Michiel De Pooter : Citation Profile


Are you Michiel De Pooter?

Erasmus Universiteit Rotterdam

9

H index

9

i10 index

249

Citations

RESEARCH PRODUCTION:

4

Articles

16

Papers

RESEARCH ACTIVITY:

   11 years (2004 - 2015). See details.
   Cites by year: 22
   Journals where Michiel De Pooter has often published
   Relations with other researchers
   Recent citing documents: 60.    Total self citations: 3 (1.19 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pde371
   Updated: 2019-10-15    RAS profile: 2015-07-23    
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Relations with other researchers


Works with:

Pruitt, Seth (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Michiel De Pooter.

Is cited by:

van Dijk, Herman (13)

McAleer, Michael (11)

Grassi, Stefano (11)

Ravazzolo, Francesco (10)

Asai, Manabu (10)

Santucci de Magistris, Paolo (10)

Caporin, Massimiliano (9)

Baştürk, Nalan (8)

Medeiros, Marcelo (6)

Santos, Andre (6)

van Dijk, Dick (5)

Cites to:

Diebold, Francis (21)

van Dijk, Herman (16)

Bollerslev, Tim (14)

Piazzesi, Monika (13)

Ang, Andrew (10)

Andersen, Torben (9)

Nelson, Charles (8)

Lunde, Asger (8)

Watson, Mark (8)

Hansen, Peter (8)

Rudebusch, Glenn (8)

Main data


Where Michiel De Pooter has published?


Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute5
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute4
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)4

Recent works citing Michiel De Pooter (2018 and 2017)


YearTitle of citing document
2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2018The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates. (2018). Rossi, Barbara ; Inoue, Atsushi. In: Working Papers. RePEc:bge:wpaper:1078.

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2019Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: BIS Working Papers. RePEc:bis:biswps:766.

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2018An econometric analysis on survey-data-based anchoring of inflation expectations in Chile. (2018). Medel, Carlos A.. In: Notas de Investigación Journal Economía Chilena (The Chilean Economy). RePEc:chb:bcchni:v:21:y:2018:i:2:p:128-152.

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2018Econometric Analysis on Survey-data-based Anchoring of Inflation Expectations in Chile. (2018). Medel, Carlos A.. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:825.

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2019Efectos de los anuncios de política monetaria y la credibilidad sobre las expectativas de inflación: evidencia para Colombia. (2019). Anzoategui-Zapata, Juan Camilo ; Galvis, Juan Camilo. In: Revista Apuntes del Cenes. RePEc:col:000152:017358.

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2019Inflation Expectations: Review and Evidence. (2019). Panizza, Ugo ; Matsuoka, Hideaki ; Kose, Ayhan ; Vorisek, Dana . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13601.

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2017Equity markets volatility dynamics in developed and newly emerging economies: EGARCH-with-skewed-t density approach. (2017). Dahiru, Bala A ; Nwonyuku, Kalu N ; Jim, Pam W. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00029.

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2017Inflation anchoring in the euro area. (2017). Speck, Christian . In: Working Paper Series. RePEc:ecb:ecbwps:20171998.

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2018The first twenty years of the European Central Bank: monetary policy. (2018). Hartmann, Philipp ; Smets, Frank. In: Working Paper Series. RePEc:ecb:ecbwps:20182219.

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2019Tracing the impact of the ECB’s asset purchase programme on the yield curve. (2019). Eser, Fabian ; Vladu, Andreea Liliana ; Radde, Soren ; Nyholm, Ken ; Lemke, Wolfgang. In: Working Paper Series. RePEc:ecb:ecbwps:20192293.

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2018A hybrid spline-based parametric model for the yield curve. (2018). Almeida, Caio ; Faria, Adriano . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:72-94.

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2018A quarterly Phillips curve for Switzerland using interpolated data, 1963–2016. (2018). Stuart, Rebecca. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:78-86.

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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. (2018). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:71-91.

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2017Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Huang, Dengshi ; Ma, Feng ; Wahab, M. I. M., . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145.

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2018Forecasting the oil futures price volatility: Large jumps and small jumps. (2018). Liu, Jing ; Zhang, Yaojie ; Yang, KE ; Ma, Feng. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:321-330.

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2018A Markov switching long memory model of crude oil price return volatility. (2018). Di Sanzo, Silvestro . In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:351-359.

