G. William Schwert : Citation Profile


Are you G. William Schwert?

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

32

H index

41

i10 index

9172

Citations

RESEARCH PRODUCTION:

44

Articles

28

Papers

2

Chapters

RESEARCH ACTIVITY:

   45 years (1977 - 2022). See details.
   Cites by year: 203
   Journals where G. William Schwert has often published
   Relations with other researchers
   Recent citing documents: 294.    Total self citations: 16 (0.17 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc116
   Updated: 2024-11-04    RAS profile: 2024-03-06    
   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 G. William Schwert.

Is cited by:

Bollerslev, Tim (73)

GUPTA, RANGAN (63)

Renneboog, Luc (52)

Campbell, John (50)

Andersen, Torben (48)

Bekaert, Geert (45)

Ghysels, Eric (42)

Diebold, Francis (39)

Degiannakis, Stavros (38)

Wohar, Mark (36)

Nelson, Charles (35)

Cites to:

Ritter, Jay (11)

Ljungqvist, Alexander (8)

Campbell, John (7)

French, Kenneth (5)

Hanley, Kathleen (5)

Shiller, Robert (4)

Christie, William (4)

Shleifer, Andrei (3)

Stambaugh, Robert (3)

Lowry, Michelle (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 Political Economy2
Journal of Business & Economic Statistics2
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 (2024 and 2023)


YearTitle of citing document
2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984.

Full description at Econpapers || Download paper

2023Information Transmission between Banks and the Market for Corporate Control. (2023). Saidi, Farzad ; Pala, Melissa ; Fecht, Falko ; Bittner, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:250.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434.

Full description at Econpapers || Download paper

2024Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752.

Full description at Econpapers || Download paper

2024Security Issuance, Institutional Investors and Quid Pro Quo: Insights from SPACs. (2022). Aryal, Gaurab ; Yung, Chris ; Yao, Yuchi ; Chen, Zhaohui. In: Papers. RePEc:arx:papers:2211.16643.

Full description at Econpapers || Download paper

2023Bitcoin Does Not Hedge Inflation. (2023). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2301.10117.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Physical Momentum in the Indian Stock Market. (2023). Das, Tulasi Narendra ; Devulapally, Naresh Kumar. In: Papers. RePEc:arx:papers:2302.13245.

Full description at Econpapers || Download paper

2023Stock Broad-Index Trend Patterns Learning via Domain Knowledge Informed Generative Network. (2023). Wang, Guiling ; Deek, Fadi P ; Gu, Jingyi. In: Papers. RePEc:arx:papers:2302.14164.

Full description at Econpapers || Download paper

2023Predicting Stock Price Movement as an Image Classification Problem. (2023). Steinbacher, Matej. In: Papers. RePEc:arx:papers:2303.01111.

Full description at Econpapers || Download paper

2023Optimal Investment and Consumption Strategies with General and Linear Transaction Costs under CRRA Utility. (2023). Zhang, Qiang ; Miao, Yingting. In: Papers. RePEc:arx:papers:2304.07672.

Full description at Econpapers || Download paper

2023Stock Price Predictability and the Business Cycle via Machine Learning. (2023). Fan, Xiuyi ; Fu, Hsuan ; Wang, Lirong. In: Papers. RePEc:arx:papers:2304.09937.

Full description at Econpapers || Download paper

2024Maximally Machine-Learnable Portfolios. (2023). Goebel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2306.05568.

Full description at Econpapers || Download paper

2024An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics. (2023). Ventre, Carmine ; Polukarov, Maria ; Cao, YI ; Li, Haochen. In: Papers. RePEc:arx:papers:2308.14235.

Full description at Econpapers || Download paper

2024Regret-Optimal Federated Transfer Learning for Kernel Regression with Applications in American Option Pricing. (2023). Lucchi, Aurelien ; Grasselli, Matheus ; Krach, Florian ; Kratsios, Anastasis ; Yang, Xuwei. In: Papers. RePEc:arx:papers:2309.04557.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303.

