Jean-Yves Gnabo : Citation Profile


Are you Jean-Yves Gnabo?

Université de Namur (90% share)
Université de Namur (10% share)

9

H index

9

i10 index

222

Citations

RESEARCH PRODUCTION:

14

Articles

13

Papers

RESEARCH ACTIVITY:

   13 years (2006 - 2019). See details.
   Cites by year: 17
   Journals where Jean-Yves Gnabo has often published
   Relations with other researchers
   Recent citing documents: 78.    Total self citations: 8 (3.48 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgn9
   Updated: 2020-08-01    RAS profile: 2020-02-24    
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Relations with other researchers


Works with:

Kerkour, Malik (5)

Debarsy, Nicolas (5)

Geraci, Marco Valerio (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jean-Yves Gnabo.

Is cited by:

Ugolini, Andrea (6)

O'Dorchai, Sile (5)

Furceri, Davide (5)

Szafarz, Ariane (5)

Beine, Michel (5)

Weill, Laurent (5)

Belke, Ansgar (5)

Zhang, Zhichao (5)

O'Dorchai, Síle (5)

Neely, Christopher (4)

Choi, Sangyup (4)

Cites to:

Beine, Michel (40)

Laurent, Sébastien (25)

Dominguez, Kathryn (25)

Bollerslev, Tim (24)

Fratzscher, Marcel (24)

Neely, Christopher (22)

Taylor, Mark (20)

Andersen, Torben (19)

Fatum, Rasmus (18)

Diebold, Francis (17)

Hutchison, Michael (16)

Main data


Where Jean-Yves Gnabo has published?


Journals with more than one article published# docs
Journal of International Money and Finance4
Journal of International Financial Markets, Institutions and Money2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Post-Print / HAL2
Papers / arXiv.org2

Recent works citing Jean-Yves Gnabo (2019 and 2018)


YearTitle of citing document
2020Systemic Risk: a Network Approach. (2020). Hasse, Jean-Baptiste. In: AMSE Working Papers. RePEc:aim:wpaimx:2025.

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2019Co-jumping of Treasury Yield Curve Rates. (2019). Baruník, Jozef ; Fiser, Pavel. In: Papers. RePEc:arx:papers:1905.01541.

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2020Dynamic Network Risk. (2020). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639.

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2020Dynamic Networks in Large Financial and Economic Systems. (2020). Baruník, Jozef ; Ellington, Michael. In: Papers. RePEc:arx:papers:2007.07842.

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2019Systemic Risk in the Chinese Stock Market Under Different Regimes: A Sector-Level Perspective. (2019). Wang, Qiao ; Huang, Qiubin ; Cheng, Xiangjuan ; Yang, Haizhen. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:665-679.

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2018DO TERRORIST ATTACKS IMPACT EXCHANGE RATE BEHAVIOR? NEW INTERNATIONAL EVIDENCE. (2018). Narayan, Paresh Kumar ; Bach, Dinh Hoang ; Khademalomoom, Siroos. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:1:p:547-561.

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2019Higher Moments and Exchange Rate Behavior. (2019). Sharma, Susan ; Khademalomoom, Siroos ; Narayan, Paresh Kumar. In: The Financial Review. RePEc:bla:finrev:v:54:y:2019:i:1:p:201-229.

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2018Testing the systemic risk differences in banks. (2018). Jokivuolle, Esa ; Vioto, Davide ; Tunaru, Radu. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_013.

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2018The Relative Effectiveness of Spot and Derivatives Based Intervention. (2018). Saborowski, Christian ; Nedeljkovic, Milan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7127.

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2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

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2019Political turnover and firm pollution discharges: An empirical study. (2019). Xu, Helian ; Wu, Yanrui ; Deng, Yuping. In: China Economic Review. RePEc:eee:chieco:v:58:y:2019:i:c:s1043951x19301245.

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2019Tax uncertainty and business activity. (2019). Xu, Jianhuan ; Lee, Jungho. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:103:y:2019:i:c:p:158-184.

