25
H index
45
i10 index
8120
Citations
Northwestern University | 25 H index 45 i10 index 8120 Citations RESEARCH PRODUCTION: 48 Articles 55 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Ravi Jagannathan. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Finance | 11 |
Quarterly Review | 4 |
Journal of Financial Economics | 4 |
The Journal of Business | 3 |
Journal of Financial Intermediation | 2 |
Review of Financial Studies | 2 |
Working Papers Series with more than one paper published | # docs |
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NBER Working Papers / National Bureau of Economic Research, Inc | 35 |
Staff Report / Federal Reserve Bank of Minneapolis | 9 |
Discussion Paper / Institute for Empirical Macroeconomics / Federal Reserve Bank of Minneapolis | 3 |
Year | Title of citing document | |
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2022 | A 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. Full description at Econpapers || Download paper | |
2022 | Expectations, 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. Full description at Econpapers || Download paper | |
2022 | Determinants of Stock Market Volatility in Africa. (2022). Uhunmwangho, Monday. In: African Journal of Economic Review. RePEc:ags:afjecr:320586. Full description at Econpapers || Download paper | |
2023 | Sensitivity 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. Full description at Econpapers || Download paper | |
2022 | Should we care about ECB inflation expectations?. (2022). Candelon, Bertrand ; Roccazzella, Francesco. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022004. Full description at Econpapers || Download paper | |
2022 | On 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. Full description at Econpapers || Download paper | |
2023 | Sampling 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. Full description at Econpapers || Download paper | |
2022 | Sharpe 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. Full description at Econpapers || Download paper | |
2022 | Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204. Full description at Econpapers || Download paper | |
2022 | High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477. Full description at Econpapers || Download paper | |
2022 | Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061. Full description at Econpapers || Download paper | |
2023 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper | |
2023 | Large Non-Stationary Noisy Covariance Matrices: A Cross-Validation Approach. (2020). , Vincent ; Vincent, ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2012.05757. Full description at Econpapers || Download paper | |
2022 | Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467. Full description at Econpapers || Download paper | |
2022 | Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673. Full description at Econpapers || Download paper | |
2023 | An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975. Full description at Econpapers || Download paper | |
2023 | A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208. Full description at Econpapers || Download paper | |
2022 | A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288. Full description at Econpapers || Download paper | |
2022 | Diversified reward-risk parity in portfolio construction. (2021). Kim, Young Shin ; Choi, Jae Hyung. In: Papers. RePEc:arx:papers:2106.09055. Full description at Econpapers || Download paper | |
2022 | Geometric insights into robust portfolio construction with gearing. (2021). Gebbie, Tim ; Dalmeyer, Lara. In: Papers. RePEc:arx:papers:2107.06194. Full description at Econpapers || Download paper | |
2022 | Deep Signature FBSDE Algorithm. (2021). Zhang, Zhaoyu ; Luo, Man ; Feng, QI. In: Papers. RePEc:arx:papers:2108.10504. Full description at Econpapers || Download paper | |
2022 | Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities. (2022). James, Nick. In: Papers. RePEc:arx:papers:2112.15321. Full description at Econpapers || Download paper | |
2022 | Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model. (2022). Ratnayake, Isuru ; Samaranayake, V A. In: Papers. RePEc:arx:papers:2202.03351. Full description at Econpapers || Download paper | |
2022 | On Solving Robust Log-Optimal Portfolio: A Supporting Hyperplane Approximation Approach. (2022). Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2202.03858. Full description at Econpapers || Download paper | |
2022 | Neural Generalised AutoRegressive Conditional Heteroskedasticity. (2022). Yin, Zexuan ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2202.11285. Full description at Econpapers || Download paper | |
2022 | Vulnerability-CoVaR: Investigating the Crypto-market. (2022). Okhrin, Ostap ; Singh, Abhay Kumar ; Waltz, Martin. In: Papers. RePEc:arx:papers:2203.10777. Full description at Econpapers || Download paper | |
2022 | Reducing overestimating and underestimating volatility via the augmented blending-ARCH model. (2022). Yi, Shao ; Lu, Jun. In: Papers. RePEc:arx:papers:2203.12456. Full description at Econpapers || Download paper | |
2022 | LoCoV: low dimension covariance voting algorithm for portfolio optimization. (2022). Popescu, Ionel ; Duan, Juntao. In: Papers. RePEc:arx:papers:2204.00204. Full description at Econpapers || Download paper | |
2022 | Variational Heteroscedastic Volatility Model. (2022). Barucca, Paolo ; Yin, Zexuan. In: Papers. RePEc:arx:papers:2204.05806. Full description at Econpapers || Download paper | |
2022 | Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943. Full description at Econpapers || Download paper | |
