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Economics and Finance

D-Index
40
Citations
11633
World Ranking
2235
National Ranking
1276

Overview

David E. Rapach is affiliated with Saint Louis University in the United States. Their research primarily lies within the fields of Economics, Econometrics, and Finance, as well as Decision Sciences. They have contributed extensively to subfields including Finance, Management Science and Operations Research, Economics and Econometrics, Epidemiology, and Electrical and Electronic Engineering.

Rapach's work covers several main topics such as Financial Markets and Investment Strategies, Stock Market Forecasting Methods, Forecasting Techniques and Applications, Financial Risk and Volatility Modeling, Market Dynamics and Volatility, Energy Load and Power Forecasting, and COVID-19 epidemiological studies.

The researcher has published frequently in several venues, with notable contributions to the SSRN Electronic Journal, International Journal of Forecasting, Virtual Community of Pathological Anatomy (University of Castilla La Mancha), The Journal of Finance, and European Finance Review.

Their recent papers include:

  • "Forecasting: theory and practice," 2022, Virtual Community of Pathological Anatomy (University of Castilla La Mancha)
  • "Anomalies and the Expected Market Return," 2021, The Journal of Finance
  • "Forecasting Stock Returns," 2023, SSRN Electronic Journal
  • "Asset Pricing: Time-Series Predictability," 2022, Oxford Research Encyclopedia of Economics and Finance
  • "Cross-sectional expected returns: new Fama-MacBeth regressions in the era of machine learning," 2024, European Finance Review

Among frequent co-authors, Rapach has collaborated multiple times with Guofu Zhou, Xi Dong, Erik Christian Montes Schütte, Daniel Borup, and Yan Li.

Best Publications

  • Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy

    David E. Rapach;Jack K. Strauss;Guofu Zhou

  • Forecasting the Equity Risk Premium: The Role of Technical Indicators

    Christopher J. Neely;David E. Rapach;Jun Tu;Guofu Zhou

  • International Stock Return Predictability: What Is the Role of the United States?

    David E. Rapach;Jack K. Strauss;Guofu Zhou

  • Forecasting Stock Returns

    David Rapach;Guofu Zhou

  • Short Interest and Aggregate Stock Returns

    David E. Rapach;Matthew C. Ringgenberg;Guofu Zhou

  • International Stock Return Predictability: What is the Role of the United States?

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  • Macro variables and international stock return predictability

    David E. Rapach;Mark E. Wohar;Jesper Rangvid

  • Testing the monetary model of exchange rate determination: new evidence from a century of data

    David E. Rapach;Mark E. Wohar

  • Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy

    David E. Rapach;Jack Strauss;Guofu Zhou

  • In-sample vs. out-of-sample tests of stock return predictability in the context of data mining

    David E. Rapach;Mark E. Wohar

  • Structural breaks and GARCH models of exchange rate volatility

    David E. Rapach;Jack K. Strauss

  • International comovements in inflation rates and country characteristics

    Christopher J. Neely;David E. Rapach

  • Testing the monetary model of exchange rate determination: a closer look at panels

    David E. Rapach;Mark E. Wohar

  • Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns

    David E. Rapach;Mark E. Wohar

  • Differences in housing price forecastability across US states

    David E. Rapach;Jack K. Strauss

  • Macro shocks and real stock prices

    David E. Rapach

  • Anomalies and the Expected Market Return

    Unknown

  • Are real interest rates really nonstationary? New evidence from tests with good size and power

    David E. Rapach;Christian E. Weber

  • Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon?

    David E. Rapach;Mark E. Wohar

  • International Evidence on the Long-Run Impact of Inflation

    David E. Rapach

  • The long-run relationship between inflation and real stock prices

    David E. Rapach

  • Forecasting the Equity Risk Premium: The Role of Technical Indicators

    Christopher J. Neely;David E. Rapach;David E. Rapach;Jun Tu;Guofu Zhou

  • The Out-of-Sample Forecasting Performance of Nonlinear Models of Real Exchange Rate Behavior

    David E. Rapach;Mark E. Wohar

  • International Stock Return Predictability: What is the Role of the United States?

    David Rapach;David Rapach;Jack Strauss;Guofu Zhou

Frequent Co-Authors

Guofu Zhou
Guofu Zhou Washington University in St. Louis
Jack Strauss
Jack Strauss University of Denver
Mark E. Wohar
Mark E. Wohar University of Nebraska at Omaha
Christopher J. Neely
Christopher J. Neely Federal Reserve Bank of St. Louis
Michael T. Owyang
Michael T. Owyang Federal Reserve Bank of St. Louis
Howard J. Wall
Howard J. Wall University of Tennessee at Chattanooga
Mark P. Taylor
Mark P. Taylor Washington University in St. Louis
Charles Cao
Charles Cao Pennsylvania State University

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