Hossein Asgharian : Citation Profile

Are you Hossein Asgharian?

Lunds Universitet

8

H index

7

i10 index

359

Citations

RESEARCH PRODUCTION:

20

Articles

18

Papers

RESEARCH ACTIVITY:

   19 years (2000 - 2019). See details.
   Cites by year: 18
   Journals where Hossein Asgharian has often published
   Relations with other researchers
   Recent citing documents: 114.    Total self citations: 14 (3.75 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pas128
   Updated: 2023-03-25    RAS profile: 2022-10-16    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Christiansen, Charlotte (2)

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

Is cited by:

GUPTA, RANGAN (21)

Conrad, Christian (8)

Mishra, Anil (6)

Demirer, Riza (5)

Papadamou, Stephanos (5)

Zhang, Yaojie (5)

Salisu, Afees (5)

Wang, Weining (5)

Yin, Libo (5)

Bouri, Elie (4)

Amendola, Alessandra (4)

Cites to:

Pastor, Lubos (20)

Engle, Robert (20)

Fama, Eugene (17)

French, Kenneth (15)

Harvey, Campbell (14)

Jagannathan, Ravi (11)

Bollerslev, Tim (11)

Diebold, Francis (10)

Christiansen, Charlotte (10)

Bekaert, Geert (8)

Wang, Zhenyu (8)

Main data

Where Hossein Asgharian has published?

Journals with more than one article published# docs
The European Journal of Finance2
Journal of Banking & Finance2
Journal of International Financial Markets, Institutions and Money2
The Journal of Financial Econometrics2
Journal of International Money and Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Lund University, Department of Economics8
Knut Wicksell Working Paper Series / Lund University, Knut Wicksell Centre for Financial Studies4

Recent works citing Hossein Asgharian (2022 and 2021)

YearTitle of citing document
2023Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

Full description at Econpapers || Download paper

2023Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

Full description at Econpapers || Download paper

2021EQUITY MARKETS RISKS AND RETURNS: IMPLICATIONS FOR GLOBAL PORTFOLIO CAPITAL FLOWS DURING PANDEMIC AND CRISIS PERIODS. (2021). Rusak, Denys ; Pryiatelchuk, Olena ; Dziuba, Pavlo. In: Baltic Journal of Economic Studies. RePEc:bal:journl:2256-0742:2021:7:3:12.

Full description at Econpapers || Download paper

2021De?risking through equity holdings: Bank and insurer behavior under capital requirements. (2021). Zhu, Min ; Zhou, Qing ; Yang, Liu. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:48:y:2021:i:9-10:p:1889-1917.

Full description at Econpapers || Download paper

2021Connected markets through global real estate investments. (2021). Lizieri, Colin ; Zhu, Bing. In: Real Estate Economics. RePEc:bla:reesec:v:49:y:2021:i:s2:p:618-654.

Full description at Econpapers || Download paper

2021Bayesian State?Space Modeling for Analyzing Heterogeneous Network Effects of US Monetary Policy. (2021). Pfarrhofer, Michael ; Hauzenberger, Niko. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:123:y:2021:i:4:p:1261-1291.

Full description at Econpapers || Download paper

2022EQUITY MARKET VOLATILITY IMPACT ON S&P 500 SECTOR INDEXES, 1989-2021. (2022). Sosa-Castro, Miriam. In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:22:y:2022:i:1_3.

Full description at Econpapers || Download paper

2021ECB Consumer Expectations Survey: an overview and first evaluation. (2021). Dossche, Maarten ; Di Laurea, Davide ; Charalambakis, Evangelos ; Georgarakos, Dimitris ; Tormalehto, Veli-Matti ; da Silva, Antonio Dias ; Teppa, Federica ; Rusinova, Desislava ; Borlescu, Ana Maria ; Meyer, Justus ; Bankowska, Katarzyna ; Kolndrekaj, Aleksandra ; Kenny, Geoff ; Kennedy, Neale ; Honkkila, Juha. In: Occasional Paper Series. RePEc:ecb:ecbops:2021287.