2022 | Misspecification and Weak Identification in Asset Pricing. (2022). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2206.13600. Full description at Econpapers || Download paper | |
2023 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2022 | Application 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. Full description at Econpapers || Download paper | |
2022 | A 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. Full description at Econpapers || Download paper | |
2022 | Estimating the Time-Varying Structures of the Fama-French Multi-Factor Models. (2022). Noda, Akihiko. In: Papers. RePEc:arx:papers:2208.01270. Full description at Econpapers || Download paper | |
2022 | Estimation of growth in fund models. (2022). Ruf, Johannes ; Koo, Hyeng Keun ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:2208.02573. Full description at Econpapers || Download paper | |
2022 | Estimation of Historical volatility and Allocation strategies using Variance Swaps. (2022). Fiorin, Lucio. In: Papers. RePEc:arx:papers:2208.03164. Full description at Econpapers || Download paper | |
2022 | Large Volatility Matrix Analysis Using Global and National Factor Models. (2022). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2208.12323. Full description at Econpapers || Download paper | |
2022 | Systemic Risk of Optioned Portfolios: Controllability and Optimization. (2022). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Papers. RePEc:arx:papers:2209.04685. Full description at Econpapers || Download paper | |
2022 | An Attention Free Long Short-Term Memory for Time Series Forecasting. (2022). de Villelongue, Ludovic ; Inzirillo, Hugo. In: Papers. RePEc:arx:papers:2209.09548. Full description at Econpapers || Download paper | |
2022 | The law of one price in mean-variance hedging. (2022). Czichowsky, Christoph ; Vcern, Alevs. In: Papers. RePEc:arx:papers:2210.15613. Full description at Econpapers || Download paper | |
2022 | Monetary Uncertainty as a Determinant of the Response of Stock Market to Macroeconomic News. (2022). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2212.04525. Full description at Econpapers || Download paper | |
2022 | Robustifying Markowitz. (2022). Zhivotovskiy, Nikita ; Petukhina, Alla ; Klochkov, Yegor ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2212.13996. Full description at Econpapers || Download paper | |
2023 | Bitcoin Does Not Hedge Inflation. (2023). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2301.10117. Full description at Econpapers || Download paper | |
2023 | Risk Budgeting Portfolios from Simulations. (2023). Targino, Rodrigo S ; Pesenti, Silvana M ; Paulo, Bernardo Freitas. In: Papers. RePEc:arx:papers:2302.01196. Full description at Econpapers || Download paper | |
2023 | Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747. Full description at Econpapers || Download paper | |
2023 | Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002. Full description at Econpapers || Download paper | |
2023 | Co-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. Full description at Econpapers || Download paper | |
2023 | Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2304.08902. Full description at Econpapers || Download paper | |
2023 | Large Global Volatility Matrix Analysis Based on Structural Information. (2023). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2305.01464. Full description at Econpapers || Download paper | |
2023 | Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488. Full description at Econpapers || Download paper | |
2023 | Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282. Full description at Econpapers || Download paper | |
2023 | Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation. (2023). Jain, Shashi ; Dutta, Sumanjay. In: Papers. RePEc:arx:papers:2305.11298. Full description at Econpapers || Download paper | |
2023 | Integrating Different Informations for Portfolio Selection. (2023). Wang, Shikun ; Zhu, Shushang ; Li, Duan ; Huang, YI. In: Papers. RePEc:arx:papers:2305.17881. Full description at Econpapers || Download paper | |
2023 | Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Gallo, Giampiero ; Palandri, Alessandro ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2305.20067. Full description at Econpapers || Download paper | |
2023 | Fast 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. Full description at Econpapers || Download paper | |
2023 | Weak (Proxy) Factors Robust Hansen-Jagannathan Distance For Linear Asset Pricing Models. (2023). Kong, Lingwei. In: Papers. RePEc:arx:papers:2307.14499. Full description at Econpapers || Download paper | |
2023 | The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Kontoyiannis, Ioannis ; Papageorgiou, Ioannis. In: Papers. RePEc:arx:papers:2308.00913. Full description at Econpapers || Download paper | |
2023 | Analysis of Optimal Portfolio Management Using Hierarchical Clustering. (2023). Panda, Kapil. In: Papers. RePEc:arx:papers:2308.11202. Full description at Econpapers || Download paper | |
2023 | Spatial 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. Full description at Econpapers || Download paper | |
2023 | Hedging Forecast Combinations With an Application to the Random Forest. (2023). Wolf, Michael ; Kozbur, Damian ; Beck, Elliot. In: Papers. RePEc:arx:papers:2308.15384. Full description at Econpapers || Download paper | |
2023 | Diffusion 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. Full description at Econpapers || Download paper | |