Full description at Econpapers || Download paper

2023Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Excess Asset Returns Predictability in an Emerging Economy: The Case of Colombia. (2023). Sarmiento, Eduardo ; López, Martha. In: Borradores de Economia. RePEc:bdr:borrec:1243.

Full description at Econpapers || Download paper

2023Audit Effort and Stock Price Crash Risk. (2023). Zhou, Wei ; Wu, Liansheng ; Luo, Wei ; Han, Xiaomei. In: Abacus. RePEc:bla:abacus:v:59:y:2023:i:1:p:230-257.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023IPO suspension and pricing: Evidence from China. (2023). Shen, Zhe ; Zhao, Junkun ; Huang, Yong. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:5:p:5143-5182.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023The Impact of the Tone of a Prospectus on IPO Underpricing: Evidence from China. (2023). Chi, Qinwei ; Qi, Jun ; Ouyang, Junyan. In: Australian Accounting Review. RePEc:bla:ausact:v:33:y:2023:i:4:p:375-390.

Full description at Econpapers || Download paper

2023Americas decoupling from China: A perspective from stock markets. (2023). Liu, Kerry. In: Economic Affairs. RePEc:bla:ecaffa:v:43:y:2023:i:1:p:32-52.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023A rundown of merger target run?ups. (2021). Verwijmeren, Patrick ; Vagenasnanos, Evangelos ; Dutordoir, Marie ; Wu, Betty. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:2:p:487-518.

Full description at Econpapers || Download paper

2023Auctions versus bookbuilding: The effects of IPO regulation in Japan. (2023). Weber, Matthias ; Lehmann, Timo. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:1:p:117-141.

Full description at Econpapers || Download paper

2023Understanding the transmission of crash risk between cryptocurrency and equity markets. (2023). Corbet, Shaen ; Liu, Zhifeng ; Toan, Luu Duc ; Goodell, John W ; Dai, Pengfei. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:3:p:539-573.

Full description at Econpapers || Download paper

2023Average skewness in global equity markets. (2023). Kirli, Imra ; Gunaydin, Doruk A ; Demirtas, Ozgur K ; Atilgan, Yigit. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:245-271.

Full description at Econpapers || Download paper

2024The Value Premium and Time‐Varying Volatility. (2009). Brooks, Chris ; Li, Xiafei ; Miffre, Joelle. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:36:y:2009:i:9-10:p:1252-1272.

Full description at Econpapers || Download paper

2023The consequences of earnings management for the acquisition premium in friendly takeovers. (2023). Spadetti, Cedric ; Missonierpiera, Franck. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:50:y:2023:i:1-2:p:308-334.

Full description at Econpapers || Download paper

2023Macroeconomic News in Asset Pricing and Reality. (2023). Duffee, Gregory R. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1499-1543.

Full description at Econpapers || Download paper

2024A new volatility model: GQARCH?ItÔ model. (2022). Xu, LU ; Sun, Yulei ; Yuan, Huiling ; Cui, Xiangyu ; Zhou, Yong. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:345-370.

Full description at Econpapers || Download paper

2024EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING. (2009). Cadenillas, Abel ; Sotomayor, Luz Rocio . In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:251-279.

Full description at Econpapers || Download paper

2023How Wealthy are the Rich?. (2023). Milaković, Mishael ; Schulz, Jan. In: Review of Income and Wealth. RePEc:bla:revinw:v:69:y:2023:i:1:p:100-123.

Full description at Econpapers || Download paper

2023Oil and the Stock Market Revisited: A mixed functional VAR approach. (2023). Bjørnland, Hilde ; Cross, Jamie L ; Chang, Yoosoon ; Bjrnland, Hilde C. In: Working Papers. RePEc:bny:wpaper:0114.

Full description at Econpapers || Download paper

2023The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets. (2023). Bachmair, K. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2303.

Full description at Econpapers || Download paper

2023Macroeconomic Expectations and State-Dependent Factor Returns. (2023). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10720.

