Rossen Valkanov : Citation Profile

Are you Rossen Valkanov?

University of California-San Diego (UCSD)

18

H index

19

i10 index

3483

Citations

RESEARCH PRODUCTION:

16

Articles

22

Papers

1

Chapters

RESEARCH ACTIVITY:

   20 years (1999 - 2019). See details.
   Cites by year: 174
   Journals where Rossen Valkanov has often published
   Relations with other researchers
   Recent citing documents: 360.    Total self citations: 16 (0.46 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva496
   Updated: 2024-11-04    RAS profile: 2024-09-05    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

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

Is cited by:

Marcellino, Massimiliano (77)

GUPTA, RANGAN (63)

Foroni, Claudia (46)

Schumacher, Christian (33)

Galvão, Ana (32)

Hecq, Alain (27)

Wang, Yudong (26)

Götz, Thomas (26)

Clements, Michael (23)

Bollerslev, Tim (22)

Zhang, Yaojie (21)

Cites to:

Campbell, John (62)

Shiller, Robert (32)

French, Kenneth (24)

Stambaugh, Robert (18)

Bollerslev, Tim (16)

Shephard, Neil (15)

Diebold, Francis (15)

Marcellino, Massimiliano (15)

Fama, Eugene (14)

Stock, James (13)

Engle, Robert (13)

Main data

Where Rossen Valkanov has published?

Journals with more than one article published# docs
Journal of Financial Economics4
Journal of Econometrics2
The Review of Financial Studies2
Journal of Finance2

Working Papers Series with more than one paper published# docs
University of California at Los Angeles, Anderson Graduate School of Management / Anderson Graduate School of Management, UCLA9
NBER Working Papers / National Bureau of Economic Research, Inc3
CEPR Discussion Papers / C.E.P.R. Discussion Papers2
Working Papers / Brandeis University, Department of Economics and International Business School2

Recent works citing Rossen Valkanov (2024 and 2023)

YearTitle of citing document
2023Using 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

2024Robustifying Conditional Portfolio Decisions via Optimal Transport. (2021). Ye, Yinyu ; Delage, Erick ; Blanchet, Jose ; Zhang, Fan ; Nguyen, Viet Anh. In: Papers. RePEc:arx:papers:2103.16451.

Full description at Econpapers || Download paper

2024Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

Full description at Econpapers || Download paper

2024An 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

2023Canonical Portfolios: Optimal Asset and Signal Combination. (2022). Tan, Vincent ; Zohren, Stefan ; Firoozye, Nick. In: Papers. RePEc:arx:papers:2202.10817.

Full description at Econpapers || Download paper

2023Sparse multivariate modeling for stock returns predictability. (2022). Bernardi, Mauro ; Bianco, Nicolas ; Bianchi, Daniele. In: Papers. RePEc:arx:papers:2202.12644.

Full description at Econpapers || Download paper

2023Generic Identifiability for REMIS: The Cointegrated Unit Root VAR. (2022). Deistler, Manfred ; Soegner, Leopold ; Gersing, Philipp. In: Papers. RePEc:arx:papers:2204.05952.

Full description at Econpapers || Download paper

2024Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

Full description at Econpapers || Download paper

2023Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

Full description at Econpapers || Download paper

2023Constructing High Frequency Economic Indicators by Imputation. (2023). Scanlan, Susannah ; Ng, Serena. In: Papers. RePEc:arx:papers:2303.01863.

Full description at Econpapers || Download paper

2024The Elasticity of Quantitative Investment. (2023). Davis, Carter. In: Papers. RePEc:arx:papers:2303.14533.

Full description at Econpapers || Download paper

2023Band-Pass Filtering with High-Dimensional Time Series. (2023). Proietti, Tommaso ; Lippi, Marco ; Giovannelli, Alessandro. In: Papers. RePEc:arx:papers:2305.06618.

Full description at Econpapers || Download paper

2023Nowcasting with signature methods. (2023). Mantoan, Giulia ; Malpass, Will ; Lui, Silvia ; Cohen, Samuel N ; Yang, Lingyi ; Small, Emma ; Scott, Craig ; Reeves, Andrew ; Nesheim, Lars. In: Papers. RePEc:arx:papers:2305.10256.

