Richard D. F. Harris : Citation Profile


Are you Richard D. F. Harris?

University of Bristol

13

H index

19

i10 index

1244

Citations

RESEARCH PRODUCTION:

43

Articles

18

Papers

RESEARCH ACTIVITY:

   23 years (1996 - 2019). See details.
   Cites by year: 54
   Journals where Richard D. F. Harris has often published
   Relations with other researchers
   Recent citing documents: 60.    Total self citations: 9 (0.72 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha750
   Updated: 2024-01-16    RAS profile: 2023-03-16    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Richard D. F. Harris.

Is cited by:

Asongu, Simplice (23)

Tzavalis, Elias (17)

Karavias, Yiannis (15)

Bande, Roberto (11)

Apergis, Nicholas (10)

Salisu, Afees (10)

Karanassou, Marika (10)

Baharumshah, Ahmad Zubaidi (9)

Odhiambo, Nicholas (9)

HALKOS, GEORGE (8)

Angelidis, Timotheos (8)

Cites to:

Engle, Robert (37)

Campbell, John (31)

Bollerslev, Tim (31)

Shiller, Robert (21)

Diebold, Francis (19)

Andersen, Torben (15)

Mankiw, N. Gregory (13)

Fama, Eugene (13)

Newey, Whitney (10)

Summers, Lawrence (10)

West, Kenneth (8)

Main data


Where Richard D. F. Harris has published?


Journals with more than one article published# docs
Journal of Banking & Finance7
Journal of Business Finance & Accounting7
Journal of Futures Markets5
International Journal of Forecasting3
European Journal of Operational Research3
International Review of Financial Analysis2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Discussion Papers / University of Exeter, Department of Economics9

Recent works citing Richard D. F. Harris (2024 and 2023)


YearTitle of citing document
2023Minimum wage and manufacturing labor share: Evidence from North Macedonia. (2023). Petreski, Marjan ; Pehkonen, Jaakko. In: Papers. RePEc:arx:papers:2310.05117.

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2023.

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2023.

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2023FDI commitments increase when uncertainty is resolved: Evidence from Asia. (2023). Naknoi, Kanda ; Hornstein, Abigail S. In: Journal of Asian Economics. RePEc:eee:asieco:v:87:y:2023:i:c:s1049007823000490.

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2023Risk communication clarity and insurance demand: The case of the COVID-19 pandemic. (2023). Zou, Hong ; Xu, Xian ; Feng, Jingbing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002652.

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2023Trade openness and connectedness of national productions: Do financial openness, economic specialization, and the size of the country matter?. (2023). Toure, Adam ; Mao Takongmo, Charles-O., . In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001529.

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2023Hedge fund performance persistence under different business cycles and stock market regimes. (2023). Tolikas, Konstantinos ; Andrikopoulos, Athanasios ; Stafylas, Dimitrios. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002017.

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2023The macroeconomic effects of uncertainty and risk aversion shocks. (2023). Berthold, Brendan. In: European Economic Review. RePEc:eee:eecrev:v:154:y:2023:i:c:s0014292123000715.

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2023Hedging with automatic liquidation and leverage selection on bitcoin futures. (2023). Zou, Bin ; Deng, Jun ; Alexander, Carol. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:478-493.

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2023Empirical performance of component GARCH models in pricing VIX term structure and VIX futures. (2023). Tsai, Jeffrey Tzuhao ; Lo, Chien-Ling ; Chang, Li-Han ; Cheng, Hung-Wen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:122-142.

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2023Time-varying Z-score measures for bank insolvency risk: Best practice. (2023). Bouvatier, Vincent ; Strobel, Frank ; Rehault, Pierre-Nicolas ; Lepetit, Laetitia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:170-179.

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2023The equity-oil hedge: A comparison between volatility and alternative risk frameworks. (2023). Kuang, Wei. In: Energy. RePEc:eee:energy:v:271:y:2023:i:c:s0360544223004395.

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2023Do clean energy indices outperform using contrarian strategies based on contrarian trading rules?. (2023). Ni, Yensen ; Day, Min-Yuh. In: Energy. RePEc:eee:energy:v:272:y:2023:i:c:s0360544223005078.

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2023Where is the distribution tail threshold? A tale on tail and copulas in financial risk measurement. (2023). Nave, Juan M ; Gonzalez-Sanchez, Mariano. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000285.

