Gregory H. Bauer : Citation Profile


Are you Gregory H. Bauer?

University of Rochester

8

H index

7

i10 index

287

Citations

RESEARCH PRODUCTION:

8

Articles

14

Papers

RESEARCH ACTIVITY:

   14 years (2004 - 2018). See details.
   Cites by year: 20
   Journals where Gregory H. Bauer has often published
   Relations with other researchers
   Recent citing documents: 80.    Total self citations: 12 (4.01 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba468
   Updated: 2020-02-16    RAS profile: 2018-08-16    
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Relations with other researchers


Works with:

Granziera, Eleonora (2)

Terajima, Yaz (2)

Pasricha, Gurnain (2)

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 (16)

van Wincoop, Eric (13)

Albuquerque, Rui (13)

Ülkü, Numan (10)

Wongswan, Jon (9)

Fengler, Matthias (8)

Warnock, Francis (7)

Rey, Helene (7)

Fratzscher, Marcel (7)

Asai, Manabu (7)

Coeurdacier, Nicolas (6)

Cites to:

Diebold, Francis (26)

Campbell, John (23)

Bollerslev, Tim (22)

Andersen, Torben (20)

Harvey, Campbell (20)

Bekaert, Geert (14)

Schwert, G. (10)

Piazzesi, Monika (10)

Taylor, Alan (9)

Rudebusch, Glenn (9)

Zhou, Guofu (9)

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 (2018 and 2017)


YearTitle of citing document
2017Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil. (2017). Byun, Sung Je ; Je, Sung. In: The Energy Journal. RePEc:aen:journl:ej38-5-byun.

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2019Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach. (2019). Rossi, Eduardo ; Palomba, Giulio ; Bucci, Andrea. In: Working Papers. RePEc:anc:wpaper:440.

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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2019Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2020Investor Experiences and International Capital Flows. (2020). Pouzo, Demian ; Malmendier, Ulrike ; Vanasco, Victoria. In: Papers. RePEc:arx:papers:2001.07790.

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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:38283.

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2018Assessing the Impact of Demand Shocks on the US Term Premium. (2018). Zmitrowicz, Konrad ; Barnett, Russell. In: Discussion Papers. RePEc:bca:bocadp:18-7.

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2017Terms-of-Trade and House Price Fluctuations: A Cross-Country Study. (2017). Corrigan, Paul . In: Staff Working Papers. RePEc:bca:bocawp:17-1.

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2017Quantitative Easing and Long-Term Yields in Small Open Economies. (2017). Shamloo, Maral ; Diez de los Rios, Antonio. In: Staff Working Papers. RePEc:bca:bocawp:17-26.

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2017Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions. (2017). Diez de los Rios, Antonio. In: Staff Working Papers. RePEc:bca:bocawp:17-33.

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2017A Counterfactual Valuation of the Stock Index as a Predictor of Crashes. (2017). Roberts, Tom. In: Staff Working Papers. RePEc:bca:bocawp:17-38.

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2018How to Manage Macroeconomic and Financial Stability Risks: A New Framework. (2018). Ueberfeldt, Alexander ; Duprey, Thibaut. In: Staff Analytical Notes. RePEc:bca:bocsan:18-11.

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2017Is there a debt service channel of monetary transmission?. (2017). Peersman, Gert ; Hofmann, Boris. In: BIS Quarterly Review. RePEc:bis:bisqtr:1712e.

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2017Political hazards and firms geographic concentration. (2017). Jia, Nan ; Mayer, Kyle J. In: Strategic Management Journal. RePEc:bla:stratm:v:38:y:2017:i:2:p:203-231.

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2017Financial imbalances, crisis probability and monetary policy in Norway. (2017). Alstadheim, Ragna ; Vonen, Nikka Husom ; Robstad, Orjan. In: Working Paper. RePEc:bno:worpap:2017_21.

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2018The information in the joint term structures of bond yields. (2018). Spencer, Peter ; Raczko, Marek ; Meldrum, Andrew. In: Bank of England working papers. RePEc:boe:boeewp:0772.

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2019State dependence of monetary policy across business, credit and interest rate cycles. (2019). Zubairy, Sarah ; Granziera, Eleonora ; Alpanda, Sami. In: Research Discussion Papers. RePEc:bof:bofrdp:2019_016.

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2019The Global Financial Cycle and Capital Flow Episodes: A Wobbly Link?. (2019). Tille, Cédric ; Cedric, Tille ; Stracca, Livio ; Scheubel, Beatrice D. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7967.

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2017Cost-Benefit Analysis of Leaning Against the Wind. (2017). Svensson, Lars. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11739.

