G. William Schwert : Citation Profile

University of Rochester (50% share)
National Bureau of Economic Research (NBER) (50% share)

32

H index

41

i10 index

9514

Citations

RESEARCH PRODUCTION:

44

Articles

28

Papers

2

Chapters

RESEARCH ACTIVITY:

   45 years (1977 - 2022). See details.
   Cites by year: 211
   Journals where G. William Schwert has often published
   Relations with other researchers
   Recent citing documents: 366.    Total self citations: 16 (0.17 %)

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   Permalink: http://citec.repec.org/psc116
   Updated: 2026-01-03    RAS profile: 2024-03-06    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with G. William Schwert.

Is cited by:

Bollerslev, Tim (73)

GUPTA, RANGAN (72)

Renneboog, Luc (52)

Campbell, John (50)

Andersen, Torben (48)

Bekaert, Geert (46)

Ghysels, Eric (42)

Diebold, Francis (39)

Degiannakis, Stavros (38)

Wohar, Mark (37)

Nelson, Charles (35)

Cites to:

Ritter, Jay (11)

Ljungqvist, Alexander (8)

Campbell, John (7)

French, Kenneth (5)

Hanley, Kathleen (5)

Christie, William (4)

Shiller, Robert (4)

Fama, Eugene (3)

Lowry, Michelle (3)

Shleifer, Andrei (3)

Grossman, Sanford (3)

Main data

Where G. William Schwert has published?

Journals with more than one article published# docs
Journal of Financial Economics12
Journal of Finance8
Carnegie-Rochester Conference Series on Public Policy5
Journal of Monetary Economics3
Journal of Econometrics2
Journal of Business & Economic Statistics2
Journal of Political Economy2
The Journal of Business2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc19

Recent works citing G. William Schwert (2025 and 2024)

YearTitle of citing document
2025Asymmetric effect of monetary policy on stock market performance in the ECOWAS zone: empirical evidence from the NARDL approach. (2025). Prao, Yao Sraphin ; Kongoza, Kouassi Cyrille. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxii:y:2025:i:1(642):p:149-166.

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2024Option Pricing Revisited: The Role of Price Volatility and Dynamics. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343544.

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2024Option Pricing Revisited: The Role of Price Volatility and Dynamics. (2024). Wang, Linjie ; Chavas, Jean-Paul ; Li, Jian. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343544.

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2025The Impact of Financial Indicators and Stock Market Volatility on Stock Returns in Nigeria: Evidence from Panel Analysis. (2025). Ayinuola, Tunde Folorunso ; Otonne, Adewumi. In: African Journal of Economic Review. RePEc:ags:afjecr:362950.

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2025Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Shamsudin, Luqman ; Li, Xiao. In: FEEM Working Papers. RePEc:ags:feemwp:349169.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

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2024What Determines Equity Returns in Emerging Markets?. (2024). Foye, James. In: CAFE Working Papers. RePEc:akf:cafewp:29.

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2025Quantile-Frequency Analysis and Spectral Divergence Metrics for Diagnostic Checks of Time Series With Nonlinear Dynamics. (2019). Li, Ta-Hsin. In: Papers. RePEc:arx:papers:1908.02545.

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2024Data-Driven Risk Measurement by SV-GARCH-EVT Model. (2024). , Shibo. In: Papers. RePEc:arx:papers:2201.09434.

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2024Bayesian Neural Networks for Macroeconomic Analysis. (2024). Marcellino, Massimiliano ; Huber, Florian ; Hauzenberger, Niko ; Klieber, Karin. In: Papers. RePEc:arx:papers:2211.04752.

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2024Security Issuance, Institutional Investors and Quid Pro Quo. (2024). Aryal, Gaurab ; Chen, Zhaohui ; Yao, Yuchi ; Yung, Chris. In: Papers. RePEc:arx:papers:2211.16643.

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2025Utility-based indifference pricing of pure endowments in a Markov-modulated market model. (2023). Salterini, Benedetta ; Cretarola, Alessandra. In: Papers. RePEc:arx:papers:2301.13575.

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2024Maximally Machine-Learnable Portfolios. (2024). Goulet Coulombe, Philippe ; Goebel, Maximilian. In: Papers. RePEc:arx:papers:2306.05568.

