Andreas Neuhierl : Citation Profile

Are you Andreas Neuhierl?

Washington University in St. Louis

6

H index

5

i10 index

265

Citations

RESEARCH PRODUCTION:

10

Articles

13

Papers

1

Chapters

RESEARCH ACTIVITY:

   12 years (2011 - 2023). See details.
   Cites by year: 22
   Journals where Andreas Neuhierl has often published
   Relations with other researchers
   Recent citing documents: 80.    Total self citations: 6 (2.21 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pne394
   Updated: 2024-11-04    RAS profile: 2023-05-09    
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Relations with other researchers

Works with:

Weber, Michael (6)

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

Is cited by:

Weber, Michael (11)

Scaillet, Olivier (6)

michaely, roni (6)

Talavera, Oleksandr (6)

Nagel, Stefan (5)

Schrimpf, Andreas (5)

Gorodnichenko, Yuriy (5)

Pham, Tho (5)

Lenza, Michele (4)

Baruník, Jozef (4)

Pelger, Markus (4)

Cites to:

Weber, Michael (23)

Campbell, John (23)

French, Kenneth (19)

Swanson, Eric (16)

Cochrane, John (13)

Lettau, Martin (13)

Fama, Eugene (12)

Gürkaynak, Refet (12)

Bollerslev, Tim (8)

Ozdagli, Ali (8)

Zhou, Guofu (7)

Main data

Where Andreas Neuhierl has published?

Journals with more than one article published# docs
The Review of Financial Studies2
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc5
CESifo Working Paper Series / CESifo4

Recent works citing Andreas Neuhierl (2024 and 2023)

YearTitle of citing document
2023The Voice of Monetary Policy. (2023). Talavera, Oleksandr ; Pham, Tho ; Gorodnichenko, Yuriy. In: American Economic Review. RePEc:aea:aecrev:v:113:y:2023:i:2:p:548-84.

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

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2024An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2023Expert Aggregation for Financial Forecasting. (2021). Mikael, Joseph ; Cl, Alasseur ; Marie, Briere ; Remlinger, Carl. In: Papers. RePEc:arx:papers:2111.15365.

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2024Do t-Statistic Hurdles Need to be Raised. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2204.10275.

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2024Missing Values and the Dimensionality of Expected Returns. (2022). McCoy, Jack ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2207.13071.

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2023Publication Bias in Asset Pricing Research. (2022). Zimmermann, Tom ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2209.13623.

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

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2023The Dynamic Persistence of Economic Shocks. (2023). Vacha, Lukas ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2306.01511.

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2023.

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2023Can Central Banks Be Heard Over the Sound of Gunfire?. (2023). Talavera, Oleksandr ; Nikolsko-Rzhevskyy, Alex ; Gao, GE. In: Discussion Papers. RePEc:bir:birmec:23-09.

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2023Timing the factor zoo via deep learning: Evidence from China. (2023). Jiang, Fuwei ; Liao, Cunfei ; Ma, Tian. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:485-505.

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2024ECB monetary policy communication events: Do they move euro area yields?. (2024). Vasiliauskait, Deimant ; Kaminskas, Rokas ; Jurkas, Linas. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:76:y:2024:i:2:p:596-625.

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2023Diagnostics for asset pricing models. (2023). Zhou, Guofu ; He, AI. In: Financial Management. RePEc:bla:finmgt:v:52:y:2023:i:4:p:617-642.

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2023Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models. (2023). Julliard, Christian ; Huang, Jiantao ; Bryzgalova, Svetlana. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:487-557.

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2023Integrating Factor Models. (2023). Voigt, Stefan ; Metzker, Lior ; Cheng, SI ; Avramov, Doron. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1593-1646.

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2023Reasons Behind Words: OPEC Narratives and the Oil Market. (2023). Joets, Marc ; Brunetti, Celso ; Mignon, Valerie. In: EconomiX Working Papers. RePEc:drm:wpaper:2023-24.

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2024Informed options trading before FDA drug advisory meetings. (2024). Golec, Joseph ; Borochin, Paul ; Wu, Zekun. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s092911992300144x.

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2023Machine learning goes global: Cross-sectional return predictability in international stock markets. (2023). Zaremba, Adam ; Metko, Daniel ; Fieberg, Christian ; Cakici, Nusret. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:155:y:2023:i:c:s0165188923001318.

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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.

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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.

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2024Robust portfolio selection with smart return prediction. (2024). Li, Bin ; Tu, Xueyong. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000750.

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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.

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2023A penalized two-pass regression to predict stock returns with time-varying risk premia. (2023). Scaillet, Olivier ; Guerrier, Stephane ; Bakalli, Gaetan. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002147.

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2024Asset pricing with neural networks: Significance tests. (2024). Lin, Xin ; Franstianto, Vincentius ; Fallahgoul, Hasan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002907.

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2024Mining the factor zoo: Estimation of latent factor models with sufficient proxies. (2024). Song, Rui ; Lu, Wenbin ; Li, Yingying ; Wan, Runzhe. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000179.

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2023Machine learning and the cross-section of emerging market stock returns. (2023). Kalsbach, Tobias ; Hanauer, Matthias X. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000274.

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2024Global contagion of US COVID-19 panic news. (2024). Ho, Young ; Park, Dojoon ; Kang, Yong Joo. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014124000116.

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2023Forecasting tail risk measures for financial time series: An extreme value approach with covariates. (2023). Prokhorov, Artem ; Yin, Jessica Wai ; Leung, Henry ; James, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:29-50.

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2023Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices. (2023). Zhao, Zhao ; de Nard, Gianluca. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:23-35.

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2023Expected returns and risk in the stock market. (2023). Taylor, Alex P ; Brennan, M J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:276-300.

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2023A seesaw effect in the cryptocurrency market: Understanding the return cross predictability of cryptocurrencies. (2023). Yan, Shu ; Jia, yuecheng ; Liu, Yuzheng ; Wu, Yangru. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000956.

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2023A latent factor model for the Chinese stock market. (2023). Jiang, Fuwei ; Leong, Wen Jun ; Ma, Tian. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000716.

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2023A central bankers’ sentiment index of global financial cycle. (2023). Liu, Wei ; Yu, Zhen ; Yang, Fuyu. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005330.

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2023Firm fundamentals and the cross-section of implied volatility shapes. (2023). Zhou, Guofu ; Guo, Biao ; Chen, Ding. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000611.

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2023Forecasting Stock Market Crashes via Machine Learning. (2023). Otto, Tizian ; Drobetz, Wolfgang ; Dichtl, Hubert. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308922001206.

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2023Factor-timing in the Chinese factor zoo: The role of economic policy uncertainty. (2023). Wang, Tianyi ; Yu, Mei ; Li, Zhiyong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000501.

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2023A privacy-preserving robo-advisory system with the Black-Litterman portfolio model: A new framework and insights into investor behavior. (2023). Lee, Jaewook ; Byun, Junyoung ; Ko, Hyungjin. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001415.

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2024New insights into liquidity resiliency. (2024). Papavassiliou, Vassilios ; Boubaker, Sabri ; Osullivan, Conall ; Wafula, Ronald Wekesa. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001609.

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2023RIM-based value premium and factor pricing using value-price divergence. (2023). Wang, Guojun ; George, Nathan Darden ; Cong, Lin William. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000377.

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2023Fed communication on financial stability concerns and monetary policy decisions: Revelations from speeches. (2023). Sestieri, Giulia ; Odendahl, Florens ; Istrefi, Klodiana. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:151:y:2023:i:c:s0378426623000456.

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2023Canonical portfolios: Optimal asset and signal combination. (2023). Firoozye, Nikan ; Zohren, Stefan ; Tan, Vincent. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001577.

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2023Why does option-implied volatility forecast realized volatility? Evidence from news events. (2023). Li, Gang ; Chen, Sipeng. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:156:y:2023:i:c:s0378426623002108.

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2023Dynamic asset (mis)pricing: Build-up versus resolution anomalies. (2023). OPP, CHRISTIAN ; Tamoni, Andrea ; Boons, Martijn ; van Binsbergen, Jules H. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:406-431.

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2023Heterogeneous liquidity providers and night-minus-day return predictability. (2023). Qin, Zhongling ; Malliaris, Steven ; Lu, Zhongjin. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:3:p:175-200.

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2023What matters in a characteristic?. (2023). Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:1:p:52-72.

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2023Machine-learning the skill of mutual fund managers. (2023). van Nieuwerburgh, Stijn ; Pelger, Markus ; Lin, Zihan ; Kaniel, Ron. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:1:p:94-138.

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2023Cross-stock momentum and factor momentum. (2023). Yu, Jialin ; Yan, Jingda. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:2:s0304405x23001563.

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2024Persistent and transitory components of firm characteristics: Implications for asset pricing. (2024). Tamoni, Andrea ; Boons, Martijn ; Baba-Yara, Fahiz. In: Journal of Financial Economics. RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x2400031x.

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2024Missing values handling for machine learning portfolios. (2024). McCoy, Jack ; Chen, Andrew Y. In: Journal of Financial Economics. RePEc:eee:jfinec:v:155:y:2024:i:c:s0304405x24000382.

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2023Central bank mandates: How differences can influence the content and tone of central bank communication. (2023). Siklos, Pierre ; Kanelis, Dimitrios ; Bohl, Martin T. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001553.

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2023Are monetary policy shocks causal to bank health? Evidence from the euro area. (2023). Jung, Alexander. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:75:y:2023:i:c:s0164070422000878.

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2023Inflation targeting and inflation communication of the Federal Reserve: Words and deeds. (2023). Kempa, Bernd ; Hupper, Florian. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:75:y:2023:i:c:s0164070422000908.