Full description at Econpapers || Download paper

2021COVID-19 containment measures and stock market returns: An international spatial econometrics investigation. (2021). Eleftheriou, Konstantinos ; Patsoulis, Patroklos ; Alexakis, Christos. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303555.

Full description at Econpapers || Download paper

2021Does economic integration lead to financial market integration in the Asian region?. (2021). Paramati, Sudharshan Reddy ; Zakari, Abdulrasheed ; Huang, Ruixian ; Song, Yuegang. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:366-377.

Full description at Econpapers || Download paper

2021The impact of mixed-frequency geopolitical risk on stock market returns. (2021). Yang, Chunpeng. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:72:y:2021:i:c:p:226-240.

Full description at Econpapers || Download paper

2021Realized skewness and the short-term predictability for aggregate stock market volatility. (2021). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi. In: Economic Modelling. RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002030.

Full description at Econpapers || Download paper

2022Financial contagion drivers during recent global crises. (2022). Perote, Javier ; Cortes, Lina M ; Pineda, Julian. In: Economic Modelling. RePEc:eee:ecmode:v:117:y:2022:i:c:s0264999322003042.

Full description at Econpapers || Download paper

2021Macroeconomic forecasts and commodity futures volatility. (2021). Liu, Xiaoquan ; Jiang, Ying ; Deschamps, Bruno ; Guo, Ranran ; Ye, Wuyi. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:981-994.

Full description at Econpapers || Download paper

2021Mixed-frequency SV model for stock volatility and macroeconomics. (2021). Zheng, Tingguo ; Shang, Yuhuang. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:462-472.

Full description at Econpapers || Download paper

2021The daily relationship between U.S. asset prices and stock prices of American countries. (2021). Paphakin, Warinthorn ; Chin, Chang-Chiang . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000346.

Full description at Econpapers || Download paper

2021Jump Interdependencies: Stochastic linkages among international stock markets. (2021). Prasanna, Krishna ; Kshatriya, Saranya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000528.

Full description at Econpapers || Download paper

2022Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence. (2022). Liu, Xing ; Tan, Chunzhi ; Zhang, Wei Guo ; Mo, Guoli. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001765.

Full description at Econpapers || Download paper

2022Evolving United States stock market volatility: The role of conventional and unconventional monetary policies. (2022). GUPTA, RANGAN ; Balcilar, Mehmet ; Ji, Qiang ; Plakandaras, Vasilios. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000249.

Full description at Econpapers || Download paper

2022The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic. (2022). Liu, Fang ; Chen, Yajiao ; Zhou, Long ; Zhang, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000432.

Full description at Econpapers || Download paper

2022Instability spillovers in the banking sector: A spatial econometrics approach. (2022). Karkowska, Renata ; Acedaski, Jan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000493.

Full description at Econpapers || Download paper

2022Time-varying risk aversion and renminbi exchange rate volatility: Evidence from CARR-MIDAS model. (2022). Zhang, Huanming ; Xie, Haibin ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000559.

Full description at Econpapers || Download paper

2021Do financial variables help predict the conditional distribution of the market portfolio?. (2021). Zamenjani, Azam Shamsi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:327-345.

Full description at Econpapers || Download paper

2022Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model. (2022). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322001128.

Full description at Econpapers || Download paper

2022Forecasting crude oil volatility with uncertainty indicators: New evidence. (2022). Umar, Muhammad ; Chen, Zhonglu ; Liang, Chao. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322001141.

Full description at Econpapers || Download paper

2022Forecasting volatility of EUA futures: New evidence. (2022). Umar, Muhammad ; Liang, Chao ; Huang, Yisu ; Guo, Xiaozhu. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001918.

Full description at Econpapers || Download paper

2022Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models: Either, neither or both?. (2022). Wang, LU ; Wu, Jiangbin ; Cao, Yang ; Hong, Yanran. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002237.

Full description at Econpapers || Download paper

2022Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model. (2022). Wang, LU ; Lai, Xiaodong ; Xia, Zhenglan ; Liang, Chao. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s0140988322005667.

Full description at Econpapers || Download paper

2022Risk spread in multiple energy markets: Extreme volatility spillover network analysis before and during the COVID-19 pandemic. (2022). Chen, Jin ; Zhou, Wei. In: Energy. RePEc:eee:energy:v:256:y:2022:i:c:s0360544222014839.

