Stephen F. LeRoy : Citation Profile


Are you Stephen F. LeRoy?

University of California-Santa Barbara (UCSB)

17

H index

23

i10 index

1760

Citations

RESEARCH PRODUCTION:

57

Articles

19

Papers

2

Books

RESEARCH ACTIVITY:

   49 years (1973 - 2022). See details.
   Cites by year: 35
   Journals where Stephen F. LeRoy has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 9 (0.51 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple714
   Updated: 2024-04-18    RAS profile: 2022-07-18    
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Relations with other researchers


Works with:

Lansing, Kevin (2)

Singhania, Rish (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Stephen F. LeRoy.

Is cited by:

Shiller, Robert (23)

Lansing, Kevin (23)

Campbell, John (19)

Kilian, Lutz (12)

Zha, Tao (12)

Hoover, Kevin (12)

Leeper, Eric (11)

Werner, Jan (10)

Masih, Abul (10)

Ross, Stephen (10)

Ilomäki, Jukka (10)

Cites to:

Lansing, Kevin (11)

Shiller, Robert (9)

Campbell, John (7)

Shleifer, Andrei (7)

Willen, Paul (6)

Gerardi, Kristopher (6)

Cochrane, John (5)

Mankiw, N. Gregory (5)

West, Kenneth (4)

PUY, Damien (4)

Lee, Do (4)

Main data


Where Stephen F. LeRoy has published?


Journals with more than one article published# docs
American Economic Review6
FRBSF Economic Letter6
Economic Theory4
Journal of Finance4
The Journal of Business3
Economics Letters3
Economics Bulletin3
International Economic Review3
Economics and Philosophy2
Journal of Economic Theory2
Journal of Urban Economics2
The Review of Financial Studies2
Journal of Monetary Economics2
Contemporary Economics2

Working Papers Series with more than one paper published# docs
Working Paper Series / Federal Reserve Bank of San Francisco3
Special Studies Papers / Board of Governors of the Federal Reserve System (U.S.)3
University of California at Santa Barbara, Economics Working Paper Series / Department of Economics, UC Santa Barbara3
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)3

Recent works citing Stephen F. LeRoy (2024 and 2023)


YearTitle of citing document
2023The effect of overconfidence behaviour on stock market volatility in Belgium. (2023). Fossou, Ebi Georges ; Emmanuel, Koffi Mouroufie ; Oyibo, Paul Vivien ; Anzian, Kouame Marcel. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(636):y:2023:i:3(636):p:131-146.

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2023A parsimonious inverse Cox-Ingersoll-Ross process for financial price modeling. (2023). Sornette, Didier ; Lin, LI. In: Papers. RePEc:arx:papers:2302.11423.

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2023A Classical Model of Speculative Asset Price Dynamics. (2023). Smith, Vernon ; Inoua, Sabiou. In: Papers. RePEc:arx:papers:2307.00410.

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2023Access to transportation, residential segregation, and economic opportunity. (2023). Yesilirmak, Muharrem ; Yeilirmak, Muharrem ; Yilmaz, Kuzey. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:41:y:2023:i:1:p:103-127.

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2024The real side of stock market exuberance: bubbles, output and productivity at the industry level. (2024). Queiros, Francisco. In: Economica. RePEc:bla:econom:v:91:y:2024:i:361:p:268-291.

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2023.

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2023TEST OF ARBITRAGE PRICING THEORY ON STOCK INDICES: AN EMPIRICAL STUDY ON BIST100. (2023). Amadou, Cisse Boubacar ; Veli, Akel. In: Revista Economica. RePEc:blg:reveco:v:75:y:2023:i:1:p:7-18.

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2023The Impact of Covid-19 on Oil Market Returns: Has Market Efficiency Being Violated?. (2023). Phiri, Andrew ; Anyikwa, Izunna ; Moyo, Clement. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-01-16.

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2023A classical model of speculative asset price dynamics. (2023). Smith, Vernon ; Inoua, Sabiou M. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001022.