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2023Options market ambiguity and its information content. (2023). Han, YU ; Chen, Qiang. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000799.

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2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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2023Does systematic tail risk matter?. (2023). Pereverzin, Aleksandr ; Nguyen, Linh H ; Polanski, Arnold ; Stoja, Evarist. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001706.

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2023Average tail risk and aggregate stock returns. (2023). , Richard ; Dai, Yingtong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001718.

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2023Social capital, trust, and bank tail risk: The value of ESG rating and the effects of crisis shocks. (2023). Elnahass, Marwa ; Li, Teng ; Cao, Ngan Duong ; Trinh, Vu Quang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443123000082.

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2023Crisis sentiment and banks’ stock price crash risk: A missing piece of the puzzle?. (2023). Anastasiou, Dimitris ; Krokida, Styliani Iris ; Katsafados, Apostolos ; Tzomakas, Christos. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:87:y:2023:i:c:s1042443123000744.

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2023The effect of uncertainty on stock market volatility and correlation. (2023). Hou, Ai Jun ; Christiansen, Charlotte ; Asgharian, Hossein. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001097.

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2023Comparative evaluation of CO2 emissions from transportation in countries around the world. (2023). Zhu, Lichao. In: Journal of Transport Geography. RePEc:eee:jotrge:v:110:y:2023:i:c:s0966692323000819.

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2023Do oil, gold and metallic price volatilities prove gold as a safe haven during COVID-19 pandemic? Novel evidence from COVID-19 data. (2023). Wong, Wing-Keung ; Wisetsri, Worakamol ; Cui, Moyang ; Hassan, Marria ; Li, Zeyun ; Muda, Iskandar ; Mabrouk, Fatma. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005761.

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2023Fluctuation in the global oil market, stock market volatility, and economic policy uncertainty: A study of the US and China. (2023). Du, Qunyang ; Zhou, Fangxing ; Yang, Tianle. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:87:y:2023:i:c:p:377-387.

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2023A novel hybrid strategy for crude oil future hedging based on the combination of three minimum-CVaR models. (2023). Xie, Wenzhao ; Zheng, Chengli ; Yao, Yinhong ; Su, Kuangxi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:35-50.

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2023Risk spillover from international financial markets and Chinas macro-economy: A MIDAS-CoVaR-QR model. (2023). Yang, Lu ; Hamori, Shigeyuki ; Cui, Xue ; Cai, Xiaojing. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:55-69.

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2023Predicting macro-financial instability – How relevant is sentiment? Evidence from long short-term memory networks. (2023). Sahut, Jean-Michel ; Gaies, Brahim ; Nakhli, Mohamed Sahbi ; Kanzari, Dalel. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000387.

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2023Do rising labour costs promote technology upgrading? A novel theoretical hypothesis of an inverted U-shaped relationship. (2023). Wu, Yongqiu ; Li, Zhilong ; Wang, Jiang ; Xu, Jingwei ; Chen, Feng-Wen. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:66:y:2023:i:c:p:327-341.

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2023Labor Productivity, Real Wages, and Employment in OECD Economies. (2023). Cruz, Manuel David. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:66:y:2023:i:c:p:367-382.

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2023Time-stability of risk preferences: A new approach with evidence from developed and developing countries. (2023). Salamanca, Nicolas ; Vecci, Joe ; Ip, Edwin ; Cardak, Buly A. In: Discussion Papers. RePEc:exe:wpaper:2305.

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2023Investigating the Influence of Tourism, GDP, Renewable Energy, and Electricity Consumption on Carbon Emissions in Low-Income Countries. (2023). Majumder, Shapan Chandra ; Islam, Md Jamsedul ; Voumik, Liton Chandra ; Dechun, Huang ; Arnaud, Anobua Acha. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:12:p:4608-:d:1167528.

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2023Natural Gas Prices in the Framework of European Union’s Energy Transition: Assessing Evolution and Drivers. (2023). Soares, Isabel ; Soutinho, Gustavo ; Ribeiro, Vitor Miguel. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:4:p:2029-:d:1072817.

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2023.

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2023.