Full description at Econpapers || Download paper

2021A three-tiered nested analytical approach to financial integration: The case of emerging and frontier equity markets. (2021). Guidi, Francesco ; Cagliesi, Gabriella. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000417.

Full description at Econpapers || Download paper

2022A bibliometric review of financial market integration literature. (2022). Yarovaya, Larisa ; Paltrinieri, Andrea ; Oriani, Marco Ercole ; Goodell, John W ; Patel, Ritesh. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000151.

Full description at Econpapers || Download paper

2021A realized EGARCH-MIDAS model with higher moments. (2021). Wu, Xinyu ; Xie, Haibin. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319308505.

Full description at Econpapers || Download paper

2021Flight-to-quality between global stock and bond markets in the COVID era. (2021). Kenourgios, Dimitris ; Dimitriou, Dimitrios ; Fassas, Athanasios P ; Papadamou, Stephanos. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316664.

Full description at Econpapers || Download paper

2021Financial contagion and the TIR-MIDAS model. (2021). Liu, Xiaoquan ; Jiang, Kunliang ; Ye, Wuyi. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s154461232030132x.

Full description at Econpapers || Download paper

2021Economic uncertainty or financial uncertainty? An empirical analysis of bank risk-taking in Asian emerging markets. (2021). Liu, Xiaoyan ; Zheng, Dazhi ; Wu, JI. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320303299.

Full description at Econpapers || Download paper

2021Hedging stock market risks: Can gold really beat bonds?. (2021). Jin, YI ; Zhai, Pengxiang ; Sun, Bianxia ; Ma, Rufei. In: Finance Research Letters. RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317323.

Full description at Econpapers || Download paper

2021Stock market synchronization and institutional distance. (2021). Tu, Anthony H ; Guo, Nian-Zhi. In: Finance Research Letters. RePEc:eee:finlet:v:42:y:2021:i:c:s1544612321000155.

Full description at Econpapers || Download paper

2021Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic. (2021). Zaremba, Adam ; Aharon, David Y ; Kizys, Renatas. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000921.

Full description at Econpapers || Download paper

2022How do financial and commodity markets volatility react to real economic activity?. (2022). Guesmi, Khaled ; Ndubuisi, Gideon ; Urom, Christian. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000563.

Full description at Econpapers || Download paper

2022U.S. grain commodity futures price volatility: Does trade policy uncertainty matter?. (2022). Mei, Dexiang ; Xie, Yutang. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002689.

Full description at Econpapers || Download paper

2022Demystifying the US Treasury floating rate note puzzle: A swap market perspective. (2022). Ahn, Yongkil. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322005396.

Full description at Econpapers || Download paper

2021Volatility of order imbalance of institutional traders and expected asset returns: Evidence from Taiwan. (2021). Wu, Ming-Hung ; Weng, Pei-Shih ; Tsai, Wei-Che ; Huang, Hong-Gia. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s138641812030015x.

Full description at Econpapers || Download paper

2021Two decades of contagion effect on stock markets: Which events are more contagious?. (2021). Smaga, Pawe ; Kurowski, Ukasz ; Rogowicz, Karol ; Iwanicz-Drozdowska, Magorzata. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s157230892100067x.

Full description at Econpapers || Download paper

2021Economic fundamentals and the long-run correlation between exchange rates and commodities. (2021). Tsiakas, Ilias ; Zhang, Haibin. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028321000478.

Full description at Econpapers || Download paper

2022On non-negative equity guarantee calculations with macroeconomic variables related to house prices. (2022). Tunaru, Radu ; Quaye, Enoch ; Badescu, Alexandru. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:119-138.

Full description at Econpapers || Download paper

2021Optimal asset allocation strategies for international equity portfolios: A comparison of country versus industry optimization. (2021). Taushanov, Georgi ; Bessler, Wolfgang ; Wolff, Dominik. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000627.

Full description at Econpapers || Download paper

2021Long- and short-run components of factor betas: Implications for stock pricing. (2021). Christiansen, Charlotte ; Wang, Weining ; Hou, Ai Jun ; Asgharian, Hossein. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001281.

