Rossen Valkanov
Personal Details
First Name: | Rossen |
Middle Name: | |
Last Name: | Valkanov |
Suffix: | |
RePEc Short-ID: | pva496 |
[This author has chosen not to make the email address public] | |
Affiliation
Rady School of Management
University of California-San Diego (UCSD)
La Jolla, California (United States)https://rady.ucsd.edu/
RePEc:edi:smucsus (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies,"
NBER Working Papers
10914, National Bureau of Economic Research, Inc.
- Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2006. "Predicting volatility: getting the most out of return data sampled at different frequencies," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 59-95.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," CIRANO Working Papers 2004s-19, CIRANO.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"There is a Risk-Return Tradeoff After All,"
NBER Working Papers
10913, National Bureau of Economic Research, Inc.
- Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "There is a risk-return trade-off after all," Journal of Financial Economics, Elsevier, vol. 76(3), pages 509-548, June.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003. "There is a Risk-Return Tradeoff After All," CIRANO Working Papers 2003s-26, CIRANO.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "There is a Risk-Return Tradeoff After All," CIRANO Working Papers 2004s-24, CIRANO.
- Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2004.
"Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns,"
NBER Working Papers
10996, National Bureau of Economic Research, Inc.
- Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2009. "Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns," The Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3411-3447, September.
- Brandt, Michael W & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns," University of California at Los Angeles, Anderson Graduate School of Management qt4ft420b6, Anderson Graduate School of Management, UCLA.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"The MIDAS Touch: Mixed Data Sampling Regression Models,"
CIRANO Working Papers
2004s-20, CIRANO.
- Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," University of California at Los Angeles, Anderson Graduate School of Management qt9mf223rs, Anderson Graduate School of Management, UCLA.
- Jose Tavares & Rossen Valkanov, 2001. "The neglected effect of fiscal policy on stock and bond returns," Nova SBE Working Paper Series wp413, Universidade Nova de Lisboa, Nova School of Business and Economics.
Articles
- Alberto Plazzi & Walter Torous & Rossen Valkanov, 2010. "Expected Returns and Expected Growth in Rents of Commercial Real Estate," The Review of Financial Studies, Society for Financial Studies, vol. 23(9), pages 3469-3519.
- Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2009.
"Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3411-3447, September.
- Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2004. "Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns," NBER Working Papers 10996, National Bureau of Economic Research, Inc.
- Brandt, Michael W & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns," University of California at Los Angeles, Anderson Graduate School of Management qt4ft420b6, Anderson Graduate School of Management, UCLA.
- Alberto Plazzi & Walter Torous & Rossen Valkanov, 2008. "The Cross‐Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(3), pages 403-439, September.
- Eric Ghysels & Arthur Sinko & Rossen Valkanov, 2007. "MIDAS Regressions: Further Results and New Directions," Econometric Reviews, Taylor & Francis Journals, vol. 26(1), pages 53-90.
- Hong, Harrison & Torous, Walter & Valkanov, Rossen, 2007. "Do industries lead stock markets?," Journal of Financial Economics, Elsevier, vol. 83(2), pages 367-396, February.
- Eric Ghysels & Alberto Plazzi & Rossen Valkanov, 2007. "Valuation in US Commercial Real Estate," European Financial Management, European Financial Management Association, vol. 13(3), pages 472-497, June.
- Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2006.
"Predicting volatility: getting the most out of return data sampled at different frequencies,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 59-95.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," CIRANO Working Papers 2004s-19, CIRANO.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," NBER Working Papers 10914, National Bureau of Economic Research, Inc.
- Valkanov, Rossen, 2005. "Functional Central Limit Theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data," Economics Letters, Elsevier, vol. 86(3), pages 427-433, March.
- Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005.
"There is a risk-return trade-off after all,"
Journal of Financial Economics, Elsevier, vol. 76(3), pages 509-548, June.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003. "There is a Risk-Return Tradeoff After All," CIRANO Working Papers 2003s-26, CIRANO.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "There is a Risk-Return Tradeoff After All," CIRANO Working Papers 2004s-24, CIRANO.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "There is a Risk-Return Tradeoff After All," NBER Working Papers 10913, National Bureau of Economic Research, Inc.
- Walter Torous & Rossen Valkanov & Shu Yan, 2004. "On Predicting Stock Returns with Nearly Integrated Explanatory Variables," The Journal of Business, University of Chicago Press, vol. 77(4), pages 937-966, October.
- Pedro Santa‐Clara & Rossen Valkanov, 2003. "The Presidential Puzzle: Political Cycles and the Stock Market," Journal of Finance, American Finance Association, vol. 58(5), pages 1841-1872, October.
- Valkanov, Rossen, 2003. "Long-horizon regressions: theoretical results and applications," Journal of Financial Economics, Elsevier, vol. 68(2), pages 201-232, May.
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This author is among the top 5% authors according to these criteria:- Average Rank Score
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- Number of Citations, Weighted by Number of Authors and Simple Impact Factors
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-FIN: Finance (7) 2004-05-16 2004-05-26 2004-05-26 2004-11-22 2004-12-02 2004-12-20 2004-12-22. Author is listed
- NEP-ECM: Econometrics (2) 2004-05-16 2004-05-16
- NEP-ETS: Econometric Time Series (1) 2004-05-16
- NEP-FMK: Financial Markets (1) 2004-05-16
- NEP-RMG: Risk Management (1) 2003-06-16
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