Full description at Econpapers || Download paper

2023Factor-augmented sparse MIDAS regression for nowcasting. (2023). Striaukas, Jonas ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2306.13362.

Full description at Econpapers || Download paper

2023Econometrics of Machine Learning Methods in Economic Forecasting. (2023). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:2308.10993.

Full description at Econpapers || Download paper

2023Stock Volatility Prediction Based on Transformer Model Using Mixed-Frequency Data. (2023). Liu, Yujiang ; Zhang, Xulong ; Leng, Wan ; Zhou, Lichun ; Tang, Lihua ; Jiang, Guilin ; Gui, Zhaozhong. In: Papers. RePEc:arx:papers:2309.16196.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Bayesian Bi-level Sparse Group Regressions for Macroeconomic Forecasting. (2024). Mogliani, Matteo ; Simoni, Anna. In: Papers. RePEc:arx:papers:2404.02671.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Application of Deep Learning for Factor Timing in Asset Management. (2024). Lyu, Haoshu ; Chen, Xilin ; Gharanchaei, Maysam Khodayari ; Panda, Prabhu Prasad. In: Papers. RePEc:arx:papers:2404.18017.

Full description at Econpapers || Download paper

2023A supply-side GDP nowcasting model. (2023). Cerezo, Alejandro Fernandez. In: Economic Bulletin. RePEc:bde:journl:y:2023:i:01:n:18.

Full description at Econpapers || Download paper

2024Nowcasting Italian GDP growth: a Factor MIDAS approach. (2024). Silvestrini, Andrea ; Prifti, Orest ; Ceci, Donato. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1446_24.

Full description at Econpapers || Download paper

2023Satellites Turn “Concrete”: Tracking Cement with Satellite Data and Neural Networks. (2023). Meunier, Baptiste ; Baptiste, Meunier ; Benjamin, Lietti ; Jean-Charles, Bricongne ; Simon, Ben Arous ; Alexandre, Aspremont. In: Working papers. RePEc:bfr:banfra:916.

Full description at Econpapers || Download paper

2024Media coverage of industry and the cross?section of stock returns. (2022). Zhang, Xueyong ; Huang, Tao. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1107-1141.

Full description at Econpapers || Download paper

2023S&P 500 volatility, volatility regimes, and economic uncertainty. (2023). Chatrath, Arjun ; Adrangi, Bahram ; Raffiee, Kambiz. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1362-1387.

Full description at Econpapers || Download paper

2023Political connections and bank behaviour. (2023). Ghosh, Saibal. In: Economic Notes. RePEc:bla:ecnote:v:52:y:2023:i:1:n:e12209.

Full description at Econpapers || Download paper

2024Exchange rates and political uncertainty: the Brexit case. (2024). Moramarco, Graziano ; Manasse, Paolo ; Trigilia, Giulio. In: Economica. RePEc:bla:econom:v:91:y:2024:i:362:p:621-652.

Full description at Econpapers || Download paper

2023Pockets of Predictability. (2023). Timmermann, Allan ; Schmidt, Lawrence ; Farmer, Leland E. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1279-1341.

Full description at Econpapers || Download paper

2023The Pollution Premium. (2023). Tsou, Chiyang ; Li, Kai ; Hsu, Pohsuan. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1343-1392.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2024Factor MIDAS for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP. (2010). Schumacher, Christian ; Marcellino, Massimiliano. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:72:y:2010:i:4:p:518-550.

Full description at Econpapers || Download paper

2023Estimation of Panel Data Models with Mixed Sampling Frequencies. (2023). Li, Haoran ; Jia, Fei ; Yang, Yimin. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:3:p:514-544.

Full description at Econpapers || Download paper

2023The determinants of office cap rates: The international evidence. (2023). Twite, Garry ; Titman, Sheridan ; Biakowski, Jdrzej. In: Real Estate Economics. RePEc:bla:reesec:v:51:y:2023:i:3:p:539-572.

Full description at Econpapers || Download paper

2023Long-Run PPP under the Presence of Near-to-Unit Roots: The Case of the British Pound-US Dollar Rate. (2009). pittis, nikitas ; Kalyvitis, Sarantis ; Christou, Christina ; Hassapis, Christis. In: Review of International Economics. RePEc:bla:reviec:v:17:y:2009:i:1:p:144-155.

Full description at Econpapers || Download paper

2023Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8.

