Vitali Alexeev : Citation Profile


Are you Vitali Alexeev?

University of Technology Sydney (80% share)
University of Tasmania (10% share)
University of Guelph (10% share)

5

H index

4

i10 index

82

Citations

RESEARCH PRODUCTION:

13

Articles

14

Papers

RESEARCH ACTIVITY:

   11 years (2010 - 2021). See details.
   Cites by year: 7
   Journals where Vitali Alexeev has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 5 (5.75 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pal430
   Updated: 2022-05-14    RAS profile: 2022-04-06    
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Relations with other researchers


Works with:

Yao, Wenying (4)

FERROUHI, EL MEHDI (4)

Gehrig, Thomas (4)

Bohorquez Correa, Santiago (4)

Colliard, Jean-Edouard (4)

Dumitrescu, Ariadna (4)

CAPELLE-BLANCARD, Gunther (4)

Caporin, Massimiliano (4)

Adrian, Tobias (4)

Ait-Sahalia, Yacine (4)

Dreber, Anna (4)

Johannesson, Magnus (4)

Dimpfl, Thomas (4)

Abudy, Menachem (4)

Holzmeister, Felix (4)

Menkveld, Albert (4)

Deev, Oleg (4)

Frömmel, Michael (3)

Dungey, Mardi (3)

Schenk-Hoppé, Klaus (2)

Xiu, Dacheng (2)

Gil-Bazo, Javier (2)

Talavera, Oleksandr (2)

Rakowski, David (2)

Bos, Charles (2)

Verousis, Thanos (2)

Scaillet, Olivier (2)

Frijns, Bart (2)

Wolff, Christian (2)

Hurlin, Christophe (2)

Gerritsen, Dirk (2)

Pelizzon, Loriana (2)

Palan, Stefan (2)

Stefanova, Denitsa (2)

Nielsson, Ulf (2)

Pasquariello, Paolo (2)

Ranaldo, Angelo (2)

Wong, Wing-Keung (2)

Patel, Vinay (2)

Reitz, Stefan (2)

Patton, Andrew (2)

Vilkov, Grigory (2)

Horenstein, Alex (2)

Harris, Jeffrey (2)

Park, Andreas (2)

Lopez-Lira, Alejandro (2)

Xia, Shuo (2)

Rinne, Kalle (2)

Pastor, Lubos (2)

Gorbenko, Arseny (2)

Theissen, Erik (2)

Regis, Luca (2)

Hautsch, Nikolaus (2)

Walther, Thomas (2)

Zhou, Chen (2)

Lajaunie, Quentin (2)

van Kervel, Vincent (2)

Wilhelmsson, Anders (2)

Sarno, Lucio (2)

Jalkh, Naji (2)

Smales, Lee (2)

Ferrara, Gerardo (2)

Putnins, Talis (2)

Schwarz, Marco (2)

Kassner, Bernhard (2)

Moinas, Sophie (2)

Foucault, Thierry (2)

Lof, Matthijs (2)

Davies, Ryan (2)

Liew, Chee (2)

Bouri, Elie (2)

PASCUAL, ROBERTO (2)

Jurkatis, Simon (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Vitali Alexeev.

Is cited by:

Yao, Wenying (3)

Shahzad, Syed Jawad Hussain (3)

Vošvrda, Miloslav (2)

Krištoufek, Ladislav (2)

Dungey, Mardi (2)

KAZDAL, Abdullah (1)

Nazlioglu, Saban (1)

Parhi, Mamata (1)

AROURI, Mohamed (1)

Al-Faryan, Mamdouh Abdulaziz Saleh (1)

Gil-Bazo, Javier (1)

Cites to:

Bollerslev, Tim (19)

Dungey, Mardi (15)

Campbell, John (14)

Andersen, Torben (9)

Lettau, Martin (8)

Diebold, Francis (8)

Lo, Andrew (6)

Fama, Eugene (6)

Laurent, Sébastien (6)

Gallagher, David (5)

Neely, Christopher (5)

Main data


Where Vitali Alexeev has published?