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2023Is Entrepreneurship the Key to Achieving Environmental Sustainability? A Data-Driven Analysis from the Asia-Pacific Region. (2023). Nguyen, Canh ; Bui, Manh-Tien ; Le, Thai-Ha. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:19:p:14523-:d:1254497.

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2023The Impact of Aging on Housing Market: Evidence from China. (2023). Liu, Tao ; Deng, Dong ; Fu, Rong. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:5:p:4161-:d:1080084.

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2023.

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2023INTERLINKA TERLINKAGE OF M GE OF MACROECONOMIC UNCER CROECONOMIC UNCERTAINTY AND MACROECONOMIC PERFORMANCE: EVIDENCE FROM ASEAN-5 COUNTRIES PANEL VAR. (2023). Afin, Rifai. In: Bulletin of Monetary Economics and Banking. RePEc:idn:journl:v:26:y:2023:i:1b:p:39-68.

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2023Economic growth or social expenditure: what is more effective in decreasing poverty and income inequality in the EU - a panel VAR approach. (2023). Trenovski, Borce ; Velkovska, Ivana. In: Public Sector Economics. RePEc:ipf:psejou:v:47:y:2023:i:1:p:111-142.

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2023The empirical measurement and determinants of intra-industry trade for a developing country. (2023). Aggarwal, Sakshi. In: MPRA Paper. RePEc:pra:mprapa:117112.

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2023Supply-leading or demand-following financial sector and economic development nexus: evidence from data-rich Indonesia. (2023). Mansur, Alfan ; Nizar, Muhammad Afdi. In: MPRA Paper. RePEc:pra:mprapa:119132.

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2023Does Difference in Environmental Standard Influence India’s Bilateral IIT Flows? Evidence from GMM Results. (2023). Banik, Nilanjan ; Chakraborty, Debashis ; Aggarwal, Sakshi. In: Journal of Emerging Market Finance. RePEc:sae:emffin:v:22:y:2023:i:1:p:7-30.

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2023The Efficacy of Fiscal Vs Monetary Policies in the Asia-Pacific Region: The St. Louis Equation Revisited. (2023). Gopalakrishnan, Badri Narayanan ; Dwivedi, Dwijendra Nath ; Mahanty, Ghanashyama. In: Vision. RePEc:sae:vision:v:27:y:2023:i:2:p:256-263.

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2023‘Investing’ in care for old age? An examination of long-term care expenditure dynamics and its spillovers. (2023). Costa-Font, Joan ; Vilaplana-Prieto, Cristina. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02246-0.

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2023Real interest rate parity in the Pacific Rim countries: new empirical evidence. (2023). Wu, An-Chi ; Chen, Shyh-Wei ; Xie, Zixiong. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:3:d:10.1007_s00181-022-02282-w.

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2023Assessing the consistency of the fixed-effects estimator: a regression-based Wald test. (2023). Spierdijk, Laura. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:4:d:10.1007_s00181-022-02298-2.

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2023Likelihood-based inference for dynamic panel data models. (2023). Thomas, Gareth M ; Ahn, Seung C. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-023-02375-0.

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2023Tail risk, beta anomaly, and demand for lottery: what explains cross-sectional variations in equity returns?. (2023). Badhani, K N ; Ali, Asgar. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-022-02355-w.

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2023Estimating the effect of technological innovations on environmental degradation: empirical evidence from selected ASEAN and SAARC countries. (2023). Anjum, Sohail ; Qayyum, Unbreen ; Sabir, Samina ; Kiani, Taimoor Arif. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:25:y:2023:i:7:d:10.1007_s10668-022-02315-5.

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2023The dynamic association between public environmental demands, government environmental governance, and green technology innovation in China: evidence from panel VAR model. (2023). Abid, Nabila ; Draz, Muhammad Umar ; Ahmad, Fayyaz ; Deng, Jinqian ; Zhang, NA. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:25:y:2023:i:9:d:10.1007_s10668-022-02463-8.

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The effect of military spending on economic growth in MENA: evidence from method of moments quantile regression. (2023). Aminu, Alarudeen ; Raifu, Isiaka Akande. In: Future Business Journal. RePEc:spr:futbus:v:9:y:2023:i:1:d:10.1186_s43093-023-00181-9.

