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Valkanov, Rossen I.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
8,872 |
Total
Citations
481 |
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1.
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Torous, Walter N.
University of California, Los Angeles (UCLA) - Finance Area Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management Hong, Harrison G.
Princeton University - Department of Economics
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1,135
(7,510)
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16
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2.
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Ghysels, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management Plazzi, Alberto
University of Lugano - Institute of Finance
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1,104
(7,877)
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7
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Real Estate, MIDAS, Cap rate, Predictive regression
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3.
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There is a Risk-Return Tradeoff After All
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Versions (2)
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Ghysels, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Santa-Clara, Pedro
Nova School of Business and Economics Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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Posted:
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18 Jun 04
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Last Revised:
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18 Sep 12
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793
(13,318)
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140
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Santa-Clara, Pedro
Nova School of Business and Economics Ghysels, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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54
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140
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Ghysels, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Santa-Clara, Pedro
Nova School of Business and Economics Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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739
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140
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ICAPM, risk-return tradeoff, conditional variance, forecasting returns
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4.
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Bayazitova, Dinara
University of North Carolina at Chapel Hill Kahl, Matthias
University of Colorado at Boulder - Leeds School of Business Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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10 Nov 09
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Last Revised:
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09 Feb 12
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772
(13,882)
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2
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Mergers, Value Creation, Announcement Returns, Corporate Governance
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5.
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Torous, Walter N.
University of California, Los Angeles (UCLA) - Finance Area Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management Plazzi, Alberto
University of Lugano - Institute of Finance
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709
(15,684)
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17
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Cap rate, real estate, return predictability
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6.
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Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies
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Versions (2)
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Ghysels, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Santa-Clara, Pedro
Nova School of Business and Economics Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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Posted:
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05 Oct 03
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Last Revised:
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18 Sep 12
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623
(18,919)
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65
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Ghysels, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Santa-Clara, Pedro
Nova School of Business and Economics Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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44
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65
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Ghysels, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Santa-Clara, Pedro
Nova School of Business and Economics Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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579
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65
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variance estimation, volatility, asset pricing, MIDAS
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7.
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Santa-Clara, Pedro
Nova School of Business and Economics Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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486
(26,458)
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61
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8.
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Goto, Shingo
University of South Carolina - Moore School of Business Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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439
(30,226)
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8
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9.
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Tavares, José
Universidad Nova de Lisboa - Faculdade de Economia Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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425
(31,520)
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6
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returns, stocks, bonds, taxes, government spending, Ricardian Equivalence, fiscal policy
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10.
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Ghysels, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Sinko, Arthur
University of North Carolina (UNC) at Chapel Hill - Department of Economics Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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335
(42,487)
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40
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Volatility, Risk, tick-by-tick applications, nonlinear MIDAS, microstructure noise
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11.
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Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns
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Versions (3)
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hide multiple versions |
Export Bibliographic Info |
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Brandt, Michael W.
Duke University - Fuqua School of Business Santa-Clara, Pedro
Nova School of Business and Economics Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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Posted:
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19 Jan 05
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Last Revised:
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29 Jul 10
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309
(46,534)
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28
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Brandt, Michael W.
Duke University - Fuqua School of Business Santa-Clara, Pedro
Nova School of Business and Economics Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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0
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G11, G12
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Brandt, Michael W.
Duke University - Fuqua School of Business Santa-Clara, Pedro
Nova School of Business and Economics Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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267
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28
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Brandt, Michael W.
Duke University - Fuqua School of Business Santa-Clara, Pedro
Nova School of Business and Economics Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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42
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28
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12.
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Ghysels, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Plazzi, Alberto
University of Lugano - Institute of Finance Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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| Posted: |
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14 Feb 11
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Last Revised:
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18 Sep 12
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294
(49,316)
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4
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Skewness, Developed Markets, Emerging Markets, Quantile estimation, MIDAS
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13.
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The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations
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Versions (2)
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Plazzi, Alberto
University of Lugano - Institute of Finance Torous, Walter
affiliation not provided to SSRN Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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Posted:
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19 Nov 04
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Last Revised:
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04 Aug 08
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285
(51,149)
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3
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Plazzi, Alberto
University of Lugano - Institute of Finance Torous, Walter
affiliation not provided to SSRN Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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2
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3
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Plazzi, Alberto
University of Lugano - Institute of Finance Torous, Walter N.
University of California, Los Angeles (UCLA) - Finance Area Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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283
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3
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Commercial real estate, cross-sectional volatility, total risk
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14.
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Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management Zhang, Yuzhao
Oklahoma State University - Stillwater - Department of Finance Yadav, Pradeep K.
University of Oklahoma - Division of Finance
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| Posted: |
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05 Aug 05
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Last Revised:
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18 Oct 11
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256
(57,676)
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3
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Return Predictability, Early Exercise Premium, Dividend Growth
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15.
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Ghysels, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management Serrano, Antonio Rubia
University of Alicante, Department of Financial Economics
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205
(72,963)
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4
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Volatility forecasting, multi-period forecasts, mixed-data sampling
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16.
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Pettenuzzo, Davide
Brandeis University - Department of Economics Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management Wu, Rosalin
University of California, San Diego (UCSD)
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152
(96,742)
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1
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return predictability, constraints, out-of-sample forecasts
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17.
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Moon, Hyungsik Roger
University of Southern California - Department of Economics Serrano, Antonio Rubia
University of Alicante, Department of Financial Economics Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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138
(105,231)
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5
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Return predictability, long-horizon regressions, near unit root, local-to-zero variance
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18.
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Plazzi, Alberto
University of Lugano - Institute of Finance Torous, Walter N.
University of California, Los Angeles (UCLA) - Finance Area Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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| Posted: |
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01 Feb 11
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Last Revised:
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10 Mar 11
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133
(108,525)
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Dynamic portfolio choice, real estate, cap rate
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19.
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Ghysels, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Plazzi, Alberto
University of Lugano - Institute of Finance Torous, Walter N.
University of California, Los Angeles (UCLA) - Finance Area Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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98
(137,067)
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2
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real estate, predictability, market efficiency, REIT
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20.
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Forecasting Stock Returns Under Economic Constraints
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Show Abstracts |
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Pettenuzzo, Davide
Brandeis University - Department of Economics Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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Posted:
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09 Dec 12
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Last Revised:
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12 Mar 13
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80
(156,298)
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Pettenuzzo, Davide
Brandeis University - Department of Economics Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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1
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Bayesian analysis, Economic constraints, Sharpe Ratio, Stock return predictability
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Pettenuzzo, Davide
Brandeis University - Department of Economics Timmermann, Allan G.
University of California, San Diego (UCSD) - Department of Economics Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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79
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Economic constraints, Sharpe ratio, Equity premium predictions, Bayesian analysis
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21.
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Ghent, Andra C.
Arizona State University (ASU) - Finance Department Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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| Posted: |
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27 Sep 12
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Last Revised:
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03 Mar 13
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61
(183,805)
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Securitization, Commercial Mortgage-Backed Securities (CMBSs), Structured finance
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22.
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Santa-Clara, Pedro
Nova School of Business and Economics Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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23
(264,861)
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62
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23.
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Ghysels, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Plazzi, Alberto
University of Lugano - Institute of Finance Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
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17
(285,846)
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7
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