Gregory H. Bauer : Citation Profile


Are you Gregory H. Bauer?

University of Guelph

9

H index

9

i10 index

463

Citations

RESEARCH PRODUCTION:

8

Articles

14

Papers

RESEARCH ACTIVITY:

   14 years (2004 - 2018). See details.
   Cites by year: 33
   Journals where Gregory H. Bauer has often published
   Relations with other researchers
   Recent citing documents: 18.    Total self citations: 11 (2.32 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba468
   Updated: 2024-01-16    RAS profile: 2023-03-16    
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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 Gregory H. Bauer.

Is cited by:

Tille, Cédric (19)

van Wincoop, Eric (17)

Albuquerque, Rui (13)

Wongswan, Jon (11)

Asai, Manabu (11)

Ülkü, Numan (11)

Bacchetta, Philippe (10)

Rey, Helene (10)

Fratzscher, Marcel (9)

Warnock, Francis (9)

Medeiros, Marcelo (8)

Cites to:

Diebold, Francis (33)

Campbell, John (29)

Bollerslev, Tim (25)

Andersen, Torben (23)

Harvey, Campbell (23)

Piazzesi, Monika (16)

Hamao, Yasushi (16)

Bekaert, Geert (15)

Rudebusch, Glenn (14)

Zhou, Guofu (12)

Hodrick, Robert (11)

Main data


Where Gregory H. Bauer has published?


Journals with more than one article published# docs
Bank of Canada Review2

Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada8
International Finance / University Library of Munich, Germany3

Recent works citing Gregory H. Bauer (2024 and 2023)


YearTitle of citing document
2023Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage. (2023). Ribeiro, Ruy M ; Medeiros, Marcelo C ; de Brito, Diego S ; Alves, Rafael. In: Papers. RePEc:arx:papers:2303.16151.

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2023.

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2023Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2023Co-volatility and asymmetric transmission of risks between the global oil and Chinas futures markets. (2023). Klein, Tony ; Ji, Qiang ; Marfatia, Hardik A ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005953.

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2023A weekly structural VAR model of the US crude oil market. (2023). Manera, Matteo ; Bastianin, Andrea ; Valenti, Daniele. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001548.

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2023Cross-border equity flows and information transmission: Evidence from Chinese stock markets. (2023). Shi, Donghui ; Han, Bing ; Chan, Kalok ; Bian, Jiangze. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:84:y:2023:i:c:s1042443123000239.

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2023The information in joint term structures of bond yields. (2023). Spencer, Peter ; Raczko, Marek ; Meldrum, Andrew. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:134:y:2023:i:c:s0261560623000293.

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2023Theory of storage implications in the European natural gas market. (2023). Torro, Hipolit ; Martinez, Beatriz. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000678.

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2023The impact of government spending on Ireland’s housing and residential market – Targeted vs economy-wide stimulus. (2023). Egan, Paul ; Bergin, Adele. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:45:y:2023:i:3:p:552-569.

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2023Do institutional investors perform better in emerging markets?. (2023). Kumar, Ashish ; Badhani, K N ; Tayde, Mangesh ; Vo, Xuan Vinh. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:1041-1056.

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2023Monetary tightening in the Euro Area: Implications for residential investment. (2023). McQuinn, Kieran ; Egan, Paul. In: Papers. RePEc:esr:wpaper:wp767.

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2023When Does Monetary Policy Sway House Prices? A Meta-Analysis. (2023). Havranek, Tomas ; Bajzik, Josef ; Ehrenbergerova, Dominika. In: IMF Economic Review. RePEc:pal:imfecr:v:71:y:2023:i:2:d:10.1057_s41308-022-00185-5.

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2023Modeling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India. (2023). Ledwani, Sanket ; Iyer, Vishwanathan ; Chakraborty, Suman. In: MPRA Paper. RePEc:pra:mprapa:117067.

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2023Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1.

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2023Liquidity and realized covariance forecasting: a hybrid method with model uncertainty. (2023). Li, Weiping ; Ma, Feng ; Cao, Yangli ; Qiao, Gaoxiu. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02248-y.

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Works by Gregory H. Bauer:


YearTitleTypeCited
2006A Summary of the Bank of Canada Conference on Fixed-Income Markets, 3-4 May 2006 In: Bank of Canada Review.
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article2
2012Global Risk Premiums and the Transmission of Monetary Policy In: Bank of Canada Review.
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article8
2004International Equity Flows and Returns: A Quantitative Equilibrium Approach In: Staff Working Papers.
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paper50
2005International Equity Flows and Returns: A Quantitative Equilibrium Approach.(2005) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 50
paper
2004International equity flows and returns: a quantative equilibrium approach.(2004) In: Working Paper Series.
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This paper has nother version. Agregated cites: 50
paper
2004International Equity Flows and Returns: A Quantitative Equilibrium Approach.(2004) In: International Finance.
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This paper has nother version. Agregated cites: 50
paper
2005International equity flows and returns: a quantitative equilibrium approach.(2005) In: International Finance.
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This paper has nother version. Agregated cites: 50
paper
2004The Monetary Origins of Asymmetric Information in International Equity Markets In: Staff Working Papers.
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paper7
2006The monetary origins of asymmetric information in international equity markets.(2006) In: International Finance Discussion Papers.
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This paper has nother version. Agregated cites: 7
paper
2007Multivariate Realized Stock Market Volatility In: Staff Working Papers.
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paper28
2012An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks In: Staff Working Papers.
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paper31
2014What Does the Convenience Yield Curve Tell Us about the Crude Oil Market? In: Staff Working Papers.
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paper17
2014International House Price Cycles, Monetary Policy and Risk Premiums In: Staff Working Papers.
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paper18
2016The Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open Economies In: Staff Working Papers.
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paper8
2018The Global Financial Cycle, Monetary Policies, and Macroprudential Regulations in Small, Open Economies.(2018) In: Canadian Public Policy.
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This paper has nother version. Agregated cites: 8
article
2016Monetary Policy, Private Debt and Financial Stability Risks In: Staff Working Papers.
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paper45
2017Monetary Policy, Private Debt, and Financial Stability Risks.(2017) In: International Journal of Central Banking.
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This paper has nother version. Agregated cites: 45
article
2011Forecasting multivariate realized stock market volatility In: Journal of Econometrics.
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article93
2009Global private information in international equity markets In: Journal of Financial Economics.
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article86
2017International house price cycles, monetary policy and credit In: Journal of International Money and Finance.
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article5
2007International Equity Flows and Returns: A Quantitative Equilibrium Approach -super-1 In: Review of Economic Studies.
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article61
2004Characterizing Asymmetric Information in International Equity Markets In: International Finance.
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paper4

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