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2018Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach. (2018). Gnabo, Jean-Yves ; Dossougoin, Cyrille ; Debarsy, Nicolas ; Ertur, Cem. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:87:y:2018:i:c:p:21-45.

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2018Uncertainty-dependent effects of monetary policy shocks: A new-Keynesian interpretation. (2018). Pellegrino, Giovanni ; Castelnuovo, Efrem. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:93:y:2018:i:c:p:277-296.

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2019Cojumps and asset allocation in international equity markets. (2019). Arouri, Mohamed ; Pukthuanthong, Kuntara ; Nguyen, Duc Khuong ; Msaddek, Oussama. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:98:y:2019:i:c:p:1-22.

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2018Effect of banking and macroeconomic variables on systemic risk: An application of ΔCOVAR for an emerging economy. (2018). de Mendonça, Helder ; da Silva, Rafael Bernardo ; de Mendona, Helder Ferreira ; deMendona, Helder Ferreira . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:141-157.

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2018The study on the tail dependence structure between the economic policy uncertainty and several financial markets. (2018). Yao, Can-Zhong ; Sun, Bo-Yi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:245-265.

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2019Extreme dependence and risk spillovers across north american equity markets. (2019). Warshaw, Evan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:237-251.

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2019Understanding stock market volatility: What is the role of U.S. uncertainty?. (2019). Yin, Libo ; Fang, Tong ; Su, Zhi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:582-590.

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2020Spatial spillover effects and risk contagion around G20 stock markets based on volatility network. (2020). Lu, Yang ; Zhuang, Xintian ; Zhang, Weiping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302815.

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2020Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis. (2020). Su, Xianfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304085.

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2020Industry risk transmission channels and the spillover effects of specific determinants in China’s stock market: A spatial econometrics approach. (2020). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819301986.

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2018Risk management-driven policy rate gap. (2018). Nodari, Gabriela ; Castelnuovo, Efrem ; Caggiano, Giovanni. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:235-238.

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2018Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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2018Risk contribution of the Chinese stock market to developed markets in the post-crisis period. (2018). Yu, Honghai ; Du, Donglei ; Sun, Boyang ; Fang, Libing. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:87-97.

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2018Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network. (2018). Ugolini, Andrea ; Arismendi Zambrano, Juan ; Rivera-Castro, Miguel A. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:164-189.

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2018Systemic risk network of Chinese financial institutions. (2018). Fang, Libing ; Yu, Honghai ; Li, Huijing ; Sun, Boyang. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:190-206.

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2018The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method. (2018). Li, Xiafei ; Wei, YU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:565-581.

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2019Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil. (2019). Aromi, J. Daniel ; Clements, Adam. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:187-196.

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2020Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches. (2020). Tiwari, Aviral ; Raheem, Ibrahim ; Trabelsi, Nader ; Alqahtani, Faisal. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304438.

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2020Oil price shocks and EMU sovereign yield spreads. (2020). Filis, George ; Filippidis, Michail ; Kizys, Renatas. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304530.

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2018Is U.S. economic policy uncertainty priced in Chinas A-shares market? Evidence from market, industry, and individual stocks. (2018). Kutan, Ali ; Sun, Ping-Wen ; Hu, Zhijun. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:207-220.

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2020Sovereign wealth funds: Past, present and future. (2020). Bahoo, Salman ; Paltrinieri, Andrea ; Alon, Ilan. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521918308068.

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2018Identifying systemic important markets from a global perspective: Using the ADCC ΔCoVaR approach with skewed-t distribution. (2018). Fang, Libing ; Qian, Yichuo ; Yu, Honghai ; Chen, Baizhu. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:137-144.

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2019Determinants of within and cross-country economic policy uncertainty spillovers: Evidence from US and China. (2019). Nie, HE ; Tian, Gengyu ; Zhu, Zixuan ; Jiang, Yonghong. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:s1544612319304489.

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2020The state of research on sovereign wealth funds. (2020). Gao, Xuechen ; Megginson, William L. In: Global Finance Journal. RePEc:eee:glofin:v:44:y:2020:i:c:s1044028319300638.

