David E. Rapach

Economics and Econometrics · 2001–2020

A researcher in the Science corpus: 20 papers; trusts 94 researchers and is trusted by 60 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 528 citations into it; #1,402 of 23,481 by trust here, #1,618 by citations
• Finance — 396 citations into it; #711 of 10,518 by trust here, #518 by citations
• Management Science and Operations Research — 292 citations into it; #1,879 of 11,946 by trust here, #1,534 by citations
• Statistics and Probability — 116 citations into it
• Artificial Intelligence — 78 citations into it
• Accounting — 58 citations into it
• Signal Processing — 41 citations into it
• Strategy and Management — 29 citations into it

Whom David E. Rapach trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Jushan Bai
2. Todd E. Clark
3. John Y. Campbell
4. Pierre Perron
5. Michael W. McCracken
6. Halbert White
7. Christopher A. Sims
8. Ken West
9. James H. Stock
10. Serena Ng

Who trusts David E. Rapach overall

1. Paresh Kumar Narayan
2. Joakim Westerlund
3. Rangan Gupta
4. Bradley S. Paye
5. Michael W. McCracken
6. Allan G. Timmermann
7. Graham Elliott
8. Francis X. Diebold
9. Barbara Rossi
10. Adnen Ben Nasr

Papers from David E. Rapach's perspective

Ordered by how strongly the researchers David E. Rapach trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. A Reality Check for Data Snooping
3. Tests for Parameter Instability and Structural Change with Unknown Change Point
4. Estimating the Dimension of a Model
5. LARGE SAMPLE PROPERTIES OF GENERALIZED METHOD OF
6. Forecasting Output and Inflation: The Role of Asset Prices
7. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
8. Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
9. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH
10. Common risk factors in the returns on stocks and bonds

Their papers

• Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2010) — 1,487 citations
• Macro variables and international stock return predictability (2005) — 340 citations
• Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns (2006) — 159 citations
• Testing the monetary model of exchange rate determination: a closer look at panels (2004) — 166 citations
• Forecasting Stock Returns (2013) — 269 citations
• Structural breaks and GARCH models of exchange rate volatility (2008) — 220 citations
• Testing the monetary model of exchange rate determination: new evidence from a century of data (2002) — 281 citations
• Are real interest rates really nonstationary? New evidence from tests with good size and power (2004) — 163 citations
• Macro shocks and real stock prices (2001) — 149 citations
• International Evidence on the Long-Run Impact of Inflation (2003) — 140 citations
• The long-run relationship between inflation and real stock prices (2002) — 110 citations
• Forecasting: theory and practice (2020) — 551 citations
• Short Interest and Aggregate Stock Returns (2016) — 432 citations
• Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014) — 955 citations
• International Stock Return Predictability: What Is the Role of the United States?: International Stock Return Predictability (2013) — 457 citations
• International Stock Return Predictability: What is the Role of the United States? (2012) — 134 citations
• International comovements in inflation rates and country characteristics (2011) — 181 citations
• International Stock Return Predictability: What is the Role of the United States? (2010)
• Differences in housing price forecastability across US states (2009) — 160 citations
• Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon? (2005) — 159 citations