Robert Jung : Citation Profile


Are you Robert Jung?

Universität Hohenheim

12

H index

13

i10 index

399

Citations

RESEARCH PRODUCTION:

13

Articles

8

Papers

RESEARCH ACTIVITY:

   24 years (1993 - 2017). See details.
   Cites by year: 16
   Journals where Robert Jung has often published
   Relations with other researchers
   Recent citing documents: 80.    Total self citations: 9 (2.21 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pju3
   Updated: 2020-08-01    RAS profile: 2020-06-21    
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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 Robert Jung.

Is cited by:

Dimpfl, Thomas (10)

Asai, Manabu (10)

McAleer, Michael (8)

Martin, Gael (6)

Snyder, Ralph (6)

McCabe, Brendan (5)

Bekiros, Stelios (5)

Koopman, Siem Jan (4)

Wohar, Mark (4)

Tsutsui, Yoshiro (4)

Raddant, Matthias (4)

Cites to:

Shephard, Neil (12)

Engle, Robert (12)

Bollerslev, Tim (11)

Tremayne, Andrew (8)

Andersen, Torben (8)

Harvey, Andrew (7)

Richard, Jean-Francois (6)

Diebold, Francis (6)

Pesaran, M (6)

Koopman, Siem Jan (6)

Heinen, Andréas (5)

Main data


Where Robert Jung has published?


Working Papers Series with more than one paper published# docs
Tbinger Diskussionsbeitrge / University of Tbingen, School of Business and Economics3
Economics Working Papers / Christian-Albrechts-University of Kiel, Department of Economics2
Global Financial Markets Working Paper Series / Friedrich-Schiller-University Jena2

Recent works citing Robert Jung (2020 and 2019)


YearTitle of citing document
2017Price discovery in the European wheat market. (2017). von Cramon-Taubadel, Stephan ; Vollmer, Teresa. In: 2017 International Congress, August 28-September 1, 2017, Parma, Italy. RePEc:ags:eaae17:261135.

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2018Dynamic price discovery in the European wheat market based on the concept of partial cointegration. (2018). von Cramon-Taubadel, S ; Vollmer, T. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:276031.

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2020Interconnectedness in the Global Financial Market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Papers. RePEc:arx:papers:1704.01028.

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2019Dynamic tail inference with log-Laplace volatility. (2019). Chavez, Gordon V. In: Papers. RePEc:arx:papers:1901.02419.

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2019A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2020Sector connectedness in the Chinese stock markets. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Ma, Jun-Chao ; Jiang, Zhi-Qiang ; Shen, Ying-Ying. In: Papers. RePEc:arx:papers:2002.09097.

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2020Predicting tail events in a RIA-EVT-Copula framework. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Papers. RePEc:arx:papers:2004.03190.

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2020How does stock market reflect the change in economic demand? A study on the industry-specific volatility spillover networks of Chinas stock market during the outbreak of COVID-19. (2020). Yan, Yan ; Qiao, FU. In: Papers. RePEc:arx:papers:2007.07487.

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2019How do speculators in agricultural commodity markets impact production decisions and commodity prices? A theoretical analysis. (2019). Treuter, Tilo ; Koziol, Christian. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:3:p:718-743.

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2017A Multivariate Stochastic Volatility Model Applied to a Panel of S&P500 Stocks in Different Industries. (2017). Stengos, Thanasis ; Ozturk, Serda S. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:479-490.

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2017Bayesian causality test for integer-valued time series models with applications to climate and crime data. (2017). Chen, Cathy W. S. ; Lee, Sangyeol. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:66:y:2017:i:4:p:797-814.

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2018Information Transmission across European Equity Markets During Crisis Periods. (2018). Chen, Jing ; Buckle, Mike ; McMillan, David G. In: Manchester School. RePEc:bla:manchs:v:86:y:2018:i:6:p:770-788.

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2019Think again: volatility asymmetry and volatility persistence. (2019). Thomas, Dimpfl ; Dirk, Baur. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:1:p:19:n:4.

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2017The Financial Connectedness between Eurozone Core and Periphery: A Disaggregated View. (2017). Tsopanakis, Andreas ; Magkonis, Georgios. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/15.

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2019Data cloning estimation for asymmetric stochastic volatility models. (2019). Veiga, Helena ; de Zea, Patricia ; Marin, Juan Miguel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28214.

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2019Commodity Prices In Empirical Research. (2019). Carpantier, Jean-Franois. In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales). RePEc:ctl:louvir:2020021.

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2017New Goodness-of-fit Diagnostics for Conditional Discrete Response Models. (2017). Velasco, Carlos ; Kheifets, Igor . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1924r.

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2017On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis. (2017). JAWADI, Fredj ; ben ameur, hachmi ; Cheffou, Abdoulkarim Idi ; Louhichi, Wael. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-11.

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2018Volatility Spillover Effect between Stock and Exchange Rate in Oil Exporting Countries. (2018). Mikhaylov, Alexey Yurievich. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-03-39.

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2018Correlation of Oil Prices and Gross Domestic Product in Oil Producing Countries. (2018). Tang, Bao-Jun ; Mikhaylov, Alexey Yurievich ; Nyangarika, Anthony Msafiri. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-05-6.

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2018Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets. (2018). Tsutsui, Yoshiro ; Hirayama, Kenjiro ; Nishimura, Yusaku. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:237-248.

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2020Do natural disasters and geopolitical risks matter for cross-border country exchange-traded fund returns?. (2020). Lee, Chien-Chiang ; Chen, Mei-Ping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819303183.

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2020The heterogeneous behaviour of the inflation hedging property of cocoa. (2020). Salisu, Afees ; Oloko, Tirimisiyu ; Adediran, Idris ; Ohemeng, William. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819303535.

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2020Asymmetric dependence structures for regional stock markets: An unconditional quantile regression approach. (2020). Yoon, Seong-Min ; Li, Changhong ; Dong, Xiyong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819303006.

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2017New goodness-of-fit diagnostics for conditional discrete response models. (2017). Velasco, Carlos ; Kheifets, Igor . In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:135-149.

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2019Sparse Bayesian time-varying covariance estimation in many dimensions. (2019). Kastner, Gregor. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:98-115.

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2020The dynamic factor network model with an application to international trade. (2020). Koopman, Siem Jan ; Brauning, Falk. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:494-515.

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2020Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation. (2020). Veiga, Helena ; Ruiz, Esther ; Czellar, Veronika ; Mao, Xiuping. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:84-105.

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2018International financial integration: Stock return linkages and volatility transmission between Vietnam and advanced countries. (2018). Vo, Xuan Vinh ; Ellis, Craig . In: Emerging Markets Review. RePEc:eee:ememar:v:36:y:2018:i:c:p:19-27.

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2018The asymmetric return-volatility relationship of commodity prices. (2018). Baur, Dirk G ; Dimpfl, Thomas. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:378-387.

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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Lau, Chi Keung ; Brzeszczynski, Janusz ; Marco, Chi Keung ; Yarovaya, Larisa ; Brzeszczyski, Janusz. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111.

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2018Do ETFs lead the price moves? Evidence from the major US markets. (2018). Buckle, Mike ; Tong, Chen ; Guo, Qian ; Chen, Jing. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:91-103.

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2019Detecting overreaction in the Bitcoin market: A quantile autoregression approach. (2019). Mascia, Danilo V ; Chevapatrakul, Thanaset. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:371-377.

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2018Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?. (2018). Aristeidis, Samitas ; Elias, Kampouris. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:263-286.

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2019Adaptive learning forecasting, with applications in forecasting agricultural prices. (2019). Guerard, John B ; Thomakos, Dimitrios D ; Kyriazi, Foteini. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1356-1369.

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2019The volatility of mutual fund performance. (2019). Zhou, Lei ; Yao, Ping ; Livingston, Miles. In: Journal of Economics and Business. RePEc:eee:jebusi:v:104:y:2019:i:c:2.

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2019Modeling, simulation and inference for multivariate time series of counts using trawl processes. (2019). , Almut. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:169:y:2019:i:c:p:110-129.

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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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2019Can alternative hedging assets add value to Islamic-conventional portfolio mix: Evidence from MGARCH models. (2019). Ali, Sajid ; Raza, Naveed ; Salman, Aneel ; Ur, Mobeen ; Hussain, Syed Jawad. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:210-230.

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2018Forecasting the value-at-risk of Chinese stock market using the HARQ model and extreme value theory. (2018). Liu, Guangqiang ; Hu, Yang ; Yu, Jiang ; Chen, Yongfei ; Wei, YU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:288-297.

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2018Asymmetric volatility varies in different dry bulk freight rate markets under structure breaks. (2018). Chen, Feier ; Liu, Junlin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:316-327.

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2018A return spillover network perspective analysis of Chinese financial institutions’ systemic importance. (2018). Huang, Wei-qiang ; Wang, Dan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:405-421.

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2020Interindustry volatility spillover effects in China’s stock market. (2020). Jin, Xue ; Liu, Zhe ; Yin, Kedong . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316632.

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2017Intraday industry-specific spillover effect in European equity markets. (2017). Mateus, Cesario ; Chinthalapati, Raju . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:278-298.

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2019Intra-day dynamics of exchange rates: New evidence from quantile regression. (2019). Kuck, Konstantin ; Maderitsch, Robert. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:247-257.

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2017Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis. (2017). Kumar, Dilip. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:149-167.

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2019The impact of tail risk on stock market returns: The role of market sentiment. (2019). Chevapatrakul, Thanaset ; Yao, Kai ; Xu, Zhongxiang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:289-301.

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2019Black swan events in Chinas stock markets: Intraday price behaviors on days of volatility. (2019). Lin, Wen-Yuan ; Tsai, I-Chun ; I-Chun Tsai, . In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:395-411.

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2019Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index. (2019). Gebka, Bartosz ; Wohar, Mark E. In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:1-25.

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2020Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China. (2020). Li, Steven ; Hou, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:166-188.

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2020Price discovery in bitcoin futures. (2020). Fassas, Athanasios ; Koulis, Alexandros ; Papadamou, Stephanos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919305628.

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2017Financial market contagion: selective review of reviews. (2017). Seth, Neha ; Sighania, Monica. In: Qualitative Research in Financial Markets. RePEc:eme:qrfmpp:qrfm-03-2017-0022.

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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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2019Evaluating Approximate Point Forecasting of Count Processes. (2019). Gob, Rainer ; Frahm, Gabriel ; Alwan, Layth C ; Weiss, Christian H ; Homburg, Annika. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:30-:d:246272.

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2019Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review. (2019). Sathye, Milind ; Liu, Shuangzhe ; Ma, Tiefeng ; Sun, Ruili. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:48-:d:216804.

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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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2020Commodity Prices in Empirical Research. (2020). Carpantier, Jean-Franois. In: Working Papers. RePEc:hal:wpaper:hal-02497404.

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2019Dynamic Cross-Correlations between Participants’ Attentions to P2P Lending and Offline Loan in the Private Lending Market. (2019). Zhang, Wei ; Zhao, Yingxiu ; Kong, Xiangyu. In: Complexity. RePEc:hin:complx:1635793.

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2019Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe. (2019). Wengerek, Sascha Tobias ; Uhde, Andre ; Hippert, Benjamin. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:2:d:10.1007_s11147-018-9148-8.

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2017Bootstrapping INAR models. (2017). Weiss, Christian ; Jentsch, Carsten. In: Working Papers. RePEc:mnh:wpaper:42881.

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2017Do International Investors Cause Stock Market Comovements? Comparing Responses of Cross-Listed Stocks between Accessible and Inaccessible Markets. (2017). Tsutsui, Yoshiro ; Hirayama, Kenjiro ; Nishimura, Yusaku. In: Discussion Papers in Economics and Business. RePEc:osk:wpaper:1701.

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2018Structural Volatility Impulse Response Function and Asymptotic Inference. (2018). Liu, Xiaochun. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:2:p:316-339..

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2019 Umbral de modelos de volatilidad estocástica con colas pesadas: un enfoque bayesiano. (2019). Abanto-Valle, Carlos A ; Garrafa-Aragon, Hernan B. In: Revista Economía. RePEc:pcp:pucrev:y:2019:i:83:p:32-53.

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2017Assessing the viability of Sukuk for portfolio diversification using MS-DCC-GARCH.. (2017). Masih, Abul ; Adekunle, Salami Saheed . In: MPRA Paper. RePEc:pra:mprapa:79443.

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2018Efectos de desbordamiento sobre los mercados financieros de Colombia. Identificación a través de la heterocedasticidad. (2018). Paucar, Giovanny Sandoval. In: MPRA Paper. RePEc:pra:mprapa:90422.

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2018Interrelationship between DAX Index and Four Largest Eastern European Stock Markets. (2018). Ivkov, Dejan ; Milenkovi, Ivan ; Njegi, Jovan. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2018:i:3:p:88-103.

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2019Model-based INAR bootstrap for forecasting INAR(p) models. (2019). Gerolimetto, Margherita ; Bisaglia, Luisa. In: Computational Statistics. RePEc:spr:compst:v:34:y:2019:i:4:d:10.1007_s00180-019-00902-1.

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2019Price discovery on Bitcoin markets. (2019). Dimpfl, Thomas ; Pagnottoni, Paolo. In: Digital Finance. RePEc:spr:digfin:v:1:y:2019:i:1:d:10.1007_s42521-019-00006-x.

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2017Hurdle models of repayment behaviour in personal loan contracts. (2017). Jose , ; Mario, . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:2:d:10.1007_s00181-016-1140-2.

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2019Mixed Poisson INAR(1) processes. (2019). Barreto-Souza, Wagner. In: Statistical Papers. RePEc:spr:stpapr:v:60:y:2019:i:6:d:10.1007_s00362-017-0912-x.

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2017Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model. (2017). Lucas, Andre ; Koopman, Siem Jan ; Lit, Rutger. In: Journal of the American Statistical Association. RePEc:taf:jnlasa:v:112:y:2017:i:520:p:1490-1503.

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2020Price Discovery and Information Asymmetry in Equity and Commodity Futures Options Markets. (2020). Bohmann, Marc. In: PhD Thesis. RePEc:uts:finphd:1-2020.

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2020A tale of two shocks: The dynamics of international real estate markets. (2020). Bekiros, Stelios ; Jayasekera, Ranadeva ; Ege, Oskar ; Uddin, Gazi Salah ; Dahlstrom, Amanda. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:25:y:2020:i:1:p:3-27.

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2019Quantile information share. (2019). Lien, Donald ; Wang, Zijun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:38-55.

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2019Price discovery in bitcoin spot or futures?. (2019). Dimpfl, Thomas ; Baur, Dirk G. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:7:p:803-817.

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2019Price discovery in commodity derivatives: Speculation or hedging?. (2019). Michayluk, David ; Patel, Vinay. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:9:p:1107-1121.

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2020The determinants of price discovery on bitcoin markets. (2020). Frijns, Bart ; Entrop, Oliver ; Seruset, Marco. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:816-837.

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2017Interconnectedness in the global financial market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Kiel Working Papers. RePEc:zbw:ifwkwp:2076.

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Works by Robert Jung:


YearTitleTypeCited
2011Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity In: Journal of Business & Economic Statistics.
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article11
2008Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity.(2008) In: Economics Working Papers.
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This paper has another version. Agregated cites: 11
paper
2003Testing for serial dependence in time series models of counts In: Journal of Time Series Analysis.
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article7
2006Time series of count data: modeling, estimation and diagnostics In: Computational Statistics & Data Analysis.
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article44
2008A common factor analysis for the US and the German stock markets during overlapping trading hours In: Journal of International Financial Markets, Institutions and Money.
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article8
2006Coherent forecasting in integer time series models In: International Journal of Forecasting.
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article19
2014Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence? In: Journal of Banking & Finance.
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article31
2006Return and volatility linkages between the US and the German stock market In: Journal of International Money and Finance.
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article58
2017Price discovery in agricultural commodity markets in the presence of futures speculation In: Journal of Commodity Markets.
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article13
2020Maximum-Likelihood Estimation in a Special Integer Autoregressive Model In: Econometrics.
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article0
2010Konstitutionelle Grundlagen globalisierter Finanzmärkte - Stabilität und Wandel. Stand und Perspektiven der Forschung In: Global Financial Markets Working Paper Series.
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paper0
2011Financial market spillovers around the globe In: Global Financial Markets Working Paper Series.
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paper15
2000Stochastic volatility models: conditional normality versus heavy-tailed distributions In: Journal of Applied Econometrics.
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article65
1997Stochastic volatility models: Conditional normality versus heavy tailed distributions.(1997) In: Tübinger Diskussionsbeiträge.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 65
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2011Useful models for time series of counts or simply wrong ones? In: AStA Advances in Statistical Analysis.
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article17
1993Two Aspects of Labor Mobility: A Bivariate Poisson Regression Approach. In: Empirical Economics.
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article14
2005Estimation in conditional first order autoregression with discrete support In: Statistical Papers.
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article19
2005Time Series of Count Data: Modelling and Estimation In: Economics Working Papers.
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paper18
2001Testing serial dependence in time series models of counts against some INARMA alternatives In: Tübinger Diskussionsbeiträge.
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paper5
1996Testing the bivariate mixture hypothesis using German stock market data In: Tübinger Diskussionsbeiträge.
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paper0
2012Stock return autocorrelations revisited: A quantile regression approach In: University of Tübingen Working Papers in Business and Economics.
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paper55

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