Nikola Gradojevic : Citation Profile


Are you Nikola Gradojevic?

University of Guelph (99% share)
Rimini Centre for Economic Analysis (RCEA) (1% share)

8

H index

6

i10 index

176

Citations

RESEARCH PRODUCTION:

25

Articles

19

Papers

RESEARCH ACTIVITY:

   21 years (2000 - 2021). See details.
   Cites by year: 8
   Journals where Nikola Gradojevic has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 20 (10.2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgr194
   Updated: 2021-03-27    RAS profile: 2021-03-01    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

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

Is cited by:

Bekiros, Stelios (7)

Hernández Aguilera, Juan (6)

Baruník, Jozef (6)

Misas, Martha (5)

Kočenda, Evžen (5)

López, Enrique (5)

Vacha, Lukas (5)

Gallegati, Marco (4)

Sun, Edward (4)

Uddin, Gazi (3)

Arango, Carlos (3)

Cites to:

Lyons, Richard (37)

Evans, Martin (27)

Gencay, Ramazan (21)

Diebold, Francis (13)

van Norden, Simon (10)

Moore, Michael (10)

Engle, Robert (8)

Taylor, Mark (8)

Easley, David (8)

Neely, Christopher (8)

Meese, Richard (8)

Main data


Where Nikola Gradojevic has published?


Journals with more than one article published# docs
Economics Letters4
Economic Modelling3
Panoeconomicus2

Working Papers Series with more than one paper published# docs
Working Paper series / Rimini Centre for Economic Analysis11
Post-Print / HAL5

Recent works citing Nikola Gradojevic (2021 and 2020)


YearTitle of citing document
2020Gated Neural Networks for Option Pricing: Rationality by Design. (2016). Yang, Yongxin ; Hospedales, Timothy M ; Zheng, YU. In: Papers. RePEc:arx:papers:1609.07472.

Full description at Econpapers || Download paper

2020Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1708.03992.

Full description at Econpapers || Download paper

2020Neural networks for option pricing and hedging: a literature review. (2019). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1911.05620.

Full description at Econpapers || Download paper

2020A perspective on correlation-based financial networks and entropy measures. (2020). Kumar, Sunil ; Gupta, Priya ; Pharasi, Hirdesh K ; Kukreti, Vishwas. In: Papers. RePEc:arx:papers:2004.09448.

Full description at Econpapers || Download paper

2020Long short-term memory networks and laglasso for bond yield forecasting: Peeping inside the black box. (2020). Niranjan, Mahesan ; McGroarty, Frank ; Gerding, Enrico ; Nunes, Manuel. In: Papers. RePEc:arx:papers:2005.02217.

Full description at Econpapers || Download paper

2021Non-Extensive Value-at-Risk Estimation During Times of Crisis. (2020). Tehrani, Reza ; Asadi, Nazanin ; Namaki, Ali ; Hajihasani, Ahmad. In: Papers. RePEc:arx:papers:2005.09036.

Full description at Econpapers || Download paper

2020Data-Driven Option Pricing using Single and Multi-Asset Supervised Learning. (2020). Tanksale, Atharva ; Rajani, Sharan ; Goswami, Anindya. In: Papers. RePEc:arx:papers:2008.00462.

Full description at Econpapers || Download paper

2021Evidence and Behaviour of Support and Resistance Levels in Financial Time Series. (2021). Chung, Ken ; Bellotti, Anthony. In: Papers. RePEc:arx:papers:2101.07410.

Full description at Econpapers || Download paper

2020The Pricing Kernel Puzzle: A Real Phenomenon or a Statistical Artifact?. (2020). Anwar, Sajid ; Siddiqi, Hammad. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:2:p:485-491.

Full description at Econpapers || Download paper

2020Dynamic frequency connectedness between oil and natural gas volatilities. (2020). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:181-189.

Full description at Econpapers || Download paper

2020A conditional fuzzy inference approach in forecasting. (2020). Verousis, Thanos ; Sermpinis, Georgios ; Stasinakis, Charalampos ; Hassanniakalager, Arman. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:1:p:196-216.

Full description at Econpapers || Download paper

2020The profitability of technical trading rules in the Bitcoin market. (2020). Gerritsen, Dirk ; Bouri, Elie ; Roubaud, David ; Ramezanifar, Ehsan. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319303770.

Full description at Econpapers || Download paper

2020Arbitrage detection using max plus product iteration on foreign exchange rate graphs. (2020). Taylor, Stephen ; Cui, Zhenyu. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319304362.

