Michael Frömmel : Citation Profile

Are you Michael Frömmel?

Universiteit Gent

10

H index

11

i10 index

269

Citations

RESEARCH PRODUCTION:

31

Articles

29

Papers

1

Books

RESEARCH ACTIVITY:

   20 years (2001 - 2021). See details.
   Cites by year: 13
   Journals where Michael Frömmel has often published
   Relations with other researchers
   Recent citing documents: 36.    Total self citations: 13 (4.61 %)

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   Permalink: http://citec.repec.org/pfr29
   Updated: 2022-05-14    RAS profile: 2022-02-10    
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Relations with other researchers

Works with:

Gehrig, Thomas (4)

Dreber, Anna (4)

Johannesson, Magnus (4)

Menkveld, Albert (4)

Holzmeister, Felix (4)

Bohorquez Correa, Santiago (3)

FERROUHI, EL MEHDI (3)

Colliard, Jean-Edouard (3)

CAPELLE-BLANCARD, Gunther (3)

Dumitrescu, Ariadna (3)

Adrian, Tobias (3)

Caporin, Massimiliano (3)

Ait-Sahalia, Yacine (3)

Dimpfl, Thomas (3)

Alexeev, Vitali (3)

Abudy, Menachem (3)

Deev, Oleg (3)

Vuković, Darko (2)

Gil-Bazo, Javier (2)

Afat, Dinçer (2)

Maiti, Moinak (2)

Schwarz, Marco (2)

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

Is cited by:

Beckmann, Joscha (19)

Belke, Ansgar (10)

Kühl, Michael (6)

Dobnik, Frauke (6)

Czudaj, Robert (6)

Vašíček, Bořek (5)

Kruse, Robinson (5)

Li, Youwei (5)

Kal, Suleyman (4)

Sibbertsen, Philipp (4)

Schmid, Kai (4)

Cites to:

Menkhoff, Lukas (23)

Taylor, Mark (15)

Lyons, Richard (15)

Evans, Martin (15)

Bollerslev, Tim (14)

Rime, Dagfinn (13)

Reinhart, Carmen (13)

Calvo, Guillermo (12)

Sarno, Lucio (11)

Rogoff, Kenneth (11)

Engel, Charles (11)

Main data

Where Michael Frömmel has published?

Journals with more than one article published# docs
Czech Journal of Economics and Finance (Finance a uver)3
Sustainability2
International Journal of Finance & Economics2
Economic Modelling2
Finance Research Letters2
Emerging Markets Finance and Trade2

Working Papers Series with more than one paper published# docs
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium / Ghent University, Faculty of Economics and Business Administration14
Hannover Economic Papers (HEP) / Leibniz Universitt Hannover, Wirtschaftswissenschaftliche Fakultt4

Recent works citing Michael Frömmel (2022 and 2021)

YearTitle of citing document
2021A Peek into the Unobservable: Hidden States and Bayesian Inference for the Bitcoin and Ether Price Series. (2019). Piliouras, Georgios ; Leonardos, Stefanos ; Koki, Constandina. In: Papers. RePEc:arx:papers:1909.10957.

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2020Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models. (2020). Leonardos, Stefanos ; Koki, Constandina ; Piliouras, Georgios. In: Papers. RePEc:arx:papers:2011.03741.

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2020Modeling interest rate setting at the European Central Bank with bargaining models and counterfactuals. (2020). McNeil, James. In: Working Papers. RePEc:dal:wpaper:daleconwp2020-03.

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2021Bond intraday momentum. (2021). Li, YI ; Wang, Pengfei ; Zhang, Wei. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:31:y:2021:i:c:s2214635021000599.

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2021Intraday time-series momentum and investor trading behavior. (2021). Roberts, Helen ; Kuruppuarachchi, Duminda ; Zhao, Jing ; Onishchenko, Olena. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:31:y:2021:i:c:s2214635021001015.

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2021Does retail investor attention improve stock liquidity? A dynamic perspective. (2021). Yao, Shouyu ; Fang, Zhenming ; Wang, Chunfeng ; Chiao, Chaoshin ; Cheng, Feiyang. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:170-183.

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2021Intraday momentum and return predictability: Evidence from the crude oil market. (2021). Gong, XU ; Wen, Zhuzhu ; Xu, Yahua ; Ma, Diandian. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:374-384.

