Andréas Heinen : Citation Profile


Are you Andréas Heinen?

Université de Cergy-Pontoise

7

H index

6

i10 index

266

Citations

RESEARCH PRODUCTION:

10

Articles

23

Papers

RESEARCH ACTIVITY:

   15 years (2003 - 2018). See details.
   Cites by year: 17
   Journals where Andréas Heinen has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 5 (1.85 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/phe113
   Updated: 2019-09-14    RAS profile: 2019-04-06    
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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 (14)

McAleer, Michael (14)

Powell, Robert (8)

Snyder, Ralph (7)

Hautsch, Nikolaus (7)

Nguyen, Duc Khuong (5)

Magrini, Stefano (5)

Fetzer, Thiemo (5)

Cheshire, Paul (5)

Jung, Robert (5)

Quoreshi, Shahiduzzaman (5)

Cites to:

Engle, Robert (14)

Bollerslev, Tim (10)

Lyons, Richard (8)

Diebold, Francis (8)

Keller, Wolfgang (8)

Bauwens, Luc (7)

Evans, Martin (7)

Shleifer, Andrei (6)

Tay, Anthony S (6)

Hall, Robert (6)

Strobl, Eric (5)

Main data


Where Andréas Heinen has published?


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

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 (2018 and 2017)


YearTitle of citing document
2017Resilience of Agricultural Microfinance Institutions to Rainfall Shocks. (2017). Abrego, Adriana ; Guizar, Isai . In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258031.

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2018Variational Bayes Estimation of Discrete-Margined Copula Models with Application to Time Series. (2018). Loaiza Maya, Rubén ; Smith, Michael Stanley ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:1712.09150.

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2018Multivariate Jump Diffusion Model with Markovian Contagion. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. In: Working Papers Series. RePEc:bcb:wpaper:482.

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2018Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation. (2018). Yew, Rand Kwong. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:423-463.

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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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2017Extreme Risk Value and Dependence Structure of the China Securities Index 300. (2017). CHONG, Terence Tai Leung ; Ding, Yue ; Pang, Tianxiao . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00292.

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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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2018Commercialization and the decline of joint liability microcredit. (2018). Ghatak, Maitreesh ; Fetzer, Thiemo ; de Quidt, Jonathan. In: Journal of Development Economics. RePEc:eee:deveco:v:134:y:2018:i:c:p:209-225.

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2017Does REIT index hedge inflation risk? New evidence from the tail quantile dependences of the Markov-switching GRG copula. (2017). Chang, Kuang-Liang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:56-67.

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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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2018A semi-parametric panel data analysis on financial development-economic volatility nexus in developing countries. (2018). Zouaoui, Haykel ; Ellouz, Nidhal Ziedi ; Mazioud, Manel . In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:50-55.

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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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2017Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach. (2017). Shahzad, Syed Jawad Hussain ; Mensi, walid ; Zeitun, Rami ; Hammoudeh, Shawkat ; Hussain, Syed Jawad ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:130-147.

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2018Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model. (2018). Ji, Qiang ; Bouri, Elie ; Hussain, Syed Jawad ; Roubaud, David. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:14-27.

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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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2018The contagion effect in European sovereign debt markets: A regime-switching vine copula approach. (2018). BenSaïda, Ahmed ; Bensaida, Ahmed. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:153-165.

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2017Dynamic robust portfolio selection with copulas. (2017). Han, Yingwei ; Xia, Yong ; Li, Ping. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:190-200.

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2017Monetary policy and financial stability in the long run: A simple game-theoretic approach. (2017). Cao, Jin ; Chollete, Loran . In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:125-142.

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2017Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching. (2017). Fuertes, Ana-Maria ; Kalotychou, Elena ; Fei, Fei . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:662-678.

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2018A network approach to unravel asset price comovement using minimal dependence structure. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:91:y:2018:i:c:p:119-132.

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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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2018A general algorithm for covariance modeling of discrete data. (2018). Popovic, Gordana C ; Warton, David I ; Francis, . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:165:y:2018:i:c:p:86-100.

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2017Modeling the multivariate dynamic dependence structure of commodity futures portfolios. (2017). Paraschiv, Florentina ; Erik, Tom ; Fuss, Roland ; ROLAND FSS, ; Aepli, Matthias D. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:6:y:2017:i:c:p:66-87.

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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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2017Regime Switching Vine Copula Models for Global Equity and Volatility Indices. (2017). Fink, Holger ; Stober, Jakob ; Czado, Claudia ; Klimova, Yulia . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:3-:d:86821.

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2017Risk Measurement and Risk Modelling Using Applications of Vine Copulas. (2017). McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:10:p:1762-:d:113713.

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2018Negative Binomial Autoregressive Process. (2018). gourieroux, christian ; Lu, Yang. In: CEPN Working Papers. RePEc:hal:cepnwp:hal-01730050.