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2017How Robust Is the Result That the Cost of Leaning Against the Wind Exceeds the Benefit? Response to Adrian and Liang. (2017). Svensson, Lars. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11744.

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2017The effects of quasi-random monetary experiments. (2017). Jorda, Oscar ; Schularick, Moritz ; Taylor, Alan M. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11801.

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2017Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns. (2017). Bacchetta, Philippe ; van Wincoop, Eric. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11983.

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2018International yield curves and currency puzzles. (2018). Chernov, Mikhail ; Creal, Drew. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13252.

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2017How robust is the result that the cost of leaning against the wind exceeds the benefit?. (2017). Svensson, Lars. In: Working Paper Series. RePEc:ecb:ecbwps:20172031.

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2018Detrending and financial cycle facts across G7 countries: mind a spurious medium term!. (2018). Schüler, Yves ; Schuler, Yves S. In: Working Paper Series. RePEc:ecb:ecbwps:20182138.

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2018Are business and credit cycles synchronised internally or externally?. (2018). Kurowski, Ukasz ; Rogowicz, Karol. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:124-141.

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2017Does options trading convey information on futures prices?. (2017). Qiao, Shuai ; Tsai, Shih-Chuan ; Zheng, Zhenlong ; Lin, William T. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:182-196.

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2017Addressing household indebtedness: Monetary, fiscal or macroprudential policy?. (2017). Zubairy, Sarah ; Alpanda, Sami. In: European Economic Review. RePEc:eee:eecrev:v:92:y:2017:i:c:p:47-73.

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2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

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2017Testing substitution between private and public storage in the U.S. oil market: A study on the U.S. Strategic Petroleum Reserve. (2017). Scheitrum, Daniel ; Carter, Colin ; Jaffe, Amy Myers. In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:483-493.

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2019Which oil shocks really matter in equity markets?. (2019). Shield, Cody ; Clements, Adam ; Thiele, Stephen. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:134-141.

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2019Futures-based forecasts: How useful are they for oil price volatility forecasting?. (2019). Filis, George ; Degiannakis, Stavros ; Chatziantoniou, Ioannis. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:639-649.

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2017Trading of foreign investors and stock returns in an emerging market - Evidence from Vietnam. (2017). Vo, Xuan Vinh. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:88-93.

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2018Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis. (2018). Labidi, Chiaz ; Bekiros, Stelios ; Uddin, Gazi Salah ; Hedstrom, Axel ; Lutfur, MD. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:179-211.

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2019Financial integration, investor protection and imbalanced optimistically biased information timeliness in emerging markets. (2019). Zhang, Qiyu ; Gu, Jun ; Chen, Ding. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:38-56.

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2019The asymmetric high-frequency volatility transmission across international stock markets. (2019). Wang, Shengquan ; Luo, Jiawen. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:104-109.

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2018Commodity market based hedging against stock market risk in times of financial crisis: The case of crude oil and gold. (2018). Junttila, Juha ; Raatikainen, Juhani ; Pesonen, Juho. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:255-280.

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2018The non-persistent relationship between foreign equity flows and emerging stock market returns across quantiles. (2018). Yan, Cheng ; Wang, Xichen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:38-54.

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2019Decomposing global yield curve co-movement. (2019). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph P. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:500-513.

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2017Do locals know better? A comparison of the performance of local and foreign institutional investors. (2017). Ferreira, Miguel ; Pires, Pedro ; Pereira, Joo Pedro ; Matos, Pedro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:151-164.

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2018Country transparency and the global transmission of financial shocks. (2018). Brandao-Marques, Luis ; Melgar, Natalia ; Gelos, Gaston . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:56-72.

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2017Housing market stability, mortgage market structure, and monetary policy: Evidence from the euro area. (2017). Zhu, Bing ; Sebastian, Steffen ; Betzinger, Michael . In: Journal of Housing Economics. RePEc:eee:jhouse:v:37:y:2017:i:c:p:1-21.

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2020Financial cycles: Characterisation and real-time measurement. (2020). Peltonen, Tuomas A ; Hiebert, Paul P ; Schuler, Yves S. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:100:y:2020:i:c:s0261560619301597.

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2017Monetary policy and financial spillovers: Losing traction?. (2017). Rungcharoenkitkul, Phurichai ; Disyatat, Piti. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:115-136.

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2019Uncovered equity “disparity” in emerging markets. (2019). Phylaktis, Kate ; Fuertes, Ana-Maria ; Yan, Cheng. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:98:y:2019:i:c:5.

