Rossen Valkanov : Citation Profile

University of California-San Diego (UCSD)

18

H index

21

i10 index

3766

Citations

RESEARCH PRODUCTION:

17

Articles

22

Papers

1

Chapters

RESEARCH ACTIVITY:

   20 years (1999 - 2019). See details.
   Cites by year: 188
   Journals where Rossen Valkanov has often published
   Relations with other researchers
   Recent citing documents: 341.    Total self citations: 16 (0.42 %)

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   Permalink: http://citec.repec.org/pva496
   Updated: 2026-02-14    RAS profile: 2024-09-05    
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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 Rossen Valkanov.

Is cited by:

Marcellino, Massimiliano (80)

GUPTA, RANGAN (74)

Foroni, Claudia (46)

Schumacher, Christian (33)

Galvão, Ana (31)

Wang, Yudong (29)

Hecq, Alain (28)

Zhang, Yaojie (26)

Götz, Thomas (26)

Salisu, Afees (23)

Clements, Michael (23)

Cites to:

Campbell, John (76)

Shiller, Robert (38)

French, Kenneth (26)

Stambaugh, Robert (22)

Bollerslev, Tim (17)

Diebold, Francis (16)

Schwert, G. (15)

Marcellino, Massimiliano (15)

Shephard, Neil (15)

Fama, Eugene (14)

merton, robert (14)

Main data

Where Rossen Valkanov has published?

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

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

Recent works citing Rossen Valkanov (2025 and 2024)

YearTitle of citing document
2024Food & Oil Price Volatility Dynamics: Insights from a TVP-SVAR-DCC-MIDAS Model. (2024). Stewart, Shamar ; Massa, Olga Isengildina. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343936.

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2024Food & Oil Price Volatility Dynamics: Insights from a TVP-SVAR-DCC-MIDAS Model. (2024). Massa, Olga Isengildina ; Stewart, Shamar L. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343936.

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2025Joint News, Attention Spillover,and Market Returns. (2022). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2025Is completeness necessary? Estimation in nonidentified linear models. (2025). Babii, Andrii ; Florens, Jean-Pierre. In: Papers. RePEc:arx:papers:1709.03473.

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

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2024Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef. In: Papers. RePEc:arx:papers:2104.04264.

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

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

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2024Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2024). Wilms, Ines ; Hecq, Alain ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

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

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2025Nowcasting with signature methods. (2023). de Paula, Aureo ; Cohen, Samuel N ; Yang, Lingyi ; Nesheim, Lars ; Mantoan, Giulia ; Small, Emma ; Scott, Craig ; Reeves, Andrew ; Malpass, Will ; Lui, Silvia. In: Papers. RePEc:arx:papers:2305.10256.

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2025Factor-augmented sparse MIDAS regressions with an application to nowcasting. (2024). Striaukas, Jonas ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2306.13362.

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2024Nowcasting with Mixed Frequency Data Using Gaussian Processes. (2024). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Hauzenberger, Niko ; Stelzer, Anna. In: Papers. RePEc:arx:papers:2402.10574.

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

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

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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

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2024MIDAS-QR with 2-Dimensional Structure. (2024). Szendrei, Tibor ; Schaffer, Mark ; Bhattacharjee, Arnab. In: Papers. RePEc:arx:papers:2406.15157.

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2024Comparative analysis of Mixed-Data Sampling (MIDAS) model compared to Lag-Llama model for inflation nowcasting. (2024). de Weerd, Harmen ; Bahelka, Adam. In: Papers. RePEc:arx:papers:2407.08510.

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2024Nowcasting R&D Expenditures: A Machine Learning Approach. (2024). de Rassenfosse, Ga'Etan ; Aboutorabi, Atin. In: Papers. RePEc:arx:papers:2407.11765.

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2024Inefficiencies of Carbon Trading Markets. (2024). Borri, Nicola ; Liu, Yukun ; Wu, XI ; Tsyvinski, Aleh. In: Papers. RePEc:arx:papers:2408.06497.

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2025Predicting the distributions of stock returns around the globe in the era of big data and learning. (2024). Baruník, Jozef ; Tobek, Ondrej ; Hronec, Martin. In: Papers. RePEc:arx:papers:2408.07497.

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2024On the macroeconomic fundamentals of long-term volatilities and dynamic correlations in COMEX copper futures. (2024). Wang, Zian ; Li, Xinshu. In: Papers. RePEc:arx:papers:2409.08355.

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2024COMEX Copper Futures Volatility Forecasting: Econometric Models and Deep Learning. (2024). Wang, Zian ; Lu, Xinyi. In: Papers. RePEc:arx:papers:2409.08356.

