Rossen Valkanov : Citation Profile

University of California-San Diego (UCSD)

18

H index

20

i10 index

3592

Citations

RESEARCH PRODUCTION:

17

Articles

22

Papers

1

Chapters

RESEARCH ACTIVITY:

   20 years (1999 - 2019). See details.
   Cites by year: 179
   Journals where Rossen Valkanov has often published
   Relations with other researchers
   Recent citing documents: 228.    Total self citations: 16 (0.44 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva496
   Updated: 2025-03-15    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 (78)

GUPTA, RANGAN (68)

Foroni, Claudia (46)

Schumacher, Christian (33)

Galvão, Ana (31)

Wang, Yudong (29)

Hecq, Alain (27)

Götz, Thomas (26)

Clements, Michael (23)

Bollerslev, Tim (22)

Salisu, Afees (22)

Cites to:

Campbell, John (76)

Shiller, Robert (38)

French, Kenneth (26)

Stambaugh, Robert (22)

Bollerslev, Tim (17)

Diebold, Francis (16)

Shephard, Neil (15)

Schwert, G. (15)

Marcellino, Massimiliano (15)

merton, robert (14)

Fama, Eugene (14)

Main data

Where Rossen Valkanov has published?

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

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 (2025 and 2024)

YearTitle of citing document
2025Is completeness necessary? Estimation in nonidentified linear models. (2020). Babii, Andrii ; FLORENS, Jean-Pierre. In: Papers. RePEc:arx:papers:1709.03473.

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

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

2024Hierarchical 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

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

Full description at Econpapers || Download paper

2024Factor-augmented sparse MIDAS regression for nowcasting. (2023). Striaukas, Jonas ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2306.13362.

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

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.

Full description at Econpapers || Download paper

2025High-frequency Density Nowcasts of U.S. State-Level Carbon Dioxide Emissions. (2025). Garr, Ignacio ; Ramos, Andrey. In: Papers. RePEc:arx:papers:2501.03380.

Full description at Econpapers || Download paper

2025High-dimensional censored MIDAS logistic regression for corporate survival forecasting. (2025). van Keilegom, Ingrid ; Striaukas, Jonas ; Beyhum, Jad ; Miao, Wei. In: Papers. RePEc:arx:papers:2502.09740.

Full description at Econpapers || Download paper

2025ChatGPT and Deepseek: Can They Predict the Stock Market and Macroeconomy?. (2025). Zhu, WU ; Zhou, Guofu ; Tang, Guohao ; Chen, Jian. In: Papers. RePEc:arx:papers:2502.10008.

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

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

2024What Drives Variation in the U.S. Debt‐to‐Output Ratio? The Dogs that Did not Bark. (2024). Van Nieuwerburgh, Stijn ; Xiaolan, Mindy Z ; Lustig, Hanno ; Jiang, Zhengyang. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2603-2665.

Full description at Econpapers || Download paper

2024.

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

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

2024Political uncertainty and institutional herding. (2024). Montone, Maurizio ; Kallinterakis, Vasileios ; Gavriilidis, Konstantinos. In: Journal of Corporate Finance. RePEc:eee:corfin:v:88:y:2024:i:c:s0929119924000890.

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

2024Frictionless house-price momentum. (2024). Moura, Alban ; Fve, Patrick. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:168:y:2024:i:c:s0165188924001921.

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

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

2024.

Full description at Econpapers || Download paper

2024Which daily equity returns improve output forecasts?. (2024). Lang, William J ; Jahan-Pavar, Mohammad R. In: Economics Letters. RePEc:eee:ecolet:v:243:y:2024:i:c:s0165176524003811.

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

2024Dynamic portfolio selection with sector-specific regularization. (2024). Wang, Linqi ; Hafner, Christian M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:17-33.

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

2024Assessing proxies for market prices of thinly traded assets with scheduled cash flows. (2024). Torous, Walter N ; Mhlhofer, Tobias ; Liu, Crocker H ; Boudry, Walter I. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000343.

Full description at Econpapers || Download paper

2024The risk–return tradeoff among equity factors. (2024). Barroso, Pedro ; Maio, Paulo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000537.

Full description at Econpapers || Download paper

2024Forecasting realized volatility: Does anything beat linear models?. (2024). Rubesam, Alexandre ; Branco, Rafael R ; Zevallos, Mauricio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000598.

Full description at Econpapers || Download paper

2024Does energy consumption play a key role? Re-evaluating the energy consumption-economic growth nexus from GDP growth rates forecasting. (2024). Hu, Shiyang ; Ma, Feng ; Lu, Fei. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007661.