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2018Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409.

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2017Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data. (2017). Degiannakis, Stavros ; Potamia, Artemis . In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:176-190.

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2019The effects of conventional and unconventional monetary policy on exchange rates. (2019). Inoue, Atsushi ; Rossi, Barbara. In: Journal of International Economics. RePEc:eee:inecon:v:118:y:2019:i:c:p:419-447.

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2017Forecasting the Brazilian yield curve using forward-looking variables. (2017). Fernandes, Marcelo ; Chague, Fernando ; Vieira, Fausto . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:121-131.

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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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2018An approximate long-memory range-based approach for value at risk estimation. (2018). Meng, Xiaochun ; Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:377-388.

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2019A capital structure channel of monetary policy. (2019). Streitz, Daniel ; Steffen, Sascha ; Grosse-Rueschkamp, Benjamin. In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:2:p:357-378.

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2017The effectiveness of the ECB’s unconventional monetary policy: Comparative evidence from crisis and non-crisis Euro-area countries. (2017). Jäger, Jannik ; Grigoriadis, Theocharis ; Jager, Jannik . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:78:y:2017:i:c:p:21-43.

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2018Factors of the term structure of sovereign yield spreads. (2018). Trueck, Stefan ; Truck, Stefan ; Wellmann, Dennis. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75.

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2019Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. (2019). Zhang, Yaojie ; Wahab, M. I. M., ; Ma, Feng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:54:y:2019:i:c:p:132-146.

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2017Can economic policy uncertainty help to forecast the volatility: A multifractal perspective. (2017). Liu, Zhicao ; Ma, Feng ; Ye, Yong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:181-188.

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2018Leverage effect, economic policy uncertainty and realized volatility with regime switching. (2018). Duan, Yinying ; Liu, Zhicao ; Zeng, Qing ; Chen, Wang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:148-154.

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2018Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help?. (2018). Peng, Huan ; Diao, Xiaohua ; Mei, Dexiang ; Chen, Ruoxun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:501:y:2018:i:c:p:78-85.

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2018Volatility forecasting: Global economic policy uncertainty and regime switching. (2018). Yu, Miao ; Song, Jinguo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:511:y:2018:i:c:p:316-323.

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2017Determining the effectiveness of the Eurosystem’s Covered Bond Purchase Programs on secondary markets. (2017). Zietz, Joachim ; Markmann, Holger. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:314-327.

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2017Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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2018Shipping Inspections, Detentions, and Accidents: An Empirical Analysis of Risk Dimensions. (2018). Knapp, S ; Heij, C. In: Econometric Institute Research Papers. RePEc:ems:eureir:116490.

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2019Improved strategies for the maritime industry to target vessels for inspection and to select inspection priority areas. (2019). Heij, C ; Knapp, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:118656.

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2017Disagreement in inflation forecasts and inflation risk premia in Brazil. (2017). Fernandes, Marcelo ; de Azevedo, Clemens V ; Doi, Jonas Takayuki . In: Textos para discussão. RePEc:fgv:eesptd:453.

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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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2017Building News Measures from Textual Data and an Application to Volatility Forecasting. (2017). Caporin, Massimiliano ; Poli, Francesco. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:35-:d:108901.

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2017The Memory of Volatility. (2017). Wenger, Kai ; Sibbertsen, Philipp ; Leschinski, Christian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-601.

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2019Inflation Expectations: Review and Evidence. (2019). Panizza, Ugo ; Matsuoka, Hideaki ; Kose, Ayhan ; Vorisek, Dana . In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1904.

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

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2018Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models. (2018). Barassi, Marco ; Zhao, Yuqian ; Horvath, Lajos. In: MPRA Paper. RePEc:pra:mprapa:87837.

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2019Realized Volatility Forecasting with Neural Networks. (2019). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:95443.

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2019Forecasting Local Currency Bond Risk Premia of Emerging Markets: The Role of Cross-Country Macro-Financial Linkages. (2019). GUPTA, RANGAN ; Yilmaz, Hasan M ; Guney, Ethem I ; Cepni, Oguzhan. In: Working Papers. RePEc:pre:wpaper:201957.

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2017Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil. (2017). Fernandes, Marcelo ; Doi, Jonas ; Nunes, Clemens Vinicius . In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:37:y:2017:i:1:a:57700.