2023 | DeepVol: 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. Full description at Econpapers || Download paper | |
2022 | Exchange 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. Full description at Econpapers || Download paper | |
2023 | Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303. Full description at Econpapers || Download paper | |
2023 | Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309. Full description at Econpapers || Download paper | |
2022 | Asia-Pacific Islamic Stocks and Gold - A Markov-switching Copula Estimation. (2022). Nugroho, Bayu Adi. In: Asian Economics Letters. RePEc:ayb:jrnael:62. Full description at Econpapers || Download paper | |
2023 | COVID-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. Full description at Econpapers || Download paper | |
2022 | Do 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. Full description at Econpapers || Download paper | |
2022 | Ofertas 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. Full description at Econpapers || Download paper | |
2022 | SRISK: una medida de riesgo sistémico para la banca colombiana 2005-2021. (2022). Sanchez-Quinto, Camilo Eduardo. In: Borradores de Economia. RePEc:bdr:borrec:1207. Full description at Econpapers || Download paper | |
2022 | Macroeconomic 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. Full description at Econpapers || Download paper | |
2022 | Bank 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. Full description at Econpapers || Download paper | |
2022 | Emerging market bond flows and exchange rate returns. (2022). Valente, Giorgio ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:1042. Full description at Econpapers || Download paper | |
2023 | Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: BIS Working Papers. RePEc:bis:biswps:1068. Full description at Econpapers || Download paper | |
2022 | An 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. Full description at Econpapers || Download paper | |
2022 | Hamada’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. Full description at Econpapers || Download paper | |
2022 | A 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Tail 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. Full description at Econpapers || Download paper | |
2023 | Time?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. Full description at Econpapers || Download paper | |
2022 | Economic 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. Full description at Econpapers || Download paper | |
2022 | Disagreement 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. Full description at Econpapers || Download paper | |
2023 | Auctions 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. Full description at Econpapers || Download paper | |
2022 | Chasing 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. Full description at Econpapers || Download paper | |
2022 | Are 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. Full description at Econpapers || Download paper | |
2022 | Organization 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. Full description at Econpapers || Download paper | |
2022 | Stock 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. Full description at Econpapers || Download paper | |
2022 | Volatility 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. Full description at Econpapers || Download paper | |
2022 | Long?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. Full description at Econpapers || Download paper | |
2022 | Factor 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. Full description at Econpapers || Download paper | |
2022 | Presidential 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. Full description at Econpapers || Download paper | |
2023 | International 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. Full description at Econpapers || Download paper | |
2023 | Principal 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. Full description at Econpapers || Download paper | |
2023 | Pricing Currency Risks. (2023). Chernov, Mikhail ; Lochstoer, Lars ; Dahlquist, Magnus. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:693-730. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2010 | Cross-Sectional Asset Pricing Tests In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 18 |
2002 | Generalized Method of Moments: Applications in Finance. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 23 |
2005 | Reforming the Bookbuilding Process for IPOs In: Journal of Applied Corporate Finance. [Full Text][Citation analysis] | article | 12 |
1985 | An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model. In: Journal of Finance. [Full Text][Citation analysis] | article | 43 |
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] | article | 3674 |
1993 | On 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] | article | 865 |
1996 | The 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] | article | 371 |
1994 | Assessing specification errors in stochastic discount factor models.(1994) In: Staff Report. [Full Text][Citation analysis] This paper has another version. Agregated cites: 371 | paper | |
1994 | Assessing 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 | |
2003 | Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps In: Journal of Finance. [Full Text][Citation analysis] | article | 568 |
2002 | Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 568 | paper | |
2005 | The Stock Markets Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks In: Journal of Finance. [Full Text][Citation analysis] | article | 374 |
