krohn, Ingomar. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:1:p:541-578.

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2024Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect. (2024). Caballero, Ricardo ; Simsek, Alp. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:1719-1753.

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2024A Horizon‐Based Decomposition of Mutual Fund Value Added Using Transactions. (2024). Han, Jungsuk ; Xing, Ran ; Ruan, Hongxun ; van Binsbergen, Jules. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:1831-1882.

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2024Modeling Conditional Factor Risk Premia Implied by Index Option Returns. (2024). Orowski, Piotr ; Jacobs, Kris ; Fournier, Mathieu. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:2289-2338.

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2024A Multifactor Perspective on Volatility‐Managed Portfolios. (2024). Uppal, Raman ; Martnutrera, Alberto ; Demiguel, Victor. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:6:p:3859-3891.

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2024Putting the Price in Asset Pricing. (2024). Polk, Christopher ; Cho, Thummim. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:6:p:3943-3984.

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2024Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility. (2024). Yu, Jin ; Liu, Guangying ; Hao, Hongxia ; Lin, Jin Guan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:613-638.

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2024Preferences for dividends and stock returns around the world. (2024). XIE, Jing ; Zhong, Yuxiang ; Hameed, Allaudeen. In: Working Papers. RePEc:boa:wpaper:202405.

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2024EVALUATING THE PERFORMANCE OF GARCH FAMILY MODELS IN ESTIMATING INVESTMENT RISK AND VOLATILITY: A COMPARATIVE ANALYSIS OF SENSEX AND NIFTY INDEX IN INDIA. (2024). Roxana-Mihaela, Nioata ; Alamgir, MD ; Tudora, Cirjan Nadia ; Ramona, Birau ; Meher, Bharat Kumar ; Anand, Abhishek ; Kumar, Santosh. In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2024:v:3:p:222-238.

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2024Portfolio management with big data. (2024). Sentana, Enrique ; Pearanda, Francisco. In: Working Papers. RePEc:cmf:wpaper:wp2024_2411.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2024024.

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2025The Theoretical Properties of Novel Risk-Based Asset Allocation Strategies using Portfolio Volatility and Kurtosis. (2025). Riso, Luigi ; Braga, Maria Debora ; Zoia, Maria Grazia. In: DISCE - Working Papers del Dipartimento di Politica Economica. RePEc:ctc:serie5:dipe0044.

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2024Nonparametric portfolio efficiency measurement with higher moments. (2024). Kruger, Jens J. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:144371.

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2025Predictability of Korean mutual fund performance. (2025). Gonzlez, Laura Molero ; Vidal-Garca, Javier ; Trinidad-Segovia, Juan E. In: Economics Bulletin. RePEc:ebl:ecbull:eb-24-00447.

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2024Estimating the Impact of Oil Price Volatility on the Ecuadorian Economy: A MIDAS Approach. (2024). Rodrguez-Bustos, Andrea Johanna ; Bajaa-Villagomez, Yanina Shegia ; Camacho-Villagomez, Freddy Ronalde. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-04-34.

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2024Asymmetric beta-binomial GARCH models for time series with bounded support. (2024). Zhang, Rui. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:470:y:2024:i:c:s0096300324000286.

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2024Risks and risk premia in the US Treasury market. (2024). Sarno, Lucio ; Li, Junye ; Zinna, Gabriele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s016518892300194x.

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2024Estimation of expected return integrating real-time asset prices implied information and historical data. (2024). Li, Zhongfei ; Huang, YI ; Zhu, Shushang ; Wang, Shikun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:167:y:2024:i:c:s0165188924001234.

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2024Quantile interdependence and network connectedness between Chinas green financial and energy markets. (2024). Zhou, Yueyi ; Gao, Yang ; Zhao, Longfeng. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:81:y:2024:i:c:p:1148-1177.

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2024Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach. (2024). Bosupeng, Mpho ; Naranpanawa, Athula. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323004042.

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2024Benefits of diversification in EU capital markets: Evidence from stock portfolios. (2024). Gossé, Jean-Baptiste ; Gosse, Jean-Baptiste ; Jehle, Camille. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000816.

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2024The return on everything and the business cycle in production economies. (2024). Fehrle, Daniel ; Heiberger, Christopher. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324000981.

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2024Decoding market reactions: The certification role of EU-wide stress tests. (2024). Ongena, Steven ; Marques, Aurea ; Durrani, Agha. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001858.

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2025A long short-term memory enhanced realized conditional heteroskedasticity model. (2025). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Economic Modelling. RePEc:eee:ecmode:v:142:y:2025:i:c:s0264999324002797.

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2024Does 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.

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2024Volatility spillovers across the spot and futures oil markets after news announcements. (2024). Wohar, Mark ; Gkillas, Konstantinos ; Apostolakis, George N ; Floros, Christos. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001250.

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2024Improving volatility forecasts: Evidence from range-based models. (2024). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001420.

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2024Dynamic robust portfolio selection under market distress. (2024). Olmo, Jose ; Jiang, Yifu ; Atwi, Majed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001602.