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2024An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics. (2024). Cao, YI ; Polukarov, Maria ; Li, Haochen ; Ventre, Carmine. In: Papers. RePEc:arx:papers:2308.14235.

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2024Regret-Optimal Federated Transfer Learning for Kernel Regression with Applications in American Option Pricing. (2024). Yang, Xuwei ; Grasselli, Matheus ; Krach, Florian ; Lucchi, Aurelien ; Kratsios, Anastasis. In: Papers. RePEc:arx:papers:2309.04557.

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2024Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factors. (2024). Yu, Xiang ; Wang, Wenyuan ; Yan, Kaixin. In: Papers. RePEc:arx:papers:2401.14672.

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2024Information-Enriched Selection of Stationary and Non-Stationary Autoregressions using the Adaptive Lasso. (2024). Reinschlussel, Thilo ; Arnold, Martin C. In: Papers. RePEc:arx:papers:2402.16580.

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2024Do Weibo platform experts perform better at predicting stock market?. (2024). Ma, Ziyuan ; Chochlov, Muslim ; Buckley, Jim ; Ryan, Conor. In: Papers. RePEc:arx:papers:2403.00772.

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2024Causality-Inspired Models for Financial Time Series Forecasting. (2024). Lu, Yutong ; Lin, XI ; Cucuringu, Mihai ; Oliveira, Daniel Cunha ; Fujita, Andre. In: Papers. RePEc:arx:papers:2408.09960.

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2024Evaluating Credit VIX (CDS IV) Prediction Methods with Incremental Batch Learning. (2024). Taylor, Robert. In: Papers. RePEc:arx:papers:2408.15404.

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2024Model-based and empirical analyses of stochastic fluctuations in economy and finance. (2024). Zadourian, Rubina. In: Papers. RePEc:arx:papers:2408.16010.

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2024Optimal portfolio under ratio-type periodic evaluation in stochastic factor models under convex trading constraints. (2024). Yu, Xiang ; Yan, Kaixin ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:2411.13579.

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2024Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517.

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2025Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Li, Xiao ; Shamsudin, Luqman. In: Papers. RePEc:arx:papers:2501.16069.

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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.

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2025Assessing Uncertainty in Stock Returns: A Gaussian Mixture Distribution-Based Method. (2025). Wang, Yanlong ; Xu, Jian ; Huang, Shao-Lun ; Sun, Danny Dongning ; Zhang, Xiao-Ping. In: Papers. RePEc:arx:papers:2503.06929.

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2025The E-Rule: A Novel Composite Indicator for Predicting Economic Recessions. (2025). Ebadi, Esmaeil. In: Papers. RePEc:arx:papers:2503.09839.

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2025Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767.

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2025Asymmetry in Distributions of Accumulated Gains and Losses in Stock Returns. (2025). Serota, R A ; Farahani, Hamed. In: Papers. RePEc:arx:papers:2503.24241.

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2025A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction. (2025). Pigato, Paolo ; Pra, Paolo Dai. In: Papers. RePEc:arx:papers:2504.03445.

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2025The impact of institutional quality on the relation between FDI and house prices in ASEAN emerging countries. (2025). Le, Hoang-Anh. In: Papers. RePEc:arx:papers:2504.13459.

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2025Assessing the Dynamics of the Coffee Value Chain in Davao del Sur: An Agent-Based Modeling Approach. (2025). Fae, Giovanna ; Aila, Novy ; Stephanie, Lucia. In: Papers. RePEc:arx:papers:2505.05797.

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2025Machine learning approach to stock price crash risk. (2025). Karasan, Abdullah ; Weber, Gerhard-Wilhelm ; Alp, Ozge Sezgin. In: Papers. RePEc:arx:papers:2505.16287.

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2025Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?. (2025). Pollok, Austin. In: Papers. RePEc:arx:papers:2506.07928.

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2025Electricity Market Predictability: Virtues of Machine Learning and Links to the Macroeconomy. (2025). Cai, Jinbo ; Wang, Wenjie ; Li, Wenze. In: Papers. RePEc:arx:papers:2507.07477.