Full description at Econpapers || Download paper

2023Do investors care about carbon risk? The impact of the Paris agreement on the inflation hedging performance of commodities. (2023). Selmi, Refk. In: Economics Bulletin. RePEc:ebl:ecbull:eb-22-00030.

Full description at Econpapers || Download paper

2023Education, employment, and labor force participation in the United States. (2023). Emerson, Jamie. In: Economics Bulletin. RePEc:ebl:ecbull:eb-23-00244.

Full description at Econpapers || Download paper

2023Who bears the costs of inflation? Euro area households and the 2021–2022 shock. (2023). Paz-Pardo, Gonzalo ; Pallotti, Filippo ; Violante, Giovanni L ; Tristani, Oreste ; Slacalek, Jiri. In: Working Paper Series. RePEc:ecb:ecbwps:20232877.

Full description at Econpapers || Download paper

2023The Dynamic Relationship among Domestic Stock Returns Volatility, Oil Prices, Exchange Rate and Macroeconomic Factors of Investment. (2023). Irmak, Esma ; Pelit, Irem ; Said, Laila Refiana ; Shabbir, Malik Shahzad. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-03-62.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023International spillovers of U.S. monetary uncertainty and equity market volatility to China’s stock markets. (2023). Lee, Chi-Chuan. In: Journal of Asian Economics. RePEc:eee:asieco:v:84:y:2023:i:c:s1049007822001312.

Full description at Econpapers || Download paper

2023Is the effect of shared auditors driven by shared audit partners? The case of M&As. (2023). Bond, David ; Czernkowski, Robert ; Bugeja, Martin ; Bedford, Anna. In: The British Accounting Review. RePEc:eee:bracre:v:55:y:2023:i:2:s0890838922000294.

Full description at Econpapers || Download paper

2023Syndicate structure and IPO outcomes: The impact of underwriter roles and syndicate concentration. (2023). King, Michael R ; Dunbar, Craig G. In: Journal of Corporate Finance. RePEc:eee:corfin:v:79:y:2023:i:c:s0929119923000317.

Full description at Econpapers || Download paper

2023The world cup in football and the US IPO market. (2023). Shekhar, Chander ; Lv, Jin Roc ; Fjesme, Sturla Lyngnes. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000597.

Full description at Econpapers || Download paper

2023Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density. (2023). Jach, Agnieszka ; McElroy, Tucker S. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:177:y:2023:i:c:s0167947322001608.

Full description at Econpapers || Download paper

2023Interest rate changes and the cross-section of global equity returns. (2023). Long, Huaigang ; Bianchi, Robert J ; Cakici, Nusret ; Zaremba, Adam. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188923000027.

Full description at Econpapers || Download paper

2023Acquiring for innovation: Evidence from the U.S. technology industry. (2023). Schiereck, Dirk ; Kaufmann, Mattheo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:152:y:2023:i:c:s0165188923000799.

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

2023The Effect of ESG performance on the stock market during the COVID-19 Pandemic — Evidence from Japan. (2023). Lu, Changrong ; Nemoto, Naoko ; Liu, Lian. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:702-712.

Full description at Econpapers || Download paper

2023Network centrality and technology acquisitions: Evidence from Chinas listed business groups. (2023). Cai, Jiayao ; Hai, Mengdie ; Xing, Fei. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322004187.

Full description at Econpapers || Download paper

2023A regime-switching model of stock returns with momentum and mean reversion. (2023). Zakamulin, Valeriy ; Giner, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000494.

Full description at Econpapers || Download paper

2023Testing for integration and cointegration when time series are observed with noise. (2023). Pelagatti, Matteo ; Parisio, Lucia ; Maranzano, Paolo ; Gianfreda, Angelica. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001645.

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

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.

Full description at Econpapers || Download paper

2023Impact of serial entrepreneurs on IPO valuation: Evidence from U.S. IPOs. (2023). Wu, Shuai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001929.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024First passage times in portfolio optimization: A novel nonparametric approach. (2024). , Paulo ; Nicolau, Joo ; Zsurkis, Gabriel. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:3:p:1074-1085.

