Yakup Eser ARISOY : Citation Profile


Are you Yakup Eser ARISOY?

Neoma Business School

4

H index

3

i10 index

54

Citations

RESEARCH PRODUCTION:

7

Articles

12

Papers

RESEARCH ACTIVITY:

   10 years (2007 - 2017). See details.
   Cites by year: 5
   Journals where Yakup Eser ARISOY has often published
   Relations with other researchers
   Recent citing documents: 19.    Total self citations: 1 (1.82 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/par202
   Updated: 2020-02-08    RAS profile: 2018-08-20    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Yakup Eser ARISOY.

Is cited by:

Skiadopoulos, George (6)

Racicot, François-Éric (4)

Ebrahim, M. Shahid (2)

Brown, Stephen (2)

JAWADI, Fredj (2)

Shah, Mohamed (2)

Aggarwal, Raj (2)

Hudson, Robert (2)

Ruenzi, Stefan (2)

Goodell, John (2)

Derwall, Jeroen (1)

Cites to:

Campbell, John (12)

Harvey, Campbell (7)

Buraschi, Andrea (7)

Ang, Andrew (6)

French, Kenneth (6)

Trojani, Fabio (5)

Ferson, Wayne (5)

Jagannathan, Ravi (5)

Xing, Yuhang (5)

Bekaert, Geert (4)

Schwert, G. (4)

Main data


Where Yakup Eser ARISOY has published?


Journals with more than one article published# docs
Journal of Futures Markets2

Working Papers Series with more than one paper published# docs
Post-Print / HAL9
CFR Working Papers / University of Cologne, Centre for Financial Research (CFR)2

Recent works citing Yakup Eser ARISOY (2018 and 2017)


YearTitle of citing document
2019THE REACTIVE BETA MODEL. (2019). Grebenkov, Denis ; Aboura, Sofiane ; Valeyre, Sebastien. In: Journal of Financial Research. RePEc:bla:jfnres:v:42:y:2019:i:1:p:71-113.

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2017Modeling volatility of the French stock market. (2017). Mgadmi, Nidhal ; Bougatef, Khemaies . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00154.

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2019Hedge fund return higher moments over the business cycle. (2019). Racicot, François-Éric ; Theoret, Raymond. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:73-97.

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2017Tail-risk hedging, dividend chasing, and investment constraints: The use of exchange-traded notes by mutual funds. (2017). Rakowski, David ; Stark, Jeffrey R ; Shirley, Sara E. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:91-107.

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2018Hedge fund performance attribution under various market conditions. (2018). Stafylas, Dimitrios ; Uddin, Moshfique ; Anderson, Keith. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:221-237.

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2019Does the volatility of volatility risk forecast future stock returns?. (2019). JAWADI, Fredj ; Fu, XI ; Bu, Ruijun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:16-36.

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2019Upside potential of hedge funds as a predictor of future performance. (2019). Bali, Turan G ; Caglayan, Mustafa O ; Brown, Stephen J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:212-229.

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2017Tail risk in hedge funds: A unique view from portfolio holdings. (2017). Ruenzi, Stefan ; Weigert, Florian ; Agarwal, Vikas. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:610-636.

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2018Alpha or beta in the eye of the beholder: What drives hedge fund flows?. (2018). Agarwal, Vikas ; Ren, Honglin ; Green, Clifton T. In: Journal of Financial Economics. RePEc:eee:jfinec:v:127:y:2018:i:3:p:417-434.

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2019Downside jump risk and the levels of futures-cash basis. (2019). Chen, Chin-Ho. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x19300745.

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2018Forecasting performance of global economic policy uncertainty for volatility of Chinese stock market. (2018). Yu, Honghai ; Sun, Wencong ; Fang, Libing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:931-940.

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2017Macroeconomic factors and index option returns. (2017). Lai, Ya-Wen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:452-477.

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2018Multi-moment risk, hedging strategies, & the business cycle. (2018). Racicot, François-Éric ; Theoret, Raymond . In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:637-675.

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2017Investor Concentration, Flows, and Cash Holdings : Evidence from Hedge Funds. (2017). Watugala, Sumudu W ; Monin, Phillip J ; Kruttli, Mathias S. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-121.

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2019Skin or Skim? Inside Investment and Hedge Fund Performance. (2019). Sachdeva, Kunal ; Gupta, Arpit. In: NBER Working Papers. RePEc:nbr:nberwo:26113.

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2017Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds. (2017). Watugala, Sumudu W ; Monin, Phillip J ; Kruttli, Mathias S. In: Working Papers. RePEc:ofr:wpaper:17-07.

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2018Unobserved Performance of Hedge Funds. (2018). Weigert, Florian ; Ruenzi, Stefan ; Agarwal, Vikas. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:25.

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2018Have Hedge Funds Solved the Idiosyncratic Volatility Puzzle?. (2018). Weigert, Florian ; Bali, Turan G. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:27.

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2017Alpha or beta in the eye of the beholder: What drives hedge fund flows?. (2017). Agarwal, Vikas ; Ren, Honglin ; Green, Clifton T. In: CFR Working Papers. RePEc:zbw:cfrwps:1508.

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Works by Yakup Eser ARISOY:


YearTitleTypeCited
2015Aggregate volatility expectations and threshold CAPM In: The North American Journal of Economics and Finance.
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article0
2014Optimal multi-period consumption and investment with short-sale constraints In: Finance Research Letters.
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article0
2010Volatility risk and the value premium: Evidence from the French stock market In: Journal of Banking & Finance.
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article10
2017Volatility of aggregate volatility and hedge fund returns In: Journal of Financial Economics.
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article17
2015Volatility of aggregate volatility and hedge funds returns.(2015) In: CFR Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 17
paper
2015Volatility of aggregate volatility and hedge funds returns.(2015) In: CFR Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
paper
2017Can Exposure to Tail Risk Explain Size, Book-to-Market, and Idiosyncratic Volatility Anomalies? In: CEPN Working Papers.
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paper0
2007Is volatility risk priced in the securities market ? Evidence from S&P 500 index options. In: Post-Print.
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paper1
2010Volatility risk and the value premium : evidence from the french stock market In: Post-Print.
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paper8
2015Volatility of Aggregate Volatility and Hedge Fund Returns In: Post-Print.
[Citation analysis]
paper3
2016Option-Implied Volatility Measures and Stock Return Predictability In: Post-Print.
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paper1
2016Does Aggregate Uncertainty Explain Size and Value Anomalies? In: Post-Print.
[Citation analysis]
paper0
2017Volatility of Aggregate Volatility and Hedge Fund Returns In: Post-Print.
[Citation analysis]
paper10
2014Optimal Multi-Period Consumption and Investment with Short-Sale Constraints In: Post-Print.
[Citation analysis]
paper0
2015Aggregate Volatility Expectations and Threshold CAPM In: Post-Print.
[Citation analysis]
paper0
2014Aggregate Volatility and Market Jump Risk : An Option-Based Explanation to Size and Value Premia In: Post-Print.
[Citation analysis]
paper1
2017Does aggregate uncertainty explain size and value anomalies? In: Applied Economics.
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article0
2007Is volatility risk priced in the securities market? Evidence from S&P 500 index options In: Journal of Futures Markets.
[Full Text][Citation analysis]
article1
2014Aggregate Volatility and Market Jump Risk: An Option‐Based Explanation to Size and Value Premia In: Journal of Futures Markets.
[Full Text][Citation analysis]
article2

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