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2025Causal Inference in Financial Event Studies. (2025). Goldsmith-Pinkham, Paul ; Lyu, Tianshu. In: Papers. RePEc:arx:papers:2511.15123.

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2025Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models. (2025). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2546.

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2024Are Industry Returns Informative about Other Industries and Fundamentals?. (2024). Laopodis, Nikiforos T. In: Journal of Economic Analysis. RePEc:bba:j00001:v:0:y:2024:i:1:p:1-:d:310.

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2025Are Industry Returns Informative about Other Industries and Fundamentals?. (2025). laopodis, nikiforos. In: Journal of Economic Analysis. RePEc:bba:j00001:v:4:y:2025:i:1:p:1-28:d:310.

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2024Inflation Expectations, U.S. Categorical Equity Market Uncertainty and Real Stock Returns – Evidence from Global Markets. (2024). Chiang, Thomas C. In: Financial Economics Letters. RePEc:bba:j00007:v:3:y:2024:i:4:p:13-35:d:373.

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2025Inflation volatility across advanced and emerging economies during the COVID-19 pandemic. (2025). Briseo, Regina ; Arango-Castillo, Lenin ; Orraca, Mara Jos. In: Working Papers. RePEc:bdm:wpaper:2025-13.

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2024Relationship between Monthly Common Stock Prices and Monthly Inflation in India. (2024). Kumar, Amit. In: International Journal of Economics. RePEc:bdu:ijecon:v:9:y:2024:i:1:p:21-30:id:2296.

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2024Accounting for Inflation: The Dog That Didnt Bark. (2024). Ball, Ray. In: Abacus. RePEc:bla:abacus:v:60:y:2024:i:1:p:1-12.

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2024The effect of auditor experience on stock price crash risk. (2024). Zhang, Yifan ; Peng, Tao ; Li, Siying ; Wang, Liangcheng. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:411-444.

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2024The disciplinary role of unsuccessful takeovers and changes in corporate governance. (2024). Shan, Yaowen ; Zu, Yanglan ; Bugeja, Martin. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:941-973.

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2024Does sustainable development matter for initial public offering underpricing?. (2024). Boulton, Thomas J. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:33:y:2024:i:8:p:8361-8387.

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2024Do markets Trump politics? Fossil and renewable market reactions to major political events. (2024). Mukanjari, Samson ; Sterner, Thomas. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:2:p:805-836.

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2024Rent or Buy? Inflation Experiences and Homeownership within and across Countries. (2024). Wellsjo, Alexandra Steiny ; Malmendier, Ulrike. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:1977-2023.

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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.

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2024A Multifactor Perspective on Volatility‐Managed Portfolios. (2024). Uppal, Raman ; Martnutrera, Alberto ; Demiguel, Victor. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:6:p:3859-3891.

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2024Non‐executive Employee Ownership and Target Selection in High‐Tech Mergers and Acquisitions. (2024). Shi, Wei ; Li, Jiangyan ; McNamara, Gerry. In: Journal of Management Studies. RePEc:bla:jomstd:v:61:y:2024:i:5:p:2033-2071.

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2024Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility. (2024). Yu, Jin ; Liu, Guangying ; Hao, Hongxia ; Lin, Jin Guan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:613-638.

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2024Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS. (2024). Gallo, Giampiero ; Otranto, Edoardo ; Domianello, Luca Scaffidi. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:1:p:21-43.

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2024‘From aspirations for climate action to the reality of climate disasters’: Can remittances play key role in disaster response?. (2024). Selmi, Refk ; Makhlouf, Farid. In: The World Economy. RePEc:bla:worlde:v:47:y:2024:i:8:p:3487-3510.

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2025CALENDAR EFFECTS IN IRAQ STOCK EXCHANGE SECTOR RETURNS. (2025). Faez, Hasan Mohammed. In: Revista Economica. RePEc:blg:reveco:v:77:y:2025:i:2:p:7-34.

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2025Forecasting Macro with Finance. (2025). Schmitz, N ; Bachmair, K. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2574.

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2025Beyond Aggregates: A Dual Lens on Eurozone Trend Inflation. (2025). Yakut, Dilan Aydin. In: Research Technical Papers. RePEc:cbi:wpaper:3/rt/25.

