Hossein Asgharian : Citation Profile


Are you Hossein Asgharian?

Lunds Universitet

7

H index

7

i10 index

172

Citations

RESEARCH PRODUCTION:

19

Articles

16

Papers

RESEARCH ACTIVITY:

   17 years (2000 - 2017). See details.
   Cites by year: 10
   Journals where Hossein Asgharian has often published
   Relations with other researchers
   Recent citing documents: 68.    Total self citations: 12 (6.52 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pas128
   Updated: 2019-10-15    RAS profile: 2017-12-04    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Christiansen, Charlotte (8)

Liu, Lu (2)

Hess, Wolfgang (2)

Lundtofte, Frederik (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 (7)

Conrad, Christian (7)

Mishra, Anil (5)

Amendola, Alessandra (4)

Wohar, Mark (4)

Masih, Abul (4)

Lucas, Andre (3)

Schaumburg, Julia (3)

Rulliere, Didier (3)

Skintzi, Vasiliki (3)

Scognamillo, Antonio (3)

Cites to:

Fama, Eugene (20)

French, Kenneth (18)

Pastor, Lubos (15)

Engle, Robert (13)

Harvey, Campbell (13)

Bollerslev, Tim (10)

Jagannathan, Ravi (9)

Christiansen, Charlotte (9)

Diebold, Francis (8)

Andersen, Torben (7)

Bekaert, Geert (7)

Main data


Where Hossein Asgharian has published?


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

Recent works citing Hossein Asgharian (2018 and 2017)


YearTitle of citing document
2017Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. (2017). Christiansen, Charlotte ; Jun, AI ; Asgharian, Hossein. In: CREATES Research Papers. RePEc:aah:create:2018-12.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2017MIDAS models in banking sector – systemic risk comparison. (2017). Mestel, Roland ; Gurgul, Henryk ; Syrek, Robert. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:165-181.

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2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2018‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios. (2018). Conrad, Christian ; Glas, Alexander. In: Working Papers. RePEc:awi:wpaper:0655.

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2018Multivariate Jump Diffusion Model with Markovian Contagion. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. In: Working Papers Series. RePEc:bcb:wpaper:482.

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2018Macroeconomics determinants of the correlation between stocks and bonds. (2018). Pericoli, Marcello. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1198_18.

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2017Forecasting the return volatility of energy prices: A GARCH MIDAS approach. (2017). Salisu, Afees ; Swaray, Raymond. In: Working Papers. RePEc:cui:wpaper:0029.

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2017Macroeconomic Variables, Leverage, Stock Returns and Stock Return Volatility. (2017). Marozva, Godfrey ; Magwedere, Margaret Rutendo. In: Acta Universitatis Danubius. OEconomica. RePEc:dug:actaec:y:2017:i:4:p:264-288.

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2018Capital Regulation, Efficiency, and Risk Taking: A Spatial Panel Analysis of U.S. Banks. (2018). Ding, Dong ; Sickles, Robin C. In: Working Papers. RePEc:ecl:riceco:18-004.

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2018Equity home bias—A global perspective from the shrunk frontier. (2018). Paul, Satya ; Shankar, Sriram ; Mukherjee, Raja. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:57:y:2018:i:c:p:9-21.

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2017Competition in the stock market with asymmetric information. (2017). Wang, Wanbin Walter . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:40-49.

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2017The effect of economic policy uncertainty on the long-term correlation between U.S. stock and bond markets. (2017). Fang, Libing ; Li, Lei ; Yu, Honghai. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:139-145.

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2018Forecasting gold futures market volatility using macroeconomic variables in the United States. (2018). Fang, Libing ; Xiao, Wen ; Yu, Honghai. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:249-259.

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2018The effects of financial distress: Evidence from US GDP growth. (2018). Inekwe, John ; Rebecca, MA ; Jin, YI. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:8-21.

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2019On the asymmetric impact of macro–variables on volatility. (2019). Amendola, Alessandra ; Gallo, Giampiero M ; Candila, Vincenzo. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:135-152.

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2019International portfolio of stock indices with spatiotemporal correlations: Can investors still benefit from portfolio, when and where?. (2019). Liu, Fang ; Zhang, Weiguo ; Tan, Chunzhi ; Mo, Guoli. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:168-183.

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2019Understanding stock market volatility: What is the role of U.S. uncertainty?. (2019). Yin, Libo ; Fang, Tong ; Su, Zhi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:582-590.

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2017Stocks and bonds during the gold standard. (2017). le Bris, David ; Rezaee, Amir. In: Economics Letters. RePEc:eee:ecolet:v:159:y:2017:i:c:p:119-122.