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2024Nowcasting distributions: a functional MIDAS model. (2024). Marcellino, Massimiliano ; Renzetti, Andrea ; Tornese, Tommaso. In: Papers. RePEc:arx:papers:2411.05629.

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2024Double Descent in Portfolio Optimization: Dance between Theoretical Sharpe Ratio and Estimation Accuracy. (2024). Zhang, Terry ; Yang, Yanrong ; Lu, Yonghe. In: Papers. RePEc:arx:papers:2411.18830.

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

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

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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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2025Economic and Policy Uncertainties and Firm Value: The Case of Consumer Durable Goods. (2025). Raffiee, Kambiz ; Kolay, Madhuparna ; Hatamerad, Saman ; Adrangi, Bahram. In: Papers. RePEc:arx:papers:2506.07476.

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2025Enterprise value, economic and policy uncertainties: the case of US air carriers. (2025). Adrangi, Bahram ; Kolay, Madhuparna ; Raffiee, Kambiz ; Chatrath, Arjun. In: Papers. RePEc:arx:papers:2506.07766.

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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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2025Time-Varying Factor-Augmented Models for Volatility Forecasting. (2025). Chen, Elynn ; Mo, Junyi ; Li, Jiayu ; Zhang, Duo. In: Papers. RePEc:arx:papers:2508.01880.

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2025Variable selection for minimum-variance portfolios. (2025). Moura, Guilherme V ; Torrent, Hudson S. In: Papers. RePEc:arx:papers:2508.14986.

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2025FR-LUX: Friction-Aware, Regime-Conditioned Policy Optimization for Implementable Portfolio Management. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.02986.

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2025Institutional Learning and Volatility Transmission in ASEAN Equity Markets: A Network-Integrated Regime-Dependent Approach. (2025). Yang, Junlin. In: Papers. RePEc:arx:papers:2511.19824.

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2025Panel Machine Learning with Mixed-Frequency Data: Monitoring State-Level Fiscal Variables. (2025). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Coulombe, Philippe Goulet. In: Working Papers. RePEc:bbh:wpaper:25-04.

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

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2024DYFARUS: Dynamic Factor Model to Forecast GDP by Output Using Input-Output Tables. (2024). Kryzhanovskij, Oleg ; Shuvalova, Zhanna ; Murashov, Yaroslav ; Kryzhanovskiy, Oleg ; Mogilat, Anastasia. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:83:y:2024:i:2:p:3-25.

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2025Nowcasting Russian GDP in a Mixed-Frequency DSGE Model with a Panel of Non-Modelled Variables. (2025). Eliseev, Alexander. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:84:y:2025:i:3:p:63-93.

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2025Nowcasting Russian GDP in a mixed-frequency DSGE model with a panel of non-modelled variables. (2025). Eliseev, Alexander. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps145.

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

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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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2024High‐Frequency‐Based Volatility Model with Network Structure. (2024). Yuan, Huiling ; Wang, Junhui ; Li, Guodong ; Lu, Kexin. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:533-557.

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2025Insurers monitor shocks to collateral: micro evidence from mortgage‑backed securities. (2025). Saidi, Farzad ; Netto, Felipe ; Guin, Benjamin ; Fetzer, Thiemo. In: Bank of England working papers. RePEc:boe:boeewp:1119.

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2024Nowcasting Inflation at Quantiles: Causality from Commodities. (2024). Caporin, Massimiliano ; Boni, Sara ; Ravazzolo, Francesco. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps102.

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

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2025Dual Industry Effects and Cross-Stock Predictability. (2025). Li, S ; Ge, S ; Avramov, D ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2512.

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2024The Information Content of Conflict, Social Unrest and Policy Uncertainty Measures for Macroeconomic Forecasting. (2024). Rauh, Christopher ; Pérez, Javier ; Mueller, Hannes ; Molina Sánchez, Luis ; Diakonova, M ; Prez, J J. In: Janeway Institute Working Papers. RePEc:cam:camjip:2413.

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2025Dual Industry Effects and Cross-Stock Predictability. (2025). Linton, O B ; Ge, S ; Avramov, D. In: Janeway Institute Working Papers. RePEc:cam:camjip:2506.

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2024The Ups and Downs of Oil Prices: Asymmetric Impacts of Oil Price Volatility on Corporate Environmental Responsibility. (2024). Yaghoubi, Reza. In: Working Papers in Economics. RePEc:cbt:econwp:24/11.

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2024Housing Yields. (2024). Colonnello, Stefano ; Marf, Roberto ; Xiong, Qizhou. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:716.