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2024Stagflationary Stock Returns. (2024). Timmer, Yannick ; Knox, Ben. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11236.

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2025Persistence in Real GDP: Evidence from Europe and the US. (2025). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11764.

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2025The ‘Secret Sauce’?: Understanding the Success of the State Bank of North Dakota. (2025). Chirinko, Robert S. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11819.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2024024.

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2025Changes in Inflation Expectations and Firm Performance during Recent Global Economic Shocks. (2025). Selmi, Refk. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2025:v:26:i:2:selmi.

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2025Day-of-the-week effect: a meta-analysis. (2025). Grebe, Leonard ; Schiereck, Dirk. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:154180.

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2025The Returns of US Capital Market in the First Days of Purchase Transactions Associated to the Halloween Strategies. (2025). Dumitriu, Ramona ; Stefanescu, Razvan. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2025:i:2:p:265-272.

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2025Has the rise of legal sports betting reduced lottery revenues? Evidence from New York. (2025). Baumann, Robert. In: Economics Bulletin. RePEc:ebl:ecbull:eb-25-00044.

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2025Persistence in real GDP: Evidence from Europe and the US. (2025). Caporale, Guglielmo Maria ; Gil-Alana, Luis Alberiko. In: Economics Bulletin. RePEc:ebl:ecbull:eb-25-00151.

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2024Inflation preferences. (2024). Priftis, Romanos ; Afrouzi, Hassan ; Schoenle, Raphael S ; Ove, Kristian ; Dietrich, Alexander M. In: Working Paper Series. RePEc:ecb:ecbwps:20242957.

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2025Investor sentiment and dynamic connectedness in European markets: insights from the covid-19 and Russia-Ukraine conflict. (2025). Santon, Alessandro ; Harasheh, Murad ; Bouteska, Ahmed ; Buchetti, Bruno. In: Working Paper Series. RePEc:ecb:ecbwps:20253050.

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2024Unveiling Interconnectedness and Volatility Transmission: A Novel GARCH Analysis of Leading Global Cryptocurrencies. (2024). Kushwah, Silky Vigg ; Hundal, Shab ; Goel, Payal. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2024-03-16.

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2024Economic Diversification, Oil Revenue and Energy Transition in Oil Dependent Countries: A Wavelet Decomposition and Panel Data Approach. (2024). ben Hamida, Hela ; Aloui, Chaker ; Hathroubi, Salem. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-05-46.

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2024Optimal public deficit and tax-smoothing in the Spanish economy, 1850-2022. (2024). Congregado, Emilio ; Esteve, Vicente ; Maria, Juan A. In: Working Papers. RePEc:eec:wpaper:2401.

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2024Privileged information access, analyst consensus building, and stock return volatility: Evidence from the JOBS Act. (2024). Jin, Shunyao ; Kimbrough, Michael D ; Wang, Isabel Yanyan. In: Advances in accounting. RePEc:eee:advacc:v:64:y:2024:i:c:s0882611023000883.

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2025What drives citations in tourism research?. (2025). Zhang, DI ; Shao, Yuhong ; Huang, Songshan. In: Annals of Tourism Research. RePEc:eee:anture:v:110:y:2025:i:c:s0160738324001476.

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2024Firm-specific climate risk and market valuation. (2024). berkman, henk ; Soderstrom, Naomi ; Jona, Jonathan. In: Accounting, Organizations and Society. RePEc:eee:aosoci:v:112:y:2024:i:c:s0361368224000072.

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2024Prospect theory in M&A: Do historical purchase prices affect merger offer premiums and announcement returns?. (2024). Mugerman, Yevgeny ; Shemesh, Joshua ; Lauterbach, Beni. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:42:y:2024:i:c:s2214635024000467.

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2024Extrapolative beliefs and return predictability: Evidence from China. (2024). Liu, Yumin ; Jiang, Fuwei ; Zhang, Huajing. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:43:y:2024:i:c:s2214635024000728.

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2025Does corporate environmental responsibility create value?: Evidence from supreme Court rulings. (2025). Kim, Tae Hyun. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:45:y:2025:i:c:s2214635024001217.