Full description at Econpapers || Download paper

2023Inflation and west African sectoral stock price indices: An asymmetric kernel method analysis. (2023). Banto, Jean Michel ; Some, Sobom Matthieu ; Aurelien, Libaud Rudy. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122001042.

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

2023Estimation with mixed data frequencies: A bias-correction approach. (2023). Linton, Oliver ; Ghosh, Anisha. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000701.

Full description at Econpapers || Download paper

2023Social capital and the pricing of initial public offerings. (2023). Goyal, Abhinav ; Duong, Huu Nhan ; Chen, Yangyang ; Veeraraghavan, Madhu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000762.

Full description at Econpapers || Download paper

2023Forecasting realized volatility with wavelet decomposition. (2023). Vivian, Andrew ; Souropanis, Ioannis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000993.

Full description at Econpapers || Download paper

2023Does the substitution effect lead to feedback effect linkage between ethanol, crude oil, and soft agricultural commodities?. (2023). Rao, Sandeep ; Singh, Vipul Kumar ; Kumar, Pawan. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000725.

Full description at Econpapers || Download paper

2023Drivers and pass-through of the EU ETS price: Evidence from the power sector. (2023). Okullo, Samuel J ; Bai, Yiyi. In: Energy Economics. RePEc:eee:eneeco:v:123:y:2023:i:c:s0140988323001962.

Full description at Econpapers || Download paper

2023Short- and long-run determinants of the price behavior of US clean energy stocks: A dynamic ARDL simulations approach. (2023). , Mohamed. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002694.

Full description at Econpapers || Download paper

2023Shanghai crude oil futures: Returns Independence, volatility asymmetry, and hedging potential. (2023). Umar, Muhammad ; Mirza, Nawazish ; Naqvi, Bushra ; Abbas, Syed Kumail. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006084.

Full description at Econpapers || Download paper

2023Impact of renewable energy generation on power reserve energy demand. (2023). Boucher, Quentin ; Deman, Laureen. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006710.

Full description at Econpapers || Download paper

2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Bastianin, Andrea ; Casoli, Chiara. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006813.

Full description at Econpapers || Download paper

2023Fifty years of Energy Policy: A bibliometric overview. (2023). Du, Huibin ; Yao, YE ; Yeh, Sonia ; Neumann, Anne ; Antunes, Carlos Henggeler ; Zhou, Peng ; Zou, Hongyang. In: Energy Policy. RePEc:eee:enepol:v:183:y:2023:i:c:s0301421523003543.

Full description at Econpapers || Download paper

2023Are commodity futures a hedge against inflation? A Markov-switching approach. (2023). Zhou, Zhiping ; Zhang, Xuan ; Liu, Chunbo. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s105752192300008x.

Full description at Econpapers || Download paper

2023A tale of idiosyncratic volatility and illiquidity shocks: Their correlation and effects on stock returns. (2023). Huang, Zhaodan ; Han, Yufeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000339.

Full description at Econpapers || Download paper

2023CBDC uncertainty: Financial market implications. (2023). Dunbar, Kwamie. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001230.

Full description at Econpapers || Download paper

2023Nonlinear asset pricing in Chinese stock market: A deep learning approach. (2023). Xie, Ying ; Wang, Yiming ; Long, Suwan ; Pan, Shuiyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001436.

Full description at Econpapers || Download paper

2023Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach. (2023). Zhang, Dalu ; Yan, Meilan ; Xiao, Qin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002594.

Full description at Econpapers || Download paper

2023Stock market reactions to monetary policy surprises under uncertainty. (2023). Saadon, Yossi ; Benchimol, Jonathan ; Segev, Nimrod. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002995.