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2017On the choice of covariance specifications for portfolio selection problems. (2017). Santos, Andre ; Ferreira, Alexandre R ; Portela, Andre Alves . In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:37:y:2017:i:1:a:63579.

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2019Modified residual CUSUM test for location-scale time series models with heteroscedasticity. (2019). Lee, Sangyeol ; Oh, Haejune . In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:71:y:2019:i:5:d:10.1007_s10463-018-0679-4.

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2018Potential output and inflation dynamics after the Great Recession. (2018). Huang, Yu-Fan ; Luo, Sui. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1293-7.

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2018Forecasting the volatility of crude oil futures using high-frequency data: further evidence. (2018). Ma, Feng ; He, Feng ; Chen, Wang ; Wei, YU. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1294-6.

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2018The role of supervised learning in the decision process to fair trade US municipal debt. (2018). Dash, Gordon H ; Vonella, Domenic ; Kajiji, Nina . In: EURO Journal on Decision Processes. RePEc:spr:eurjdp:v:6:y:2018:i:1:d:10.1007_s40070-018-0079-2.

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2017Breaks and outliers when modelling the volatility of the U.S. stock market. (2017). Chatzikonstanti, Vasiliki . In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:46:p:4704-4717.

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2017Forecasting the volatility of Nikkei 225 futures. (2017). McAleer, Michael ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1707.

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2018The effects of conventional and unconventional monetary policy on exchange rates. (2018). Rossi, Barbara ; Inoue, Atsushi. In: Economics Working Papers. RePEc:upf:upfgen:1639.

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2019Monetary policy transmission to Russia & Eastern Europe. (2019). Grigoriadis, Theocharis ; Stann, Carsten M. In: Discussion Papers. RePEc:zbw:fubsbe:20196.

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2018Central bank-driven mispricing. (2018). Pelizzon, Loriana ; Uno, Jun ; Tomio, Davide ; Subrahmanyam, Marti G. In: SAFE Working Paper Series. RePEc:zbw:safewp:226.

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2018Much ado about nothing: A study of differential pricing and liquidity of short and long term bonds. (2018). Driessen, Joost ; Simon, Zorka ; Nijman, Theodore E. In: SAFE Working Paper Series. RePEc:zbw:safewp:238.

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Works by Michiel De Pooter:


YearTitleTypeCited
2010Term structure forecasting using macro factors and forecast combination In: Working Paper.
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paper13
2010Term structure forecasting using macro factors and forecast combination.(2010) In: International Finance Discussion Papers.
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2009Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements In: International Journal of Forecasting.
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article74
2010An improved methodology to measure flag performance for the shipping industry In: Marine Policy.
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article6
2008Bayesian near-boundary analysis in basic macroeconomic time series models In: Econometric Institute Research Papers.
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paper20
2009A method to measure flag performance for the shipping industry In: Econometric Institute Research Papers.
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paper0
2004Testing for changes in volatility in heteroskedastic time series - a further examination In: Econometric Institute Research Papers.
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paper15
2006Gibbs sampling in econometric practice In: Econometric Institute Research Papers.
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paper1
2014Are Long-Term Inflation Expectations Well Anchored in Brazil, Chile and Mexico? In: International Finance Discussion Papers.
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paper22
2014Are Long-Term Inflation Expectations Well Anchored in Brazil, Chile, and Mexico?.(2014) In: International Journal of Central Banking.
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2015The Liquidity Effects of Official Bond Market Intervention In: International Finance Discussion Papers.
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paper21
2015Cheap Talk and the Efficacy of the ECB’s Securities Market Programme: Did Bond Purchases Matter? In: International Finance Discussion Papers.
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paper1
2007Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information In: MPRA Paper.
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paper17
2007Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information.(2007) In: Tinbergen Institute Discussion Papers.
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paper
2004Learning the Shape of the Likelihood of Typical Econometric Models using Gibbs Sampling In: Computing in Economics and Finance 2004.
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paper0
2008Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? In: Econometric Reviews.
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article39
2006Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use?.(2006) In: Tinbergen Institute Discussion Papers.
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2004Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity In: Tinbergen Institute Discussion Papers.
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paper8
2006On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling In: Tinbergen Institute Discussion Papers.
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2007Examining the Nelson-Siegel Class of Term Structure Models In: Tinbergen Institute Discussion Papers.
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paper12

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