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2023Testing the martingale difference hypothesis in high dimension. (2023). Shao, Xiaofeng ; Jiang, Qing ; Chang, Jinyuan. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:972-1000.

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2023The macroeconomic effects of uncertainty and risk aversion shocks. (2023). Berthold, Brendan. In: European Economic Review. RePEc:eee:eecrev:v:154:y:2023:i:c:s0014292123000715.

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2023Contingent capital conversion under dual asset and equity jump–diffusions. (2023). Nejadmalayeri, Ali ; Li, Wei Ping ; Javadi, Siamak. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003149.

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2023Price discovery in carbon exchange traded fund markets. (2023). Suresh, Sheena Sara ; Naysary, Babak ; Shrestha, Keshab. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003307.

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2023Extrapolative asset pricing. (2023). Liu, Jun. In: Journal of Economic Theory. RePEc:eee:jetheo:v:210:y:2023:i:c:s0022053123000479.

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2023Price bubbles in the European natural gas market between 2011 and 2020. (2023). Kocaaslan, Ozge Kandemir ; Akcora, Begum. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006298.

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2023Micro-geographic property price and rent indices. (2023). Seidel, Tobias ; Heblich, Stephan ; Ahlfeldt, Gabriel M. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:98:y:2023:i:c:s0166046222000746.

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2023Extraction rights allocation with liquidity constraints. (2023). McConnell, Kenneth ; Holzer, Jorge. In: Resource and Energy Economics. RePEc:eee:resene:v:71:y:2023:i:c:s0928765522000628.

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2023Does competition exacerbate investment inefficiencies? Evidence from Japanese firms. (2023). Xu, BO ; Tinaikar, Surjit. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:35-53.

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2023Micro-geographic property price and rent indices. (2022). Seidel, Tobias ; Heblich, Stephan ; Ahlfeldt, Gabriel M. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:116649.

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2023.

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2023.

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2023Artificial Intelligence and the Economics of Decision-Making. (2023). Naudé, Wim. In: IZA Discussion Papers. RePEc:iza:izadps:dp16000.

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2023Long Term Expectations and Aggregate Fluctuations. (2023). Shleifer, Andrei ; O'Brien, Matthew ; la Porta, Rafael ; Gennaioli, Nicola ; Bordalo, Pedro. In: NBER Chapters. RePEc:nbr:nberch:14860.

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2023Introduction to the Special Issue in Memory of Thomas F. Cooley. (). Ohanian, Lee ; Karabarbounis, Loukas ; Guner, Nezih ; Greenwood, Jeremy. In: Review of Economic Dynamics. RePEc:red:issued:23-174.

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2023Causal Entropic Forces, Narratives and Self-organisation of Capital Markets. (2023). Bocher, Romain. In: Journal of Interdisciplinary Economics. RePEc:sae:jinter:v:35:y:2023:i:2:p:172-190.

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2023Price impact in Nash equilibria. (2023). Seppi, Duane J ; Larsen, Kasper ; Choi, Jin Hyuk ; Chen, Xiao. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:2:d:10.1007_s00780-023-00499-w.

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2023Microfounding GARCH models and beyond: a Kyle-inspired model with adaptive agents. (2023). Benzaquen, Michael ; Toth, Bence ; Mastromatteo, Iacopo ; Vodret, Michele. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:18:y:2023:i:3:d:10.1007_s11403-023-00379-8.

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2023Fundamental and bubble spillovers in stock markets: a common trend approach. (2023). Sethu, Raja S ; Hafsal, K. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:3:d:10.1007_s43546-023-00437-0.

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2023Information Aggregation Bias and Samuelsons Dictum. (2023). Choi, Yongok ; Walker, Todd B ; Rondina, Giacomo. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:55:y:2023:i:5:p:1119-1145.

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2023Managing dissonance: Bureaucratic justice and public procurement. (2023). Craven, Richard. In: Regulation & Governance. RePEc:wly:reggov:v:17:y:2023:i:1:p:215-233.