Full description at Econpapers || Download paper

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]
article137
2002Tests for Unit Roots: A Monte Carlo Investigation. In: Journal of Business & Economic Statistics.
[Citation analysis]
article767
1989Tests for Unit Roots: A Monte Carlo Investigation..(1989) In: Journal of Business & Economic Statistics.
[Citation analysis]
This paper has nother version. Agregated cites: 767
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: 767
paper
2011Stock Volatility during the Recent Financial Crisis In: European Financial Management.
[Full Text][Citation analysis]
article85
2011Stock Volatility During the Recent Financial Crisis.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 85
paper
1981The Adjustment of Stock Prices to Information about Inflation. In: Journal of Finance.
[Full Text][Citation analysis]
article146
1989 Why Does Stock Market Volatility Change over Time? In: Journal of Finance.
[Full Text][Citation analysis]
article1088
1990 Heteroskedasticity in Stock Returns. In: Journal of Finance.
[Full Text][Citation analysis]
article174
1988HETEROSKEDASTICITY IN STOCK RETURNS.(1988) In: Rochester, Business - General.
[Citation analysis]
This paper has nother version. Agregated cites: 174
paper
1989Heteroskedasticity in Stock Returns.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 174
paper
1990 Stock Returns and Real Activity: A Century of Evidence. In: Journal of Finance.
[Full Text][Citation analysis]
article323
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: 323
paper
2000Hostility in Takeovers: In the Eyes of the Beholder? In: Journal of Finance.
[Full Text][Citation analysis]
article327
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: 327
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]
article186
2000IPO Market Cycles: Bubbles or Sequential Learning?.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 186
paper
2010The Variability of IPO Initial Returns In: Journal of Finance.
[Full Text][Citation analysis]
article120
2006The Variability of IPO Initial Returns.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 120
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]
article63
1989Business cycles, financial crises, and stock volatility In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]
article143
1988BUSINESS CYCLES, FINANCIAL CRISES AND STOCK VOLATILITY.(1988) In: Rochester, Business - General.
[Citation analysis]
This paper has nother version. Agregated cites: 143
paper
1989Business Cycles, Financial Crises, and Stock Volatility.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 143
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]
article577
1989ALTERNATIVE MODELS FOR CONDITIONAL STOCK VOLATILITY.(1989) In: Rochester, Business - General.
[Citation analysis]
This paper has nother version. Agregated cites: 577
paper
1989Alternative Models For Conditional Stock Volatility.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 577
paper
1977Estimation of a non-invertible moving average process : The case of overdifferencing In: Journal of Econometrics.
[Full Text][Citation analysis]
article34
2003Anomalies and market efficiency In: Handbook of the Economics of Finance.
[Full Text][Citation analysis]
chapter347
2002Anomalies and Market Efficiency.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 347
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]
article45
1987Expected stock returns and volatility In: Journal of Financial Economics.
[Full Text][Citation analysis]
article1635
1989Clinical papers and their role in the development of financial economics In: Journal of Financial Economics.
[Full Text][Citation analysis]
article14
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]
article27
1995Poison or placebo? Evidence on the deterrence and wealth effects of modern antitakeover measures In: Journal of Financial Economics.
[Full Text][Citation analysis]
article224
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: 224
paper
1996Markup pricing in mergers and acquisitions In: Journal of Financial Economics.
[Full Text][Citation analysis]
article296
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: 296
paper
1994Mark-Up Pricing in Mergers and Acquisitions.(1994) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 296
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]
article12
1977Human capital and capital market equilibrium In: Journal of Financial Economics.
[Full Text][Citation analysis]
article94
1977Asset returns and inflation In: Journal of Financial Economics.
[Full Text][Citation analysis]
article870
2004Is the IPO pricing process efficient? In: Journal of Financial Economics.
[Full Text][Citation analysis]
article123
1987Effects of model specification on tests for unit roots in macroeconomic data In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article234
2002Stock volatility in the new millennium: how wacky is Nasdaq? In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article71
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: 71
paper
1978Money, income, and sunspots: Measuring economic relationships and the effects of differencing In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article62
1989MARGIN REQUIREMENTS AND STOCK VOLATILITY. In: Columbia - Center for Futures Markets.
[Citation analysis]
paper33
1989STOCK VOLATILITY AND THE CRASH OF 87 In: Rochester, Business - General.
[Citation analysis]
paper396
1989Stock Volatility and the Crash of 87.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 396
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: 396
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]
paper24
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]
article164
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]
article17

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