Andréas Heinen : Citation Profile


Are you Andréas Heinen?

Université de Cergy-Pontoise

7

H index

6

i10 index

312

Citations

RESEARCH PRODUCTION:

12

Articles

23

Papers

RESEARCH ACTIVITY:

   17 years (2003 - 2020). See details.
   Cites by year: 18
   Journals where Andréas Heinen has often published
   Relations with other researchers
   Recent citing documents: 49.    Total self citations: 5 (1.58 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/phe113
   Updated: 2020-10-24    RAS profile: 2020-09-15    
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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 Andréas Heinen.

Is cited by:

Allen, David (13)

McAleer, Michael (13)

Powell, Robert (8)

Hautsch, Nikolaus (7)

Snyder, Ralph (7)

Tiwari, Aviral (6)

Francq, Christian (6)

Quoreshi, Shahiduzzaman (5)

Cheshire, Paul (5)

Nguyen, Duc Khuong (5)

Candido, Osvaldo (5)

Cites to:

Engle, Robert (14)

Bollerslev, Tim (10)

Keller, Wolfgang (8)

Diebold, Francis (8)

Lyons, Richard (8)

Martinez Peria, Maria (7)

Bauwens, Luc (7)

Demirguc-Kunt, Asli (7)

Tay, Anthony S (6)

Shleifer, Andrei (6)

Hall, Robert (6)

Main data


Where Andréas Heinen has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany4
CREA Discussion Paper Series / Center for Research in Economic Analysis, University of Luxembourg2

Recent works citing Andréas Heinen (2020 and 2019)


YearTitle of citing document
2019Dependence risk analysis in energy, agricultural and precious metals commodities: A pair vine copula approach. (2019). Tiwari, Aviral ; Raheem, Ibrahim ; Ji, Qiang. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:19/092.

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2020Generalized Poisson Difference Autoregressive Processes. (2020). Casarin, Roberto ; Robert, Christian P ; Carallo, Giulia. In: Papers. RePEc:arx:papers:2002.04470.

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2020Copula-based local dependence between energy, agriculture and metal commodity markets. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Ji, Qiang. In: Papers. RePEc:arx:papers:2003.04007.

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2020Here Today, Gone Tomorrow: COVID-19 and Supply Chain Disruptions. (2020). Tomar, Shekhar ; Mahajan, Kanika. In: Working Papers. RePEc:ash:wpaper:28.

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2020Unraveling the effects of tropical cyclones on economic sectors worldwide. (2020). Kunze, Sven. In: Working Papers. RePEc:awi:wpaper:0685.

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2019The Core, Periphery, and Beyond: Stock Market Comovements among EU and Non‐EU Countries. (2019). McCarthy, Joseph ; Goldstein, Michael A ; Orlov, Alexei G. In: The Financial Review. RePEc:bla:finrev:v:54:y:2019:i:1:p:5-56.

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2019Booking in the Rain: Testing the impact of public information on prices. (2019). Zirulia, Lorenzo ; Figini, Paolo ; Cicognani, Simona. In: Working Papers. RePEc:bol:bodewp:wp1137.

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2019Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR). (2019). Valls Pereira, Pedro ; Pedro, Valls Pereira ; Osvaldo, Candido ; Flavio, Ziegelmann ; Paula, Tofoli. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:11:y:2019:i:2:p:34:n:2.

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2019Long Memory Conditional Heteroscedasticity in Count Data. (2019). Stapper, Manuel ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:8219.

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2019Disentangling the role of the exchange rate in oil-related scenarios for the European stock market. (2019). Ferreiro, Javier Ojea. In: Working Paper Series. RePEc:ecb:ecbwps:20192296.

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2019Intersectoral default contagion: A multivariate Poisson autoregression analysis. (2019). Maggi, Mario ; Escribano, Ana. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:376-400.