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2019Estimating MIDAS regressions via OLS with polynomial parameter profiling. (2019). Ghysels, Eric ; Qian, Hang. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:1-16.

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2019Wavelet-based option pricing: An empirical study. (2019). Liu, Xiaoquan ; Shen, Liya ; Ma, Chenghu ; Cao, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1132-1142.

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2018Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Wu, Shuai. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:98-113.

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2017Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model. (2017). Yin, Libo ; Wu, Chongfeng ; Wang, Yudong ; Pan, Zhiyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:130-142.

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2018Oil and the short-term predictability of stock return volatility. (2018). Yin, Libo ; Wang, Yudong ; Wu, Chongfeng ; Wei, YU. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:90-104.

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2017Diversifying away the risk of war and cross-border political crisis. (2017). , Ayman ; Nolte, Sandra ; Wisniewski, Tomasz Piotr . In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:494-510.

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2017Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty?. (2017). Wei, YU ; Hu, Yang ; Lai, Xiaodong ; Liu, Jing. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:141-150.

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2017Main driving factors of the interest rate-stock market Granger causality. (2017). Jareño, Francisco ; Hammoudeh, Shawkat M ; Jareo, Francisco ; Ferrer, Roman ; Jammazi, Rania. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:260-280.

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2019Determinants of stock-bond market comovement in the Eurozone under model uncertainty. (2019). Skintzi, Vasiliki D. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:20-28.

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2019Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin?. (2019). GUPTA, RANGAN ; Bouri, Elie ; Roubaud, David ; Fang, Libing. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:29-36.

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2018Spatial analysis of sovereign risks: The case of emerging markets. (2018). Kila, Gul Huyuguzel ; Onder, Ozlem A. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:47-55.

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2017Global portfolio investment network and stock market comovement. (2017). Chuluun, Tuugi . In: Global Finance Journal. RePEc:eee:glofin:v:33:y:2017:i:c:p:51-68.

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2017Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach. (2017). Wohar, Mark ; Uribe, Jorge ; GUPTA, RANGAN ; Chuliá, Helena ; Chulia, Helena. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:178-191.

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2019Combining wavelet decomposition with machine learning to forecast gold returns. (2019). Risse, Marian. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:601-615.

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2018Risk factors and their associated risk premia: An empirical analysis of the crude oil market. (2018). Hain, Martin ; Unger, Nils ; Uhrig-Homburg, Marliese. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:44-63.

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2017European equity market integration and joint relationship of conditional volatility and correlations. (2017). Virk, Nader ; Javed, Farrukh . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:71:y:2017:i:c:p:53-77.

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2018The reality of stock market jumps diversification. (2018). Chen, KE ; Poon, Ser-Huang ; Hyde, Stuart ; Vitiello, Luiz . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:171-188.

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2018Cross-border asset holdings and comovements in sovereign bond markets. (2018). Asgharian, Hossein ; Larsson, Marcus ; Liu, LU. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:189-206.

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2018News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets. (2018). Gupta, Rangan ; Wohar, Mark E ; Papadamou, Stephanos ; Kollias, Christos. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:47-48:y:2018:i::p:76-90.

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2018Measuring systemic risk of the banking industry in China: A DCC-MIDAS-t approach. (2018). Xu, Qifa ; Yuan, Jing ; Jiang, Cuixia ; Chen, LU. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:51:y:2018:i:c:p:13-31.

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2017Jump spillover between oil prices and exchange rates. (2017). Li, Xiao-Ping ; Wu, Chong-Feng ; Zhou, Chun-Yang . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:656-667.

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2018How does stock market volatility react to NVIX? Evidence from developed countries. (2018). Fang, Libing ; Yu, Honghai ; Chen, Ying ; Qian, Yichuo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:490-499.

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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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2018Stock market information flow: Explanations from market status and information-related behavior. (2018). Lu, Jingen ; Liu, Xiaoxing ; Chen, Xiaohong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:837-848.

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2018Estimating the beta-return relationship by considering the sign and the magnitude of daily returns. (2018). ben Sita, Bernard. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:67:y:2018:i:c:p:28-35.

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2018The role of investor sentiment in the long-term correlation between U.S. stock and bond markets. (2018). Fang, Libing ; Huang, Yingbo ; Yu, Honghai. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:127-139.

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2017Foreign bias in Australias international equity holdings. (2017). Mishra, Anil. In: Review of Financial Economics. RePEc:eee:revfin:v:33:y:2017:i:c:p:41-54.