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2024The valuation of real options for risky barrier to entry with hybrid stochastic and local volatility and stochastic investment costs. (2024). Shin, Yong Hyun ; Yoon, Ji-Hun ; Kim, Donghyun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300181x.

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2024How macroeconomic conditions affect systemic risk in the short and long-run?. (2024). Kurter, Zeynep O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082400007x.

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2024Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators. (2024). de Khoo, Zhi ; Koh, You Beng ; Ng, Kooi Huat. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000378.

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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]		article26
2005Reforming the Bookbuilding Process for IPOs In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article13
1985 An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model. In: Journal of Finance.
[Full Text][Citation analysis]		article44
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]		article4027
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 nother version. Agregated cites: 4027		paper
1996 The Conditional CAPM and the Cross-Section of Expected Returns. In: Journal of Finance.
[Full Text][Citation analysis]		article885
1996The conditional CAPM and the cross-section of expected returns.(1996) In: Staff Report.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 885		paper
1997 Assessing Specification Errors in Stochastic Discount Factor Models. In: Journal of Finance.
[Full Text][Citation analysis]		article379
1994Assessing specification errors in stochastic discount factor models.(1994) In: Staff Report.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 379		paper
1994Assessing Specification Errors in Stochastic Discount Factor Models.(1994) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 379		paper
2002Empirical Evaluation of Asset‐Pricing Models: A Comparison of the SDF and Beta Methods In: Journal of Finance.
[Full Text][Citation analysis]		article50
2001Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		paper
2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps In: Journal of Finance.
[Full Text][Citation analysis]		article651
2002Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 651		paper
2005The Stock Markets Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks In: Journal of Finance.
[Full Text][Citation analysis]		article397
2001The Stock Markets Reaction to Unemployment News: Why Bad News is Usually Good for Stocks.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 397		paper
2007Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns In: Journal of Finance.
[Full Text][Citation analysis]		article108
2010Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation In: Journal of Finance.
[Full Text][Citation analysis]		article112
2006Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 112		paper
2019Dividend Dynamics, Learning, and Expected Stock Index Returns In: Journal of Finance.
[Full Text][Citation analysis]		article18
2015Dividend Dynamics, Learning, and Expected Stock Index Returns.(2015) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		paper
2019Corrigendum for Dividend Dynamics, Learning, and Expected Stock Index Returns In: Journal of Finance.
[Full Text][Citation analysis]		article18
2019A Note on “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps” In: Journal of Finance.
[Full Text][Citation analysis]		article0
2009Avoiding the Next Crisis In: The Economists' Voice.
[Full Text][Citation analysis]		article7
2014Momentum Trading, Return Chasing, and Predictable Crashes In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper20
2014Momentum Trading, Return Chasing and Predictable Crashes.(2014) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2014Momentum Trading, Return Chasing, and Predictable Crashes.(2014) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2002A direct test for the mean variance efficiency of a portfolio In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article41
1999Does product market competition reduce agency costs? In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article26
2000Does Product Market Competition Reduce Agency Costs?.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2003An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices In: Journal of Econometrics.
[Full Text][Citation analysis]		article44
2001An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 44		paper
1994A contingent claim approach to performance evaluation In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article59
1993A contingent claim approach to performance evaluation.(1993) In: Staff Report.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 59		paper
2022Recovery from fast crashes: Role of mutual funds In: Journal of Financial Markets.
[Full Text][Citation analysis]		article1
2021Recovery from fast crashes: Role of mutual funds.(2021) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2012CAPM for estimating the cost of equity capital: Interpreting the empirical evidence In: Journal of Financial Economics.
[Full Text][Citation analysis]		article49
2009CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		paper
2016Why do firms use high discount rates? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article38
1984Call options and the risk of underlying securities In: Journal of Financial Economics.
[Full Text][Citation analysis]		article27
1998Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes In: Journal of Financial Economics.
[Full Text][Citation analysis]		article111
1997Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes.(1997) In: Staff Report.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 111		paper
2013Causes of the great recession of 2007–2009: The financial crisis was the symptom not the disease! In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article10
2015Share auctions of initial public offerings: Global evidence In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article25
1990Ex-day behavior of japanese stock prices: New insights from new methodology In: Journal of the Japanese and International Economies.
[Full Text][Citation analysis]		article7
1990Ex-day behavior of Japanese stock prices: new insights from new methodology.(1990) In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
1990Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology.(1990) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
1997Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]		paper59
1998Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market..(1998) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 59		article
1990Implications of security market data for models of dynamic economies In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]		paper797