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2020Insolvency regimes and firms default risk under economic uncertainty and shocks. (2020). Gopalakrishnan, Balagopal ; Mohapatra, Sanket. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:180-197.

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2019Financial contagion across major stock markets: A study during crisis episodes. (2019). Bensaida, Ahmed ; Benmim, Imen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:187-201.

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2020Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?. (2020). Yoon, Seong-Min ; Sadorsky, Perry ; Hernandez, Jose Arreola ; Hanif, Waqas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302335.

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2019Testing for structural breaks in factor copula models. (2019). Wied, Dominik ; Stark, Florian ; Manner, Hans. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:324-345.

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2019Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns. (2019). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:493-515.

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2020Idiosyncratic risk, risk-taking incentives and the relation between managerial ownership and firm value. (2020). Florackis, Chris ; Sainani, Sushil ; Kostakis, Alexandros ; Kanas, Angelos. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:2:p:748-766.

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2020A comparison of tail dependence estimators. (2020). Weiss, Gregor ; Irresberger, Felix ; Supper, Hendrik . In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:2:p:728-742.

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2019Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae. (2019). Pourkhanali, Armin ; Alavifard, Farzad ; Manner, Hans ; Tafakori, Laleh. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:143-164.

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2019What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?. (2019). Selmi, Refk ; bouoiyour, jamal ; Wohar, Mark E ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303184.

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2020Copula-based local dependence among energy, agriculture and metal commodities markets. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Ji, Qiang. In: Energy. RePEc:eee:energy:v:202:y:2020:i:c:s0360544220308690.

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2019Ownership structure and market efficiency. (2019). Nakabayashi, Masaki. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:189-212.

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2019A SHARP model of bid–ask spread forecasts. (2019). Pirino, Davide ; Cattivelli, Luca. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1211-1225.

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2020Comparing density forecasts in a risk management context. (2020). Fang, Hao ; Diks, Cees. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:531-551.

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2019The effect of loan approval decentralization on microfinance institutions outreach and loan portfolio quality. (2019). Tchakoute-Tchuigoua, Hubert ; Soumare, Issouf. In: Journal of Business Research. RePEc:eee:jbrese:v:94:y:2019:i:c:p:1-17.

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2019Bivariate integer-autoregressive process with an application to mutual fund flows. (2019). darolles, serge ; le Fol, Gaelle ; Sun, Ran ; Lu, Yang. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:173:y:2019:i:c:p:181-203.

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2020Modeling the relationship between oil and USD exchange rates: Evidence from a regime-switching-quantile regression approach. (2020). Mokni, Khaled ; Youssef, Manel. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:55:y:2020:i:c:s1042444x20300141.

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2020Correlation and risk measurement modeling: A Markov-switching mixed Clayton copula approach. (2020). Peng, Rui ; Cai, Wen-Li ; Pan, Fei ; Liu, Xiang-Dong. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:197:y:2020:i:c:s0951832019306854.

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2019Computational decision framework for enhancing resilience of the energy, water and food nexus in risky environments. (2019). Al-Ansari, Tareq ; Govindan, Rajesh. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:112:y:2019:i:c:p:653-668.

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2019Is board turnover driven by performance in family firms?. (2019). Pablo, Eduardo ; Trujillo, Maria-Andrea ; Guzman, Alexander ; Gonzalez, Maximiliano. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:169-186.

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2020Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war. (2020). Li, Kevin X ; Gong, Yuting ; Shi, Wenming ; Chen, Shu-Ling. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:136:y:2020:i:c:s1366554519310609.

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2019Dependence risk analysis in energy, agricultural and precious metals commodities: A pair vine copula approach. (2019). Tiwari, Aviral ; Raheem, Ibrahim ; Kumar, Satish ; Ji, Qiang. In: Working Papers. RePEc:exs:wpaper:19/092.

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2019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Post-Print. RePEc:hal:journl:halshs-01909772.