Full description at Econpapers || Download paper

2021Bank systemic risk exposure and office market interconnectedness. (2021). Füss, Roland ; Ruf, Daniel ; Fuss, Roland ; ROLAND FÜSS, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002636.

Full description at Econpapers || Download paper

2022Information precision and return co-movements in private commercial real estate markets. (2022). Ruf, Daniel ; Fuss, Roland ; ROLAND FÜSS, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000024.

Full description at Econpapers || Download paper

2022Time-varying risk of nominal bonds: How important are macroeconomic shocks?. (2022). Ermolov, Andrey. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:1:p:1-28.

Full description at Econpapers || Download paper

2022Measuring 25 years of global equity market co-movement using a time-varying spatial model. (2022). Prange, Philipp ; Peter, Franziska J ; Thomas, . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:128:y:2022:i:c:s0261560622001115.

Full description at Econpapers || Download paper

2022The impact of economic policy uncertainties on the volatility of European carbon market. (2022). Wang, Jiqiang ; Duc, Toan Luu ; Xiong, Xiong ; Dai, Peng-Fei. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:26:y:2022:i:c:s2405851321000416.

Full description at Econpapers || Download paper

2021Stock market comovements: Evidence from the COVID-19 pandemic. (2021). Zehri, Chokri. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:24:y:2021:i:c:s1703494921000335.

Full description at Econpapers || Download paper

2022Forecasting stock market volatility using commodity futures volatility information. (2022). Guo, Xiaozhu ; Liu, Guangqiang. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s030142072100489x.

Full description at Econpapers || Download paper

2022Can dimensional reduction technology make better use of the information of uncertainty indices when predicting volatility of Chinese crude oil futures?. (2022). Chen, Zhonglu ; Li, Xiafei ; Bai, Jiancheng ; Yan, Xiang. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721005286.

Full description at Econpapers || Download paper

2022Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS. (2022). Lee, Chien-Chiang ; Liu, Min. In: Resources Policy. RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722001519.

Full description at Econpapers || Download paper

2022The importance of distinguishing between precious and industrial metals when investing in mining stocks. (2022). Lazzarino, Marco ; Berrill, Jenny ; Evi, Aleksandar. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722002501.

Full description at Econpapers || Download paper

2022The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model. (2022). Dai, Peng-Fei ; Xiong, Xiong ; Zhang, Jin ; Zhou, Wei-Xing. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722002951.

Full description at Econpapers || Download paper

2022Assessing the influence of news indicator on volatility of precious metals prices through GARCH-MIDAS model: A comparative study of pre and during COVID-19 period. (2022). Khan, Komal Akram ; Raza, Syed Ali ; Zhang, Hongyu ; Khaskheli, Asadullah. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722003956.

Full description at Econpapers || Download paper

2022Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses. (2022). Vo, Xuan Vinh ; Alobaloke, Kafayat A ; Adesina, Oluwaseun A ; Yaya, Olaoluwa S. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004792.

Full description at Econpapers || Download paper

2021The impact of economic policy uncertainty on stock volatility: Evidence from GARCH–MIDAS approach. (2021). Huang, Yirong ; Yu, Xiaoling. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:570:y:2021:i:c:s0378437121000662.

Full description at Econpapers || Download paper

2021Measuring information flow among international stock markets: An approach of entropy-based networks on multi time-scales. (2021). Kuang, Peng-Cheng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:577:y:2021:i:c:s0378437121003411.

Full description at Econpapers || Download paper

2021The association between financial market volatility and banking market structure. (2021). Elyasiani, Elyas ; Crimmel, Jeremy. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:82:y:2021:i:c:p:335-349.

Full description at Econpapers || Download paper

2021Measuring risk spillovers from multiple developed stock markets to China: A vine-copula-GARCH-MIDAS model. (2021). Liu, Yezheng ; Xu, Qifa ; Jiang, Cuixia. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:386-398.

Full description at Econpapers || Download paper

2021Network diffusion of international oil volatility risk in Chinas stock market: Quantile interconnectedness modelling and shock decomposition analysis. (2021). Xia, Xiaohua ; Li, Ziruo ; Huang, Jionghao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:1-39.

