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Testing for Regime Changes in Portfolios with a Large Number of Assets: A Robust Approach to Factor Heteroskedasticity
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Testing for Regime Changes in Portfolios with a Large Number of Assets: A Robust Approach to Factor Heteroskedasticity (2020)Testing for Regime Changes in Portfolios …Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Value and Momentum Everywhere (2013)Value and Momentum EverywhereCommon Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)Estimation and Inference in L…Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions (2006)Confidence Intervals for Diff…Inferential Theory for Factor Models of Large Dimensions (2003)Inferential Theory for Factor…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Using Principal C…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Performance measurement with the arbitrage pricing theory (1986)Performance measurement with …Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1983)Arbitrage, Factor Structure, …Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1982)Arbitrage, Factor Structure, …Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)Empirical Asset Pricing via Machine Learning (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Market Integration and Contagion (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)How Sovereign Is Sovereign Credit Risk? (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)New Indexes of Coincident and Leading Economic Indicators (1989)Macroeconomic Forecasting Using Diffusion Indexes (2002)Testing Linearity Against Smooth Transition Autoregressive Models (1988)A nonlinear approach to US GNP (1995)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Sample Splitting and Threshold Estimation (2000)Introductory Econometrics for Finance (2008)On Persistence in Mutual Fund Performance (1997)Time Series Momentum (2011)… and the Cross-Section of Expected Returns (2015)Does Academic Research Destroy Stock Return Predictability? (2015)Correlations in Price Changes and Volatility across International Stock Markets (1990)Transmission of Volatility between Stock Markets (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Aggregate Confusion: The Divergence of ESG Ratings (2019)Estimating long-run relationships from dynamic heterogeneous panels (1995)General Diagnostic Tests for Cross Section Dependence in Panels (2004)A simple panel unit root test in the presence of cross‐section dependence (2007)Testing slope homogeneity in large panels (2007)General diagnostic tests for cross-sectional dependence in panels (2020)The Role of Monetary Policy (1995)The Impact of Uncertainty Shocks (2009)Measuring Uncertainty (2015)Firm-Level Political Risk: Measurement and Effects* (2019)The Unprecedented Stock Market Reaction to COVID-19 (2020)Measuring Geopolitical Risk (2022)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2006Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure5,067 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 2013Value and Momentum Everywhere2,225 cited
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  • 2011Common Risk Factors in Currency Markets1,088 cited
  • 1982Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets1,001 cited
  • 1986Performance measurement with the arbitrage pricing theory

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715 cited
  • 2006Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions629 cited
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