Journals with more than one article published# docs
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
Working Papers / University of Tasmania, Tasmanian School of Business and Economics6
Published Paper Series / Finance Discipline Group, UTS Business School, University of Technology, Sydney2
Working Papers / University of Guelph, Department of Economics and Finance2

Recent works citing Vitali Alexeev (2021 and 2020)


YearTitle of citing document
2022Borsa ?stanbul Alt Endekslerinde Etkin Piyasa Hipotezinin Test Edilmesi: Fourier K?r?lmal? ve Do?rusal Olmayan Birim Kök Testlerinden Kan?tlar. (2022). Umut, Alican ; Pazarci, Evket ; Kili, Emre ; Altunta, Mehmet. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:7:y:2022:i:1:p:169-185.

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2020Jump Risk in the US Financial Sector. (2020). Yao, Wenying ; Gajurel, Dinesh ; Jeyasreedharan, Nagaratnam ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:331-349.

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2020Understanding Systematic Risk: A High‐Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220.

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2020Influence of Exchange Rate Fluctuations and Credit Supply on Dividend Repatriation Policy of U.S. Multinational Corporations. (2020). Mushtaq, Muhammad ; Zulkafli, Abdul Hadi ; Ibrahim, Haslindar ; Tahir, Muhammad. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:9:y:2020:i:si:p:267-290.

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2020Factor Investing for the Long Run. (2020). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301287.

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2020Sentiment stocks. (2020). Gil-Bazo, Javier ; Dong, Hang. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302179.

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2021Hunting the quicksilver: Using textual news and causality analysis to predict market volatility. (2021). Dionisio, Andreia ; Banerjee, Ameet Kumar ; Mahapatra, Biplab ; Pradhan, H K. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001800.

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2021Detecting stock market manipulation via machine learning: Evidence from China Securities Regulatory Commission punishment cases. (2021). Wang, Chuanjie ; Liu, Qingbai ; Zheng, Kaixin ; Zhang, Ping. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002143.

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2022The nexus between bank connectedness and investors’ sentiment. (2022). Pochea, Maria Miruna ; Nioi, Mihai. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321004219.

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2022Green bond market and Sentiment: Is there a switching Behaviour?. (2022). Evi, Aleksandar ; Lopez-Cabarcos, Angeles M ; Pieiro-Chousa, Juan. In: Journal of Business Research. RePEc:eee:jbrese:v:141:y:2022:i:c:p:520-527.

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2021The effect of online environmental news on green industry stocks: The mediating role of investor sentiment. (2021). Shen, Xiaohong ; Yu, Guangjin ; Wang, Gaoshan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:573:y:2021:i:c:s037843712100251x.

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2021Individual investor ownership and the news coverage premium. (2021). Marmora, Paul. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:494-507.

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2021A new approach to portfolio management in the Brazilian equity market: Does assets efficiency level improve performance?. (2021). MacIel, Leandro. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:81:y:2021:i:c:p:38-56.

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2021Examining the effects of news and media sentiments on volatility and correlation: Evidence from the UK. (2021). al Rababaa, Abdel Razzaq ; Alomari, Mohammad ; Ur, Mobeen ; Alkhataybeh, Ahmad ; El-Nader, Ghaith. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:82:y:2021:i:c:p:280-297.

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2022Information spillover effects from media coverage to the crude oil, gold, and Bitcoin markets during the COVID-19 pandemic: Evidence from the time and frequency domains. (2022). Yang, Cai ; Guo, Yaoqi ; Hong, Huojun ; Zhang, Hongwei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:78:y:2022:i:c:p:267-285.

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2021The influence of investor sentiment on the green bond market. (2021). Evi, Aleksandar ; Caby, Jerome ; Lopez-Cabarcos, Angeles M ; Pieiro-Chousa, Juan. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:162:y:2021:i:c:s004016252031177x.