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2018The Conductive and Predictive Effect of Oil Price Fluctuations on China’s Industry Development Based on Mixed-Frequency Data. (2018). Chai, Jian ; Su, Siping ; Chen, Xiaofeng ; Lai, Kin Keung ; Zhou, Xiaoyang ; Cao, Puju. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:6:p:1372-:d:149403.

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2019The Time-Spatial Dimension of Eurozone Banking Systemic Risk. (2019). Angelini, Eliana ; Foglia, Matteo. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:75-:d:246287.

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2017Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market. (2017). Poshakwale, Sunil S ; Mandal, Anandadeep . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:4:d:10.1007_s11156-016-0580-2.

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2017Mixed-Frequency Macro-Financial Spillovers. (2017). Yilmaz, Kamil ; Hallam, Mark ; cotter, john. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1704.

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2017Self-Regulation and Stock Listing Decision of Banks. (2017). El Joueidi, Sarah. In: CREA Discussion Paper Series. RePEc:luc:wpaper:17-05.

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2018A Comparative GARCH Analysis of Macroeconomic Variables and Returns on Modelling the Kurtosis of FTSE 100 Implied Volatility Index. (2018). Giouvris, Evangelos ; Alsheikhmubarak, Abdulilah Ibrahim. In: Multinational Finance Journal. RePEc:mfj:journl:v:22:y:2018:i:3-4:p:119-172.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: NIPE Working Papers. RePEc:nip:nipewp:07/2018.

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2017Determinants of stock-bond market comovement in the Eurozone under model uncertainty. (2017). Skintzi, Vasiliki. In: MPRA Paper. RePEc:pra:mprapa:78278.

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2017Sentiment indicators and macroeconomic data as drivers for low-frequency stock market volatility. (2017). Lindblad, Annika . In: MPRA Paper. RePEc:pra:mprapa:80266.

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2017Forecasting realized volatility: a review. (2017). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:83232.

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2018Modeling and forecasting commodity market volatility with long-term economic and financial variables. (2018). Walther, Thomas ; Nguyen, Duc Khuong. In: MPRA Paper. RePEc:pra:mprapa:84464.

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2017News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets. (2017). Wohar, Mark ; Papadamou, Stephanos ; Kollias, Christos ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201730.

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2017A Copula-Based Quantile-on-Quantile Regression Approach to Modeling Dependence Structure between Stock and Bond Returns: Evidence from Historical Data of India, South Africa, UK and US. (2017). Selmi, Refk ; Papadamou, Stephanos ; Kollias, Christos ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201747.

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2018Does Global Economic Uncertainty Matter for the Volatility and Hedging Effectiveness of Bitcoin?. (2018). Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie ; Fang, Libing. In: Working Papers. RePEc:pre:wpaper:201858.

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2017Variance Risk Premia on Stocks and Bonds. (2017). Sabtchevsky, Petar ; Mueller, Philippe ; Vedolin, Andrea ; Whelan, Paul. In: 2017 Meeting Papers. RePEc:red:sed017:1161.

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2018Impact of foreign institutional investor trades in Indian equity and debt market: a three-dimensional analysis. (2018). Lakshmi, P ; Thenmozhi, M. In: DECISION: Official Journal of the Indian Institute of Management Calcutta. RePEc:spr:decisn:v:45:y:2018:i:3:d:10.1007_s40622-018-0183-y.

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2017On the influence of US monetary policy on crude oil price volatility. (2017). Scognamillo, Antonio ; Amendola, Alessandra ; Candila, Vincenzo. In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:1:d:10.1007_s00181-016-1069-5.

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2017Mixed-frequency macro-financial spillovers. (2017). Yilmaz, Kamil ; Hallam, Mark ; cotter, john. In: Working Papers. RePEc:ucd:wpaper:201704.

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2017STOCK MARKET PARTICIPATION PUZZLE IN EMERGING ECONOMIES: THE CASE OF LITHUANIA. (2017). Darskuviene, Valdone ; Marinicevaite, Tamara ; Mauricas, Zygimantas. In: Organizations and Markets in Emerging Economies. RePEc:vul:omefvu:v:8:y:2017:i:2:id:234.

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2018The Implementation of Fuzzy Logic in Forecasting Financial Ratios. (2018). Korol, Tomasz. In: Contemporary Economics. RePEc:wyz:journl:id:534.

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2017The impact of network connectivity on factor exposures, asset pricing and portfolio diversification. (2017). Pelizzon, Loriana ; Caporin, Massimiliano ; Billio, Monica ; Panzica, Roberto Calogero . In: SAFE Working Paper Series. RePEc:zbw:safewp:166.

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Works by Hossein Asgharian:


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