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Andreas Neuhierl

Purdue University West Lafayette (per OpenAlex) · ORCID · OpenAlex

15 papers in scope · 12 published · 2 on the econ.EM arXiv · 1,081 citations · h-index 9 (over the papers listed here)

Related authors

The 20 authors closest to this one in our weighted citation graph, most related first.

  1. Campbell R. Harvey
  2. S.K. Lee
  3. Yan Liu
  4. Chukwuma Dim
  5. Linda Schilling
  6. Xinjie Ma
  7. Andrew Y. Chen
  8. Yuan Liao
  9. Ron Smith
  10. M. Hashem Pesaran
  11. Sokbae Lee
  12. Kunpeng Li
  13. Andrew Chen
  14. Christian Hansen
  15. Jianqing Fan
  16. Victor Chernozhukov
  17. Sjur Westgaard
  18. Samuel Modée
  19. Yushu Li
  20. Stein Andreas Bethuelsen

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(3 of 15)

Do Option Characteristics Predict the Underlying Stock Returns in the Cross-Section?
published2025 · Management Science · 2 citations
with Xiaoxiao Tang, Rasmus T. Varneskov, Guofu Zhou
Management Science
The Uncertainty of Machine Learning Predictions in Asset Pricing
working paper2025 · arXiv
with Yuan Liao, Xinjie Ma, Linda Schilling
Paper profile arXiv arXiv:2503.00549
Missing Data in Asset Pricing Panels
published2024 · Review of Financial Studies · 20 citations · first circulated 2021
with Joachim Freyberger, Bjoern Hoeppner, Michael Weber, Björn Höppner
Review of Financial Studies
Benign Overfitting in Economic Forecasting via Noise Regularization
working paper2023 · arXiv
with Yuan Liao, Xinjie Ma, Zhentao Shi
Paper profile arXiv arXiv:2312.05593
Economic Forecasts Using Many Noises
working paper2023 · arXiv · 2 citations
with Yuan Liao, Xinjie Ma, Zhentao Shi
Paper profile arXiv arXiv:2312.05593
Frequency dependent risk
published2021 · Journal of Financial Economics · 36 citations · first circulated 2018
with Rasmus T. Varneskov
Journal of Financial Economics
Estimating the anomaly base rate
published2020 · Journal of Financial Economics · 35 citations · first circulated 2019
with Alex Chinco, Michael Weber, Alexander Chinco
Journal of Financial Economics
Arbitrage Portfolios
published2020 · Review of Financial Studies · 99 citations
with Soohun Kim, Robert A. Korajczyk
Review of Financial Studies
Data snooping in equity premium prediction
published2020 · International Journal of Forecasting · 21 citations · first circulated 2017
with Hubert Dichtl, Wolfgang Drobetz, Viktoria-Sophie Wendt, Viktoria-Sophie Bartsch
International Journal of Forecasting
Dissecting Characteristics Nonparametrically
published2019 · Review of Financial Studies · 614 citations · first circulated 2017
with Joachim Freyberger, Michael Weber
Review of Financial Studies
Monetary policy communication, policy slope, and the stock market
published2019 · Journal of Monetary Economics · 85 citations
with Michael Weber
Journal of Monetary Economics
Market Reaction to Corporate Press Releases
published2013 · Journal of Financial and Quantitative Analysis · 123 citations · first circulated 2010
with Anna Scherbina, Bernd Schlusche
Journal of Financial and Quantitative Analysis
Growth Optimal Investment Strategy: The Impact of Reallocation Frequency and Heavy Tails
published2011 · German Economic Review · 2 citations
with Günter Bamberg
German Economic Review
Data Snooping and Market-Timing Rule Performance
published2011 · Journal of Financial Econometrics · 33 citations · first circulated 2009
with Bernd Schlusche
Journal of Financial Econometrics
On the non-existence of conditional value-at-risk under heavy tails and short sales
published2008 · OR Spectrum · 9 citations
with Günter Bamberg
OR Spectrum

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.