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2023The impact of digital financial inclusion on household carbon emissions: evidence from China. (2023). Li, Zhangwen ; Zhang, Caijiang ; Zhou, YU. In: Journal of Economic Structures. RePEc:spr:jecstr:v:12:y:2023:i:1:d:10.1186_s40008-023-00296-w.

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2023The Banking Sector, the Engine of Inclusive Growth in WAEMU Countries: Decoy or Glimmer?. (2023). Kouton, Jeffrey ; Fe, Doukoure Charles. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:14:y:2023:i:1:d:10.1007_s13132-022-00893-3.

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2023Modelling Simultaneous Relationships Between Human Development, Energy, and Environment: Fresh Evidence from Panel Quantile Regression. (2023). Kocoglu, Mustafa ; Banday, Umer Jeelanie. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:14:y:2023:i:2:d:10.1007_s13132-022-00921-2.

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2023Ambiguity aversion: bibliometric analysis and literature review of the last 60 years. (2023). Plessner, Marco ; Meier, Fabian ; Buhren, Christoph. In: Management Review Quarterly. RePEc:spr:manrev:v:73:y:2023:i:2:d:10.1007_s11301-021-00250-9.

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2023Institutional governance and quality of life: evidence from developing countries. (2023). M. M. K. Toufique, ; Kibria, Md Golam. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:3:d:10.1007_s43546-023-00458-9.

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2023Overeducation, Performance Pay and Wages: Evidence from Germany. (2023). Baktash, Mehrzad B.. In: Research Papers in Economics. RePEc:trr:wpaper:202308.

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2023Maximum utility portfolio construction in the forward freight agreement markets: Evidence from a multivariate skewed t copula. (2023). Ge, Yingen ; Zhu, MO ; Wang, Xueqin ; Gong, Yuting ; Shi, Wenming. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:1:p:69-89.

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2023Overeducation, Performance Pay and Wages: Evidence from Germany. (2023). Baktash, Mehrzad B. In: GLO Discussion Paper Series. RePEc:zbw:glodps:1327.

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Works by Richard D. F. Harris:


YearTitleTypeCited
2017Soft power and exchange rate volatility In: International Finance.
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article3
1999The Accuracy, Bias and Efficiency of Analysts’ Long Run Earnings Growth Forecasts In: Journal of Business Finance & Accounting.
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article9
2000The Gilt?Equity Yield Ratio and the Predictability of UK and US Equity Returns In: Journal of Business Finance & Accounting.
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article1
1998The Gilt-Equity Yield Ratio and the Predictability of UK and US Equity Returns..(1998) In: Discussion Papers.
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This paper has nother version. Agregated cites: 1
paper
2001The Empirical Distribution of UK and US Stock Returns In: Journal of Business Finance & Accounting.
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article5
2001An Analysis of Contrarian Investment Strategies in the UK In: Journal of Business Finance & Accounting.
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article38
2003Contrarian Investment and Macroeconomic Risk In: Journal of Business Finance & Accounting.
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article11
2006Return and Volatility Spillovers Between Large and Small Stocks in the UK In: Journal of Business Finance & Accounting.
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article30
2010The Limits to Minimum?Variance Hedging In: Journal of Business Finance & Accounting.
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article4
2015Extreme downside risk and financial crises In: Bank of England working papers.
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paper2
2016The dynamic Black-Litterman approach to asset allocation In: Bank of England working papers.
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paper5
2017The dynamic Black–Litterman approach to asset allocation.(2017) In: European Journal of Operational Research.
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This paper has nother version. Agregated cites: 5
article
2016Financial market volatility, macroeconomic fundamentals and investor sentiment In: Bank of England working papers.
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paper32
2018Financial market Volatility, macroeconomic fundamentals and investor Sentiment.(2018) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 32
article
2016Systematic tail risk In: Bank of England working papers.
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paper0
2019Have FSRs got news for you? Evidence from the impact of Financial Stability Reports on market activity In: Bank of England working papers.
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paper3
2010A Cyclical Model of Exchange Rate Volatility In: Bristol Economics Discussion Papers.
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paper8
2011A cyclical model of exchange rate volatility.(2011) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 8
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2002Stock Returns Following Profit Warnings: A Test of Models of Behavioural Finance. In: Royal Economic Society Annual Conference 2002.
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paper2
1997Irrational Analysts Expectations as a Cause of Excess Volatility in Stock Prices. In: Economic Journal.
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article27
1996Irrational Analysts Expectations as a Cause of Excess Volatility in Stock Prices.(1996) In: Discussion Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 27
paper
2019Model-based earnings forecasts vs. financial analysts earnings forecasts In: The British Accounting Review.
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article0
1999Inference for unit roots in dynamic panels where the time dimension is fixed In: Journal of Econometrics.
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article630
1997Stock markets and development: A re-assessment In: European Economic Review.
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article104
2001Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management In: European Journal of Operational Research.
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article1
2008Retrieving seasonally adjusted quarterly growth rates from annual growth rates that are reported quarterly In: European Journal of Operational Research.
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article2
2004Why does book-to-market value of equity forecast cross-section stock returns? In: International Review of Financial Analysis.
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article3
2010Dynamic hedge fund portfolio construction In: International Review of Financial Analysis.
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article6
2019Systematic extreme downside risk In: Journal of International Financial Markets, Institutions and Money.
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article16
2002Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns In: International Journal of Forecasting.
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article24
2010Estimation of the conditional variance-covariance matrix of returns using the intraday range In: International Journal of Forecasting.
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article6
2013Long memory conditional volatility and asset allocation In: International Journal of Forecasting.
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article8
2009A momentum trading strategy based on the low frequency component of the exchange rate In: Journal of Banking & Finance.
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article32
2011Revisiting the expectations hypothesis of the term structure of interest rates In: Journal of Banking & Finance.
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article9
2013Dynamic hedge fund portfolio construction: A semi-parametric approach In: Journal of Banking & Finance.
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article13
2015Can behavioral biases explain the rejections of the expectation hypothesis of the term structure of interest rates? In: Journal of Banking & Finance.
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article5
2015Ambiguity aversion and stock market participation: An empirical analysis In: Journal of Banking & Finance.
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article26
2017The intrinsic value of gold: An exchange rate-free price index In: Journal of International Money and Finance.
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article10
1996Why Does the Ratio of Book to Market Value of Equity Explain Cross-Section Stock Returns? In: Discussion Papers.
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paper1
1997Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends In: Discussion Papers.
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paper0
1997Tests of the Expectations Hypothesis of the Term Structure in a Model with Bayesian Learning In: Discussion Papers.
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paper1
1997Analyst Optimism and the Magnitude of Earnings Growth In: Discussion Papers.
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paper1
1998Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors. In: Discussion Papers.
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paper0
1998A Test of the Expectations Hypothesis of the Term Structure Using Cross-Section Data. In: Discussion Papers.
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paper4
1999Does Job Matching Explain Job Satisfaction? Evidence for UK Graduates. In: Discussion Papers.
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paper0
2006Bias in the estimation of non-linear transformations of the integrated variance of returns In: Journal of Forecasting.
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article1
2005Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension In: Working Papers.
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paper0
2005Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension In: Working Papers.
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2001The empirical distribution of stock returns: evidence from an emerging European market In: Applied Economics Letters.
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article7
2004The rational expectations hypothesis and the cross-section of bond yields In: Applied Financial Economics.
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article3
2004Skewness in the conditional distribution of daily equity returns In: Applied Financial Economics.
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article18
2011Comparison of the turn-of-the-month and lunar new year return effects in three Chinese markets: Hong Kong, Shanghai and Shenzhen In: Applied Financial Economics.
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article8
2002How well do theories of job matching explain variations in job satisfaction across education levels? Evidence for UK graduates In: Applied Economics.
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article56
2004Testing for Unit Roots in Dynamic Panels in the Presence of a Deterministic Trend: Re-examining the Unit Root Hypothesis for Real Stock Prices and Dividends In: Econometric Reviews.
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article6
2017Dynamic factor long memory volatility In: Quantitative Finance.
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2019Extreme downside risk and market turbulence In: Quantitative Finance.
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2003Robust estimation of the optimal hedge ratio In: Journal of Futures Markets.
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2006Hedging and value at risk In: Journal of Futures Markets.
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2007A simplified approach to modeling the co?movement of asset returns In: Journal of Futures Markets.
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2010Hedging and value at risk: A semi?parametric approach In: Journal of Futures Markets.
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2019Option?implied betas and the cross section of stock returns In: Journal of Futures Markets.
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