Full description at Econpapers || Download paper

2020Hedging effectiveness of precious metals across frequencies: Evidence from Wavelet based Dynamic Conditional Correlation analysis. (2020). Kumar, Surya Bhushan ; Das, Debojyoti ; Bhatia, Vaneet. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119320242.

Full description at Econpapers || Download paper

2020The profitability of Bollinger Bands: Evidence from the constituent stocks of Taiwan 50. (2020). Yu, Shang-Ru ; Huang, Paoyu ; Day, Min-Yuh ; Ni, Yensen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:551:y:2020:i:c:s0378437120300078.

Full description at Econpapers || Download paper

2021The personal wealth importance to the intertemporal choice. (2021). Do, Jose Claudio. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120308578.

Full description at Econpapers || Download paper

2020Analysis of the five-factor asset pricing model with wavelet multiscaling approach. (2020). Kangalli, Sinem Guler ; Uyar, Umut ; Bera, Anil Kumar. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:414-423.

Full description at Econpapers || Download paper

2020Analytical Gradients of Dynamic Conditional Correlation Models. (2020). Caporin, Massimiliano ; Lucchetti, Riccardo ; Palomba, Giulio . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:3:p:49-:d:328491.

Full description at Econpapers || Download paper

2020Neural Network Pricing of American Put Options. (2020). Sequeira, Bernardo ; Lopes, Sara D ; Gaspar, Raquel M. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:73-:d:379508.

Full description at Econpapers || Download paper

2020Modelling Australian Dollar Volatility at Multiple Horizons with High-Frequency Data. (2020). Vo, Duc. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:89-:d:404223.

Full description at Econpapers || Download paper

2020Geopolitical Risk and Tourism Stocks of Emerging Economies. (2020). Shahzad, Syed Jawad Hussain ; Naeem, Muhammad Abubakr ; Hasan, Mudassar ; Nor, Safwan Mohd ; Arif, Muhammad. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:21:p:9261-:d:441495.

Full description at Econpapers || Download paper

2021The Impact of Economic Freedom on Economic and Environmental Performance: Evidence from European Countries. (2021). Mikalonis, Sarunas ; Lukauskas, Mantas ; Bruneckiene, Jurgita ; Rapsikevicius, Jonas. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:4:p:2380-:d:504103.

Full description at Econpapers || Download paper

2020Neural Network pricing of American put options. (2020). Sequeira, Bernardo ; Lopes, Sara D ; Gaspar, Raquel M. In: Working Papers REM. RePEc:ise:remwps:wp01222020.

Full description at Econpapers || Download paper

2021Should Deep Learning Models be in High Demand, or Should They Simply be a Very Hot Topic? A Comprehensive Study for Exchange Rate Forecasting. (2021). Arabaci, Ozer ; Yilmaz, Firat Melih. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:1:d:10.1007_s10614-020-10047-9.

Full description at Econpapers || Download paper

2020Mortgage-related bank penalties and systemic risk among U.S. banks. (2020). Kočenda, Evžen ; Broza, Vaclav ; Kocenda, Evzen . In: KIER Working Papers. RePEc:kyo:wpaper:1024.

Full description at Econpapers || Download paper

2020On the Applicability of the Black-Scholes Model to the Inverse Quantity of Price (Under Peer-Review). (2020). Tahara, Hiroki. In: OSF Preprints. RePEc:osf:osfxxx:fgnca.

Full description at Econpapers || Download paper

2020What is behind extreme negative returns co-movement in the South Eastern European stock markets?. (2020). Tevdovski, Dragan ; Stojkoski, Viktor. In: MPRA Paper. RePEc:pra:mprapa:98227.

Full description at Econpapers || Download paper

2020Comparison of Forex Market Forecasting Tools Based on Evolino Ensemble and Technical Analysis Indicators. (2020). Stankeviien, Jelena ; Maknickien, Nijol ; Maknickas, Algirdas. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2020:i:3:p:134-148.

Full description at Econpapers || Download paper

2020Dynamic long-range dependences in the Swiss stock market. (2020). Ferreira, Paulo. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1549-x.

Full description at Econpapers || Download paper

2020Short‐run wavelet‐based covariance regimes for applied portfolio management. (2020). Berger, Theo ; Genay, Ramazan. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:4:p:642-660.

