2026 Rossen I. Valkanov: Economics and Finance Researcher – H-Index, Publications & Awards

Discipline name	D-Index	World Ranking	Current World Ranking	National Ranking	Current National Ranking	Publications	Citations
Economics and Finance	35	2874	2600	1594	1398	80	10421

Overview

Rossen I. Valkanov is affiliated with the University of California, San Diego in the United States. Their research primarily focuses on the fields of Economics, Econometrics, and Finance, with particular attention to subfields including Economics and Econometrics, Finance, Accounting, General Economics, and Demography.

Their scholarly output spans a variety of topics such as:

Housing Market and Economics
Financial Literacy, Pension, Retirement Analysis
Financial Markets and Investment Strategies
Market Dynamics and Volatility
Banking Stability, Regulation, Efficiency
Monetary Policy and Economic Impact
Credit Risk and Financial Regulations

Valkanov's recent papers illustrate engagement with current discussions in economics and finance. Notable publications include:

"Do Credit Markets Respond to Macroeconomic Shocks? The Case for Reverse Causality" (2023) published in The Journal of Finance
"The Mortgage-Cash Premium Puzzle" (2024) in The Journal of Finance
"The Mortgage-Cash Premium Puzzle" (2020) appearing in SSRN Electronic Journal
"Can Macro Shocks Explain the Excess Volatility in Professional Stock Return Forecasts?" (2023) in SSRN Electronic Journal
"From Macroeconomic Shocks to Credit Spreads" (2020) in SSRN Electronic Journal

Their frequent coauthors are researchers with whom they have collaborated multiple times. This includes:

Martijn Boons, a collaborator on three publications
Giorgio Ottonello, also with three joint publications
Michael Reher, with two shared works
Pedro Santa-Clara, with two collaborations
Matteo Garzoli, with one coauthored paper

Publication venues for Valkanov's work are concentrated in respected outlets such as:

SSRN Electronic Journal, featuring four of their publications
The Journal of Finance, the venue for two of their papers
UNC Libraries, where two publications appear

Best Publications

There is a risk-return trade-off after all ☆

Eric Ghysels;Pedro Santa-Clara;Rossen Valkanov

1363
Citations
MIDAS regressions: Further results and new directions

Eric Ghysels;Arthur Sinko;Rossen Valkanov

1229
Citations
Predicting volatility: getting the most out of return data sampled at different frequencies

Eric Ghysels;Pedro Santa-Clara;Rossen Valkanov

1046
Citations
The Presidential Puzzle: Political Cycles and the Stock Market

Pedro Santa-Clara;Rossen I. Valkanov

900
Citations
The MIDAS Touch: Mixed Data Sampling Regression Models

Eric Ghysels;Pedro Santa-Clara;Rossen Valkanov

797
Citations
Do industries lead stock markets

Harrison Hong;Walter N. Torous;Rossen Valkanov

768
Citations
Long-horizon regressions: theoretical results and applications

Rossen Valkanov

633
Citations
Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns

Michael W. Brandt;Pedro Santa-Clara;Rossen Valkanov

593
Citations
On Predicting Stock Returns with Nearly Integrated Explanatory Variables

Walter Torous;Rossen Valkanov;Shu Yan

414
Citations
Forecasting stock returns under economic constraints

Davide Pettenuzzo;Allan Timmermann;Allan Timmermann;Rossen Valkanov

343
Citations
There is a Risk-Return Tradeoff after All

Pedro Santa-Clara;Pedro Santa-Clara;Pedro Santa-Clara;Eric Ghysels;Rossen I. Valkanov

242
Citations
Expected Returns and Expected Growth in Rents of Commercial Real Estate

Alberto Plazzi;Walter Torous;Rossen Valkanov

240
Citations
Forecasting Real Estate Prices

Eric Ghysels;Alberto Plazzi;Rossen Valkanov;Walter Torous

225
Citations
Forecasting real estate prices

Eric Ghysels;Alberto Plazzi;Rossen Valkanov;Walter Torous

225
Citations
Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry

Eric Ghysels;Alberto Plazzi;Rossen Valkanov

203
Citations
The Presidential Puzzle: Political Cycles and the Stock Market

Pedro Santa-Clara;Pedro Santa-Clara;Pedro Santa-Clara;Rossen I. Valkanov

162
Citations
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies

Eric Ghysels;Pedro Santa-Clara;Pedro Santa-Clara;Pedro Santa-Clara;Rossen I. Valkanov

119
Citations
Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

Michael W. Brandt;Michael W. Brandt;Pedro Santa-Clara;Pedro Santa-Clara;Pedro Santa-Clara;Rossen I. Valkanov

117
Citations
Complexity in Structured Finance

Andra C Ghent;Walter N Torous;Rossen I Valkanov

108
Citations
The Cross‐Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations

Alberto Plazzi;Walter Torous;Rossen Valkanov

104
Citations
MIDAS Regressions: Further Results and New Directions

Eric Ghysels;Arthur Sinko;Rossen I. Valkanov

98
Citations
The Neglected Effect of Fiscal Policy on Stock and Bond Returns

José Tavares;Rossen Valkanov

88
Citations
Expected Returns and the Expected Growth in Rents of Commercial Real Estate

Walter N. Torous;Rossen I. Valkanov;Alberto Plazzi;Alberto Plazzi

55
Citations

Frequent Co-Authors

Eric Ghysels University of North Carolina at Chapel Hill

Pedro Santa-Clara Universidade Nova de Lisboa

Walter N. Torous MIT

Allan Timmermann University of California, San Diego

Harrison G. Hong Columbia University

Michael W. Brandt Duke University

External Links

Personal website of Rossen I. Valkanov

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