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2020Long-Term, Short-Term and Time-Varying Profitability of Reversals: The Role of Market State and Volatility. (2020). Abd, Mohd Edil ; Shaharuddin, Shahrin Saaid ; Munir, Ali Fayyaz. In: International Journal of Economics & Business Administration (IJEBA). RePEc:ers:ijebaa:v:viii:y:2020:i:2:p:501-520.

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2021How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature. (2021). Arnaut-Berilo, Almira ; Omanovic, Adna ; Zaimovic, Azra. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:551-:d:679488.

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2022Inferences from Portfolio Theory and Efficient Market Hypothesis to the Impact of Social Media on Sovereign Debt: Colombia, Ecuador, and Peru. (2022). Serrano-Monge, Esteban. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:4:p:160-:d:784754.

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2020Family Business and Transaction Exposure. (2020). Ramadan, Abdulhadi ; Ghazaleh, Naser Abu ; Abughazaleh, Naser ; Nassar, Mahmoud ; Nimer, Khalil. In: Journal of Open Innovation: Technology, Market, and Complexity. RePEc:gam:joitmc:v:6:y:2020:i:4:p:129-:d:436579.

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2020Robo-Advisors: Machine Learning in Trend-Following ETF Investments. (2020). Oh, Seok Hee ; Uctum, Merih ; Lee, Kwanyong ; Baek, Seungho. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:16:p:6399-:d:396505.

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2021Credit Risk in a Pandemic. (2021). Bystrom, Hans. In: Working Papers. RePEc:hhs:lunewp:2021_001.

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2020Optimal Combination of Currency Assets and Algorithm Simulation under Exchange Rate Risk. (2020). Wei, Jun. In: Complexity. RePEc:hin:complx:8816382.

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2021The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment. (2021). Wang, Yue ; Shen, Xiaohong. In: Discrete Dynamics in Nature and Society. RePEc:hin:jnddns:5049179.

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2021Equity portfolio diversification: how many stocks are enough? Evidence from India. (2021). Agarwalla, Sobhesh Kumar ; Raju, Rajan. In: IIMA Working Papers. RePEc:iim:iimawp:14648.

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2020A Test of Return Predictability in the Vietnamese Stock Market. (2020). Luong, Anh Tram ; Le, Thanh Trung . In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:11:y:2020:i:2:p:390-404.

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2020Diversification and portfolio theory: a review. (2020). Koumou, Gilles Boevi. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00352-6.

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2021Testing for efficiency in the Saudi stock market: does corporate governance change matter?. (2021). Dockery, Everton ; Saleh, Mamdouh Abdulaziz. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:1:d:10.1007_s11156-020-00939-0.

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2022News and social networks of Russian companies: Degree of influence on the securities market. (2022). Drogovoz, P ; Kovalchuk, YU ; Pyltsin, I ; Fedorova, E. In: Journal of the New Economic Association. RePEc:nea:journl:y:2022:i:53:p:32-52.

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2021Adaptive stochastic risk estimation of firm operating profit. (2021). Anakolu, Ethem ; Akca, Ahmet. In: Economia e Politica Industriale: Journal of Industrial and Business Economics. RePEc:spr:epolin:v:48:y:2021:i:3:d:10.1007_s40812-021-00184-z.

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2021.

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2021Realized Volatility, Jump and Beta: evidence from Canadian Stock Market. (2021). Chowdhury, Biplob ; Gajurel, Dinesh. In: Applied Economics. RePEc:taf:applec:v:53:y:2021:i:55:p:6376-6397.

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2020Does money supply shape corporate capital structure? International evidence from a panel data analysis. (2020). Pindado, Julio ; Rivera, Juan C ; Requejo, Ignacio. In: The European Journal of Finance. RePEc:taf:eurjfi:v:26:y:2020:i:6:p:554-584.

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2021The dynamics between the stock market and exchange rates: Spain 1999–2015. (2021). Regulez-Castillo, Marta ; Luzarraga-Goitia, Joseba ; Rodriguez-Castellanos, Arturo. In: The European Journal of Finance. RePEc:taf:eurjfi:v:27:y:2021:i:7:p:655-678.