Full description at Econpapers || Download paper

Works by Nikola Gradojevic:


YearTitleTypeCited
2000The Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure Variables In: Staff Working Papers.
[Full Text][Citation analysis]
paper9
2016Multi-criteria classification for pricing European options In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article0
2015Multi-criteria Classification for Pricing European Options.(2015) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2007Non-linear, hybrid exchange rate modeling and trading profitability in the foreign exchange market In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article5
2013Private information and its origins in an electronic foreign exchange market In: Economic Modelling.
[Full Text][Citation analysis]
article4
2015Multiscale analysis of foreign exchange order flows and technical trading profitability In: Economic Modelling.
[Full Text][Citation analysis]
article7
2015Multiscale analysis of foreign exchange order flows and technical trading profitability.(2015) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 7
paper
2012Multiscale Analysis of Foreign Exchange Order Flows and Technical Trading Profitability.(2012) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2020A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage In: Economic Modelling.
[Full Text][Citation analysis]
article1
2020A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage.(2020) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2008Overnight interest rates and aggregate market expectations In: Economics Letters.
[Full Text][Citation analysis]
article8
2009Overnight Interest Rates and Aggregate Market Expectations.(2009) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2012Frequency domain analysis of foreign exchange order flows In: Economics Letters.
[Full Text][Citation analysis]
article2
2017Informativeness of trade size in foreign exchange markets In: Economics Letters.
[Full Text][Citation analysis]
article5
2017Informativeness of trade size in foreign exchange markets.(2017) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 5
paper
2007The microstructure of the Canada/U.S. dollar exchange rate: A robustness test In: Economics Letters.
[Full Text][Citation analysis]
article2
2010Crash of 87 -- Was it expected?: Aggregate market fears and long-range dependence In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article10
2009Crash of 87 - Was it Expected? Aggregate Market Fears and Long Range Dependence.(2009) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2014Foreign exchange customers and dealers: Who’s driving whom? In: Finance Research Letters.
[Full Text][Citation analysis]
article1
2013Foreign exchange customers and dealers: Who’s driving whom?.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2013Fuzzy logic, trading uncertainty and technical trading In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article11
2019Non-fundamental, non-parametric Bitcoin forecasting In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
article1
2008The dynamic interaction of order flows and the CAD/USD exchange rate In: Working Papers.
[Full Text][Citation analysis]
paper3
2020The Impact of Economic Freedom on Economic Growth? New European Dynamic Panel Evidence In: Journal of Risk and Financial Management.
[Full Text][Citation analysis]
article1
2015Informed traders arrival in foreign exchange markets: Does geography matter? In: Post-Print.
[Citation analysis]
paper2
2015Informed traders’ arrival in foreign exchange markets: Does geography matter?.(2015) In: Empirical Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2020Heterogeneous investment horizons, risk regimes, and realized jumps In: Post-Print.
[Citation analysis]
paper0
2021Heterogeneous investment horizons, risk regimes, and realized jumps.(2021) In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2006Non-linear, non-parametric, non-fundamental exchange rate forecasting In: Journal of Forecasting.
[Full Text][Citation analysis]
article16
2011Clustering and Classification in Option Pricing In: Review of Economic Analysis.
[Full Text][Citation analysis]
article0
2015Predicting Systemic Risk with Entropic Indicators In: Working Paper series.
[Full Text][Citation analysis]
paper2
2017Predicting Systemic Risk with Entropic Indicators.(2017) In: Journal of Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2009Informed Trading in an Electronic Foreign Exchange Market In: Working Paper series.
[Full Text][Citation analysis]
paper2
2009Profitability in an Electronic Foreign Exchange Market: Informed Trading or Differences in Valuation? In: Working Paper series.
[Full Text][Citation analysis]
paper1
2009Asymmetry of Information Flow Between Volatilities Across Time Scales In: Working Paper series.
[Full Text][Citation analysis]
paper39
2010Asymmetry of information flow between volatilities across time scales.(2010) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39
article
2009Errors-in-Variables Estimation with No Instruments In: Working Paper series.
[Full Text][Citation analysis]
paper9
2009Option Pricing with Modular Neural Networks In: Working Paper series.
[Full Text][Citation analysis]
paper12
2012Improving Non-Parametric Option Pricing during the Financial Crisis In: Working Paper series.
[Full Text][Citation analysis]
paper0
2021Brexit and foreign exchange market expectations: Could it have been predicted? In: Annals of Operations Research.
[Full Text][Citation analysis]
article0
2007Investment information content in Bollinger Bands? In: Applied Financial Economics Letters.
[Full Text][Citation analysis]
article15
2007A market microstructure analysis of the Canadian dollar depreciation episodes in the 1990s In: Applied Financial Economics.
[Full Text][Citation analysis]
article0
2010Random Walk Theory and Exchange Rate Dynamics in Transition Economies In: Panoeconomicus.
[Full Text][Citation analysis]
article4
2013Causality between Regional Stock Markets: A Frequency Domain Approach In: Panoeconomicus.
[Full Text][Citation analysis]
article4

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team