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2025Why does good news increase stock price crash risk: An explanation based on the gambling channel. (2025). Yang, Liu ; Lee, Eunmi Tatum. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:47:y:2025:i:c:s221463502500070x.

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2024IPO price formation and board gender diversity. (2024). Rau, Raghavendra ; Vermaelen, Theo ; Sandvik, Jason. In: Journal of Corporate Finance. RePEc:eee:corfin:v:88:y:2024:i:c:s0929119924000919.

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2025Misconduct in the SPAC market: Evidence from venture capital exits. (2025). Proelss, Juliane ; Groh, Alexander Peter ; Schweizer, Denis ; Sannajust, Aurlie. In: Journal of Corporate Finance. RePEc:eee:corfin:v:93:y:2025:i:c:s0929119925000604.

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

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2024Ambiguity and risk in the oil market. (2024). Qadan, Mahmoud ; Ayoub, Mahmoud. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999324000075.

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2024The volume-implied volatility relation in financial markets: A behavioral explanation. (2024). Cheuathonghua, Massaporn ; Padungsaksawasdi, Chaiyuth. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000238.

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2024Cross-regional connectedness of financial market: Measurement and determinants. (2024). Wang, Xuya ; Yang, Xin ; Zhao, Lili ; Cao, Jie ; Huang, Chuangxia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000822.

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2024Can U.S. macroeconomic indicators forecast cryptocurrency volatility?. (2024). Su, Yi-Kai ; Tzeng, Kae-Yih. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001499.

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2025A common component of Fama and French factor variances. (2025). Grobys, Klaus ; Fathi, Masoumeh ; Ij, Janne. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002171.

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2025Reaction of the U.S. Treasury market to economic news when intrapersonal uncertainty and interpersonal disagreement are high. (2025). Ozocak, Onem. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002821.

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2025Effect of digital finance on household financial asset allocation: a social psychology perspective. (2025). Shi, Jianxun ; Yang, Jing ; Xu, Ling. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000671.

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2025The dynamics of corporate climate risk and market volatility: International evidence. (2025). Zhu, Xiaoxian ; Guo, Yongsheng ; Naseer, Mirza Muhammad. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000750.

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2025From collapse to contagion: How bank failures influence stock markets. (2025). Tepl, Petr ; Bro, Vclav. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000841.

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2025Ambiguity and stock price crash risk: Evidence from China. (2025). Guo, Shuxin ; Liu, Qiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000981.

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2025Strategic information asymmetry in tail-risk markets. (2025). Ardakani, Omid M. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825001007.

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2024Speculative and non-speculative equity premia. (2024). Dorobiala, Zachary ; Ghazi, Soroush ; Schneider, Mark. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524001022.

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2025Supply chain constraints and the predictability of the conditional distribution of international stock market returns and volatility. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Bouri, Elie ; Liu, Ruipeng. In: Economics Letters. RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176525000138.

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2024Volatility of volatility and leverage effect from options. (2024). Todorov, Viktor ; Chong, Carsten H. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000150.

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2024Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach. (2024). Su, Liangjun ; Phillips, Peter ; Ke, Shuyao. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624001076.

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2025When uncertainty and volatility are disconnected: Implications for asset pricing and portfolio performance. (2025). At-Sahalia, Yacine ; Matthys, Felix ; Osambela, Emilio ; Sircar, Ronnie. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407623003706.

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2025Predictive quantile regressions with persistent and heteroskedastic predictors: A powerful 2SLS testing approach. (2025). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000569.

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2024A new macro-financial condition index for the euro area. (2024). MORANA, CLAUDIO. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:64-87.

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2025The dynamics of U.S. industrial production: A time-varying Granger causality perspective. (2025). Otero, Jesus ; Hurn, Stan ; Baum, Christopher. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:13-22.

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2025Joint Hypothesis Testing from Heterogeneous Samples under Cross-dependence. (2025). Hassler, Uwe ; Hosseinkouchack, Mehdi. In: Econometrics and Statistics. RePEc:eee:ecosta:v:35:y:2025:i:c:p:41-54.

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

Works by G. William Schwert:

YearTitleTypeCited
1977Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis That the Real Rate of Interest is Constant. In: American Economic Review.
[Full Text][Citation analysis]		article138
2002Tests for Unit Roots: A Monte Carlo Investigation. In: Journal of Business & Economic Statistics.
[Citation analysis]		article781
1989Tests for Unit Roots: A Monte Carlo Investigation..(1989) In: Journal of Business & Economic Statistics.
[Citation analysis]
This paper has nother version. Agregated cites: 781		article
1988Tests For Unit Roots: A Monte Carlo Investigation.(1988) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 781		paper
2011Stock Volatility during the Recent Financial Crisis In: European Financial Management.
[Full Text][Citation analysis]		article91
2011Stock Volatility During the Recent Financial Crisis.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 91		paper
1981The Adjustment of Stock Prices to Information about Inflation. In: Journal of Finance.
[Full Text][Citation analysis]		article151
1989 Why Does Stock Market Volatility Change over Time? In: Journal of Finance.
[Full Text][Citation analysis]		article1152
1990 Heteroskedasticity in Stock Returns. In: Journal of Finance.
[Full Text][Citation analysis]		article182
1988HETEROSKEDASTICITY IN STOCK RETURNS.(1988) In: Rochester, Business - General.
[Citation analysis]
This paper has nother version. Agregated cites: 182		paper
1989Heteroskedasticity in Stock Returns.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 182		paper
1990 Stock Returns and Real Activity: A Century of Evidence. In: Journal of Finance.
[Full Text][Citation analysis]		article345
1990Stock Returns and Real Activity: A Century of Evidence.(1990) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 345		paper
2000Hostility in Takeovers: In the Eyes of the Beholder? In: Journal of Finance.
[Full Text][Citation analysis]		article335
1999Hostility in Takeovers: In the Eyes of the Beholder?.(1999) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 335		paper
2002Joint Editorial In: Journal of Finance.
[Full Text][Citation analysis]		article0
2002IPO Market Cycles: Bubbles or Sequential Learning? In: Journal of Finance.
[Full Text][Citation analysis]		article192
2000IPO Market Cycles: Bubbles or Sequential Learning?.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 192		paper
2010The Variability of IPO Initial Returns In: Journal of Finance.
[Full Text][Citation analysis]		article131
2006The Variability of IPO Initial Returns.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 131		paper
1979Potential GNP: Its measurement and significance : A dissenting opinion In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article29
1979Tests of causality : The message in the innovations In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article12
1986The time series behavior of real interest rates A comment In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article5
1989Business cycles, financial crises, and stock volatility : Reply to Shiller In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article66
1989Business cycles, financial crises, and stock volatility In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article146
1988BUSINESS CYCLES, FINANCIAL CRISES AND STOCK VOLATILITY.(1988) In: Rochester, Business - General.
[Citation analysis]
This paper has nother version. Agregated cites: 146		paper
1989Business Cycles, Financial Crises, and Stock Volatility.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 146		paper
1990Testing for covariance stationarity in stock market data In: Economics Letters.
[Full Text][Citation analysis]		article49
1990Alternative models for conditional stock volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article587
1989ALTERNATIVE MODELS FOR CONDITIONAL STOCK VOLATILITY.(1989) In: Rochester, Business - General.
[Citation analysis]
This paper has nother version. Agregated cites: 587		paper
1989Alternative Models For Conditional Stock Volatility.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 587		paper
1977Estimation of a non-invertible moving average process : The case of overdifferencing In: Journal of Econometrics.
[Full Text][Citation analysis]		article36
2003Anomalies and market efficiency In: Handbook of the Economics of Finance.
[Full Text][Citation analysis]		chapter359
2002Anomalies and Market Efficiency.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 359		paper
1985A discussion of CEO deaths and the reaction of stock prices In: Journal of Accounting and Economics.
[Full Text][Citation analysis]		article4
1983Size and stock returns, and other empirical regularities In: Journal of Financial Economics.
[Full Text][Citation analysis]		article47
1987Expected stock returns and volatility In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1700
