Details about Matthijs Lof

Access statistics for papers by Matthijs Lof.

Last updated 2024-12-09. Update your information in the RePEc Author Service.

Short-id: plo285

Working Papers

2024

1. Nonstandard Errors
   Post-Print, HAL
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2024)
   Working Papers, Lund University, Department of Economics (2021)
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) (2024)

2018

2. Asymmetric information and the distribution of trading volume
   Bank of Finland Research Discussion Papers, Bank of Finland
   Also in Bank of Finland Research Discussion Papers, Bank of Finland (2018)
   See also Journal Article Asymmetric information and the distribution of trading volume, Journal of Corporate Finance, Elsevier (2023) View citations (1) (2023)

2013

3. Aid and Income: Another Time-Series Perspective
   WIDER Working Paper Series, World Institute for Development Economic Research (UNU-WIDER) View citations (7)
   See also Journal Article Aid and Income: Another Time-series Perspective, World Development, Elsevier (2015) View citations (26) (2015)
4. Does sovereign debt weaken economic growth? A Panel VAR analysis
   MPRA Paper, University Library of Munich, Germany View citations (12)
   See also Journal Article Does sovereign debt weaken economic growth? A panel VAR analysis, Economics Letters, Elsevier (2014) View citations (78) (2014)
5. Essays on Expectations and the Econometrics of Asset Pricing
   MPRA Paper, University Library of Munich, Germany

2012

6. Rational Speculators, Contrarians and Excess Volatility
   MPRA Paper, University Library of Munich, Germany View citations (4)
   See also Journal Article Rational Speculators, Contrarians, and Excess Volatility, Management Science, INFORMS (2015) View citations (27) (2015)

2011

7. GMM estimation with noncausal instruments under rational expectations
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article GMM Estimation with Non-causal Instruments under Rational Expectations, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2014) View citations (2) (2014)
8. Noncausality and Asset Pricing
   MPRA Paper, University Library of Munich, Germany View citations (3)
   See also Journal Article Noncausality and asset pricing, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2013) View citations (24) (2013)

2010

9. Heterogeneity in Stock Pricing: A STAR Model with Multivariate Transition Functions
   MPRA Paper, University Library of Munich, Germany

Journal Articles

2024

1. Discount rates and cash flows: A local projection approach
   Journal of Banking & Finance, 2024, 162, (C)
2. Identifying accounting conservatism in the presence of skewness
   Review of Quantitative Finance and Accounting, 2024, 62, (2), 553-577
3. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390
   See also Working Paper Nonstandard Errors, Post-Print (2024) (2024)

2023

4. Asymmetric information and the distribution of trading volume
   Journal of Corporate Finance, 2023, 82, (C) View citations (1)
   See also Working Paper Asymmetric information and the distribution of trading volume, Bank of Finland Research Discussion Papers (2018) (2018)

2022

5. Mind the Basel gap
   Journal of International Financial Markets, Institutions and Money, 2022, 79, (C)

2019

6. Expected market returns: SVIX, realized volatility, and the role of dividends
   Journal of Applied Econometrics, 2019, 34, (5), 858-864 View citations (1)

2017

7. Noncausality and the commodity currency hypothesis
   Energy Economics, 2017, 65, (C), 424-433 View citations (26)

2015

8. Aid and Income: Another Time-series Perspective
   World Development, 2015, 69, (C), 19-30 View citations (26)
   See also Working Paper Aid and Income: Another Time-Series Perspective, WIDER Working Paper Series (2013) View citations (7) (2013)
9. Rational Speculators, Contrarians, and Excess Volatility
   Management Science, 2015, 61, (8), 1889-1901 View citations (27)
   See also Working Paper Rational Speculators, Contrarians and Excess Volatility, MPRA Paper (2012) View citations (4) (2012)
10. Rejoinder to Herzer, Nowak-Lehmann, Dreher, Klasen, and Martinez-Zarzoso (2014)
    World Development, 2015, 70, (C), 397-399 View citations (3)

2014

11. Does sovereign debt weaken economic growth? A panel VAR analysis
    Economics Letters, 2014, 122, (3), 403-407 View citations (78)
    See also Working Paper Does sovereign debt weaken economic growth? A Panel VAR analysis, MPRA Paper (2013) View citations (12) (2013)
12. GMM Estimation with Non-causal Instruments under Rational Expectations
    Oxford Bulletin of Economics and Statistics, 2014, 76, (2), 279-286 View citations (2)
    See also Working Paper GMM estimation with noncausal instruments under rational expectations, MPRA Paper (2011) View citations (1) (2011)

2013

13. Noncausality and asset pricing
    Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (2), 211-220 View citations (24)
    See also Working Paper Noncausality and Asset Pricing, MPRA Paper (2011) View citations (3) (2011)

2012

14. Heterogeneity in stock prices: A STAR model with multivariate transition function
    Journal of Economic Dynamics and Control, 2012, 36, (12), 1845-1854 View citations (45)