Citation Impact
Citing Papers
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
1993 Standout
Econometric Analysis of Cross Section and Panel Data
2001 Standout
Volatility impacts on the European banking sector: GFC and COVID-19
2022
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility
1994 StandoutNobel
Can the Market Add and Subtract? Mispricing in Tech Stock Carve‐outs
2003 StandoutNobel
The Real Effects of Disrupted Credit: Evidence from the Global Financial Crisis
2018 StandoutNobel
A time-varying copula approach to oil and stock market dependence: The case of transition economies
2013 Standout
What Explains the Stock Market's Reaction to Federal Reserve Policy?
2005 StandoutNobel
Repo Market Effects of the Term Securities Lending Facility
2010
Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction
1999
Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis
2021 Standout
New frontiers for arch models
2002 StandoutNobel
The Twin Crises: The Causes of Banking and Balance-of-Payments Problems
1996
Empirical properties of asset returns: stylized facts and statistical issues
2001 Standout
Time Varying Term Premia and Traditional Hypotheses about the Term Structure
1990
Testing the Volatility Term Structure Using Option Hedging Criteria
2000 StandoutNobel
Do Industries Explain Momentum?
1999 Standout
Let’s Twist Again: A High-Frequency Event-Study Analysis of Operation Twist and Its Implications for QE2
2011 Standout
Special Repo Rates
1996
A YIELD‐FACTOR MODEL OF INTEREST RATES
1996 Standout
Efficient Auctions
2000 StandoutNobel
Investor Psychology and Asset Pricing
2001 Standout
LAPM: A Liquidity‐Based Asset Pricing Model
2001 StandoutNobel
Understanding the predictive power of social media
2013
Impact of digital finance on financial inclusion and stability
2018 Standout
The Science of Monetary Policy: A New Keynesian Perspective
1999 Standout
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
1998 StandoutNobel
Digital Finance and FinTech: current research and future research directions
2017
Measuring and Testing the Impact of News on Volatility
1993 StandoutNobel
Monetary policy surprises and interest rates: Evidence from the Fed funds futures market
2001 Standout
Dynamic Conditional Correlation
2002 StandoutNobel
Bond Supply and Excess Bond Returns
2014
Common Persistence in Conditional Variances
1993 StandoutNobel
Repo Market Effects of the Term Securities Lending Facility
2010
Bond Supply and Excess Bond Returns
2010
The East Asian Financial Crisis: Diagnosis, Remedies, Prospects
1998 Standout
Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine
2022 Standout
Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
2000 Standout
Short-Term Interest Rates as Subordinated Diffusions
1997 StandoutNobel
What good is a volatility model?
2001 StandoutNobel
The relationship between credit default swap spreads, bond yields, and credit rating announcements
2004 Standout
On the Fintech Revolution: Interpreting the Forces of Innovation, Disruption, and Transformation in Financial Services
2018 Standout
Textual Analysis in Accounting and Finance: A Survey
2016 Standout
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
1993 Standout
A test for independence based on the correlation dimension
1996 Standout
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
2001 Standout
Auctions of Divisible Goods: On the Rationale for the Treasury Experiment
1993
Game theory and empirical economics: The case of auction data
1997
Empirically Based, Agent-based models
2006 StandoutNobel
Multivariate Simultaneous Generalized ARCH
1995 StandoutNobel
The connectedness between crude oil and financial markets: Evidence from implied volatility indices
2016
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
1998 Standout
Forecasting Volatility in Financial Markets: A Review
2003 StandoutNobel
Model-Based Comparisons of Pool and Bilateral Markets for Electricity
2000
Forty years of the Journal of Futures Markets: A bibliometric overview
2021
The relationship between forecast dispersion and forecast uncertainty: Evidence from a survey data—arch model
1992
The New Tools of Monetary Policy
2020 StandoutNobel
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
1992 Standout
Are Survey Forecasts of Macroeconomic Variables Rational?
1995
Federal Reserve interest rate targeting, rational expectations, and the term structure
1995
The Fed and short-term rates: Is it open market operations, open mouth operations or interest rate smoothing?
2003
News versus Sentiment: Predicting Stock Returns from News Stories
2016
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
1996 Standout
Predicting crime using Twitter and kernel density estimation
2014 Standout
The distribution of realized stock return volatility
2001 Standout
Does industrial structure explain the benefits of international diversification?
1994
Interest Rate Volatility and the Term Structure: A Two‐Factor General Equilibrium Model
1992
How to conduct a bibliometric analysis: An overview and guidelines
2021 Standout
Putting Auction Theory to Work
2004 StandoutNobel
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
1997 StandoutNobel
ARCH modeling in finance
1992 Standout
An Empirical Comparison of Alternative Models of the Short‐Term Interest Rate
1992 Standout
Idiosyncratic Variation of Treasury Bill Yields
1996
Works of David P. Simon being referenced
Predicting Movie Success and Academy Awards through Sentiment and Social Network Analysis
2008
Further evidence on segmentation in the treasury bill market
1994
The Treasury's Experiment with Single-Price Auctions in the Mid-1970s: Winner's or Taxpayer's Curse?
1994
Implied volatility forecasts in the grains complex
2002
Segmentation in the Treasury Bill Market: Evidence from Cash Management Bills
1991
Facebook Finance: How Social Interaction Propagates Active Investing
2012
Exchange risk surprises in international portfolios
1986
Excess Returns and Risk at the Long End of the Treasury Market: An Egarch-M Approach
1995
Expectations and the Treasury Bill-Federal Funds Rate Spread over Recent Monetary Policy Regimes
1990
The Rationality of Federal Funds Rate Expectations: Evidence from a Survey
1989
Expectations and the Treasury Bill‐Federal Funds Rate Spread over Recent Monetary Policy Regimes
1990
S&P futures returns and contrary sentiment indicators
2001
Markups, quantity risk, and bidding strategies at treasury coupon auctions
1994
Expectations and Risk in the Treasury Bill Market: An Instrumental Variables Approach
1989