Full description at Econpapers || Download paper

2024Climate risk performance and returns integration of Chinese listed energy companies. (2024). Zhao, Wanli ; Li, Yan ; Zhang, Yunhan ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007703.

Full description at Econpapers || Download paper

2024Chinas futures market volatility and sectoral stock market volatility prediction. (2024). Zhong, Juandan ; Zhang, Jixiang ; Zeng, Qing. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001373.

Full description at Econpapers || Download paper

2024Volatility dynamics of agricultural futures markets under uncertainties. (2024). Uddin, Gazi ; Zhu, Xuening ; Sheng, Lin Wen ; Park, Donghyun ; Dutta, Anupam. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004626.

Full description at Econpapers || Download paper

2024Risk taking, performance, and resilience to the COVID-19 pandemic: Evidence from public property-casualty insurers. (2024). Yang, Charles C ; Lee, Wing Yan. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004581.

Full description at Econpapers || Download paper

2024Firm-level political risk and intellectual capital investment: Does managerial ability matter?. (2024). Tran, Quang Thien ; Le, Quynh Nga ; Huynh, Nhan. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005367.

Full description at Econpapers || Download paper

2024Economic policy uncertainty and stock market volatility in China: Evidence from SV-MIDAS-t model. (2024). Li, Yong ; Yin, Jiyuan ; Wang, Nianling. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s105752192400022x.

Full description at Econpapers || Download paper

2024Volatility prediction for the energy sector with economic determinants: Evidence from a hybrid model. (2024). Liu, Xiaoquan ; Jiang, Ying ; Ye, Wuyi ; Wang, Yuejing. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000267.

Full description at Econpapers || Download paper

2024Harnessing the power of real-time forum opinion: Unveiling its impact on stock market dynamics using intraday high-frequency data in China. (2024). Chen, Kaijie ; Cai, YI ; Lin, Qiaofeng ; Tang, Zhenpeng ; Liu, Dinggao. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s105752192400142x.

Full description at Econpapers || Download paper

2024Why isnt composite equity issuance favored by the stock market? A risk-based explanation for the anomaly. (2024). Yu, Huaibing. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002205.

Full description at Econpapers || Download paper

2024Political uncertainty and stock price crash risk: Insights from state-elections in an emerging market. (2024). Wadhwa, Kavita ; Goodell, John W. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s105752192400351x.

Full description at Econpapers || Download paper

2024Risks of heterogeneously persistent higher moments. (2024). Baruník, Jozef ; Kurka, Josef ; Barunk, Jozef. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005052.

Full description at Econpapers || Download paper

2024Skewness risk and the cross-section of cryptocurrency returns. (2024). Chen, Yan ; Liu, Yakun. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005581.

Full description at Econpapers || Download paper

2024Stock market volatility and economic policy uncertainty: New insight into a dynamic threshold mixed-frequency model. (2024). Yang, Hua ; Tang, Yusui ; Zeng, Qing ; Zhang, XI. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323010863.

Full description at Econpapers || Download paper

2024The ICAPM and empirical pricing factors: A simulation study. (2024). Sohn, Bumjean ; Ho, JI. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012084.

Full description at Econpapers || Download paper

2024What drives green betas? Climate uncertainty or speculation. (2024). Demirer, Riza ; Eki, Brahim Halil ; Polat, Onur. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012424.

Full description at Econpapers || Download paper

2024How useful are energy-related uncertainty for oil price volatility forecasting?. (2024). Guo, Qiang ; Zhang, Xiaoyun. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323013259.

Full description at Econpapers || Download paper

2024Is the prediction of precious metal market volatility influenced by internet searches regarding uncertainty?. (2024). Cao, Xiangye ; Zhang, Junchao ; Li, Wei. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pb:s154461232400299x.

Full description at Econpapers || Download paper

2024Can asymmetry, long memory, and current return information improve crude oil volatility prediction? ——Evidence from ASHARV-MIDAS model. (2024). Hao, Xiaozhen ; Liu, Junjie ; Chen, Zhenlong. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004501.

Full description at Econpapers || Download paper

2024Energy market uncertainties and exchange rate volatility: A GARCH-MIDAS approach. (2024). Salisu, Afees ; Ogbonna, Ahamuefula ; GUPTA, RANGAN ; Ji, Qiang. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008778.

Full description at Econpapers || Download paper

2024Financial market volatility: Does banking concentration play a role?. (2024). Zeeshan, Mohammad. In: Finance Research Letters. RePEc:eee:finlet:v:68:y:2024:i:c:s1544612324009905.