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Works by Stephen F. LeRoy:


YearTitleTypeCited
1978Determining the Monetary Instrument: A Diagrammatic Exposition. In: American Economic Review.
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article3
1978Determining the monetary instrument: a diagrammatic exposition.(1978) In: Special Studies Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 3
paper
1981Identification and Estimation of Money Demand. In: American Economic Review.
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article79
1984Efficiency and the Variability of Asset Prices. In: American Economic Review.
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article11
1984Econometric Policy Evaluation: Note. In: American Economic Review.
[Full Text][Citation analysis]
article45
1986What Will Take the Con Out of Econometrics? A Reply Identification andEstimation of Money Demand. In: American Economic Review.
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article2
1992Stock Price Volatility: Tests Based on the Geometric Random Walk. In: American Economic Review.
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article21
1989Efficient Capital Markets and Martingales. In: Journal of Economic Literature.
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article147
1976Efficient Capital Markets: Comment. In: Journal of Finance.
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article25
1982 Expectations Models of Asset Prices: A Survey of Theory. In: Journal of Finance.
[Full Text][Citation analysis]
article16
1986 A Note on the Local Expectations Hypothesis: A Discrete-Time Exposition. In: Journal of Finance.
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article13
1987 A Note on the Local Expectations Hypothesis: A Discrete-Time Exposition--Erratum. In: Journal of Finance.
[Citation analysis]
article0
1992Bublles and Charges. In: Carleton Economic Papers.
[Citation analysis]
paper41
1992Bubbles and Charges..(1992) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 41
article
1991On the Arbitrage Pricing Theory. In: Carleton Economic Papers.
[Citation analysis]
paper12
1991On the Arbitrage Pricing Theory..(1991) In: Economic Theory.
[Citation analysis]
This paper has nother version. Agregated cites: 12
article
1990The Arbitrage Pricing Theory: A Geometric Interpretation. In: Carleton Economic Papers.
[Citation analysis]
paper1
1991Econometric Aspects of the Variance-Bound Tests: A Survey. In: Carleton Economic Papers.
[Citation analysis]
paper29
1991Econometric Aspects of the Variance-Bounds Tests: A Survey..(1991) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29
article
2001Liquidity and Liquidation In: University of California at Santa Barbara, Economics Working Paper Series.
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paper2
2007Liquidity and Liquidation.(2007) In: Economic Theory.
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This paper has nother version. Agregated cites: 2
article
2019Causal Inference In: University of California at Santa Barbara, Economics Working Paper Series.
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paper0
2001Infinite Portfolios In: University of California at Santa Barbara, Economics Working Paper Series.
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paper0
2014Principles of Financial Economics In: Cambridge Books.
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book26
2014Principles of Financial Economics.(2014) In: Cambridge Books.
[Citation analysis]
This paper has nother version. Agregated cites: 26
book
2016IMPLEMENTATION-NEUTRAL CAUSATION In: Economics and Philosophy.
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article0
2018IMPLEMENTATION NEUTRALITY AND TREATMENT EVALUATION In: Economics and Philosophy.
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article0
2003Expected utility: a defense In: Economics Bulletin.
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article0
2004Bubbles and the Intertemporal Government Budget Constraint In: Economics Bulletin.
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article1
2005Positivity and bubbles in overlapping generations models In: Economics Bulletin.
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article1
1981The Present-Value Relation: Tests Based on Implied Variance Bounds. In: Econometrica.
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article542
1982Risk-aversion and the term structure of real interest rates In: Economics Letters.
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article3
1983Risk-aversion and the term structure of real interest rates correction In: Economics Letters.
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article1
1998Arbitrage, martingales and bubbles In: Economics Letters.
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article0
2014Risk aversion, investor information and stock market volatility In: European Economic Review.
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article11
2022Examining the sources of excess return predictability: Stochastic volatility or market inefficiency? In: Journal of Economic Behavior & Organization.
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article2
2022Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?.(2022) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2
paper
1980Entry and equilibrium under adjustment costs In: Journal of Economic Theory.
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article1
1987A monetarist model of inflation In: Journal of Economic Theory.
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article0
1983Paradise lost and regained: Transportation innovation, income, and residential location In: Journal of Urban Economics.