2001 | The 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 another version. Agregated cites: 374 | paper | |
2007 | Lazy Investors, Discretionary Consumption, and the Cross?Section of Stock Returns In: Journal of Finance. [Full Text][Citation analysis] | article | 98 |
2010 | Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation In: Journal of Finance. [Full Text][Citation analysis] | article | 108 |
2006 | Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 108 | paper | |
2019 | Dividend Dynamics, Learning, and Expected Stock Index Returns In: Journal of Finance. [Full Text][Citation analysis] | article | 13 |
2015 | Dividend Dynamics, Learning, and Expected Stock Index Returns.(2015) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2019 | Corrigendum for Dividend Dynamics, Learning, and Expected Stock Index Returns In: Journal of Finance. [Full Text][Citation analysis] | article | 13 |
2019 | A Note on “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps” In: Journal of Finance. [Full Text][Citation analysis] | article | 0 |
2009 | Avoiding the Next Crisis In: The Economists' Voice. [Full Text][Citation analysis] | article | 7 |
2014 | Momentum Trading, Return Chasing, and Predictable Crashes In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 17 |
2014 | Momentum Trading, Return Chasing and Predictable Crashes.(2014) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2014 | Momentum Trading, Return Chasing, and Predictable Crashes.(2014) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2002 | A direct test for the mean variance efficiency of a portfolio In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 41 |
1999 | Does product market competition reduce agency costs? In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 25 |
2000 | Does Product Market Competition Reduce Agency Costs?.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
2003 | An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices In: Journal of Econometrics. [Full Text][Citation analysis] | article | 42 |
2001 | An 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 another version. Agregated cites: 42 | paper | |
1994 | A contingent claim approach to performance evaluation In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 58 |
1993 | A contingent claim approach to performance evaluation.(1993) In: Staff Report. [Full Text][Citation analysis] This paper has another version. Agregated cites: 58 | paper | |
2012 | CAPM for estimating the cost of equity capital: Interpreting the empirical evidence In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 46 |
2009 | CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 46 | paper | |
2016 | Why do firms use high discount rates? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 33 |
1984 | Call options and the risk of underlying securities In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 27 |
1998 | Why 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] | article | 107 |
1997 | Why 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 another version. Agregated cites: 107 | paper | |
2013 | Causes 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] | article | 10 |
2015 | Share auctions of initial public offerings: Global evidence In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 22 |
1990 | Ex-day behavior of japanese stock prices: New insights from new methodology In: Journal of the Japanese and International Economies. [Full Text][Citation analysis] | article | 7 |
1990 | Ex-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 another version. Agregated cites: 7 | paper | |
1990 | Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology.(1990) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
1997 | Relationship 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] | paper | 60 |
1998 | Relationship 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 another version. Agregated cites: 60 | article | |
1990 | Implications of security market data for models of dynamic economies In: Discussion Paper / Institute for Empirical Macroeconomics. [Full Text][Citation analysis] | paper | 774 |
1990 | Implications of Security Market Data for Models of Dynamic Economies.(1990) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 774 | paper | |
1991 | Implications of Security Market Data for Models of Dynamic Economies..(1991) In: Journal of Political Economy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 774 | article | |
1990 | The simple analytics of commodity futures markets: do they stabilize prices? Do they raise welfare? In: Quarterly Review. [Full Text][Citation analysis] | article | 0 |
1995 | The CAPM debate In: Quarterly Review. [Full Text][Citation analysis] | article | 12 |
1996 | Why should older people invest less in stock than younger people? In: Quarterly Review. [Full Text][Citation analysis] | article | 71 |
2000 | The declining U.S. equity premium In: Quarterly Review. [Full Text][Citation analysis] | article | 69 |
2001 | The Declining U.S. Equity Premium.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 69 | paper | |
1987 | Seasonalities in security returns: the case of earnings announcements In: Staff Report. [Full Text][Citation analysis] | paper | 3 |
1993 | The CAPM is alive and well In: Staff Report. [Full Text][Citation analysis] | paper | 32 |
1994 | THE CAPM IS ALIVE AND WELL.(1994) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
1994 | Ex-dividend price behavior of common stocks In: Staff Report. [Full Text][Citation analysis] | paper | 60 |