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2019A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio. (2019). Belkacem, Lotfi ; Boubaker, Heni ; Karmous, Aida. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119312695.

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2018Do foreign institutional traders have private information for the market index? The aspect of market microstructure. (2018). Weng, Pei-Shih ; Tsai, Wei-Che. In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:308-323.

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2017Foreign portfolio flows and emerging stock market: Is the midnight bell ringing in India?. (2017). Kattuman, Paul ; Hiremath, Gourishankar S. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:544-558.

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2017Large and State-Dependent Effects of Quasi-Random Monetary Experiments. (2017). Taylor, Alan ; Jorda, Oscar ; Schularick, Moritz. In: Working Paper Series. RePEc:fip:fedfwp:2017-02.

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2017Leaning Against the Credit Cycle. (2017). Natvik, Gisle ; Lansing, Kevin ; Gelain, Paolo. In: Working Paper Series. RePEc:fip:fedfwp:2017-18.

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2017The Tradeoffs in Leaning Against the Wind. (2017). Sim, Jae ; Kashyap, Anil ; Gourio, Francois. In: Working Paper Series. RePEc:fip:fedhwp:wp-2017-21.

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2017The Realized Hierarchical Archimedean Copula in Risk Modelling. (2017). Okhrin, Ostap ; Tetereva, Anastasija. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:26-:d:101602.

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2018A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns. (2018). Clements, Adam ; O'Neill, Robert ; Becker, Ralf. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:1:p:7-:d:132320.

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2018Macroprudential Policy, Credit Cycle, and Bank Risk-Taking. (2018). Zhang, Xing ; Xu, Yingying ; Li, Zhen. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:10:p:3620-:d:174708.

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2019“Testing for private information using trade duration models with unobserved market heterogeneity: The case of Banco Popular”. (2019). Sosvilla-Rivero, Simon ; Gomez-Deniza, Emilio ; Perez-Rodriguez, Jorge. In: IREA Working Papers. RePEc:ira:wpaper:201907.

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2019The Interaction Between ConventionalMonetary Policy and Financial Stability: Chile, Colombia, Japan, Portugal and the UK. (2019). Venter, Zoe. In: Working Papers REM. RePEc:ise:remwps:wp0962019.

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2018Real financial market exchange rate volatility and portfolio flows. (2018). Ozimkovska, Valentyna . In: International Economics and Economic Policy. RePEc:kap:iecepo:v:15:y:2018:i:2:d:10.1007_s10368-017-0405-3.

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2018What will happen when interest rates go up?. (2018). de Walque, Grégory ; Deroose, M ; de Sola, M ; Boeckx, J ; van Nieuwenhuyse, CH ; Lejeune, TH. In: Economic Review. RePEc:nbb:ecrart:y:2017:m:september:i:iii:p:35-56.

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2017The effects of quasi-random monetary experiments. (2017). Taylor, Alan ; Jorda, Oscar ; Schularick, Moritz. In: NBER Working Papers. RePEc:nbr:nberwo:23074.

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2017The Tradeoffs in Leaning Against the Wind. (2017). Sim, Jae ; Kashyap, Anil ; Gourio, Francois. In: NBER Working Papers. RePEc:nbr:nberwo:23658.

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2018Global Portfolio Rebalancing and Exchange Rates. (2018). Rey, Helene ; Hau, Harald ; Camanho, Nelson. In: NBER Working Papers. RePEc:nbr:nberwo:24320.

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2018The Trade offs in Leaning Against the Wind. (2018). Gourio, Francois ; Sim, Jae W ; Kashyap, Anil K. In: IMF Economic Review. RePEc:pal:imfecr:v:66:y:2018:i:1:d:10.1057_s41308-017-0043-3.

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2017The effects of information voids on capital flows in emerging markets. (2017). Kingsley, Allison F ; Benjamin, . In: Journal of International Business Studies. RePEc:pal:jintbs:v:48:y:2017:i:3:d:10.1057_s41267-016-0056-6.

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2017Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2017). Maheu, John ; Yang, Qiao ; Jin, Xin. In: MPRA Paper. RePEc:pra:mprapa:81920.

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

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2017Three essays on uncertainty: real and financial effects of uncertainty shocks. (2017). Lee, Seohyun. In: MPRA Paper. RePEc:pra:mprapa:83617.

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2019Cholesky-ANN models for predicting multivariate realized volatility. (2019). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:95137.

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2019Futures-based forecasts: How useful are they for oil price volatility forecasting?. (2019). Filis, George ; Degiannakis, Stavros ; Chatziantoniou, Ioannis. In: MPRA Paper. RePEc:pra:mprapa:96446.

