Robert Jung : Citation Profile


Are you Robert Jung?

Universität Hohenheim

13

H index

14

i10 index

445

Citations

RESEARCH PRODUCTION:

14

Articles

8

Papers

RESEARCH ACTIVITY:

   27 years (1993 - 2020). See details.
   Cites by year: 16
   Journals where Robert Jung has often published
   Relations with other researchers
   Recent citing documents: 52.    Total self citations: 9 (1.98 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pju3
   Updated: 2021-05-11    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:

Dimpfl, Thomas (10)

Asai, Manabu (10)

McAleer, Michael (8)

McCabe, Brendan (6)

Martin, Gael (6)

Snyder, Ralph (6)

Caporin, Massimiliano (5)

Bekiros, Stelios (5)

Raddant, Matthias (5)

Baruník, Jozef (5)

Koopman, Siem Jan (5)

Cites to:

Engle, Robert (12)

Shephard, Neil (12)

Bollerslev, Tim (11)

Tremayne, Andrew (9)

Andersen, Torben (8)

Harvey, Andrew (7)

Pesaran, M (6)

Diebold, Francis (6)

Koopman, Siem Jan (6)

Richard, Jean-Francois (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 (2021 and 2020)


YearTitle of citing document
2020The Predictive Power of NZX Dairy Futures. (2020). Fernandez-Perez, Adrian ; Schoen, Tilman ; Scott, Ayesha. In: 2020 Conference (64th), February 12-14, 2020, Perth, Western Australia. RePEc:ags:aare20:305230.

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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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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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2020Destabilizing role of futures markets on North American hard red spring wheat spot prices. (2020). Goetz, Cole ; Miljkovic, Dragan. In: Agricultural Economics. RePEc:bla:agecon:v:51:y:2020:i:6:p:887-897.

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2020Conway–Maxwell–Poisson Autoregressive Moving Average Model for Equidispersed, Underdispersed, and Overdispersed Count Data. (2020). Alencar, Airlane ; Melo, Moizes. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:6:p:830-857.

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2020CLAR(1) point forecasting under estimation uncertainty. (2020). Weiss, Christian H ; Nik, Simon. In: Statistica Neerlandica. RePEc:bla:stanee:v:74:y:2020:i:4:p:489-516.

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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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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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2020Happiness sentiments and the prediction of 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:54:y:2020:i:c:s1062940820301510.

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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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2021Hierarchical Markov-switching models for multivariate integer-valued time-series. (2021). di Mari, Roberto ; Catania, Leopoldo. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:118-137.

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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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2020On the intraday dynamics of oil price and exchange rate: What can we learn from China and India?. (2020). Prakash, Ravi ; Ahmad, Wasim ; Dutta, Anupam ; Rahman, Md Lutfur ; Kaur, Rishman Jot ; Uddin, Gazi Salah. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302115.

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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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2021Stock returns, quantile autocorrelation, and volatility forecasting. (2021). Cai, Yuzhi ; Upreti, Vineet ; Zhao, Yixiu. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302428.

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2021Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis. (2021). Gkillas, Konstantinos ; Tsagkanos, Athanasios ; Floros, Christos ; Konstantatos, Christoforos. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000491.

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2020Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil. (2020). Cepoi, Cosmin-Octavian. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612320305912.

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2021A note on the behavior of Chinese commodity markets. (2021). Todorova, Neda ; Fan, John Hua. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319311626.

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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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2021Measurement of common risks in tails: A panel quantile regression model for financial returns. (2021). Baruník, Jozef ; Ech, Frantiek ; Barunik, Jozef. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s1386418120300318.

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2020Price discovery in Bitcoin: The impact of unregulated markets. (2020). Heck, Daniel F ; Alexander, Carol. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300759.

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2020Forecasting global equity market volatilities. (2020). Liao, Yin ; Ma, Feng ; Zhang, Yaojie. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1454-1475.

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2021Interconnectedness in the global financial market. (2021). Raddant, Matthias ; Kenett, Dror Y. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302369.

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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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2021Asymmetric and time-frequency spillovers among commodities using high-frequency data. (2021). Vo, Xuan Vinh ; Shahzad, Syed Jawad Hussain ; Caporin, Massimiliano ; Hasan, Mudassar ; Arif, Muhammad ; Naeem, Muhammad Abubakr. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309879.

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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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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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2021The effects of investor attention and policy uncertainties on cross-border country exchange-traded fund returns. (2021). Lee, Chien-Chiang ; Chen, Mei-Ping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:830-852.

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2021Predictive role of online investor sentiment for cryptocurrency market: Evidence from happiness and fears. (2021). Naeem, Muhammad Abubakr ; Hussain, Syed Jawad ; Mbarki, Imen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:73:y:2021:i:c:p:496-514.

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

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2021Revisiting disposition effect and momentum: a quantile regression perspective. (2021). Ahmed, Mohamed S ; Doukas, John A. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:3:d:10.1007_s11156-020-00919-4.

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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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2020Measuring price discovery in the European wheat market using the partial cointegration approach. (2020). von Cramon-Taubadel, Stephan ; Herwartz, Helmut ; Vollmer, Teresa. In: European Review of Agricultural Economics. RePEc:oup:erevae:v:47:y:2020:i:3:p:1173-1200..

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2020Stochastic Volatility in Mean: Empirical Evidence from Stock Latin American Markets. (2020). Rodríguez, Gabriel ; Abanto-Valle, Carlos A ; Garrafa-Aragon, Hernn B. In: Documentos de Trabajo / Working Papers. RePEc:pcp:pucwps:wp00481.

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2020On an integer-valued stochastic intensity model for time series of counts. (2020). Dimitrakopoulos, Stefanos ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:105406.

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2021The Arrival of Information and Price Adjustment Across Extreme Quantiles: Global Evidence. (2021). Tripathi, Abhinava. In: IIM Kozhikode Society & Management Review. RePEc:sae:iimkoz:v:10:y:2021:i:1:p:7-19.

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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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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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2020A seasonal geometric INAR process based on negative binomial thinning operator. (2020). Cui, Shuai ; Wang, Dehui ; Tian, Shengqi. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:6:d:10.1007_s00362-018-1060-7.

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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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2020Is implied volatility more informative for forecasting realized volatility: An international perspective. (2020). Zhang, Yaojie ; Wei, YU ; Liang, Chao. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:8:p:1253-1276.

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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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article13
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: 13
paper
2003Testing for serial dependence in time series models of counts In: Journal of Time Series Analysis.
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article8
2006Time series of count data: modeling, estimation and diagnostics In: Computational Statistics & Data Analysis.
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article46
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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article10
2006Coherent forecasting in integer time series models In: International Journal of Forecasting.
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article20
2014Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence? In: Journal of Banking & Finance.
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article34
2006Return and volatility linkages between the US and the German stock market In: Journal of International Money and Finance.
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article65
2017Price discovery in agricultural commodity markets in the presence of futures speculation In: Journal of Commodity Markets.
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article20
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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paper17
2000Stochastic volatility models: conditional normality versus heavy-tailed distributions In: Journal of Applied Econometrics.
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article66
1997Stochastic volatility models: Conditional normality versus heavy tailed distributions.(1997) In: Tübinger Diskussionsbeiträge.
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This paper has another version. Agregated cites: 66
paper
2011Useful models for time series of counts or simply wrong ones? In: AStA Advances in Statistical Analysis.
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article21
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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article16
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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paper66

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