Full description at Econpapers || Download paper

2022Forecasting Pakistan stock market volatility: Evidence from economic variables and the uncertainty index. (2022). Li, Tao ; Ma, Feng ; Guo, Qiang ; Ghani, Maria. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:1180-1189.

Full description at Econpapers || Download paper

2022Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets. (2022). Wei, Yunjie ; Wang, Shouyang ; Lu, Quanying ; Li, Yuze ; Jiang, Shangrong. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001641.

Full description at Econpapers || Download paper

2022Dynamics lead-lag relationship of jumps among Chinese stock index and futures market during the Covid-19 epidemic. (2022). Qiao, Gaoxiu ; Gui, Yiming ; Liu, Wenwen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:61:y:2022:i:c:s0275531922000575.

Full description at Econpapers || Download paper

2022Climate policy uncertainty and world renewable energy index volatility forecasting. (2022). , Toan ; Ma, Feng ; Umar, Muhammad ; Liang, Chao. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:182:y:2022:i:c:s0040162522003341.

Full description at Econpapers || Download paper

2022Contagion effects on financial markets risk. (2022). Dima, Bogdan ; Ioncui, Anca. In: Journal of Financial Studies. RePEc:fst:rfsisf:v:12:y:2022:i:7:p:105-133.

Full description at Econpapers || Download paper

2022Identifying the Determinants of Crude Oil Market Volatility by the Multivariate GARCH-MIDAS Model. (2022). Yang, Chenxu ; Xuyang, Chen ; Chuang, O-Chia . In: Energies. RePEc:gam:jeners:v:15:y:2022:i:8:p:2945-:d:795842.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2022Forecasting the Volatility of European Union Allowance Futures with Climate Policy Uncertainty Using the EGARCH-MIDAS Model. (2022). Yin, Xuebao ; Wu, Xinyu ; Mei, Xueting. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:7:p:4306-:d:787154.

Full description at Econpapers || Download paper

2021COVID-19 containment measures and stock market returns: An international spatial econometrics investigation. (2021). Patsoulis, Patroklos ; Eleftheriou, Konstantinos ; Alexakis, Christos. In: Post-Print. RePEc:hal:journl:hal-03163917.

Full description at Econpapers || Download paper

2021Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach. (2021). Nguyen, Hoang ; Javed, Farrukh. In: Working Papers. RePEc:hhs:oruesi:2021_015.

Full description at Econpapers || Download paper

2021Directional Spillover Effects Between BRICS Stock Markets and Economic Policy Uncertainty. (2021). Hung, Ngo Thai. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:28:y:2021:i:3:d:10.1007_s10690-020-09328-y.

Full description at Econpapers || Download paper

2022Economic Policy Uncertainty Index Meets Ensemble Learning. (2022). Logarui, Marija ; Sori, Petar ; Loli, Ivana. In: Computational Economics. RePEc:kap:compec:v:60:y:2022:i:2:d:10.1007_s10614-021-10153-2.

Full description at Econpapers || Download paper

2021Bayesian estimation of the stochastic volatility model with double exponential jumps. (2021). Li, Jinzhi. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:2:d:10.1007_s11147-020-09173-1.

Full description at Econpapers || Download paper

2021Testing stock market contagion properties between large and small stock markets. (2021). Su, EnDer. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:1:d:10.1007_s11156-020-00942-5.

Full description at Econpapers || Download paper

2022Procyclical volatility in Chinese stock markets. (2022). Liu, Xiaoquan ; Jiang, Ying ; Fei, Tianlun ; Deschamps, Bruno. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:3:d:10.1007_s11156-021-01020-0.

Full description at Econpapers || Download paper

2022Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach. (2022). Onder, Ozlem A ; Muradolu, Gulnur Y ; Kila, Gul Huyuguzel. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:4:d:10.1057_s41260-022-00263-3.

Full description at Econpapers || Download paper

2022Political, economic, and financial country risks and the volatility of the South African Exchange Traded Fund market: A GARCH-MIDAS approach. (2022). Muzindutsi, Paul-Francois ; Peerbhai, Faeezah ; Kunjal, Damien. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:3:d:10.1057_s41283-022-00093-y.