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2021Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism. (2021). Zhang, Yaojie ; Wang, Yudong ; Wen, Danyan. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:209-219.

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2021The interrelationship between order flow, exchange rate, and the role of American economic news. (2021). Wang, Xiangning ; Firouzi, Shahrokh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001121.

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2021Trading the foreign exchange market with technical analysis and Bayesian Statistics. (2021). Stasinakis, Charalampos ; Sermpinis, Georgios ; Hassanniakalager, Arman. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:230-251.

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2021Wind generation and the dynamics of electricity prices in Australia. (2021). Konstandatos, Otto ; Nikitopoulos, Christina Sklibosios ; Mwampashi, Muthe Mathias ; Rai, Alan. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004230.

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2020Volatility spillovers in Australian electricity markets. (2020). Trueck, Stefan ; Truck, Stefan ; Kordzakhia, Nino ; Han, Lin. In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320301225.

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2021Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components. (2021). Theodossiou, Panayiotis ; Savva, Christos ; Kosmidou, Kyriaki ; Ioannidis, Filippos. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000153.

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2022Intraday time series momentum: Global evidence and links to market characteristics. (2022). Urquhart, Andrew ; Sakkas, Athanasios ; Li, Zeming. In: Journal of Financial Markets. RePEc:eee:finmar:v:57:y:2022:i:c:s138641812100001x.

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2021Exchange rates and fundamentals: Further evidence based on asymmetric causality test. (2021). Baharumshah, Ahmad Zubaidi ; Soon, Siew-Voon. In: International Economics. RePEc:eee:inteco:v:165:y:2021:i:c:p:67-84.

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2022Performance of intraday technical trading in China’s gold market. (2022). Jin, Xiaoye. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001876.

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2021Strength of words: Donald Trumps tweets, sanctions and Russias ruble. (2021). Ledyaeva, Svetlana ; Fedorova, Elena ; Afanasyev, Dmitriy O. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:184:y:2021:i:c:p:253-277.

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2021Hedging demand and market intraday momentum. (2021). Martens, Martin ; Lammers, Sten ; Da, Zhi ; Baltussen, Guido. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:1:p:377-403.

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2021The asymmetric impact of the pandemic crisis on interest rates on public debt in the Eurozone. (2021). Liberati, Paolo ; Carnazza, Giovanni. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:43:y:2021:i:3:p:521-542.

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2022Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models. (2022). Piliouras, Georgios ; Leonardos, Stefanos ; Koki, Constandina. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001756.

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2020The Dollar Exchange Rates in the Covid-19 Era: Evidence from 5 Currencies. (2020). Daglis, Theodoros ; Pasiouras, Alexandros. In: European Research Studies Journal. RePEc:ers:journl:v:xxiii:y:2020:i:special2:p:352-361.

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2020.

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2021Forecasting Volatility and Tail Risk in Electricity Markets. (2021). Storti, Giuseppe ; Naimoli, Antonio. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:294-:d:582734.

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2021.

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2021A Critical Analysis of Volatility Surprise in Bitcoin Cryptocurrency and Other Financial Assets. (2021). Koufopoulos, Dimitrios ; Katsikas, Epameinondas ; Dhamdhere, Pradeep ; Izadi, Javad ; Doumenis, Yianni. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:11:p:207-:d:677651.

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2021The Accuracy of Risk Measurement Models on Bitcoin Market during COVID-19 Pandemic. (2021). Pinmanee, Chakrin ; Wiwattanalamphong, Karawan ; Kronprasert, Nopadon ; Likitratcharoen, Danai. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:12:p:222-:d:695318.

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2021Monetary autonomy of CESEE countries and nominal convergence in EMU: a cointegration analysis with structural breaks. (2021). Raguideau, Léonore ; Raguideau-Hannotin, Leonore. In: Working Papers. RePEc:hal:wpaper:hal-03279499.

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2021Stock Crashes and Jumps Reactions to Information Demand and Supply: An Intraday Analysis. (2021). Li, Xiao ; Chu, Gang ; Zhang, Yongjie ; Shen, Dehua. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:28:y:2021:i:3:d:10.1007_s10690-020-09327-z.

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2021Functional Fuzzy Rule-Based Modeling for Interval-Valued Data: An Empirical Application for Exchange Rates Forecasting. (2021). Ballini, Rosangela ; MacIel, Leandro. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:2:d:10.1007_s10614-020-09978-0.