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2019A switching self-exciting jump diffusion process for stock prices. (2018). Hainaut, Donatien ; Moraux, Franck. In: Post-Print. RePEc:hal:journl:halshs-01909772.

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2017Does banks systemic importance affect their capital structure adjustment process?. (2017). TARAZI, Amine ; De Jonghe, Olivier ; Bakkar, Yassine . In: Working Papers. RePEc:hal:wpaper:hal-01546995.

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2017Does banks systemic importance affect their capital structure and balance sheet adjustment processes?. (2017). TARAZI, Amine ; De Jonghe, Olivier ; Bakkar, Yassine . In: Working Papers. RePEc:hal:wpaper:hal-01636253.

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2018Trending Mixture Copula Models with Copula Selection. (2018). Hafner, Christian ; Liu, Guannan ; Cai, Zongwu ; Yang, Bingduo. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201809.

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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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2018Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall. (2018). Eckernkemper, Tobias. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:63-117..

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2017Negative binomial quasi-likelihood inference for general integer-valued time series models. (2017). Aknouche, Abdelhakim ; Bendjeddou, Sara . In: MPRA Paper. RePEc:pra:mprapa:76574.

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2017Extreme Risk Value and Dependence Structure of the China Securities Index 300. (2017). CHONG, Terence Tai Leung ; Pang, Tianxiao ; Ding, Yue. In: MPRA Paper. RePEc:pra:mprapa:80556.

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2017Externalities from FDI on domestic firms’ Productivity: A Literature Review for Developed Countries. (2017). Santos, Eleonora. In: MPRA Paper. RePEc:pra:mprapa:88958.

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2017Does Proximity to Foreign Invested Firms Stimulate Productivity Growth of Domestic Firms? Firmlevel Evidence from Vietnam. (2017). Nguyen, Huong Quynh . In: Diskussionsschriften. RePEc:rdv:wpaper:credresearchpaper16.

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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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2018How do capital structure and economic regime affect fair prices of bank’s equity and liabilities?. (2018). Hainaut, Donatien ; Zeng, Yan ; Shen, Yang. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2210-8.

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2018Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region. (2018). Deisting, Florent ; Pandey, Piyush ; Sehgal, Sanjay. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:16:y:2018:i:2:d:10.1007_s40953-017-0090-7.

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2017Testing the compounding structure of the CP-INARCH model. (2017). Weiss, Christian H ; Lopes, Nazare Mendes ; Gonalves, Esmeralda . In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:80:y:2017:i:5:d:10.1007_s00184-017-0617-0.

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2018Quantile regression C-vine copula model for spatial extremes. (2018). El Adlouni, Salaheddine. In: Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards. RePEc:spr:nathaz:v:94:y:2018:i:1:d:10.1007_s11069-018-3389-6.

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2018Asymptotic normality and parameter change test for bivariate Poisson INGARCH models. (2018). Lee, Youngmi ; Tjostheim, Dag. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:27:y:2018:i:1:d:10.1007_s11749-016-0510-6.

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2018A new bivariate integer-valued GARCH model allowing for negative cross-correlation. (2018). Cui, Yan ; Zhu, Fukang . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:27:y:2018:i:2:d:10.1007_s11749-017-0552-4.

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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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2018STRATEGY TO IMPROVE FIRM PERFORMANCE THROUGH OPERATIONAL EFFICIENCY COMMITMENT TO ENVIRONMENTAL FRIENDLINESS: EVIDENCE FROM INDONESIA. (2018). Utomo, Mohamad Nur ; Taolin, Maximus Leonardo ; Muharam, Harjum ; Wahyudi, Sugeng . In: Organizations and Markets in Emerging Economies. RePEc:vul:omefvu:v:9:y:2018:i:1:id:242.

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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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2015Firm Performance when Ownership is very Concentrated: Evidence from a Semiparametric Panel In: Working Paper CRENoS.
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paper3
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: 3
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2003Multivariate modelling of time series count data: an autoregressive conditional Poisson model In: CORE Discussion Papers.
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paper17
2003Modelling time series count data: an autoregressive conditional Poisson model In: CORE Discussion Papers.
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paper34
2003Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model.(2003) In: MPRA Paper.
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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
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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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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: 100
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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: 100
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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: 100
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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: 100
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2009Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model In: CORE Discussion Papers.
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paper41
2011Ownership Structure and Firm Performance : Evidence from a non-parametric panel In: LSF Research Working Paper Series.
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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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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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article23
2016Does Basel II affect the market valuation of discretionary loan loss provisions? In: Journal of Banking & Finance.
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2009Is there any common knowledge news in the Euro/Dollar market? In: International Review of Economics & Finance.
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2008Electricity, carbon and weather in France: where do we stand ? In: Working Papers.
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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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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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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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