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article189
1976Urban land rent and the incidence of property taxes In: Journal of Urban Economics.
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article4
1985Contemporary macroeconomic modelling : edited by Pierre Malgrange and Pierre-Alain Muet (Blackwell, Oxford, 1984) pp. x + 319, $37.95 In: Journal of Monetary Economics.
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article0
1985Atheoretical macroeconometrics: A critique In: Journal of Monetary Economics.
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article239
1997Returns on illiquid assets: are they fair games? In: Working Papers in Applied Economic Theory.
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paper0
1990Mutual deposit insurance In: FRBSF Economic Letter.
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article6
2010Risky mortgages and mortgage default premiums In: FRBSF Economic Letter.
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article2
2010Is the “invisible hand” still relevant? In: FRBSF Economic Letter.
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article0
2010Underwater mortgages In: FRBSF Economic Letter.
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article1
2010Convex payoffs: implications for risk-taking and financial reform In: FRBSF Economic Letter.
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article0
2013Can risk aversion explain stock price volatility? In: FRBSF Economic Letter.
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article1
1990Capital market efficiency: an update In: Economic Review.
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article1
1988Stock price volatility: an inequality test based on the geometric random walk In: Proceedings.
[Citation analysis]
article2
2009Mortgage default and mortgage valuation In: Working Paper Series.
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paper6
2010Risk aversion and stock price volatility In: Working Paper Series.
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paper1
2019Bubbles as Payoffs at Infinity In: Finance and Economics Discussion Series.
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paper4
1996Bubbles as payoffs at infinity.(1996) In: Finance and Economics Discussion Series.
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This paper has nother version. Agregated cites: 4
paper
1997Bubbles as payoffs at infinity (*).(1997) In: Economic Theory.
[Citation analysis]
This paper has nother version. Agregated cites: 4
article
1993Stochastic bubbles in Markov economies In: Finance and Economics Discussion Series.
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paper0
2005Liquidity and fire sales In: Proceedings.
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article2
1975Efficient use of current information in short-run monetary control In: Special Studies Papers.
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paper2
1975Observability, measurement error, and the optimal use of information for monetary policy In: Special Studies Papers.
[Citation analysis]
paper0
1991Pricing Interest-Sensitive Claims when Interest Rates Have Stationary Components. In: Rochester, Business - General.
[Citation analysis]
paper1
1983Keyness theory of investment In: History of Political Economy.
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article4
1973Risk Aversion and the Martingale Property of Stock Prices. In: International Economic Review.
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article79
1977Applications of the Kalman Filter in Short-Run Monetary Control. In: International Economic Review.
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article24
2020Deposit insurance and the coexistence of commercial and shadow banks In: Annals of Finance.
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article1
1976Stock Market Optimality: Comment In: The Quarterly Journal of Economics.
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article0
1996Mortgage Valuation under Optimal Prepayment. In: The Review of Financial Studies.
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article34
2009Subprime Mortgages In: 2009 Meeting Papers.
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paper0
2001Equilibrium valuation of illiquid assets In: Economic Theory.
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article7
2003Review of Peter Bossaerts, The Paradox of Asset Pricing In: International Journal of the Economics of Business.
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article0
2022Size and power in tests of return predictability In: Quantitative Finance.
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article0
1981Risk Aversion and the Dispersion of Asset Prices. In: The Journal of Business.
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article16
1984Nominal Prices and Interest Rates in General Equilibrium: Money Shocks. In: The Journal of Business.
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article21
1984Nominal Prices and Interest Rates in General Equilibrium: Endowment Shocks. In: The Journal of Business.
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article20
1987Knight on Risk and Uncertainty. In: Journal of Political Economy.
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article58
2012Infinite Portfolio Strategies In: Contemporary Economics.
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article0
2018Implementation-Neutral Causation in Structural Models In: Contemporary Economics.
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article0

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