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2020Determinants of foreign direct investment inflows: The role of economic policy uncertainty. (2020). Nguyen Thanh, Binh ; Canh, Nguyen ; Binh, Nguyen Thanh ; Schinckus, Christophe ; Dinhthanh, SU. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:159-172.

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2019Decomposing and backtesting a flexible specification for CoVaR. (2019). Paterlini, Sandra ; Caporin, Massimiliano ; Bonaccolto, Giovanni. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302341.

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2018Regional banking instability and FOMC voting. (2018). Eichler, Stefan ; Noth, Felix ; Lahner, Tom. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:282-292.

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2020Facing the Quadrilemma: Taylor rules, intervention policy and capital controls in large emerging markets. (2020). Zink, David ; Hutchison, Michael ; Chertman, Fernando. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:102:y:2020:i:c:s0261560619305601.

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2018Aggregate uncertainty and sectoral productivity growth: The role of credit constraints. (2018). Furceri, Davide ; Choi, Sangyup ; Loungani, Prakash ; Huang, YI. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:88:y:2018:i:c:p:314-330.

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2019Verbal interventions and exchange rate policies: The case of Swiss franc cap. (2019). Söderlind, Paul ; Soderlind, Paul ; Pozdeev, Igor ; Mirkov, Nikola . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:93:y:2019:i:c:p:42-54.

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2019The response of multinationals’ foreign exchange rate exposure to macroeconomic news. (2019). Boudt, Kris ; Wauters, Marjan ; Sercu, Piet ; Neely, Christopher J. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:94:y:2019:i:c:p:32-47.

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2019Uncertainty over production forecasts: An empirical analysis using monthly quantitative survey data. (2019). MORIKAWA, MASAYUKI. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:60:y:2019:i:c:p:163-179.

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2019Economic policy uncertainty: A literature review. (2019). Algharabali, Barrak Ghanim ; Al-Thaqeb, Saud Asaad. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:20:y:2019:i:c:s1703494919300726.

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2020Corporate risk-taking in developed countries: The influence of economic policy uncertainty and macroeconomic conditions. (2020). Vural-Yava, Idem. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:54:y:2020:i:c:s1042444x20300050.

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2020Graph theory-based network analysis of regional uncertainties of the US Economy. (2020). Lau, Chi Keung ; GUPTA, RANGAN ; Sheng, Xin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:540:y:2020:i:c:s0378437119317315.

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2020Spatial pricing with multiple risk transmission channels and specific factors. (2020). Yuan, Ying ; Zhuang, Xintian ; Jin, Xiu ; Chen, NA. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:549:y:2020:i:c:s0378437119321636.

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2018Flexible dependence modeling using convex combinations of different types of connectivity structures. (2018). Debarsy, Nicolas ; Lesage, James. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:69:y:2018:i:c:p:48-68.

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2020Estimation of fixed effects spatial dynamic panel data models with small T and unknown heteroskedasticity. (2020). Yang, Zhenlin ; Li, Liyao. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:81:y:2020:i:c:s0166046219301139.

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2019Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate. (2019). Yang, Lu ; Zeng, Yu-Feng ; Chen, Wang ; Hu, Shichao ; Peng, Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:137-149.

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2019Financial systemic risk measurement based on causal network connectedness analysis. (2019). Zhang, Wei ; Xiong, Xiong ; Liu, Xi-Hua ; Gong, Xiao-Li. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:290-307.

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2019The effects of economic policy uncertainty on outward foreign direct investment. (2019). Chi, Thi Huyen ; Boarelli, Sofia ; Hsieh, Hui-Ching. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:377-392.

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2020The risk spillovers from the Chinese stock market to major East Asian stock markets: A MSGARCH-EVT-copula approach. (2020). Xiao, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:173-186.

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2018Spillover effects among financial institutions within Germany and the United Kingdom. (2018). Ghulam, Yaseen ; Doering, Jana. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:49-63.