Full description at Econpapers || Download paper

2021Index tracking strategy based on mixed-frequency financial data. (2021). Zhang, Xuan ; Cui, Xiangyu. In: PLOS ONE. RePEc:plo:pone00:0249665.

Full description at Econpapers || Download paper

2022The information content of sentiment indices for forecasting Value at Risk and Expected Shortfall in equity markets. (2022). Naimoli, Antonio. In: MPRA Paper. RePEc:pra:mprapa:112588.

Full description at Econpapers || Download paper

2022Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses. (2022). Vo, Xuan Vinh ; Alobaloke, Kafayat ; Adesina, Ayobami O ; Ogbonna, Ahamuefula E ; Yaya, Olaoluwa S. In: MPRA Paper. RePEc:pra:mprapa:114689.

Full description at Econpapers || Download paper

2022Contagion or decoupling? Evidence from emerging stock markets. (2022). Ndiweni, Zinzile Lorna ; Bonga-Bonga, Lumengo. In: MPRA Paper. RePEc:pra:mprapa:115170.

Full description at Econpapers || Download paper

2022Econometric modelling of exchange rate volatility using mixed-frequency data. (2022). Chaturvedi, Priya ; Kumar, Kuldeep. In: MPRA Paper. RePEc:pra:mprapa:115222.

Full description at Econpapers || Download paper

2021Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models. (2021). Demirer, Riza ; Gupta, Rangan ; You, YU ; Li, HE. In: Working Papers. RePEc:pre:wpaper:202112.

Full description at Econpapers || Download paper

2021Evolving United States Stock Market Volatility: The Role of Conventional and Unconventional Monetary Policies. (2021). Plakandaras, Vasilios ; Balcilar, Mehmet ; Ji, Qiang ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202113.

Full description at Econpapers || Download paper

2021Investor Confidence and Forecastability of US Stock Market Realized Volatility : Evidence from Machine Learning. (2021). Pierdzioch, Christian ; Nel, Jacobus ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202118.

Full description at Econpapers || Download paper

2021Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model. (2021). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Working Papers. RePEc:pre:wpaper:202121.

Full description at Econpapers || Download paper

2021Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective. (2021). GUPTA, RANGAN ; Bouri, Elie ; Liu, Rui Peng. In: Working Papers. RePEc:pre:wpaper:202178.

Full description at Econpapers || Download paper

2022Testing the Forecasting Power of Global Economic Conditions for the Volatility of International REITs using a GARCH-MIDAS Approach. (2022). Salisu, Afees ; GUPTA, RANGAN ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:202211.

Full description at Econpapers || Download paper

2022Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies. (2022). Demirer, Riza ; Gupta, Rangan ; Cepni, Oguzhan ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202258.

Full description at Econpapers || Download paper

2023Return Volatility, Correlation, and Hedging of Green and Brown Stocks: Is there a Role for Climate Risk Factors?. (2023). GUPTA, RANGAN ; Fang, Libing ; Bouri, Elie ; Li, Haohua. In: Working Papers. RePEc:pre:wpaper:202301.

Full description at Econpapers || Download paper

2022Assessing the Impact of Country-Specific Sovereign Risk on Financial and Banking System in EMU: the Role of Italy. (). Oreste, Napolitano ; Cristiana, Fiorelli ; Marcella, Duva ; Salvatore, Capasso. In: CSEF Working Papers. RePEc:sef:csefwp:654.

Full description at Econpapers || Download paper

2022Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises. (2022). Hunter, John ; Yfanti, S ; Karanasos, M. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-021-04042-y.

Full description at Econpapers || Download paper

2022Spatial contagion between financial markets: new evidence of asymmetric measures. (2022). Sahut, Jean-Michel ; Ftiti, Zied ; Miled, Wafa. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-021-04223-9.

Full description at Econpapers || Download paper

2021Does the macroeconomy matter to market volatility? Evidence from US industries. (2021). CHONG, Terence Tai Leung ; Wu, Zhang. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:6:d:10.1007_s00181-020-02001-3.

