Robert Jung : Citation Profile


Are you Robert Jung?

Universität Hohenheim

12

H index

13

i10 index

412

Citations

RESEARCH PRODUCTION:

14

Articles

8

Papers

RESEARCH ACTIVITY:

   27 years (1993 - 2020). See details.
   Cites by year: 15
   Journals where Robert Jung has often published
   Relations with other researchers
   Recent citing documents: 59.    Total self citations: 9 (2.14 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pju3
   Updated: 2020-10-17    RAS profile: 2020-08-26    
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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:

Asai, Manabu (10)

Dimpfl, Thomas (10)

McAleer, Michael (8)

Snyder, Ralph (6)

Martin, Gael (6)

Bekiros, Stelios (5)

McCabe, Brendan (5)

Koopman, Siem Jan (4)

Nguyen, Duc Khuong (4)

Hirayama, Kenjiro (4)

Tsutsui, Yoshiro (4)

Cites to:

Shephard, Neil (12)

Engle, Robert (12)

Bollerslev, Tim (11)

Tremayne, Andrew (8)

Andersen, Torben (8)

Harvey, Andrew (7)

Pesaran, M (6)

Diebold, Francis (6)

Richard, Jean-Francois (6)

Koopman, Siem Jan (6)

Granger, Clive (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
Global Financial Markets Working Paper Series / Friedrich-Schiller-University Jena2
Economics Working Papers / Christian-Albrechts-University of Kiel, Department of Economics2

Recent works citing Robert Jung (2020 and 2019)


YearTitle of citing document
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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2020A 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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2020Checking Model Adequacy for Count Time Series by Using Pearson Residuals. (2020). Martin, Feld ; Boris, Aleksandrov ; Lukas, Scherer ; Christian, Weiss. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:12:y:2020:i:1:p:15:n:1.

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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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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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2020Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach. (2020). Yang, Lu ; Hamori, Shigeyuki ; Ho, Kung-Cheng. In: Journal of Asian Economics. RePEc:eee:asieco:v:68:y:2020:i:c:s1049007820300440.

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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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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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2020Financialization and de-financialization of commodity futures: A quantile regression approach. (2020). Todorova, Neda ; Fan, John Hua ; Bianchi, Robert J. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919301164.

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2020Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach. (2020). Li, Jianping ; Wang, Jun ; Liu, Chang ; Sun, Xiaolei. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919303904.

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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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2020Risk premium spillovers among stock markets: Evidence from higher-order moments. (2020). Aboura, Sofiane ; Finta, Marinela Adriana. In: Journal of Financial Markets. RePEc:eee:finmar:v:49:y:2020:i:c:s1386418120300021.

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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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2020Price discovery in agricultural commodity markets: Do speculators contribute?. (2020). Wellenreuther, Claudia ; Stefan, Martin ; Siklos, Pierre L ; Bohl, Martin T. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:18:y:2020:i:c:s2405851318300941.

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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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2020Misinformation corrections of corporate news: Corporate clarification announcements. (2020). Yang, Ann Shawing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x19302884.

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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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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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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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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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2020Global and Local Commodity Prices: A Further Look at the Indonesian Agricultural Commodities. (2020). Wibowo, Sigit S ; Nareswari, Pradita. In: Capital Markets Review. RePEc:mfa:journl:v:28:y:2020:i:1:p:65-76.

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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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2019.

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2020Testing the dispersion structure of count time series using Pearson residuals. (2020). Aleksandrov, Boris ; Weiss, Christian H. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:104:y:2020:i:3:d:10.1007_s10182-019-00356-2.

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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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2020The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise. (2020). Alola, Andrew Adewale ; Skenderoglu, Omer ; Akdag, Saffet. In: Letters in Spatial and Resource Sciences. RePEc:spr:lsprsc:v:13:y:2020:i:1:d:10.1007_s12076-020-00244-3.

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2019Testing for zero inflation and overdispersion in INAR(1) models. (2019). Weiss, Christian H ; Puig, Pedro ; Homburg, Annika. In: Statistical Papers. RePEc:spr:stpapr:v:60:y:2019:i:3:d:10.1007_s00362-016-0851-y.

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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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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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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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article45
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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article33
2006Return and volatility linkages between the US and the German stock market In: Journal of International Money and Finance.
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article60
2017Price discovery in agricultural commodity markets in the presence of futures speculation In: Journal of Commodity Markets.
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article15
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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paper16
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
paper
2011Useful models for time series of counts or simply wrong ones? In: AStA Advances in Statistical Analysis.
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article19
2020Gerd Ronning In: AStA Wirtschafts- und Sozialstatistisches Archiv.
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article0
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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article20
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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paper57

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