1989Clinical papers and their role in the development of financial economics In: Journal of Financial Economics.
[Full Text][Citation analysis]		article16
1990Editorial In: Journal of Financial Economics.
[Full Text][Citation analysis]		article0
1993The journal of financial economics*1: A retrospective evaluation (1974-1991) In: Journal of Financial Economics.
[Full Text][Citation analysis]		article32
1995Poison or placebo? Evidence on the deterrence and wealth effects of modern antitakeover measures In: Journal of Financial Economics.
[Full Text][Citation analysis]		article233
1993Poison or Placebo? Evidence on the Deterrent and Wealth Effects of Modern Antitakeover Measures.(1993) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 233		paper
1996Markup pricing in mergers and acquisitions In: Journal of Financial Economics.
[Full Text][Citation analysis]		article304
1994Mark-up Pricing in Mergers and Acquisitions..(1994) In: Rochester, Business - Financial Research and Policy Studies.
[Citation analysis]
This paper has nother version. Agregated cites: 304		paper
1994Mark-Up Pricing in Mergers and Acquisitions.(1994) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 304		paper
1997Symposium on market microstructure: Focus on Nasdaq In: Journal of Financial Economics.
[Full Text][Citation analysis]		article9
1977Stock exchange seats as capital assets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article13
1977Human capital and capital market equilibrium In: Journal of Financial Economics.
[Full Text][Citation analysis]		article96
1977Asset returns and inflation In: Journal of Financial Economics.
[Full Text][Citation analysis]		article910
2004Is the IPO pricing process efficient? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article129
1987Effects of model specification on tests for unit roots in macroeconomic data In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article236
2002Stock volatility in the new millennium: how wacky is Nasdaq? In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article73
2001Stock Volatility in the New Millennium: How Wacky Is Nasdaq?.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 73		paper
1978Money, income, and sunspots: Measuring economic relationships and the effects of differencing In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article63
1989MARGIN REQUIREMENTS AND STOCK VOLATILITY. In: Columbia - Center for Futures Markets.
[Citation analysis]		paper35
1989STOCK VOLATILITY AND THE CRASH OF 87 In: Rochester, Business - General.
[Citation analysis]		paper404
1989Stock Volatility and the Crash of 87.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 404		paper
1990Stock Volatility and the Crash of 87..(1990) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 404		article
1989INDEXES OF UNITED STATES STOCK PRICES FROM 1802-1987 In: Rochester, Business - General.
[Citation analysis]		paper4
1989Indexes of United States Stock Prices From 1802 to 1987.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
1982Differencing as a Test of Specification. In: International Economic Review.
[Full Text][Citation analysis]		article24
1988Why Does Stock Market Volatility Change Over Time? In: NBER Working Papers.
[Full Text][Citation analysis]		paper25
2020The Remarkable Growth in Financial Economics, 1974-2020 In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
1998Stock Market Volatility: Ten Years After the Crash In: NBER Working Papers.
[Full Text][Citation analysis]		paper32
1997Stock Market Volatility: Ten Years After the Crash.(1997) In: Center for Financial Institutions Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 32		paper
2001Biases in the IPO Pricing Process In: NBER Working Papers.
[Full Text][Citation analysis]		paper8
2001Short Sales, Damages and Class Certification in 10b-5 Actions In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
1977Public Regulation of National Securities Exchanges: A Test of the Capture Hypothesis In: Bell Journal of Economics.
[Full Text][Citation analysis]		article12
2022Eugene F. Fama (1939–) In: Springer Books.
[Citation analysis]		chapter0
1981Using Financial Data to Measure Effects of Regulation. In: Journal of Law and Economics.
[Full Text][Citation analysis]		article174
1979Inflation, Interest, and Relative Prices. In: The Journal of Business.
[Full Text][Citation analysis]		article7
1990Indexes of U.S. Stock Prices from 1802 to 1987. In: The Journal of Business.
[Full Text][Citation analysis]		article78
1983Effects of Nominal Contracting on Stock Returns. In: Journal of Political Economy.
[Full Text][Citation analysis]		article36
1985Information Aggregation, Inflation, and the Pricing of Indexed Bonds. In: Journal of Political Economy.
[Full Text][Citation analysis]		article18

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