1990Implications of Security Market Data for Models of Dynamic Economies.(1990) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 797		paper
1991Implications of Security Market Data for Models of Dynamic Economies..(1991) In: Journal of Political Economy.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 797		article
1990The simple analytics of commodity futures markets: do they stabilize prices? Do they raise welfare? In: Quarterly Review.
[Full Text][Citation analysis]		article0
1995The CAPM debate In: Quarterly Review.
[Full Text][Citation analysis]		article12
1996Why should older people invest less in stock than younger people? In: Quarterly Review.
[Full Text][Citation analysis]		article72
2000The declining U.S. equity premium In: Quarterly Review.
[Full Text][Citation analysis]		article69
2001The Declining U.S. Equity Premium.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 69		paper
1987Seasonalities in security returns: the case of earnings announcements In: Staff Report.
[Full Text][Citation analysis]		paper3
1993The CAPM is alive and well In: Staff Report.
[Full Text][Citation analysis]		paper32
1994THE CAPM IS ALIVE AND WELL.(1994) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		paper
1994Ex-dividend price behavior of common stocks In: Staff Report.
[Full Text][Citation analysis]		paper63
1994Ex-dividend price behavior of common stocks.(1994) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 63		paper
1994Ex-dividend Price Behavior of Common Stocks..(1994) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 63		article
1996Econometric evaluation of asset pricing models In: Staff Report.
[Full Text][Citation analysis]		paper8
2002Do We Need CAPM for Capital Budgeting? In: Financial Management.
[Citation analysis]		article18
2002Do We Need CAPM for Capital Budgeting?.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		paper
1974A Sequential Algorithm for a Class of Programming Problems with Nonlinear Constraints In: Management Science.
[Full Text][Citation analysis]		article0
1978A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem In: Management Science.
[Full Text][Citation analysis]		article1
1979Erratum to A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem In: Management Science.
[Full Text][Citation analysis]		article0
1985Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models In: Management Science.
[Full Text][Citation analysis]		article7
1985An Algorithm for a Class of Nonconvex Programming Problems with Nonlinear Fractional Objectives In: Management Science.
[Full Text][Citation analysis]		article2
1987Note---Response In: Management Science.
[Full Text][Citation analysis]		article0
2009Jackknife Estimator for Tracking Error Variance of Optimal Portfolios In: Management Science.
[Full Text][Citation analysis]		article19
2012Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns In: Management Science.
[Full Text][Citation analysis]		article11
2004A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1 In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2005Consumption Risk and the Cost of Equity Capital In: NBER Working Papers.
[Full Text][Citation analysis]		paper7
2006Why Do IPO Auctions Fail? In: NBER Working Papers.
[Full Text][Citation analysis]		paper18
2007When Does a Mutual Funds Trade Reveal its Skill? In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2008Price Momentum In Stocks: Insights From Victorian Age Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper11
2008Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2009Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom not the Disease! In: NBER Working Papers.
[Full Text][Citation analysis]		paper7
2009Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper13
2010Why Dont Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
2011The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper9
2011Price Dividend Ratio Factors : Proxies for Long Run Risk In: NBER Working Papers.
[Full Text][Citation analysis]		paper6
2015Price-Dividend Ratio Factor Proxies for Long-Run Risks.(2015) In: The Review of Asset Pricing Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2012Tail Risk in Momentum Strategy Returns In: NBER Working Papers.
[Full Text][Citation analysis]		paper31
2012Building Castles in the Air: Evidence from Industry IPO Waves In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2014Growth Expectations, Dividend Yields, and Future Stock Returns In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
2017Environmental, Social, and Governance Criteria: Why Investors are Paying Attention In: NBER Working Papers.
[Full Text][Citation analysis]		paper13
2017Stock Price Crashes: Role of Slow-Moving Capital In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2019On Frequent Batch Auctions for Stocks In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2022On Frequent Batch Auctions for Stocks*.(2022) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2020Return to Venture Capital in the Aggregate In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2020A Return Based Measure of Firm Quality In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2023Price Destabilizing Speculation: The Role of Strategic Limit Orders In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2023A Simple Approach to Valuing Intangibles and Rents In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2023An Intangibles-Adjusted Profitability Factor In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2023Day Traders, Noise, and Cost of Immediacy In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2024Globalization and Profitability of US Firms: The Role of Intangibles In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2025Dirty Business: Transition Risk of Factor Portfolios In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
1999Valuing the Reload Features of Executive Stock Options In: NBER Working Papers.
[Full Text][Citation analysis]		paper12
2002Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2005UNDERSTANDING MUTUAL FUND AND HEDGE FUND STYLES USING RETURN-BASED STYLE ANALYSIS.(2005) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		chapter
1984Banking Panics In: Discussion Papers.
[Full Text][Citation analysis]		paper49
1989Effects of Insider Trading Disclosures on Speculative Activity and Future Prices. In: Economic Inquiry.
[Citation analysis]		article2
1990Price Stability and Futures Trading in Commodities In: The Quarterly Journal of Economics.
[Full Text][Citation analysis]		article12
2011Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds In: The Review of Financial Studies.
[Full Text][Citation analysis]		article28
1986Assessing the Market Timing Performance of Managed Portfolios. In: The Journal of Business.
[Full Text][Citation analysis]		article105
1986Correcting for Heteroscedasticity in Tests for Market Timing Ability. In: The Journal of Business.
[Full Text][Citation analysis]		article14

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