Details about Rossen Valkanov

Access statistics for papers by Rossen Valkanov.

Last updated 2024-09-05. Update your information in the RePEc Author Service.

Short-id: pva496

Working Papers

2014

1. A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics
   Working Papers, Brandeis University, Department of Economics and International Business School View citations (2)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (2)
2. Complexity in Structured Finance: Financial Wizardry or Smoke and Mirrors
   2014 Meeting Papers, Society for Economic Dynamics View citations (6)

2013

3. Forecasting Stock Returns under Economic Constraints
   Working Papers, Brandeis University, Department of Economics and International Business School View citations (7)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (7)
   See also Journal Article Forecasting stock returns under economic constraints, Journal of Financial Economics, Elsevier (2014) View citations (155) (2014)

2005

4. Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (3)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (3)
   See also Journal Article Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns, The Review of Financial Studies, Society for Financial Studies (2009) View citations (144) (2009)

2004

5. 13-04 Expected Returns and the Expected Growth in Rents of Commercial Real Estate
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (1)
6. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
   Also in CIRANO Working Papers, CIRANO (2004) View citations (28)
   See also Journal Article Predicting volatility: getting the most out of return data sampled at different frequencies, Journal of Econometrics, Elsevier (2006) View citations (495) (2006)
7. The MIDAS Touch: Mixed Data Sampling Regression Models
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (400)
   Also in CIRANO Working Papers, CIRANO (2004) View citations (401)
8. There is a Risk-Return Tradeoff After All
   CIRANO Working Papers, CIRANO View citations (19)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (20)
   CIRANO Working Papers, CIRANO (2003) View citations (4)
   See also Journal Article There is a risk-return trade-off after all, Journal of Financial Economics, Elsevier (2005) View citations (459) (2005)

2002

9. Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (20)

2001

10. The neglected effect of fiscal policy on stock and bond returns
    Nova SBE Working Paper Series, Universidade Nova de Lisboa, Nova School of Business and Economics View citations (29)

2000

11. Boundaries of Predictability: Noisy Predictive Regressions
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (17)
12. Political Cycles and the Stock Market
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA

1999

13. Equity Premium and Dividend Yield regressions: A lot of noise, little information, confusing results
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (1)
14. Long-Horizon Regressions: Theoretical Results and Applications to the Expected Returns/Dividend Yields and Fisher Effect Relations
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA
15. The Term Structure with Highly Persistent Interest Rates
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (2)

Journal Articles

2019

1. Direct Versus Iterated Multiperiod Volatility Forecasts
   Annual Review of Financial Economics, 2019, 11, (1), 173-195 View citations (20)

2016

2. A MIDAS approach to modeling first and second moment dynamics
   Journal of Econometrics, 2016, 193, (2), 315-334 View citations (40)
3. Comparing Securitized and Balance Sheet Loans: Size Matters
   Management Science, 2016, 62, (10), 2784-2803 View citations (9)
4. Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry
   Journal of Finance, 2016, 71, (5), 2145-2192 View citations (84)

2014

5. Forecasting stock returns under economic constraints
   Journal of Financial Economics, 2014, 114, (3), 517-553 View citations (155)
   See also Working Paper Forecasting Stock Returns under Economic Constraints, Working Papers (2013) View citations (7) (2013)

2010

6. Expected Returns and Expected Growth in Rents of Commercial Real Estate
   The Review of Financial Studies, 2010, 23, (9), 3469-3519 View citations (70)

2009

7. Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns
   The Review of Financial Studies, 2009, 22, (9), 3411-3447 View citations (144)
   See also Working Paper Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns, University of California at Los Angeles, Anderson Graduate School of Management (2005) View citations (3) (2005)

2008

8. The Cross‐Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations
   Real Estate Economics, 2008, 36, (3), 403-439 View citations (16)

2007

9. Do industries lead stock markets?
   Journal of Financial Economics, 2007, 83, (2), 367-396 View citations (295)
10. MIDAS Regressions: Further Results and New Directions
    Econometric Reviews, 2007, 26, (1), 53-90 View citations (518)
11. Valuation in US Commercial Real Estate
    European Financial Management, 2007, 13, (3), 472-497 View citations (18)

2006

12. Predicting volatility: getting the most out of return data sampled at different frequencies
    Journal of Econometrics, 2006, 131, (1-2), 59-95 View citations (495)
    See also Working Paper Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies, NBER Working Papers (2004) View citations (18) (2004)

2005

13. Functional Central Limit Theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data
    Economics Letters, 2005, 86, (3), 427-433 View citations (3)
14. There is a risk-return trade-off after all
    Journal of Financial Economics, 2005, 76, (3), 509-548 View citations (459)
    See also Working Paper There is a Risk-Return Tradeoff After All, CIRANO Working Papers (2004) View citations (19) (2004)

2004

15. On Predicting Stock Returns with Nearly Integrated Explanatory Variables
    The Journal of Business, 2004, 77, (4), 937-966 View citations (152)

2003

16. Long-horizon regressions: theoretical results and applications
    Journal of Financial Economics, 2003, 68, (2), 201-232 View citations (229)
17. The Presidential Puzzle: Political Cycles and the Stock Market
    Journal of Finance, 2003, 58, (5), 1841-1872 View citations (234)

Chapters

2013

1. Forecasting Real Estate Prices
   Elsevier View citations (71)