Full description at Econpapers || Download paper

2024The Information Content of Conflict, Social Unrest and Policy Uncertainty Measures for Macroeconomic Forecasting. (2024). Rauh, C ; Prez, J J ; Mueller, H ; Molina, L ; Diakonova, M. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2418.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2023The Determinants of Office Cap Rates: The International Evidence. (2023). Twite, Garry ; Titman, Sheridan ; Biakowski, Jdrzej. In: Working Papers in Economics. RePEc:cbt:econwp:23/01.

Full description at Econpapers || Download paper

2023The midterm election effect on US stock returns: Some practical considerations for investors. (2023). Wagner, Moritz ; Biakowski, Jdrzej ; Anderson, Warwick. In: Working Papers in Economics. RePEc:cbt:econwp:23/05.

Full description at Econpapers || Download paper

2023Global house prices since 1950. (2023). Sustek, Roman ; Mumtaz, Haroon. In: Discussion Papers. RePEc:cfm:wpaper:2307.

Full description at Econpapers || Download paper

2024Nowcasting consumer price inflation using high-frequency scanner data: evidence from Germany. (2024). Menz, Jan-Oliver ; Wieland, Elisabeth ; Schnorrenberger, Richard ; Carstensen, Kai ; Beck, Gunter W. In: Working Paper Series. RePEc:ecb:ecbwps:20242930.

Full description at Econpapers || Download paper

2023Forecast energy demand, CO2 emissions and energy resource impacts for the transportation sector. (2023). Tontiwachwuthikul, P ; Wang, Z ; Tang, Y ; Javanmard, Emami M. In: Applied Energy. RePEc:eee:appene:v:338:y:2023:i:c:s0306261923001940.

Full description at Econpapers || Download paper

2023Is sentiment the solution to the risk–return puzzle? A (cautionary) note. (2023). Gebka, Bartosz ; Ung, Sze Nie. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635023000011.

Full description at Econpapers || Download paper

2023Predictability of crypto returns: The impact of trading behavior. (2023). Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000266.

Full description at Econpapers || Download paper

2023Asset prices in a labor search model with confidence shocks. (2023). Krivenko, Pavel. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002676.

Full description at Econpapers || Download paper

2023Employee sentiment and stock returns. (2023). Zhou, Guofu ; Yao, Jiaquan ; Tang, Guohao ; Chen, Jian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000428.

Full description at Econpapers || Download paper

2023Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP. (2023). Rossini, Luca ; Poon, Aubrey ; Iacopini, Matteo ; Zhu, Dan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:157:y:2023:i:c:s016518892300163x.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Cross-cryptocurrency return predictability. (2024). Wang, YU ; Tu, Jun ; Sang, BO ; Guo, LI. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000551.

Full description at Econpapers || Download paper

2023Institutional determinants of households’ financial investment behaviour across European countries. (2023). Andrieș, Alin Marius ; Sprincean, Nicu ; Plopeanu, Aurelian-Petru. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:300-325.

Full description at Econpapers || Download paper

2023Did the policy responses influence credit and business cycle co-movement during the COVID-19 crisis? Evidence from Indonesia. (2023). Indawan, Fiskara ; Sasongko, Aryo ; Prabheesh, K P. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:243-255.

Full description at Econpapers || Download paper

2023Revisiting economic growth and CO2 emissions nexus in Taiwan using a mixed-frequency VAR model. (2023). Wu, Cheng-Feng ; Wang, Mei-Chih ; Chen, Sheng-Tung ; Hsu, Chen-Min ; Chang, Tsangyao. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:319-342.

Full description at Econpapers || Download paper

2023How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? Evidence from major currencies. (2023). Huang, Jianglu ; Qi, Zikang ; Wang, Xinyu. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003923.

Full description at Econpapers || Download paper

2023Are low frequency macroeconomic variables important for high frequency electricity prices?. (2023). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003972.

Full description at Econpapers || Download paper

2023Forecasting dividend growth: The role of adjusted earnings yield. (2023). Li, Luyang ; Chen, LI ; Huang, Difang ; Yu, Deshui. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322004254.

Full description at Econpapers || Download paper

2023Nowcasting Chinese GDP in a data-rich environment: Lessons from machine learning algorithms. (2023). Xu, Hao ; Ni, HE ; Zhang, Qin. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000160.

Full description at Econpapers || Download paper

2023Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics. (2023). Torrent, Hudson S ; Caldeira, Joo F. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000512.

Full description at Econpapers || Download paper

2023Carbon trading amidst global uncertainty: The role of policy and geopolitical uncertainty. (2023). Adediran, Idris ; Swaray, Raymond. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000913.

Full description at Econpapers || Download paper

2023The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants. (2023). Pan, Beier. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001074.

Full description at Econpapers || Download paper

2023Regime-dependent effects of macroeconomic uncertainty on realized volatility in the U.S. stock market. (2023). Garrett, Ian ; Liu, Wei. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s026499932300295x.

Full description at Econpapers || Download paper

2023Revisiting time series momentum in Chinas commodity futures market: Evidence on sources of momentum profits. (2023). Dong, Minyi ; Song, Wuqi ; Ming, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003346.

Full description at Econpapers || Download paper

2023The impact of ambiguity-loving attitude on market participation and asset pricing. (2023). Huang, Helen ; Zhang, Shunming ; Wang, Yanjie ; Sun, Yuzhe. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003395.

Full description at Econpapers || Download paper

2023Risk-return tradeoff and serial correlation in the Chinese stock market: A bailout-driven crash feedback hypothesis. (2023). Yang, Yiwen ; Yao, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003644.

Full description at Econpapers || Download paper

2024Predicting tourism recovery from COVID-19: A time-varying perspective. (2024). Song, Haiyan ; Liu, Han ; Wen, Long. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000622.

Full description at Econpapers || Download paper

2023Forecasting stock return volatility in data-rich environment: A new powerful predictor. (2023). Li, Tingyu ; Zhang, Xiaotong ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001802.

Full description at Econpapers || Download paper

2023Identifying the true nature of price discovery and cross-market informational flow in the investment grade CDS and equity markets. (2023). Yin, Anwen ; Procasky, William J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002121.

Full description at Econpapers || Download paper

2023How does inter-industry spillover improve the performance of volatility forecasting?. (2023). Zhu, Xingting ; Xiao, Wen ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000013.

Full description at Econpapers || Download paper

2023GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets. (2023). Li, Min-Jian ; Yao, Can-Zhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000335.

Full description at Econpapers || Download paper

2024Corporate taxes, partisan politics, and stock returns. (2024). Mella, Javier. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000445.

Full description at Econpapers || Download paper

2024Heterogeneous beliefs with information processing capacity constraints and asset pricing in a monetary economy. (2024). Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000688.

Full description at Econpapers || Download paper

2023Factor-based portfolio optimization. (2023). Cho, Wonho ; Auh, Jun Kyung. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001623.

Full description at Econpapers || Download paper

2023A machine learning approach to construct quarterly data on intangible investment for Eurozone. (2023). Varthalitis, Petros ; Alexopoulos, Angelos. In: Economics Letters. RePEc:eee:ecolet:v:231:y:2023:i:c:s0165176523003324.

Full description at Econpapers || Download paper

2023Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data. (2023). Xia, Yin ; Xu, Yan ; Yang, Dan ; Chen, Xin ; Shen, Haipeng ; Wang, Dong. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:544-564.

Full description at Econpapers || Download paper

2023A new robust inference for predictive quantile regression. (2023). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:227-250.

Full description at Econpapers || Download paper

2023Extensions to IVX methods of inference for return predictability. (2023). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M ; Georgiev, Iliyan. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622000586.

Full description at Econpapers || Download paper

2023Machine learning panel data regressions with heavy-tailed dependent data: Theory and application. (2023). Babii, Andrii ; Ghysels, Eric ; Ball, Ryan T ; Striaukas, Jonas. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622001282.

Full description at Econpapers || Download paper

2023Transformed regression-based long-horizon predictability tests. (2023). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622001294.

Full description at Econpapers || Download paper

2023Uniform predictive inference for factor models with instrumental and idiosyncratic betas. (2023). Yang, Xiye ; Liao, Yuan ; Cheng, Mingmian. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002123.

Full description at Econpapers || Download paper

2023Taking stock of long-horizon predictability tests: Are factor returns predictable?. (2023). KOSTAKIS, ALEXANDROS ; Magdalinos, Tassos ; Stamatogiannis, Michalis P. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623000052.