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2021Spot exchange rate volatility, uncertain policies and export investment decision of firms: a mean-variance decision approach. (2021). Parhi, Mamata ; Mishra, Tapas ; Broll, Udo ; Mukherjee, Soumyatanu. In: The European Journal of Finance. RePEc:taf:eurjfi:v:27:y:2021:i:8:p:752-773.

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2021Generalized Jump Regressions for Local Moments. (2021). Saker, Leonardo Salim ; Li, Jia ; Bollerslev, Tim. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:39:y:2021:i:4:p:1015-1025.

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2020Realized volatility, jump and beta: evidence from Canadian stock market. (2020). Chowdhury, Biplob ; Gajurel, Dinesh. In: Working Papers. RePEc:tas:wpaper:35107.

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2020Are Religious Believers Irrational: A Direct Test from an Efficient Market Hypothesis. (2020). Chamil, Senarathne. In: Financial Sciences. Nauki o Finansach. RePEc:vrs:finsci:v:25:y:2020:i:1:p:35-53:n:4.

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2020Analysis of Systematic Risk around Firm-specific News in an Emerging Market using High Frequency Data. (2020). Yalaman, Abdullah ; Smith, Peter N. In: Discussion Papers. RePEc:yor:yorken:20/09.

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2020Testing for efficiency in the Saudi stock market: does corporate governance change matter?. (2020). Dockery, Everton ; Saleh, Mamdouh Abdulaziz. In: EconStor Open Access Articles. RePEc:zbw:espost:225534.

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Works by Vitali Alexeev:


YearTitleTypeCited
2020Modelling Financial Contagion Using High Frequency Data In: The Economic Record.
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2021Biases in variance of decomposed portfolio returns In: International Review of Finance.
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2021Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals In: Studies in Nonlinear Dynamics & Econometrics.
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2012Localized level crossing random walk test robust to the presence of structural breaks In: Computational Statistics & Data Analysis.
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article1
2010Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks..(2010) In: Working Papers.
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This paper has another version. Agregated cites: 1
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2011Testing weak form efficiency on the Toronto Stock Exchange In: Journal of Empirical Finance.
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article22
2010Testing Weak Form Efficiency on the Toronto Stock Exchange..(2010) In: Working Papers.
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2017Time-varying continuous and jump betas: The role of firm characteristics and periods of stress In: Journal of Empirical Finance.
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article13
2020Sensitivity to sentiment: News vs social media In: International Review of Financial Analysis.
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2019Predictive blends: Fundamental Indexing meets Markowitz In: Journal of Banking & Finance.
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2019Asymmetric jump beta estimation with implications for portfolio risk management In: International Review of Economics & Finance.
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article3
2016Continuous and Jump Betas: Implications for Portfolio Diversification In: Econometrics.
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article3
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
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2021Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2021Non-Standard Errors.(2021) In: Post-Print.
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2021Non-Standard Errors.(2021) In: Working Papers.
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2016Concurrent momentum and contrarian strategies in the Australian stock market In: Australian Journal of Management.
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2014Concurrent momentum and contrarian strategies in the Australian stock market.(2014) In: Working Papers.
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2017Exchange rate risk exposure and the value of European firms In: The European Journal of Finance.
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2012Exchange Rate Risk Exposure and the Value of European Firms.(2012) In: Working Papers.
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2015Equity portfolio diversification with high frequency data In: Quantitative Finance.
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2013Equity portfolio diversification with high frequency data.(2013) In: Working Papers.
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2013Equity Portfolio Diversification: How Many Stocks are Enough? Evidence from Five Developed Markets In: Working Papers.
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2013What Australian investors need to know to diversity their portfolios In: Working Papers.
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2014How many stocks are enough for diversifying Canadian institutional portfolios? In: Working Papers.
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2014Diversification, Canadian Style: How many stocks are enough for diversifying Canadian institutional portfolios? In: Published Paper Series.
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2014The number of stocks in your portfolio should be larger than you think: diversification evidence from five developed markets In: Published Paper Series.
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