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2020Correlation between the 2014 EU-wide stress tests and the market-based measures of systemic risk. (2020). Dissem, Sonia ; Lobez, Frederic. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918300965.

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2020Economic policy uncertainty and credit growth: Evidence from a global sample. (2020). LE, Thai-Ha ; Canh, Nguyen ; Su, Thanh Dinh ; Nguyen, Canh Phuc. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919302326.

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2018Time-Frequency Response Analysis of Monetary Policy Transmission. (2018). Vacha, Lukas ; Hanus, Lubos. In: Working Papers IES. RePEc:fau:wpaper:wp2018_30.

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2019The Time-Spatial Dimension of Eurozone Banking Systemic Risk. (2019). Angelini, Eliana ; Foglia, Matteo. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:75-:d:246287.

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2019Risk Transmission between Chinese and U.S. Agricultural Commodity Futures Markets—A CoVaR Approach. (2019). Ke, Yangmin ; Liu, Ping ; McKenzie, Andrew M. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:1:p:239-:d:195131.

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2018Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach. (2018). Gnabo, Jean-Yves ; Debarsy, Nicolas ; Ertur, Cem ; Dossougoin, Cyrille. In: Post-Print. RePEc:hal:journl:hal-01744629.

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2020Systemic Risk: a Network Approach. (2020). Hasse, Jean-Baptiste. In: Working Papers. RePEc:hal:wpaper:halshs-02893780.

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2019Ripples on financial networks. (2019). Chakrabarti, Anindya S ; Bansal, Avijit ; Kumar, Sudarshan. In: IIMA Working Papers. RePEc:iim:iimawp:14613.

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2018Uncertainty and Cross-Border Banking Flows. (2018). Furceri, Davide ; Choi, Sangyup. In: IMF Working Papers. RePEc:imf:imfwpa:18/4.

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2018Analyzing Dynamic Connectedness in Korean Housing Markets. (2018). Suh, Hyunduk ; Jung, SO. In: Inha University IBER Working Paper Series. RePEc:inh:wpaper:2018-4.

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2018News Shock Spillovers: How the Euro Area Responds to Expected Fed Policy. (2018). Tillmann, Peter ; PeterTillmann, ; Rudel, Paul. In: MAGKS Papers on Economics. RePEc:mar:magkse:201832.

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2020Global Effects of the Brexit Referendum: Evidence from US Corporations. (2020). Cortes, Gustavo ; Campello, Murillo ; Kankanhalli, Gaurav ; D'Almeida, Fabricio. In: NBER Working Papers. RePEc:nbr:nberwo:26714.

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2018Uncertainty-dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation. (2018). Pellegrino, Giovanni ; Castelnuovo, Efrem. In: Marco Fanno Working Papers. RePEc:pad:wpaper:0219.

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2018Does Economic Policy Uncertainty Lead Systemic Risk? A Comparative Analysis of Selected European Countries. (2018). Karminsky, Alexandr ; Shchepeleva, Maria ; Stolbov, Mikhail. In: Comparative Economic Studies. RePEc:pal:compes:v:60:y:2018:i:3:d:10.1057_s41294-018-0065-5.

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2020Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach. (2020). Li, Youwei ; Chen, Yanhua ; Stanley, Eugene ; Pantelous, Athanasios. In: MPRA Paper. RePEc:pra:mprapa:101700.

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2018Cojumps and Asset Allocation in International Equity Markets. (2018). Nguyen, Duc Khuong ; M'SADDEK, Oussama ; Pukthuanthong, Kuntara ; Msaddek, Oussama ; el Hedi, Mohamed. In: MPRA Paper. RePEc:pra:mprapa:89938.

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2020Discussion of “Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions”. (2020). Nakajima, Jouchi. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:72:y:2020:i:1:d:10.1007_s10463-019-00742-2.

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2019Cross-Country Assessment of Systemic Risk in the European Stock Market: Evidence from a CoVaR Analysis. (2019). Merlo, Luca ; Laporta, Alessandro G ; Petrella, Lea. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:146:y:2019:i:1:d:10.1007_s11205-018-1881-8.