Full description at Econpapers || Download paper

2024On model selection criteria for climate change impact studies. (2024). Ghanem, Dalia ; Gafarov, Bulat ; Cui, Xiaomeng ; Kuffner, Todd. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623002270.

Full description at Econpapers || Download paper

2023Bayesian Analysis of ARCH-M model with a dynamic latent variable. (2023). Li, Yuan ; Song, Xinyuan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:47-62.

Full description at Econpapers || Download paper

2024A new ordinal mixed-data sampling model with an application to corporate credit rating levels. (2024). Calabrese, Raffaella ; Crook, Jonathan ; Goldmann, Leonie. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1111-1126.

Full description at Econpapers || Download paper

2023Out-of-sample equity premium prediction: The role of option-implied constraints. (2023). Zhou, TI ; Wang, Yunqi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:199-226.

Full description at Econpapers || Download paper

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

Works by Rossen Valkanov:

YearTitleTypeCited
2019Direct Versus Iterated Multiperiod Volatility Forecasts In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article20
2007Valuation in US Commercial Real Estate In: European Financial Management.
[Full Text][Citation analysis]		article18
2003The Presidential Puzzle: Political Cycles and the Stock Market In: Journal of Finance.
[Full Text][Citation analysis]		article231
2016Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry In: Journal of Finance.
[Full Text][Citation analysis]		article82
2013Forecasting Stock Returns under Economic Constraints In: Working Papers.
[Full Text][Citation analysis]		paper158
2013Forecasting Stock Returns under Economic Constraints.(2013) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 158		paper
2014Forecasting stock returns under economic constraints.(2014) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 158		article
2014A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics In: Working Papers.
[Full Text][Citation analysis]		paper2
2014A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics.(2014) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2000Political Cycles and the Stock Market In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper0
2000Boundaries of Predictability: Noisy Predictive Regressions In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper17
2005Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper149
2004Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 149		paper
2009Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns.(2009) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 149		article
1999Long-Horizon Regressions: Theoretical Results and Applications to the Expected Returns/Dividend Yields and Fisher Effect Relations In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper0
2002Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper19
200413-04 Expected Returns and the Expected Growth in Rents of Commercial Real Estate In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper0
1999The Term Structure with Highly Persistent Interest Rates In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper2
1999Equity Premium and Dividend Yield regressions: A lot of noise, little information, confusing results In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper0
2004The MIDAS Touch: Mixed Data Sampling Regression Models In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper403
2004The MIDAS Touch: Mixed Data Sampling Regression Models.(2004) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 403		paper
2003There is a Risk-Return Tradeoff After All In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper469
2004There is a Risk-Return Tradeoff After All.(2004) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 469		paper
2005There is a risk-return trade-off after all.(2005) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 469		article
2004There is a Risk-Return Tradeoff After All.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 469		paper
2004Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper513
2006Predicting volatility: getting the most out of return data sampled at different frequencies.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 513		article
2004Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 513		paper
2013Forecasting Real Estate Prices In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter71
2005Functional Central Limit Theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data In: Economics Letters.
[Full Text][Citation analysis]		article3
2016A MIDAS approach to modeling first and second moment dynamics In: Journal of Econometrics.
[Full Text][Citation analysis]		article40
2003Long-horizon regressions: theoretical results and applications In: Journal of Financial Economics.
[Full Text][Citation analysis]		article224
2007Do industries lead stock markets? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article294
2016Comparing Securitized and Balance Sheet Loans: Size Matters In: Management Science.
[Full Text][Citation analysis]		article9
2010Expected Returns and Expected Growth in Rents of Commercial Real Estate In: The Review of Financial Studies.
[Full Text][Citation analysis]		article70
2014Complexity in Structured Finance: Financial Wizardry or Smoke and Mirrors In: 2014 Meeting Papers.
[Full Text][Citation analysis]		paper6
2007MIDAS Regressions: Further Results and New Directions In: Econometric Reviews.
[Full Text][Citation analysis]		article506
2004On Predicting Stock Returns with Nearly Integrated Explanatory Variables In: The Journal of Business.
[Full Text][Citation analysis]		article148
2001The neglected effect of fiscal policy on stock and bond returns In: Nova SBE Working Paper Series.
[Full Text][Citation analysis]		paper29

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team