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2023High-dimensional portfolio optimization based on tree-structured factor model. (2023). Zhu, Shushang ; Zhao, Huimin ; Zheng, Tiantian ; Ni, Xuanming. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:81:y:2023:i:c:s0927538x23001774.

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2023Cloning mutual fund returns. (2023). Niemann, Sebastian ; Schuhmacher, Frank ; Auer, Benjamin R. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:31-37.

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2023Nonlinearity in the cross-section of stock returns: Evidence from China. (2023). Chen, Dongxu ; Tong, Guoshi ; Wu, KE ; Wang, Jianqiu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:174-205.

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2023The evolvement of momentum effects in China: Evidence from functional data analysis. (2023). Wang, Shixuan ; Teka, Hanen ; Liu, Zhenya. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002197.

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2024Mind Your Language: Market Responses to Central Bank Speeches. (2023). Yang, Xiye ; Neely, Christopher J ; McMahon, Michael ; Erdemlioglu, Deniz ; Ahrens, Maximilian. In: Working Papers. RePEc:fip:fedlwp:96270.

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2023A penalized two-pass regression to predict stock returns with time-varying risk premia. (2023). Scaillet, Olivier ; Bakalli, Gaetan ; Guerrier, Stephane. In: Post-Print. RePEc:hal:journl:hal-04325655.

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2023Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance. (2023). Shi, Zhan ; Huang, Jing-Zhi. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:3:p:1780-1804.

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2023Machine Learning vs. Economic Restrictions: Evidence from Stock Return Predictability. (2023). Metzker, Lior ; Cheng, SI ; Avramov, Doron. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2587-2619.

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2023Exploring the Nonlinear Idiosyncratic Volatility Puzzle: Evidence from China. (2023). Yao, Yao ; Louhichi, Wael ; Liu, Zhenya ; Boubaker, Sabri. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10265-3.

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2023Man versus Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases. (2023). Lopez-Lira, Alejandro ; Han, Xiao ; van Binsbergen, Jules H. In: Review of Financial Studies. RePEc:oup:rfinst:v:36:y:2023:i:6:p:2361-2396..

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2024Identifying factors via automatic debiased machine learning. (2024). Wang, Zhuo ; Maasoumi, Esfandiar ; Wu, KE. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:3:p:438-461.

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2023The battle of the factors: Macroeconomic variables or investor sentiment?. (2023). Molyboga, Marat ; Mascio, David A ; Fabozzi, Frank J. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:8:p:2280-2291.

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2023Deep parametric portfolio policies. (2023). Zimmermann, Tom ; Weibels, Sebastian ; Simon, Frederik. In: CFR Working Papers. RePEc:zbw:cfrwps:2301.

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2023Clustering-based sector investing. (2023). Goodarzi, Milad ; Bagnara, Matteo. In: SAFE Working Paper Series. RePEc:zbw:safewp:397.

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Works by Andreas Neuhierl:

YearTitleTypeCited
2023Economic Forecasts Using Many Noises In: Papers.
[Full Text][Citation analysis]		paper0
2020Monetary Momentum In: Working Papers.
[Full Text][Citation analysis]		paper2
2017Monetary Momentum.(2017) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2018Monetary Momentum.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2012Growth Optimal Investment Strategy: The Impact of Reallocation Frequency and Heavy Tails In: German Economic Review.
[Full Text][Citation analysis]		article1
2012Growth Optimal Investment Strategy: The Impact of Reallocation Frequency and Heavy Tails.(2012) In: German Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2016Monetary Policy and the Stock Market: Time-Series Evidence In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper16
2016Monetary Policy and the Stock Market: Time-Series Evidence.(2016) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2017Monetary Policy and the Stock Market: Time Series Evidence.(2017) In: 2017 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2017Dissecting Characteristics Nonparametrically In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper149
2018Dissecting Characteristics Nonparametrically.(2018) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 149		paper
2017Dissecting Characteristics Nonparametrically.(2017) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 149		paper
2020Dissecting Characteristics Nonparametrically.(2020) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 149		article
2013Market Reaction to Corporate Press Releases In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article33
2021Data snooping in equity premium prediction In: International Journal of Forecasting.
[Full Text][Citation analysis]		article3
2021Estimating the anomaly base rate In: Journal of Financial Economics.
[Full Text][Citation analysis]		article12
2019Estimating The Anomaly Base Rate.(2019) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2021Frequency dependent risk In: Journal of Financial Economics.
[Full Text][Citation analysis]		article4
2019Monetary policy communication, policy slope, and the stock market In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article33
2018Casino game markets In: Chapters.
[Full Text][Citation analysis]		chapter1
2022Missing Data in Asset Pricing Panels In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2011Data Snooping and Market-Timing Rule Performance In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article7
2021Arbitrage Portfolios In: The Review of Financial Studies.
[Full Text][Citation analysis]		article4
In: .
[Full Text][Citation analysis]		paper0

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