Robert Jung : Citation Profile


Are you Robert Jung?

Universität Hohenheim

10

H index

11

i10 index

298

Citations

RESEARCH PRODUCTION:

11

Articles

8

Papers

RESEARCH ACTIVITY:

   21 years (1993 - 2014). See details.
   Cites by year: 14
   Journals where Robert Jung has often published
   Relations with other researchers
   Recent citing documents: 39.    Total self citations: 8 (2.61 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pju3
   Updated: 2018-06-23    RAS profile: 2015-03-09    
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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 (9)

McAleer, Michael (7)

Snyder, Ralph (6)

Martin, Gael (6)

McCabe, Brendan (5)

Raddant, Matthias (4)

Baten, Joerg (4)

Sinha, Pankaj (4)

Nguyen, Duc Khuong (4)

Tsutsui, Yoshiro (4)

Bekiros, Stelios (4)

Cites to:

Engle, Robert (11)

Bollerslev, Tim (11)

Shephard, Neil (8)

Andersen, Torben (8)

Harvey, Andrew (7)

Koopman, Siem Jan (6)

Diebold, Francis (6)

Richard, Jean-Francois (6)

Pesaran, M (6)

Danielsson, Jon (5)

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
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 (2018 and 2017)


YearTitle of citing document
2017Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers. (2017). Manera, Matteo ; Galeotti, Marzio ; Bastianin, Andrea. In: ET: Economic Theory. RePEc:ags:feemet:253725.

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

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2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). Baruník, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622.

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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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2017Interest Rate Sensitivity of Spanish Industries: A Quantile Regression Approach. (2017). Jareño, Francisco ; Jareo, Francisco ; Ferrer, Roman ; Ferrando, Laura. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:2:p:212-242.

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2017Tests for Structural Changes in Time Series of Counts. (2017). Hudecova, arka ; Meintanis, Simos G ; Hukova, Marie. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:44:y:2017:i:4:p:843-865.

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2017Bivariate Poisson models with varying offsets: an application to the paired mitochondrial DNA dataset. (2017). Pei-Fang, SU ; John, Boice ; Yu, Shyr ; Qi, Liu ; Yan, Guo ; Chung, LI ; Yu-Lin, Mau . In: Statistical Applications in Genetics and Molecular Biology. RePEc:bpj:sagmbi:v:16:y:2017:i:1:p:47-58:n:5.

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2018Markov-switching quantile autoregression: a Gibbs sampling approach. (2018). Xiaochun, Liu ; Richard, LUGER. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:2:p:0: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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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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2017Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models. (2017). Xue, Wen-Jun ; Zhang, Li-Wen . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:391-401.

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2018International risk transmission of stock market movements. (2018). Shen, Yifan. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:220-236.

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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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2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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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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2017Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis. (2017). Uribe, Jorge ; Chuliá, Helena ; Guillen, Montserrat ; Chulia, Helena. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:32-46.

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

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

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2017On the short-term predictability of stock returns: A quantile boosting approach. (2017). Pierdzioch, Christian ; Demirer, Riza ; Zhang, Huacheng . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:35-41.

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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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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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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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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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2017Realized Stochastic Volatility with General Asymmetry and Long Memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:100161.

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2017Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers. (2017). Manera, Matteo ; Galeotti, Marzio ; Bastianin, Andrea. In: Working Papers. RePEc:fem:femwpa:2017.06.

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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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2017The Opportunity Cost of Negative Screening in Socially Responsible Investing. (2017). Trinks, Arjan ; Scholtens, Bert. In: Journal of Business Ethics. RePEc:kap:jbuset:v:140:y:2017:i:2:d:10.1007_s10551-015-2684-3.

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2018Stock Market Contagion: a New Approach. (2018). Horvath, Roman ; Lyocsa, Tefan. In: Open Economies Review. RePEc:kap:openec:v:29:y:2018:i:3:d:10.1007_s11079-018-9481-4.

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

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2017Modeling time series of counts with a new class of INAR(1) model. (2017). Khoo, Wooi Chen ; Biswas, Atanu ; Ong, Seng Huat . In: Statistical Papers. RePEc:spr:stpapr:v:58:y:2017:i:2:d:10.1007_s00362-015-0704-0.

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2017A conditional count model for repeated count data and its application to GEE approach. (2017). Dey, Rajib ; Islam, Ataharul M. In: Statistical Papers. RePEc:spr:stpapr:v:58:y:2017:i:2:d:10.1007_s00362-015-0708-9.

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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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article10
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: 10
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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article40
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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article5
2006Coherent forecasting in integer time series models In: International Journal of Forecasting.
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article14
2014Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence? In: Journal of Banking & Finance.
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article18
2006Return and volatility linkages between the US and the German stock market In: Journal of International Money and Finance.
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article53
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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paper1
2000Stochastic volatility models: conditional normality versus heavy-tailed distributions In: Journal of Applied Econometrics.
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article48
1997Stochastic volatility models: Conditional normality versus heavy tailed distributions.(1997) In: Tübinger Diskussionsbeiträge.
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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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article13
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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article14
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 Tuebingen Working Papers in Economics and Finance.
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paper38

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