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2025Panel Machine Learning with Mixed-Frequency Data: Monitoring State-Level Fiscal Variables. (2025). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2025s-15.

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2024Portfolio management with big data. (2024). Sentana, Enrique ; Pearanda, Francisco. In: Working Papers. RePEc:cmf:wpaper:wp2024_2411.

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2024Inefficiencies of Carbon Trading Markets. (2024). Borri, Nicola ; Liu, Yukun ; Wu, XI ; Tsyvinski, Aleh. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2403.

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

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2024Estimating the Impact of Oil Price Volatility on the Ecuadorian Economy: A MIDAS Approach. (2024). Rodrguez-Bustos, Andrea Johanna ; Bajaa-Villagomez, Yanina Shegia ; Camacho-Villagomez, Freddy Ronalde. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-04-34.

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2025Forecast by mixed-frequency dynamic panel model. (2025). Hu, Mingming ; Chen, Yuxiu ; Liu, Han. In: Annals of Tourism Research. RePEc:eee:anture:v:110:y:2025:i:c:s0160738324001646.

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2024Mixed-frequency data Sampling Grey system Model: Forecasting annual CO2 emissions in China with quarterly and monthly economic-energy indicators. (2024). An, Yimeng ; Dang, Yaoguo ; Mai, Son T ; Wang, Junjie ; Zhou, Huimin. In: Applied Energy. RePEc:eee:appene:v:370:y:2024:i:c:s0306261924009140.

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2025A novel probabilistic carbon price prediction model: Integrating the transformer framework with mixed-frequency modeling at different quartiles. (2025). Wang, Jianzhou ; Niu, Tong ; Du, Pei ; Ji, Mingyang. In: Applied Energy. RePEc:eee:appene:v:391:y:2025:i:c:s0306261925006816.

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2025Reprint of: Political uncertainty, corporate social responsibility, and firm performance. (2025). Yin, Chao ; Hu, YI. In: The British Accounting Review. RePEc:eee:bracre:v:57:y:2025:i:1:s0890838925000162.

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

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2025Divided we fall: Congressional cycles, the stock market and firm performance. (2025). Livnat, Joshua ; Rubin, Amir ; Segal, Dan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:92:y:2025:i:c:s0929119925000446.

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

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

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2025Granular information and sectoral movements. (2025). Jiang, Hao ; Li, Sophia Zhengzi ; Yuan, Peixuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002100.

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

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2025Exploiting mixed-frequency characteristics in parametric Mean-Expected Shortfall portfolio selection. (2025). Chen, Yun ; Zhang, Sicheng ; Liu, Shuting. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000677.

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

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

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2024Copula-MIDAS-TRV model for risk spillover analysis − Evidence from the Chinese stock market. (2024). Li, Xianhua ; Wang, Qin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001554.

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2025Financial regulatory policy uncertainty: An informative predictor for financial industry stock returns. (2025). Zhao, Xinyi ; Zhang, Yaojie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pb:s1062940824002468.

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2025A penalized U-MIDAS multinomial logit model with applications to corporate credit ratings. (2025). Jiang, Cuixia ; Xu, Qifa ; Sun, Junwei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s106294082500021x.

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

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2025Indirect and direct forecasting of volatility-timing portfolios. (2025). Xie, Xiaodu. In: Economics Letters. RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176524006268.

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

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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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2024Better the devil you know: Improved forecasts from imperfect models. (2024). Oh, Dong Hwan ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:1:s0304407624001131.

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2024Target PCA: Transfer learning large dimensional panel data. (2024). Pelger, Markus ; Duan, Junting ; Xiong, Ruoxuan. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407623002373.

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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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2025Satellites turn “concrete”: Tracking cement with satellite data and neural networks. (2025). Meunier, Baptiste ; Lietti, Benjamin ; bricongne, jean-charles ; ben Arous, Simon ; D'Aspremont, Alexandre. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s0304407624002744.

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

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

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2024Unexpected opportunities in misspecified predictive regressions. (2024). Deguest, Romain ; Coqueret, Guillaume. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:2:p:686-700.

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2025Hedging political risk in international portfolios. (2025). Pagliardi, Giovanni ; Lotfi, Somayyeh ; Zenios, Stavros A ; Paparoditis, Efstathios. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:2:p:629-646.

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2024Aggregate portfolio choice. (2024). Inkmann, Joachim. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s092753982400029x.

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

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

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

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2025The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model. (2025). Zamenjani, Azam Shamsi ; Maheu, John M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000428.