Full description at Econpapers || Download paper

2022Disaggregating the impact of oil prices on European industrial equity indices: a spatial econometric analysis. (2022). Naveed, Amjad ; Hussain, Syed Mujahid ; Ahmad, Nisar ; Ahmed, Sheraz. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:6:d:10.1007_s00181-021-02116-1.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Hossein Asgharian:

YearTitleTypeCited
2014Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification In: CREATES Research Papers.
[Full Text][Citation analysis]		paper28
2014Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		paper
2016Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification.(2016) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		article
2015Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper30
2015Effects of macroeconomic uncertainty on the stock and bond markets.(2015) In: Finance Research Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30		article
2016Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2017Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2000Cross?sectional analysis of Swedish stock returns with time?varying beta: the Swedish stock market 1983–96 In: European Financial Management.
[Full Text][Citation analysis]		article7
2013Financial and Economic Integrations Impact on Asian Equity Markets’ Sensitivity to External Shocks In: The Financial Review.
[Full Text][Citation analysis]		article4
2005Evaluating the importance of missing risk factors using the optimal orthogonal portfolio approach In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article0
2008Evaluating a non-linear asset pricing model on international data In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article1
2006Evaluating a nonlinear asset pricing model on international data.(2006) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 1		paper
2003The explanatory role of factor portfolios for industries exposed to foreign competition: evidence from the Swedish stock market In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article2
2006Home bias among European investors from a Bayesian perspective In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article12
2011A conditional asset-pricing model with the optimal orthogonal portfolio In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article3
2013A spatial analysis of international stock market linkages In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article61
2013A spatial analysis of international stock market linkages.(2013) In: Knut Wicksell Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61		paper
2011Risk contagion among international stock markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article51
2018Cross-border asset holdings and comovements in sovereign bond markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article1
2015Cross-Border Asset Holdings and Comovements in Sovereign Bond Markets.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2002Cross Sectional Analysis of the Swedish Stock Market In: Working Papers.
[Full Text][Citation analysis]		paper1
2004A Comparative Analysis of Ability of Mimicking Portfolios in Representing the Background Factors In: Working Papers.
[Full Text][Citation analysis]		paper0
2014Predicting Stock Price Volatility by Analyzing Semantic Content in Media In: Working Papers.
[Full Text][Citation analysis]		paper0
2013Predicting Stock Price Volatility by Analyzing Semantic Content in Media.(2013) In: Knut Wicksell Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2014Institutional Quality, Trust and Stock-Market Participation: Learning to Forget In: Working Papers.
[Full Text][Citation analysis]		paper5
2014Institutional Quality, Trust and Stock Market Participation: Learning to Forget.(2014) In: Knut Wicksell Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2019Systemic Risk and Centrality Revisited: The Role of Interactions In: Working Papers.
[Full Text][Citation analysis]		paper1
2013Importance of the macroeconomic variables for variance prediction A GARCH-MIDAS approach In: Knut Wicksell Working Paper Series.
[Full Text][Citation analysis]		paper8
2001Equity Risk Factors for a Small Open Economy: A Risk Management Perspective In: Multinational Finance Journal.
[Full Text][Citation analysis]		article0
2006Jump Spillover in International Equity Markets In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article24
2016Credit Constraints, Growth and Inequality Dynamics In: Working Papers.
[Citation analysis]		paper5
2009An analysis of momentum and contrarian anomalies using an orthogonal portfolio approach In: Applied Economics Letters.
[Full Text][Citation analysis]		article0
2005A critical investigation of the explanatory role of factor mimicking portfolios in multifactor asset pricing models In: Applied Financial Economics.
[Full Text][Citation analysis]		article3
2010Book-to-market and size effects: compensations for risks or outcomes of market inefficiencies? In: The European Journal of Finance.
[Full Text][Citation analysis]		article1
2003Are highly leveraged firms more sensitive to an economic downturn? In: The European Journal of Finance.
[Full Text][Citation analysis]		article7
2011An event study of price movements following realized jumps In: Quantitative Finance.
[Full Text][Citation analysis]		article2
2013The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH?MIDAS Approach In: Journal of Forecasting.
[Full Text][Citation analysis]		article100

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2023. Contact: CitEc Team