Matthijs Lof

Aalto University

P.O. Box 21210

Helsinki, 00101

Finland

http://sites.google.com/site/matthijslof/

SCHOLARLY PAPERS

10

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CITATIONS
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4

Scholarly Papers (10)

1.

Noncausality and the Commodity Currency Hypothesis

Energy Economics, Forthcoming
Number of pages: 20 Posted: 24 Apr 2015 Last Revised: 15 Jun 2017
Matthijs Lof and Henri Nyberg
Aalto University and University of Helsinki
Downloads 110 (145,474)

Abstract:

Commodity prices, exchange rates, noncausal autoregression, nonlinearity

2.

Heterogeneity in Stock Prices: A STAR Model with Multivariate Transition Function

Journal of Economic Dynamics and Control, Vol. 13, No. 12, 2012
Number of pages: 26 Posted: 11 Aug 2010 Last Revised: 22 Jul 2014
Matthijs Lof
Aalto University
Downloads 101 (214,093)
Citation 3

Abstract:

Asset pricing, Heterogeneous beliefs, Smooth-transition autoregression

3.

Rational Speculators, Contrarians and Excess Volatility

Management Science (Forthcoming)
Number of pages: 34 Posted: 30 Dec 2012 Last Revised: 09 Apr 2014
Matthijs Lof
Aalto University
Downloads 59 (265,041)

Abstract:

asset pricing, heterogeneous agents, VAR approach

4.

Noncausality and Asset Pricing

Studies in Nonlinear Dynamics and Econometrics, Vol. 17, 2013
Number of pages: 17 Posted: 11 Apr 2011 Last Revised: 22 Jul 2014
Matthijs Lof
Aalto University
Downloads 57 (295,971)
Citation 1

Abstract:

noncausal autoregressions, stock prices, heterogeneous expectations

5.

GMM Estimation with Noncausal Instruments Under Rational Expectations

Helsinki Center of Economic Research Discussion Paper No. 343
Number of pages: 14 Posted: 22 Dec 2011
Matthijs Lof
Aalto University
Downloads 32 (384,299)

Abstract:

generalized method of moments, noncausal autoregression, rational expectations

6.

Does Sovereign Debt Weaken Economic Growth? A Panel VAR Analysis

Economics Letters, Vol. 122, No. 3, 2014
Number of pages: 12 Posted: 22 Jul 2014
Matthijs Lof and Tuomas Malinen
Aalto University and HECER, University of Helsinki
Downloads 27 (313,841)

Abstract:

Public debt, Debt share, GDP growth

7.

Asymmetric Information and the Distribution of Trading Volume

Number of pages: 37 Posted: 03 Feb 2016 Last Revised: 24 Aug 2017
Matthijs Lof and Jos van Bommel
Aalto University and Luxembourg School of Finance
Downloads 0 (103,735)

Abstract:

VCV, Trading volume, Informed trading

8.

Slow Trading and Stock Return Predictability

Number of pages: 53 Posted: 10 Oct 2015 Last Revised: 06 Jun 2017
Allaudeen Hameed, Matthijs Lof and Matti Suominen
National University of Singapore (NUS) - Department of Finance, Aalto University and Aalto University School of Business
Downloads 0 (16,637)

Abstract:

institutional trading, liquidity, return predictability, size premium

Aid and Income: Another Time-Series Perspective

World Development; DOI: 10.1016/j.worlddev.2013.12.015
Posted: 13 Dec 2014
Matthijs Lof, Tseday Jemaneh Mekasha and Finn Tarp
Aalto University, Independent and University of Copenhagen - Department of Economics

Abstract:

Aid and Income: Another Time-Series Perspective

UNU-WIDER working paper 07/2013; 2013/069.
Posted: 14 Dec 2014 Last Revised: 14 Jan 2015
Finn Tarp, Matthijs Lof and Tseday Jemaneh Mekasha
University of Copenhagen - Department of Economics, Aalto University and Independent

Abstract:

foreign aid, growth, time series, VAR models

10.

GMM Estimation with Non‐Causal Instruments Under Rational Expectations

Oxford Bulletin of Economics and Statistics, Vol. 76, Issue 2, pp. 279-286, 2014
Number of pages: 8 Posted: 08 Mar 2014
Matthijs Lof
Aalto University
Downloads 0 (565,313)
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Abstract: