Peter Hördahl : Citation Profile


Are you Peter Hördahl?

Bank for International Settlements (BIS)

11

H index

11

i10 index

933

Citations

RESEARCH PRODUCTION:

16

Articles

19

Papers

2

Chapters

RESEARCH ACTIVITY:

   22 years (1997 - 2019). See details.
   Cites by year: 42
   Journals where Peter Hördahl has often published
   Relations with other researchers
   Recent citing documents: 65.    Total self citations: 11 (1.17 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/phr25
   Updated: 2020-05-23    RAS profile: 2020-03-05    
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Relations with other researchers


Works with:

Gyntelberg, Jacob (2)

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

Is cited by:

Rudebusch, Glenn (24)

Balli, Faruk (14)

Swanson, Eric (13)

Dewachter, Hans (12)

Favero, Carlo (11)

BORIO, Claudio (10)

Andreasen, Martin (9)

Moessner, Richhild (9)

Balli, Hatice (9)

Lane, Philip (9)

Lyrio, Marco (8)

Cites to:

Rudebusch, Glenn (13)

Singleton, Kenneth (13)

Piazzesi, Monika (12)

Tristani, Oreste (10)

Diebold, Francis (9)

Ang, Andrew (8)

Mayordomo, Sergio (6)

Harvey, Andrew (6)

Bekaert, Geert (6)

Gertler, Mark (6)

Sims, Christopher (6)

Main data


Where Peter Hördahl has published?


Journals with more than one article published# docs
BIS Quarterly Review4

Working Papers Series with more than one paper published# docs
Working Paper Series / European Central Bank8
BIS Working Papers / Bank for International Settlements7

Recent works citing Peter Hördahl (2019 and 2018)


YearTitle of citing document
2019Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: AMSE Working Papers. RePEc:aim:wpaimx:1932.

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2018Measuring European Financial Integration. Indicators and Perspectives. (2018). Stoica, Ovidiu ; Oprea, Otilia-Roxana. In: Finante - provocarile viitorului (Finance - Challenges of the Future). RePEc:aio:fpvfcf:v:1:y:2018:i:20:p:62-73.

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2020Government Bond Market Integration in ASEAN Countries. (2020). Zhuo, Juanjuan ; Kumamoto, Masao. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:289-312.

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2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19106.

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2018Missing Investors in the Italian Corporate Bond Market. (2018). Nigro, Valentina ; Guazzarotti, Giovanni ; Russo, Paolo Finaldi ; Accornero, Matteo. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_450_18.

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2019An assessment of recent trends in market-based expected iflation in the euro area. (2019). Pericoli, Marcello. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_542_19.

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2018Consumption volatility risk and the inversion of the yield curve. (2018). Natoli, Filippo ; Grasso, Adriana. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1169_18.

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2019Evaluating the macroeconomic effects of the ECB’s unconventional monetary policies. (2019). Sahuc, Jean-Guillaume ; Mouabbi, Sarah. In: Working papers. RePEc:bfr:banfra:708.

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2018The credit default swap market: what a difference a decade makes. (2018). Ehlers, Torsten ; Aldasoro, Iñaki. In: BIS Quarterly Review. RePEc:bis:bisqtr:1806b.

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2019Interest rate spillovers from the United States: expectations, term premia and macro-financial vulnerabilities. (2019). Moessner, Richhild ; Mehrotra, Aaron ; Author, Chang Shu. In: BIS Working Papers. RePEc:bis:biswps:814.

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2019Fragmentation in global financial markets: good or bad for financial stability?. (2019). Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:815.

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2019Interest rate spillovers from the United States : expectations, term premia and macro-financial vulnerabilities. (2019). Moessner, Richhild ; Mehrotra, Aaron ; Shu, Chang. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2019_020.

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2019Crisis management for euro-area banks in central Europe. (2019). Lehmann, Alexander. In: Policy Contributions. RePEc:bre:polcon:33343.

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2019Interest Rate Spillovers from the United States: Expectations, Term Premia and Macro-Financial Vulnerabilities. (2019). Moessner, Richhild ; Mehrotra, Aaron ; Shu, Chang. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7896.

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2018Funding Constraints and Market Illiquidity in the European Treasury Bond Market. (2018). Moinas, Sophie ; Valente, Giorgio ; Nguyen, Minh. In: EconPol Working Paper. RePEc:ces:econwp:_13.

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2018Beauty Contests and the Term Structure. (2018). Tischbirek, Andreas ; Ellison, Martin. In: Discussion Papers. RePEc:cfm:wpaper:1807.

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2018Beauty Contests and the Term Structure. (2018). Tischbirek, Andreas ; Ellison, Martin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12762.

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2019Global Dimensions of U.S. Monetary Policy. (2019). Obstfeld, Maurice. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13887.

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2019Evaluating the Macroeconomic Effects of the ECBs Unconventional Monetary Policies. (2019). Sahuc, Jean-Guillaume ; Mouabbi, Sarah. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-2.

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2018Stochastic discounting and the transmission of money supply shocks. (2018). Jaccard, Ivan. In: Working Paper Series. RePEc:ecb:ecbwps:20182174.

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2018A macro-financial analysis of the corporate bond market. (2018). Lyrio, Marco ; Lemke, Wolfgang ; Dewachter, Hans ; Iania, Leonardo. In: Working Paper Series. RePEc:ecb:ecbwps:20182214.

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2019Financial integration in Europe through the lens of composite indicators. (2019). Kremer, Manfred ; Zaharia, Sonia ; Hoffmann, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20192319.

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2019A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US. (2019). Fernandes, Marcelo ; Vieira, Fausto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:106:y:2019:i:c:4.

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2019Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:1.

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2018Interbank markets and bank bailout policies amid a sovereign debt crisis. (2018). Minetti, Raoul ; Lakdawala, Aeimit ; Olivero, Maria Pia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:93:y:2018:i:c:p:131-153.

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2018Financial integration in Africa: New evidence using network approach. (2018). Inekwe, John ; Bhattacharya, Mita ; Valenzuela, Maria Rebecca. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:379-390.

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2019Inflation risk premia and risk-adjusted expectations of inflation. (2019). Miccoli, Marcello ; Casiraghi, Marco. In: Economics Letters. RePEc:eee:ecolet:v:175:y:2019:i:c:p:36-39.

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2018Macroeconomic determinants of the term structure: Long-run and short-run dynamics. (2018). Doshi, Hitesh ; Liu, Rui ; Jacobs, Kris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:99-122.

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2018The impact of oil price shocks on the term structure of interest rates. (2018). Ioannidis, Christos ; Ka, Kook. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:601-620.

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2019Global and regional stock market integration in Asia: A panel convergence approach. (2019). Caporale, Guglielmo Maria ; Chen, Lei ; You, Kefei. In: International Review of Financial Analysis. RePEc:eee:finana:v:65:y:2019:i:c:s1057521918306665.

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2019Financial sector bailouts, sovereign bailouts, and the transfer of credit risk. (2019). Nguyen, Viet Hoang ; Huang, Jingong ; Greenwood-Nimmo, Matthew. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:121-142.

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2020Estimating unknown arbitrage costs: Evidence from a 3-regime threshold vector error correction model. (2020). Ters, Kristyna ; Urban, Jorg. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s1386418119300084.

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2019Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:25-44.

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2018What makes individual investors exercise early? Empirical evidence from non-tradable fixed-income products. (2018). Eickholt, Mathias ; Wilkens, Marco ; Entrop, Oliver . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:318-334.

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2018Unobservable country bond premia and fragmentation. (2018). De Santis, Roberto A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:82:y:2018:i:c:p:1-25.

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2018Cross-border asset holdings and comovements in sovereign bond markets. (2018). Asgharian, Hossein ; Larsson, Marcus ; Liu, LU. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:189-206.

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2018Intraday dynamics of credit risk contagion before and during the euro area sovereign debt crisis: Evidence from central Europe. (2018). Ters, Kristyna ; Urban, Jorg. In: International Review of Economics & Finance. RePEc:eee:reveco:v:54:y:2018:i:c:p:123-142.

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2018Emerging market local currency sovereign bond yields: The role of exchange rate risk. (2018). Miyajima, Ken ; Gadanecz, Blaise ; Shu, Chang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:57:y:2018:i:c:p:371-401.

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2018Is Thailand’s credit default swap market linked to bond and stock markets? Evidence from the term structure of credit spreads. (2018). Jitmaneeroj, Boonlert. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:324-341.

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2018Beauty contests and the term structure. (2018). Tischbirek, Andreas ; Ellison, Martin. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:87384.

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2019A Calibration of the Term Premia to the Euro Area. (2019). McCoy, Eric. In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:110.

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2020Risk Premia at the ZLB: A Macroeconomic Interpretation. (2020). Gourio, Francois ; Ngo, Phuong. In: Working Paper Series. RePEc:fip:fedhwp:87504.

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2019Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: Working Papers. RePEc:hal:wpaper:halshs-02359503.

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2019Testing for breaks in the cointegrating relationship: On the stability of government bond markets equilibrium. (2019). Sibbertsen, Philipp ; Rodrigues, Paulo ; Voges, Michelle. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-656.

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2018Can Risk Models Extract Inflation Expectations from Financial Market Data? Evidence from the Inflation Protected Securities of Six Countries. (2018). Tortorice, Daniel ; Kita, Arben . In: Working Papers. RePEc:hcx:wpaper:1801.

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2019Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: Working Papers. RePEc:igi:igierp:639.

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2019Globalization or Regionalization of Stock Markets? the Case of Central and Eastern European Countries. (2019). Stanek, Piotr ; Beck, Krzysztof. In: Eastern European Economics. RePEc:mes:eaeuec:v:57:y:2019:i:4:p:317-330.

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2018African stock markets integration: an analysis of the relationship between major stock markets in Africa. (2018). Anyikwa, Izunna ; le Roux, Pierre ; Leroux, Pierre ; Brookes, Micheal. In: Working Papers. RePEc:mnd:wpaper:1812.

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2019Is a recession imminent? The signal of the yield curve. (2019). van Nieuwenhuyze, CH ; Deroose, M ; de Backer, B. In: Economic Review. RePEc:nbb:ecrart:y:2019:m:june:i:i:p:69-93.

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2019Global Dimensions of U.S. Monetary Policy. (2019). Obstfeld, Maurice. In: NBER Working Papers. RePEc:nbr:nberwo:26039.

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2019Monetary and Exchange Rate Policies for Sustained Growth in Asia. (2019). Turner, Philip ; Gagnon, Joseph E. In: National Institute of Economic and Social Research (NIESR) Discussion Papers. RePEc:nsr:niesrd:497.

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2018Beauty Contests and the Term Structure. (2018). Tischbirek, Andreas ; Ellison, Martin. In: Economics Series Working Papers. RePEc:oxf:wpaper:846.

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2019Assessing the Macroeconomic Impact of the ECB’s Asset Purchase Programme in a Dynamic Nelson–Siegel Modelling Framework. (2019). Zhou, Siwen. In: MPRA Paper. RePEc:pra:mprapa:92530.

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2018The Impact of Imperfect Financial Integration and Trade on Macroeconomic Volatility and Welfare in Emerging Markets. (2018). Ratanavararak, Lathaporn. In: PIER Discussion Papers. RePEc:pui:dpaper:79.

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2019Emergency Liquidity Injections. (2019). Garvin, Nicholas. In: RBA Research Discussion Papers. RePEc:rba:rbardp:rdp2019-10.

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2018(Un)expected Monetary Policy Shocks and Term Premia. (2018). Meyer-Gohde, Alexander ; Kliem, Martin. In: 2018 Meeting Papers. RePEc:red:sed018:102.

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2019Monetary Policy and the Limits to Arbitrage: Insights from a New Keynesian Preferred Habitat Model. (2019). Ray, Walker. In: 2019 Meeting Papers. RePEc:red:sed019:692.

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2018Competitive strategy selection in the European banking sector using a hybrid decision-making approach. (2018). Diner, Hasan ; Hacioglu, Umit ; Akdeniz, Ozlem Olgu. In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics. RePEc:rfe:zbefri:v:36:y:2018:i:1:p:213-242.

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2020Bank Monitoring and Liquidity in the Business Cycle. (2020). Minetti, Raoul ; Kokas, Sotirios ; di Pietro, Marco ; Cal, Qingqing. In: Working Papers. RePEc:ris:msuecw:2020_003.

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2018How do zero-coupon inflation swaps predict inflation rates in the euro area? Evidence of efficiency and accuracy on 1-year contracts. (2018). Ribeiro, Pedro Pires ; Curto, Jose Dias . In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:4:d:10.1007_s00181-017-1268-8.

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2019A macro–financial analysis of the corporate bond market. (2019). Dewachter, Hans ; Lemke, Wolfgang ; Iania, Leonardo ; Lyrio, Marco. In: Empirical Economics. RePEc:spr:empeco:v:57:y:2019:i:6:d:10.1007_s00181-018-1530-8.

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2019Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis. (2019). Schienle, Melanie ; Urban, Jorg ; Buse, Rebekka. In: ESRB Working Paper Series. RePEc:srk:srkwps:201990.

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2019Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race. (2019). Jondeau, Eric ; Rockinger, Michael. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:51:y:2019:i:8:p:2239-2291.

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2018Alternative characterization of volatility of short-term interest rate. (2018). Bhar, Ramaprasad ; LEE, Damien . In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:02:n:s2424786318500184.

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2019(Un)expected monetary policy shocks and term premia. (2019). Meyer-Gohde, Alexander ; Kliem, Martin. In: IMFS Working Paper Series. RePEc:zbw:imfswp:137.

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Works by Peter Hördahl:


YearTitleTypeCited
2019Determinants of Asia-Pacific government bond yields In: BIS Papers chapters.
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chapter0
2019Corporate bond use in Asia and the United States In: BIS Papers chapters.
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chapter0
2008The inflation risk premium in the term structure of interest rates In: BIS Quarterly Review.
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article56
2007Inflation risk premia in the term structure of interest rates.(2007) In: BIS Working Papers.
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This paper has another version. Agregated cites: 56
paper
2012INFLATION RISK PREMIA IN THE TERM STRUCTURE OF INTEREST RATES.(2012) In: Journal of the European Economic Association.
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This paper has another version. Agregated cites: 56
article
2007Inflation risk premia in the term structure of interest rates.(2007) In: Working Paper Series.
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This paper has another version. Agregated cites: 56
paper
2008Developments in repo markets during the financial turmoil In: BIS Quarterly Review.
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article63
2011Inflation expectations and the great recession In: BIS Quarterly Review.
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article13
2018Term premia: models and some stylised facts In: BIS Quarterly Review.
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article9
2010Inflation risk premia in the US and the euro area In: BIS Working Papers.
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paper9
2010Inflation risk premia in the US and the euro area.(2010) In: Working Paper Series.
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This paper has another version. Agregated cites: 9
paper
2013Intraday dynamics of euro area sovereign CDS and bonds In: BIS Working Papers.
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paper18
2015Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve In: BIS Working Papers.
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paper5
2016Low long-term interest rates as a global phenomenon In: BIS Working Papers.
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paper5
2017Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets In: BIS Working Papers.
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paper2
2019Modelling yields at the lower bound through regime shifts In: BIS Working Papers.
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paper0
2019Modelling yields at the lower bound through regime shifts.(2019) In: Working Paper Series.
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This paper has another version. Agregated cites: 0
paper
1997Changing Risk Premia: Evidence from a Small Open Economy In: Scandinavian Journal of Economics.
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article0
2004Measuring financial integration in the euro area In: Occasional Paper Series.
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paper309
2005Economic determinants of risk premia in the term structure of interest rates In: Research Bulletin.
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article0
2000Estimating the implied distribution of the future short term interest rate using the Longstaff-Schwartz model In: Working Paper Series.
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paper2
2000Estimating the Implied Distribution of the Future Short-Term Interest Rate Using the Longstaff-Schwartz Model.(2000) In: Working Paper Series.
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This paper has another version. Agregated cites: 2
paper
2003Interpreting implied risk-neutral densities: the role of risk premia In: Working Paper Series.
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paper8
2005Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia.(2005) In: Review of Finance.
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This paper has another version. Agregated cites: 8
article
2005Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia.(2005) In: Review of Finance.
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This paper has another version. Agregated cites: 8
article
2004A joint econometric model of macroeconomic and term structure dynamics In: Working Paper Series.
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paper226
2006A joint econometric model of macroeconomic and term-structure dynamics.(2006) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 226
article
2004A joint econometric model of macroeconomic and term structure dynamics.(2004) In: Econometric Society 2004 North American Summer Meetings.
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This paper has another version. Agregated cites: 226
paper
2004A joint econometric model of macroeconomic and term structure dynamics.(2004) In: Money Macro and Finance (MMF) Research Group Conference 2003.
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This paper has another version. Agregated cites: 226
paper
2006The impact of the euro on financial markets In: Working Paper Series.
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paper35
2007The yield curve and macroeconomic dynamics In: Working Paper Series.
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paper55
2008The Yield Curve and Macroeconomic Dynamics.(2008) In: Economic Journal.
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This paper has another version. Agregated cites: 55
article
2018Price discovery in euro area sovereign credit markets and the ban on naked CDS In: Journal of Banking & Finance.
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article2
2003A joint econometric model of macroeconomic and term structure In: Proceedings.
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article60
2014Inflation Risk Premia in the Euro Area and the United States In: International Journal of Central Banking.
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article27
1998Testing the conditional CAPM using multivariate GARCH-M In: Applied Financial Economics.
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article26
2005Forecasting variance using stochastic volatility and GARCH In: The European Journal of Finance.
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article3

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