Full description at Econpapers || Download paper

2024Economic uncertainty and time-varying return predictability. (2024). Liu, LI. In: Finance Research Letters. RePEc:eee:finlet:v:68:y:2024:i:c:s1544612324010559.

Full description at Econpapers || Download paper

2024Environmental policies on the systematic risk of critical metals companies. (2024). Seplveda-Velsquez, Jorge ; Tapia-Grien, Pablo ; Pastn-Henrquez, Boris. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324010821.

Full description at Econpapers || Download paper

2024Carbon VIX: A case of decarbonized SPACs. (2024). Vulanovic, Milos ; Piljak, Vanja ; Tinoco, Mario Hernandez ; Dimic, Nebojsa. In: Finance Research Letters. RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324013898.

Full description at Econpapers || Download paper

2024Wealth as a moderating effect on gender differences in portfolio holdings. (2024). Riefler, Raul ; Tosun, Onur Kemal ; Baeckstrom, Ylva. In: Global Finance Journal. RePEc:eee:glofin:v:60:y:2024:i:c:s1044028324000371.

Full description at Econpapers || Download paper

2024Linkages between financial and macroeconomic indicators in emerging markets and developing economies. (2024). Loungani, Prakash ; Biswas, Rita ; Michaelides, Michael ; Liang, Zhongwen. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000796.

Full description at Econpapers || Download paper

2024Who leads and who follows? The cross-border peer effect in investment by Chinese and US firms. (2024). Zhou, Sili ; Cao, Xiaping ; Bailey, Warren B ; Yang, Zhenyi. In: Journal of International Economics. RePEc:eee:inecon:v:147:y:2024:i:c:s0022199623001617.

Full description at Econpapers || Download paper

2024Do industries predict stock market volatility? Evidence from machine learning models. (2024). Demirer, Riza ; Suleman, Muhammad Tahir ; Niu, Zibo ; Zhu, Xuehong ; Zhang, Hongwei. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001713.

Full description at Econpapers || Download paper

2024International stock market volatility: A global tail risk sight. (2024). Zhu, BO ; Zhong, Juandan ; Zeng, Qing ; Lu, Xinjie. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001725.

Full description at Econpapers || Download paper

2024A novel integration of the Fama–French and Black–Litterman models to enhance portfolio management. (2024). Lee, Jaewook ; Son, Bumho ; Ko, Hyungjin. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000155.

Full description at Econpapers || Download paper

2024International crash risk premium. (2024). Chen, Steven Shu-Hsiu. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000805.

Full description at Econpapers || Download paper

2024Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks. (2024). Wilfling, Bernd ; GUPTA, RANGAN ; Segnon, Mawuli. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:29-43.

Full description at Econpapers || Download paper

2024Words or numbers? Macroeconomic nowcasting with textual and macroeconomic data. (2024). Fang, Kuangnan ; Jin, Wei ; Zheng, Tingguo. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:746-761.

Full description at Econpapers || Download paper

2024Daily growth at risk: Financial or real drivers? The answer is not always the same. (2024). Uribe, Jorge ; Garron, Ignacio ; Chulia, Helena. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:762-776.

Full description at Econpapers || Download paper

2024Nowcasting with panels and alternative data: The OECD weekly tracker. (2024). Woloszko, Nicolas. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1302-1335.

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]		article22
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]		article236
2016Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry In: Journal of Finance.
[Full Text][Citation analysis]		article87
2008The Cross‐Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations In: Real Estate Economics.
[Full Text][Citation analysis]		article17
2013Forecasting Stock Returns under Economic Constraints In: Working Papers.
[Full Text][Citation analysis]		paper168
2013Forecasting Stock Returns under Economic Constraints.(2013) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 168		paper
2014Forecasting stock returns under economic constraints.(2014) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 168		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]		paper153
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: 153		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: 153		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]		paper415
2004The MIDAS Touch: Mixed Data Sampling Regression Models.(2004) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 415		paper
2003There is a Risk-Return Tradeoff After All In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper479
2004There is a Risk-Return Tradeoff After All.(2004) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 479		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: 479		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: 479		paper
2004Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper522
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: 522		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: 522		paper
2013Forecasting Real Estate Prices In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter72
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]		article42
2003Long-horizon regressions: theoretical results and applications In: Journal of Financial Economics.
[Full Text][Citation analysis]		article229
2007Do industries lead stock markets? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article297
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]		article72
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]		article525
2004On Predicting Stock Returns with Nearly Integrated Explanatory Variables In: The Journal of Business.
[Full Text][Citation analysis]		article151
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 February, 4 2025. Contact: CitEc Team