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2019A Moving Average Heterogeneous Autoregressive Model for Forecasting the Realized Volatility of the US Stock Market: Evidence from Over a Century of Data. (2019). Salisu, Afees ; Ogbonna, Ahamuefula ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201978.

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2018Integrating Monetary Policy and Financial Stability: A New Framework. (2018). Klungjaturavet, Chutipha ; Tunyavetchakit, Sophon ; Nookhwun, Nuwat ; Jindarak, Bovonvich ; Wongwachara, Warapong . In: PIER Discussion Papers. RePEc:pui:dpaper:100.

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2019Cost-benefit Analysis of Leaning against the Wind. (2019). Tulip, Peter ; Saunders, Trent. In: RBA Research Discussion Papers. RePEc:rba:rbardp:rdp2019-05.

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2017Slow Moving Capital: Evidence from Global Equity Portfolios. (2017). Bacchetta, Philippe. In: 2017 Meeting Papers. RePEc:red:sed017:1166.

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2018Capital Flows, Beliefs, and Capital Controls. (2018). Tsyrennikov, Viktor ; Rarytska, Olena . In: 2018 Meeting Papers. RePEc:red:sed018:371.

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2017ONE SIZE FITS ALL? MONETARY POLICY AND ASYMMETRIC HOUSEHOLD DEBT CYCLES IN US STATES. (2017). Albuquerque, Bruno. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:17/937.

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2018A latent dynamic factor approach to forecasting multivariate stock market volatility. (2018). Gribisch, Bastian . In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1278-6.

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2017The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility. (2017). , Philip ; Ng, F C ; Li, W K. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:35:y:2017:i:4:p:513-527.

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2017Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns. (2017). Lucas, Andre ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160069.

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2017International aggregate agricultural supply for grain and oilseed: The effects of efficiency and technological change. (2017). Fillat-Castejon, Carmen ; Fillatcastejon, Carmen ; Clech, Nestor. In: Agribusiness. RePEc:wly:agribz:v:33:y:2017:i:4:p:569-585.

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2019Multivariate realized volatility forecasts of agricultural commodity futures. (2019). Chen, Langnan ; Luo, Jiawen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:12:p:1565-1586.

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2018On the cyclical properties of Hamiltons regression filter. (2018). Schüler, Yves ; Schuler, Yves S. In: Discussion Papers. RePEc:zbw:bubdps:032018.

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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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article0
2012Global Risk Premiums and the Transmission of Monetary Policy In: Bank of Canada Review.
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article3
2004International Equity Flows and Returns: A Quantitative Equilibrium Approach In: Staff Working Papers.
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paper44
2005International Equity Flows and Returns: A Quantitative Equilibrium Approach.(2005) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 44
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2004International equity flows and returns: a quantative equilibrium approach.(2004) In: Working Paper Series.
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This paper has another version. Agregated cites: 44
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2004International Equity Flows and Returns: A Quantitative Equilibrium Approach.(2004) In: International Finance.
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This paper has another version. Agregated cites: 44
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2005International equity flows and returns: a quantitative equilibrium approach.(2005) In: International Finance.
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This paper has another version. Agregated cites: 44
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2004The Monetary Origins of Asymmetric Information in International Equity Markets In: Staff Working Papers.
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2006The monetary origins of asymmetric information in international equity markets.(2006) In: International Finance Discussion Papers.
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This paper has another version. Agregated cites: 5
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2007Multivariate Realized Stock Market Volatility In: Staff Working Papers.
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2012An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks In: Staff Working Papers.
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2014What Does the Convenience Yield Curve Tell Us about the Crude Oil Market? In: Staff Working Papers.
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2014International House Price Cycles, Monetary Policy and Risk Premiums In: Staff Working Papers.
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paper9
2016The Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open Economies In: Staff Working Papers.
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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 another version. Agregated cites: 3
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2016Monetary Policy, Private Debt and Financial Stability Risks In: Staff Working Papers.
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2017Monetary Policy, Private Debt, and Financial Stability Risks.(2017) In: International Journal of Central Banking.
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2011Forecasting multivariate realized stock market volatility In: Journal of Econometrics.
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article60
2009Global private information in international equity markets In: Journal of Financial Economics.
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article56
2017International house price cycles, monetary policy and credit In: Journal of International Money and Finance.
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article0
2007International Equity Flows and Returns: A Quantitative Equilibrium Approach -super-1 In: Review of Economic Studies.
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article37
2004Characterizing Asymmetric Information in International Equity Markets In: International Finance.
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paper3

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