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2019Leviathan is in Action? The Political Motivation behind the Outbound Investments of SWFs. (2019). An, Guozhi ; Chang, Huadong. In: Advances in Management and Applied Economics. RePEc:spt:admaec:v:9:y:2019:i:5:f:9_5_4.

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2018 Contagion spillovers between sovereign and financial European sector from a Delta CoVaR approach. (2018). Ferreiro, Javier Ojea. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1812.

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2019What are the most effective and vulnerable firms in financial crisis? A network representation of CoVaR in an emerging market. (2019). Dastkhan, Hossein. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:06:y:2019:i:01:n:s2424786319500075.

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2018Does the Information Content of Central Bank Speeches Impact on the Level of Exchange Rate? A Comparative Study of Canadian and Australian Central Bank Communications. (2018). Boulter, Terry ; Bhattacharya, Sukanto ; Masawi, Becksndale. In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). RePEc:wsi:rpbfmp:v:21:y:2018:i:01:n:s0219091518500054.

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Works by Jean-Yves Gnabo:


YearTitleTypeCited
2018Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science In: Papers.
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2019A multilevel analysis to systemic exposure: insights from local and system-wide information In: Papers.
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2008Foreign Exchange Intervention Policy: With or Without Transparency? The Case of Japan In: Economie Internationale.
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2016Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach In: CORE Discussion Papers.
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2018Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach.(2018) In: CORE Discussion Papers RP.
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This paper has another version. Agregated cites: 6
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2019Making a difference: European mutual funds distinctiveness and peers’ performance In: CORE Discussion Papers.
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2018Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions In: Journal of Financial and Quantitative Analysis.
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2015Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions.(2015) In: Working Papers ECARES.
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2016Understanding the Decision Making Process of Sovereign Wealth Funds: The Case of Temasek In: EconomiX Working Papers.
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2017Understanding the decision-making process of sovereign wealth funds: The case of Temasek.(2017) In: Post-Print.
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This paper has another version. Agregated cites: 1
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2006Intervention policy of the BoJ: a unified approach In: DULBEA Working Papers.
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2009Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of Japan In: Journal of International Financial Markets, Institutions and Money.
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2009Foreign-exchange intervention strategies and market expectations: insights from Japan In: Journal of International Financial Markets, Institutions and Money.
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2016The importance of conflicts of interest in attributing sovereign credit ratings In: International Review of Law and Economics.
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2014Assessing the contribution of banks, insurance and other financial services to systemic risk In: Journal of Banking & Finance.
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2015Risk management, nonlinearity and aggressiveness in monetary policy: The case of the US Fed In: Journal of Banking & Finance.
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2014The intra-day impact of communication on euro-dollar volatility and jumps In: Journal of International Money and Finance.
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2014System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies In: Journal of International Money and Finance.
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2016Economic policy uncertainty and risk spillovers in the Eurozone In: Journal of International Money and Finance.
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2017Sovereign wealth funds’ cross-border investments: Assessing the role of country-level drivers and spatial competition In: Journal of International Money and Finance.
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2017Sovereign wealth funds’ cross-border investments: Assessing the role of country-level drivers and spatial competition.(2017) In: Post-Print.
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2016Sovereign Wealth Funds’ cross-border investments: assessing the role of country-level drivers and spatial competition.(2016) In: LEO Working Papers / DR LEO.
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2009Announcements, financial operations or both? Generalizing central banks FX reaction functions In: Journal of the Japanese and International Economies.
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2018Effective network inference through multivariate information transfer estimation In: Physica A: Statistical Mechanics and its Applications.
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2016Assessing the role of interbank network structure in business and financial cycle analysis In: Working Paper Research.
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2012Do jumps mislead the FX market? In: Quantitative Finance.
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2008Interdependencies between Monetary Policy and Foreign Exchange Intervention under Inflation Targeting: The Case of Brazil and the Czech Republic In: WIDER Working Paper Series.
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