1994 | Ex-dividend price behavior of common stocks.(1994) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 60 | paper | |
1994 | Ex-dividend Price Behavior of Common Stocks..(1994) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 60 | article | |
1996 | Econometric evaluation of asset pricing models In: Staff Report. [Full Text][Citation analysis] | paper | 8 |
2002 | Do We Need CAPM for Capital Budgeting? In: Financial Management. [Citation analysis] | article | 18 |
2002 | Do We Need CAPM for Capital Budgeting?.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
1974 | A Sequential Algorithm for a Class of Programming Problems with Nonlinear Constraints In: Management Science. [Full Text][Citation analysis] | article | 0 |
1978 | A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem In: Management Science. [Full Text][Citation analysis] | article | 1 |
1979 | Erratum to A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem In: Management Science. [Full Text][Citation analysis] | article | 0 |
1985 | Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models In: Management Science. [Full Text][Citation analysis] | article | 7 |
1985 | An Algorithm for a Class of Nonconvex Programming Problems with Nonlinear Fractional Objectives In: Management Science. [Full Text][Citation analysis] | article | 2 |
1987 | Note---Response In: Management Science. [Full Text][Citation analysis] | article | 0 |
2009 | Jackknife Estimator for Tracking Error Variance of Optimal Portfolios In: Management Science. [Full Text][Citation analysis] | article | 19 |
2012 | Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns In: Management Science. [Full Text][Citation analysis] | article | 10 |
2004 | A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1 In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2005 | Consumption Risk and the Cost of Equity Capital In: NBER Working Papers. [Full Text][Citation analysis] | paper | 7 |
2006 | Why Do IPO Auctions Fail? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 18 |
2007 | When Does a Mutual Funds Trade Reveal its Skill? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | Price Momentum In Stocks: Insights From Victorian Age Data In: NBER Working Papers. [Full Text][Citation analysis] | paper | 11 |
2008 | Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2009 | Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom not the Disease! In: NBER Working Papers. [Full Text][Citation analysis] | paper | 7 |
2009 | Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 13 |
2010 | Why Dont Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
2011 | The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data In: NBER Working Papers. [Full Text][Citation analysis] | paper | 9 |
2011 | Price Dividend Ratio Factors : Proxies for Long Run Risk In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
2015 | Price-Dividend Ratio Factor Proxies for Long-Run Risks.(2015) In: The Review of Asset Pricing Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2012 | Tail Risk in Momentum Strategy Returns In: NBER Working Papers. [Full Text][Citation analysis] | paper | 31 |
2012 | Building Castles in the Air: Evidence from Industry IPO Waves In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Growth Expectations, Dividend Yields, and Future Stock Returns In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2017 | Environmental, Social, and Governance Criteria: Why Investors are Paying Attention In: NBER Working Papers. [Full Text][Citation analysis] | paper | 9 |
2017 | Stock Price Crashes: Role of Slow-Moving Capital In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | On Frequent Batch Auctions for Stocks In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2020 | Return to Venture Capital in the Aggregate In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | A Return Based Measure of Firm Quality In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Price Destabilizing Speculation: The Role of Strategic Limit Orders In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Franchise Value, Intangibles, and Tobin’s Q In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
1999 | Valuing the Reload Features of Executive Stock Options In: NBER Working Papers. [Full Text][Citation analysis] | paper | 12 |
2001 | Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods In: NBER Working Papers. [Full Text][Citation analysis] | paper | 14 |
2002 | Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
2005 | UNDERSTANDING MUTUAL FUND AND HEDGE FUND STYLES USING RETURN-BASED STYLE ANALYSIS.(2005) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | chapter | |
1984 | Banking Panics In: Discussion Papers. [Full Text][Citation analysis] | paper | 50 |
1989 | Effects of Insider Trading Disclosures on Speculative Activity and Future Prices. In: Economic Inquiry. [Citation analysis] | article | 2 |
1990 | Price Stability and Futures Trading in Commodities In: The Quarterly Journal of Economics. [Full Text][Citation analysis] | article | 12 |
2011 | Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds In: Review of Financial Studies. [Full Text][Citation analysis] | article | 24 |
1986 | Assessing the Market Timing Performance of Managed Portfolios. In: The Journal of Business. [Full Text][Citation analysis] | article | 100 |
1986 | Correcting for Heteroscedasticity in Tests for Market Timing Ability. In: The Journal of Business. [Full Text][Citation analysis] | article | 11 |
2021 | Recovery from fast crashes: Role of mutual funds In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
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