10
H index
11
i10 index
269
Citations
Universiteit Gent | 10 H index 11 i10 index 269 Citations RESEARCH PRODUCTION: 31 Articles 29 Papers 1 Books RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Michael Frömmel. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Czech Journal of Economics and Finance (Finance a uver) | 3 |
Sustainability | 2 |
International Journal of Finance & Economics | 2 |
Economic Modelling | 2 |
Finance Research Letters | 2 |
Emerging Markets Finance and Trade | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium / Ghent University, Faculty of Economics and Business Administration | 14 |
Hannover Economic Papers (HEP) / Leibniz Universitt Hannover, Wirtschaftswissenschaftliche Fakultt | 4 |
Year | Title of citing document |
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2021 | A 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. Full description at Econpapers || Download paper |
2020 | Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models. (2020). Leonardos, Stefanos ; Koki, Constandina ; Piliouras, Georgios. In: Papers. RePEc:arx:papers:2011.03741. Full description at Econpapers || Download paper |
2020 | Modeling interest rate setting at the European Central Bank with bargaining models and counterfactuals. (2020). McNeil, James. In: Working Papers. RePEc:dal:wpaper:daleconwp2020-03. Full description at Econpapers || Download paper |
2021 | Bond 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. Full description at Econpapers || Download paper |
2021 | Intraday 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. Full description at Econpapers || Download paper |
2021 | Does 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. Full description at Econpapers || Download paper |
2021 | Intraday 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. Full description at Econpapers || Download paper |
2021 | Intraday 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2021 | Trading 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. Full description at Econpapers || Download paper |
2021 | Wind 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. Full description at Econpapers || Download paper |
2020 | Volatility 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. Full description at Econpapers || Download paper |
2021 | Electricity 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. Full description at Econpapers || Download paper |
2022 | Intraday 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. Full description at Econpapers || Download paper |
2021 | Exchange 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. Full description at Econpapers || Download paper |
2022 | Performance 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. Full description at Econpapers || Download paper |
2021 | Strength 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. Full description at Econpapers || Download paper |
2021 | Hedging 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2022 | Exploring 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2020 | . Full description at Econpapers || Download paper |
2021 | Forecasting 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. Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2021 | Monetary 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. Full description at Econpapers || Download paper |
2021 | Stock 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. Full description at Econpapers || Download paper |
2021 | Functional 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. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2021 | Cryptocurrencies responses to the Covid-19 waves. (2021). Amamou, Souhir Amri. In: MPRA Paper. RePEc:pra:mprapa:110843. Full description at Econpapers || Download paper |
2020 | Markov 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. Full description at Econpapers || Download paper |
2021 | Assessing 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. Full description at Econpapers || Download paper |
2021 | Forecasting 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. Full description at Econpapers || Download paper |
2022 | Who 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. Full description at Econpapers || Download paper |
2022 | Information 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
---|---|---|---|
2009 | Interest rate convergence in the EMS prior to European Monetary Union In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 15 |
2015 | Interest rate convergence in the EMS prior to European Monetary Union.(2015) In: Journal of Policy Modeling. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | article | |
2009 | Interest rate convergence in the EMS prior to European Monetary Union.(2009) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
2009 | What do we know about real exchange rate non-linearities? In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 10 |
2010 | What do we know about real exchange rate nonlinearities?.(2010) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2012 | What do we know about real exchange rate nonlinearities?.(2012) In: Empirical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
2017 | Duration Dependence, Behavioral Restrictions, and the Market Timing Ability of Commodity Trading Advisors In: International Review of Finance. [Full Text][Citation analysis] | article | 0 |
2001 | Risk Reduction in the EMS? Evidence from Trends in Exchange Rate Properties In: Journal of Common Market Studies. [Full Text][Citation analysis] | article | 3 |
2004 | Markov Switching Regimes In A Monetary Exchange Rate Model In: Royal Economic Society Annual Conference 2004. [Full Text][Citation analysis] | paper | 65 |
2005 | Markov switching regimes in a monetary exchange rate model.(2005) In: Economic Modelling. [Full Text][Citation analysis] This paper has another version. Agregated cites: 65 | article | |
2021 | Daily currency interventions in an emerging market: Incorporating reserve accumulation to the reaction function In: Economic Modelling. [Full Text][Citation analysis] | article | 0 |
2014 | Modeling the daily electricity price volatility with realized measures In: Energy Economics. [Full Text][Citation analysis] | article | 16 |
2022 | Manipulation 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] | article | 0 |