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2022The role of fractional-reserve banking in amplifying credit booms: Evidence from panel data. (2022). Albinowski, Maciej. In: The Review of Austrian Economics. RePEc:kap:revaec:v:35:y:2022:i:1:d:10.1007_s11138-019-00492-7.

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2021Cryptocurrencies responses to the Covid-19 waves. (2021). Amamou, Souhir Amri. In: MPRA Paper. RePEc:pra:mprapa:110843.

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2020Markov switching in exchange rate models: will more regimes help?. (2020). Stillwagon, Josh ; Sullivan, Peter . In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:1:d:10.1007_s00181-019-01623-6.

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2021Assessing the multiscale “meteor shower” effect from oil to the central and eastern European stock indices. (2021). Živkov, Dejan ; Peanac, Marko ; Balaban, Suzana. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:1855-1870.

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2021Forecasting stock returns using first half an hour order imbalance. (2021). Qiu, Jianying ; Chu, Xiaojun. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3236-3245.

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2022Who and what drives informed options trading after the market opens?. (2022). Lee, Jaeram ; Kang, Jangkoo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:3:p:338-364.

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2022Information and the arrival rate of option trading volume. (2022). Kalaitzoglou, Iordanis ; Verousis, Thanos ; Zhang, Mengyu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:4:p:605-644.

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Works by Michael Frömmel:

YearTitleTypeCited
2009Interest rate convergence in the EMS prior to European Monetary Union In: CREATES Research Papers.
[Full Text][Citation analysis]		paper15
2015Interest rate convergence in the EMS prior to European Monetary Union.(2015) In: Journal of Policy Modeling.
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2009Interest rate convergence in the EMS prior to European Monetary Union.(2009) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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This paper has another version. Agregated cites: 15		paper
2009What do we know about real exchange rate non-linearities? In: CREATES Research Papers.
[Full Text][Citation analysis]		paper10
2010What do we know about real exchange rate nonlinearities?.(2010) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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2012What do we know about real exchange rate nonlinearities?.(2012) In: Empirical Economics.
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2017Duration Dependence, Behavioral Restrictions, and the Market Timing Ability of Commodity Trading Advisors In: International Review of Finance.
[Full Text][Citation analysis]		article0
2001Risk Reduction in the EMS? Evidence from Trends in Exchange Rate Properties In: Journal of Common Market Studies.
[Full Text][Citation analysis]		article3
2004Markov Switching Regimes In A Monetary Exchange Rate Model In: Royal Economic Society Annual Conference 2004.
[Full Text][Citation analysis]		paper65
2005Markov switching regimes in a monetary exchange rate model.(2005) In: Economic Modelling.
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2021Daily currency interventions in an emerging market: Incorporating reserve accumulation to the reaction function In: Economic Modelling.
[Full Text][Citation analysis]		article0
2014Modeling the daily electricity price volatility with realized measures In: Energy Economics.
[Full Text][Citation analysis]		article16
2022Manipulation in the bond market and the role of investment funds: Evidence from an emerging market In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article0
2016Does frequency matter for intraday technical trading? In: Finance Research Letters.
[Full Text][Citation analysis]		article6
2021The Accuracy of Trade Classification Systems on the Foreign Exchange Market: Evidence from the RUB/USD Market In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2018Intraday momentum in FX markets: Disentangling informed trading from liquidity provision In: Journal of Financial Markets.
[Full Text][Citation analysis]		article22
2005Do fundamentals matter for the D-Mark/Euro-Dollar? A regime switching approach In: Global Finance Journal.
[Full Text][Citation analysis]		article15
2003Do Fundamentals Matter for the D-Mark/Euro-Dollar? A Regime Switching Approach.(2003) In: Hannover Economic Papers (HEP).
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2006Exchange rate regimes in Central and East European countries: Deeds vs. words In: Journal of Comparative Economics.
[Full Text][Citation analysis]		article14
2008Order flows, news, and exchange rate volatility In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article21
2007Order Flows, News, and Exchange Rate Volatility.(2007) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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2011Monetary policy rules in Central and Eastern European Countries: Does the exchange rate matter? In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article22
2009Monetary Policy Rules in Central and Eastern European Countries: Does the Exchange Rate Matter?.(2009) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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2011The Future of Banking in CESEE after the Financial Crisis In: SUERF Studies.
[Full Text][Citation analysis]		book2
2010Volatility Regimes in Central and Eastern European Countries’ Exchange Rates In: Czech Journal of Economics and Finance (Finance a uver).
[Full Text][Citation analysis]		article4
2006Volatility Regimes in Central and Eastern European Countries Exchange Rates.(2006) In: Hannover Economic Papers (HEP).
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2007Volatility Regimes in Central and Eastern European Countries’ Exchange Rates.(2007) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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2016Editorial to the Special Issue on Emerging Market Finance and Institutional Investors In: Czech Journal of Economics and Finance (Finance a uver).
[Full Text][Citation analysis]		article0
2016The Role of the Real Exchange Rate in Credit Growth in Central and Eastern European Countries: A Bank-Level Analysis In: Czech Journal of Economics and Finance (Finance a uver).
[Full Text][Citation analysis]		article1
2021COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave In: Sustainability.
[Full Text][Citation analysis]		article3
2021Correction: Vukovic et al. COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave. Sustainability 2021, 13 , 8578 In: Sustainability.
[Full Text][Citation analysis]		article0
2021Non-Standard Errors In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper0
2021Non-Standard Errors.(2021) In: Post-Print.
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2021Non-Standard Errors.(2021) In: Working Papers.
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2021Non-Standard Errors.(2021) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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2006Monetary Policy Rules in Central and Eastern Europe In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]		paper14
2006Bank Lending and Asset Prices in the Euro Area In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]		paper3
2006Bank Lending and Asset Prices in the Euro Area.(2006) In: RWI Discussion Papers.
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2021A Panel Data Analysis of Uncovered Interest Parity and Time-Varying Risk Premium In: Open Economies Review.
[Full Text][Citation analysis]		article0
2012Spread Components in the Hungarian Forint-Euro Market In: Emerging Markets Finance and Trade.
[Full Text][Citation analysis]		article2
2011Spread Components in the Hungarian Forint-Euro Market.(2011) In: 2011 Meeting Papers.
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2011Spread Components in the Hungarian Forint-Euro Market.(2011) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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2015Further Evidence on Foreign Exchange Jumps and News Announcements In: Emerging Markets Finance and Trade.
[Full Text][Citation analysis]		article3
2009Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market In: MNB Working Papers.
[Full Text][Citation analysis]		paper2
2009Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market.(2009) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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2011Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market.(2011) In: International Journal of Finance & Economics.
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2010Private Sector Credit in CESEE: Long-Run Relationships and Short-Run Dynamics In: Focus on European Economic Integration.
[Full Text][Citation analysis]		article13
2021Boards of directors and corporate sustainability performance: evidence from the emerging East Asian markets In: International Journal of Disclosure and Governance.
[Full Text][Citation analysis]		article0
2011Testing for a rational bubble under long memory In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
[Full Text][Citation analysis]		paper6
2012Testing for a rational bubble under long memory.(2012) In: Quantitative Finance.
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2013News, Liquidity Dynamics and Intraday Jumps: Evidence from the HUF/EUR market In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
[Full Text][Citation analysis]		paper0
2013FDI, Terrorism and the Availability Heuristic for U.S. Investors before and after 9/11 In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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2013FDI, terrorism and the availability heuristic for U.S. investors before and after 9/11.(2013) In: Research Memorandum.
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2014Crystallization – the Hidden Dimension of Hedge Funds Fee Structure In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
[Full Text][Citation analysis]		paper0
2014Are exporting firms always a good hedge against currency risk? Evidence from Central and Eastern European Countries In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
[Full Text][Citation analysis]		paper0
2014Bid-Ask Spread Components on the Foreign Exchange Market: Quantifying the Risk Component In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
[Full Text][Citation analysis]		paper0
2016Daily Currency Interventions in Emerging Markets: Incorporating Reserve Accumulation In: Proceedings of International Academic Conferences.
[Full Text][Citation analysis]		paper1
2003Increasing exchange rate volatility during the recent float In: Applied Financial Economics.
[Full Text][Citation analysis]		article4
2020Political connection heterogeneity and firm value in Vietnam In: Cogent Business & Management.
[Full Text][Citation analysis]		article0
2020An Alternative Version of Purchasing Power Parity In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article0
2019SOCIAL CAPITAL, CREDIT CHOICES AND GROWTH IN VIETNAMESE HOUSEHOLD BUSINESSES In: Journal of Developmental Entrepreneurship (JDE).
[Full Text][Citation analysis]		article2

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