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

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

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

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2024Forecasting oil futures returns with news. (2024). Wang, Yudong ; Pan, Zhiyuan ; Huang, Juan ; Zhong, Hao. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324003141.

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

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2024Geopolitical risk and energy price crash risk. (2024). Apergis, Nicholas ; Fahmy, Hany. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006832.

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2025Temporal dynamics of geopolitical risk: An empirical study on energy commodity interest-adjusted spreads. (2025). Lucey, Brian ; Rao, Amar ; Kumar, Satish. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007758.

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2025Oil price shocks and the connectedness of US state-level financial markets. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Cunado, Juncal ; Polat, Onur. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324008375.

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2025The impact of geopolitical risk on higher-order moment risk spillovers in global energy markets. (2025). Xu, Xin ; Yu, YI ; Bi, Yanhao ; Xie, Qichang. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s014098832500115x.

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2025Geopolitical risk, energy market volatility, and corporate energy dependence: The role of green Total factor productivity and decentralized top management team network. (2025). Tian, Zhihong ; Li, Songsong ; Gao, Daquan. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s014098832500369x.

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

Works by Rossen Valkanov:

YearTitleTypeCited
2019Direct Versus Iterated Multiperiod Volatility Forecasts In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article25
2007Valuation in US Commercial Real Estate In: European Financial Management.
[Full Text][Citation analysis]		article18
2003The Presidential Puzzle: Political Cycles and the Stock Market In: Journal of Finance.
[Full Text][Citation analysis]		article247
2016Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry In: Journal of Finance.
[Full Text][Citation analysis]		article93
2008The Cross‐Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations In: Real Estate Economics.
[Full Text][Citation analysis]		article18
2013Forecasting Stock Returns under Economic Constraints In: Working Papers.
[Full Text][Citation analysis]		paper174
2013Forecasting Stock Returns under Economic Constraints.(2013) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 174		paper
2014Forecasting stock returns under economic constraints.(2014) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 174		article
2014A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics In: Working Papers.
[Full Text][Citation analysis]		paper2
2014A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics.(2014) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2000Political Cycles and the Stock Market In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper0
2000Boundaries of Predictability: Noisy Predictive Regressions In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper17
2005Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper164
2004Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 164		paper
2009Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns.(2009) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 164		article
1999Long-Horizon Regressions: Theoretical Results and Applications to the Expected Returns/Dividend Yields and Fisher Effect Relations In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper0
2002Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper19
200413-04 Expected Returns and the Expected Growth in Rents of Commercial Real Estate In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper0
1999The Term Structure with Highly Persistent Interest Rates In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper2
1999Equity Premium and Dividend Yield regressions: A lot of noise, little information, confusing results In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper0
2004The MIDAS Touch: Mixed Data Sampling Regression Models In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper454
2004The MIDAS Touch: Mixed Data Sampling Regression Models.(2004) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 454		paper
2003There is a Risk-Return Tradeoff After All In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper492
2004There is a Risk-Return Tradeoff After All.(2004) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 492		paper
2005There is a risk-return trade-off after all.(2005) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 492		article
2004There is a Risk-Return Tradeoff After All.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 492		paper
2004Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper539
2006Predicting volatility: getting the most out of return data sampled at different frequencies.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 539		article
2004Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 539		paper
2013Forecasting Real Estate Prices In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter74
2005Functional Central Limit Theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data In: Economics Letters.
[Full Text][Citation analysis]		article3
2016A MIDAS approach to modeling first and second moment dynamics In: Journal of Econometrics.
[Full Text][Citation analysis]		article44
2003Long-horizon regressions: theoretical results and applications In: Journal of Financial Economics.
[Full Text][Citation analysis]		article232
2007Do industries lead stock markets? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article308
2016Comparing Securitized and Balance Sheet Loans: Size Matters In: Management Science.
[Full Text][Citation analysis]		article11
2010Expected Returns and Expected Growth in Rents of Commercial Real Estate In: The Review of Financial Studies.
[Full Text][Citation analysis]		article78
2014Complexity in Structured Finance: Financial Wizardry or Smoke and Mirrors In: 2014 Meeting Papers.
[Full Text][Citation analysis]		paper6
2007MIDAS Regressions: Further Results and New Directions In: Econometric Reviews.
[Full Text][Citation analysis]		article564
2004On Predicting Stock Returns with Nearly Integrated Explanatory Variables In: The Journal of Business.
[Full Text][Citation analysis]		article153
2001The neglected effect of fiscal policy on stock and bond returns In: Nova SBE Working Paper Series.
[Full Text][Citation analysis]		paper29

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