2016 | Does frequency matter for intraday technical trading? In: Finance Research Letters. [Full Text][Citation analysis] | article | 6 |
2021 | The Accuracy of Trade Classification Systems on the Foreign Exchange Market: Evidence from the RUB/USD Market In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
2018 | Intraday momentum in FX markets: Disentangling informed trading from liquidity provision In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 22 |
2005 | Do fundamentals matter for the D-Mark/Euro-Dollar? A regime switching approach In: Global Finance Journal. [Full Text][Citation analysis] | article | 15 |
2003 | Do Fundamentals Matter for the D-Mark/Euro-Dollar? A Regime Switching Approach.(2003) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
2006 | Exchange rate regimes in Central and East European countries: Deeds vs. words In: Journal of Comparative Economics. [Full Text][Citation analysis] | article | 14 |
2008 | Order flows, news, and exchange rate volatility In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 21 |
2007 | Order Flows, News, and Exchange Rate Volatility.(2007) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2011 | Monetary policy rules in Central and Eastern European Countries: Does the exchange rate matter? In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 22 |
2009 | Monetary 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. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
2011 | The Future of Banking in CESEE after the Financial Crisis In: SUERF Studies. [Full Text][Citation analysis] | book | 2 |
2010 | Volatility Regimes in Central and Eastern European Countries’ Exchange Rates In: Czech Journal of Economics and Finance (Finance a uver). [Full Text][Citation analysis] | article | 4 |
2006 | Volatility Regimes in Central and Eastern European Countries Exchange Rates.(2006) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2007 | Volatility Regimes in Central and Eastern European Countries’ Exchange Rates.(2007) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2016 | Editorial 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] | article | 0 |
2016 | The 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] | article | 1 |
2021 | COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave In: Sustainability. [Full Text][Citation analysis] | article | 3 |
2021 | Correction: 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] | article | 0 |
2021 | Non-Standard Errors In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 0 |
2021 | Non-Standard Errors.(2021) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2021 | Non-Standard Errors.(2021) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2006 | Monetary Policy Rules in Central and Eastern Europe In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 14 |
2006 | Bank Lending and Asset Prices in the Euro Area In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 3 |
2006 | Bank Lending and Asset Prices in the Euro Area.(2006) In: RWI Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2021 | A Panel Data Analysis of Uncovered Interest Parity and Time-Varying Risk Premium In: Open Economies Review. [Full Text][Citation analysis] | article | 0 |
2012 | Spread Components in the Hungarian Forint-Euro Market In: Emerging Markets Finance and Trade. [Full Text][Citation analysis] | article | 2 |
2011 | Spread Components in the Hungarian Forint-Euro Market.(2011) In: 2011 Meeting Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2011 | Spread Components in the Hungarian Forint-Euro Market.(2011) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2015 | Further Evidence on Foreign Exchange Jumps and News Announcements In: Emerging Markets Finance and Trade. [Full Text][Citation analysis] | article | 3 |
2009 | Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market In: MNB Working Papers. [Full Text][Citation analysis] | paper | 2 |
2009 | Macroeconomic 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. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2011 | Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market.(2011) In: International Journal of Finance & Economics. [Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2010 | Private Sector Credit in CESEE: Long-Run Relationships and Short-Run Dynamics In: Focus on European Economic Integration. [Full Text][Citation analysis] | article | 13 |
2021 | Boards of directors and corporate sustainability performance: evidence from the emerging East Asian markets In: International Journal of Disclosure and Governance. [Full Text][Citation analysis] | article | 0 |
2011 | Testing for a rational bubble under long memory In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. [Full Text][Citation analysis] | paper | 6 |
2012 | Testing for a rational bubble under long memory.(2012) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2013 | News, 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] | paper | 0 |
2013 | FDI, 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. [Full Text][Citation analysis] | paper | 0 |
2013 | FDI, terrorism and the availability heuristic for U.S. investors before and after 9/11.(2013) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2014 | Crystallization – 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] | paper | 0 |
2014 | Are 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] | paper | 0 |
2014 | Bid-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] | paper | 0 |
2016 | Daily Currency Interventions in Emerging Markets: Incorporating Reserve Accumulation In: Proceedings of International Academic Conferences. [Full Text][Citation analysis] | paper | 1 |
2003 | Increasing exchange rate volatility during the recent float In: Applied Financial Economics. [Full Text][Citation analysis] | article | 4 |
2020 | Political connection heterogeneity and firm value in Vietnam In: Cogent Business & Management. [Full Text][Citation analysis] | article | 0 |
2020 | An Alternative Version of Purchasing Power Parity In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 0 |
2019 | SOCIAL CAPITAL, CREDIT CHOICES AND GROWTH IN VIETNAMESE HOUSEHOLD BUSINESSES In: Journal of Developmental Entrepreneurship (JDE). [Full Text][Citation analysis] | article | 2 |
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