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2019Bivariate integer-autoregressive process with an application to mutual fund flows. (2019). Sun, Ran ; Lu, Yang ; le Fol, Gaelle ; Darolles, Serge. In: Post-Print. RePEc:hal:journl:halshs-02418967.

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2020Copula-based local dependence among energy, agriculture and metal commodities markets. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Ji, Qiang. In: Working Papers. RePEc:hal:wpaper:hal-02501815.

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2019On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review. (2019). Venegas-Martínez, Francisco ; Venegas-Martinez, Francisco ; Carbajal-De, Carolina. In: Panorama Económico. RePEc:ipn:panora:v:15:y:2019:i:29:p:7-38.

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2020The Economic Impacts of Direct Natural Disaster Exposure. (2020). Siminski, Peter ; Johnston, David ; Stavrunova, Olena ; Shields, Michael A ; Johar, Meliyanni. In: IZA Discussion Papers. RePEc:iza:izadps:dp13616.

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2019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:2:d:10.1007_s10436-018-0340-5.

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2019Analyzing Contagion Effect in Markets During Financial Crisis Using Stochastic Autoregressive Canonical Vine Model. (2019). Mehra, Aparna ; Goel, Anubha. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:3:d:10.1007_s10614-017-9772-7.

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2020Diversification and portfolio theory: a review. (2020). Koumou, Gilles Boevi. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00352-6.

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2020Forecasting transaction counts with integer-valued GARCH models. (2020). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:101779.

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2020Discussing copulas with Sergey Aivazian: a memoir. (2020). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:102317.

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2020Sectoral dependence and contagion in the BRICS grouping: an application of the R-Vine copulas. (2020). Bonga-Bonga, Lumengo ; Hendriks, Johannes Jurgens. In: MPRA Paper. RePEc:pra:mprapa:102473.

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2020Stationarity and ergodicity of Markov switching positive conditional mean models. (2020). Francq, Christian ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:102503.

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2019What type of microfinance institutions comply with International Financial Reporting Standards?. (2019). Tchuigoua, Hubert Tchakoute ; TchakouteTchuigoua, Hubert ; Pignatel, Isabelle ; Tchatchoua, Magloire Nya. In: Working Papers CEB. RePEc:sol:wpaper:2013/287175.

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2019CUSUM test for general nonlinear integer-valued GARCH models: comparison study. (2019). Lee, Sangyeol. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:71:y:2019:i:5:d:10.1007_s10463-018-0676-7.

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2020Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios. (2020). Peng, Zhun ; Flageollet, Alexis ; Bruneau, Catherine. In: Annals of Operations Research. RePEc:spr:annopr:v:284:y:2020:i:1:d:10.1007_s10479-018-3112-8.

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2019Conditional Dependence Modelling with Regular Vine Copulas. (2019). Omari, Cyprian ; Waititu, Anthony ; Mwita, Peter . In: Journal of Statistical and Econometric Methods. RePEc:spt:stecon:v:8:y:2019:i:1:f:8_1_5.

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2020Economic consequences of follow-up disasters: lessons from the 2011 Great East Japan Earthquake. (2020). Hamano, Masashige ; Vermeulen, Wessel N ; Evgenidis, Anastasios. In: Working Papers. RePEc:tcr:wpaper:e152.

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Works by Andréas Heinen:


YearTitleTypeCited
2015Regime switching House price dependence: Evidence from MSAs in the US In: ERES.
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paper0
2012Exploring the Existence of Local and Global Knowledge Spillovers: Evidence from Plant-Level Data In: Scandinavian Journal of Economics.
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article2
2013Competition, Loan Rates and Information Dispersion in Microcredit Markets In: Working Paper CRENoS.
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paper9
2012Competition, loan rates and information dispersion in microcredit markets.(2012) In: ESMT Research Working Papers.
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This paper has another version. Agregated cites: 9
paper
2015Firm Performance when Ownership is very Concentrated: Evidence from a Semiparametric Panel In: Working Paper CRENoS.
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paper6
2015Firm performance when ownership is very concentrated: Evidence from a semiparametric panel.(2015) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 6
article
2003Multivariate modelling of time series count data: an autoregressive conditional Poisson model In: CORE Discussion Papers.
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paper22
2003Modelling time series count data: an autoregressive conditional Poisson model In: CORE Discussion Papers.
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paper39
2003Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model.(2003) In: MPRA Paper.
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This paper has another version. Agregated cites: 39
paper
2003The response of individual FX dealersquoting activity to macroeconomic news announcements In: CORE Discussion Papers.
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paper1
2004Multivariate reduced rank regression in non-Gaussian contexts, using copulas In: CORE Discussion Papers.
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paper1
2008Multivariate reduced rank regression in non-Gaussian contexts, using copulas.(2008) In: Computational Statistics & Data Analysis.
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This paper has another version. Agregated cites: 1
article
2004Trading activity and liquidity supply in a pure limit order book market In: CORE Discussion Papers.
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paper3
2008Modeling international financial returns with a multivariate regime switching copula In: CORE Discussion Papers.
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paper119
2008Modelling international financial returns with a multivariate regime switching copula.(2008) In: Discussion Papers (ECON - Département des Sciences Economiques).
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This paper has another version. Agregated cites: 119
paper
2008Modeling International Financial Returns with a Multivariate Regime Switching Copula.(2008) In: Discussion Papers.
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This paper has another version. Agregated cites: 119
paper
2009Modeling International Financial Returns with a Multivariate Regime-switching Copula.(2009) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 119
article
2008Modeling International Financial Returns with a Multivariate Regime Switching Copula.(2008) In: MPRA Paper.
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This paper has another version. Agregated cites: 119
paper
2009Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model In: CORE Discussion Papers.
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paper43
2011Ownership Structure and Firm Performance : Evidence from a non-parametric panel In: LSF Research Working Paper Series.
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paper0
2004Comovements in Trading activity: A Multivariate Autoregressive Model of Time Series Count Data Using Copulas In: Econometric Society 2004 Far Eastern Meetings.
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paper1
2010Public news announcements and quoting activity in the Euro/Dollar foreign exchange market In: Computational Statistics & Data Analysis.
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article6
2007Multivariate autoregressive modeling of time series count data using copulas In: Journal of Empirical Finance.
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article29
2016Does Basel II affect the market valuation of discretionary loan loss provisions? In: Journal of Banking & Finance.
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article2
2020Spearman rank correlation of the bivariate Student t and scale mixtures of normal distributions In: Journal of Multivariate Analysis.
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article0
2009Is there any common knowledge news in the Euro/Dollar market? In: International Review of Economics & Finance.
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article2
2008Electricity, carbon and weather in France: where do we stand ? In: Working Papers.
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paper5
2006Frequent Turbulence? A Dynamic Copula Approach In: Discussion Papers.
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paper1
2008EXPLORING THE LINK BETWEEN LOCAL AND GLOBAL KNOWLEDGE SPILLOVERS: Evidence from Plant-Level Data In: CREA Discussion Paper Series.
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paper0
2015Desperately Seeking Small Worlds in Corporate Boards:International Evidence from Listed Firms In: CREA Discussion Paper Series.
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paper0
2019The Price Impact of Extreme Weather in Developing Countries In: Economic Journal.
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article6
2007EXPLORING THE LINK BETWEEN LOCAL AND GLOBAL KNOWLEDGE SPILLOVERS In: MPRA Paper.
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paper12
2004Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model. In: MPRA Paper.
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paper0
2012Comments on: Some recent theory for autoregressive count time series In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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article0
2018Competition, Loan Rates, and Information Dispersion in Nonprofit and For‐Profit Microcredit Markets In: Journal of Money, Credit and Banking.
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article3

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