Mark Kamstra : Citation Profile


Are you Mark Kamstra?

York University

11

H index

11

i10 index

881

Citations

RESEARCH PRODUCTION:

16

Articles

16

Papers

RESEARCH ACTIVITY:

   21 years (1989 - 2010). See details.
   Cites by year: 41
   Journals where Mark Kamstra has often published
   Relations with other researchers
   Recent citing documents: 95.    Total self citations: 13 (1.45 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pka66
   Updated: 2022-11-19    RAS profile: 2012-03-07    
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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 Mark Kamstra.

Is cited by:

Joëts, Marc (17)

Clements, Michael (17)

lucey, brian (13)

Kliger, Doron (11)

Koellinger, Philipp (10)

Apergis, Nicholas (10)

Dowling, Michael (8)

GUPTA, RANGAN (8)

Costa-Font, Joan (8)

Flèche, Sarah (8)

Kim, Jae (8)

Cites to:

Campbell, John (12)

Shiller, Robert (9)

Harvey, Campbell (7)

Levi, Maurice (7)

Engle, Robert (6)

Kramer, Lisa (6)

Mehra, Rajnish (6)

Bollerslev, Tim (5)

Schwert, G. (5)

French, Kenneth (5)

White, Halbert (5)

Main data


Where Mark Kamstra has published?


Journals with more than one article published# docs
American Economic Review3
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
Discussion Papers / Department of Economics, Simon Fraser University8
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta5

Recent works citing Mark Kamstra (2022 and 2021)


YearTitle of citing document
2021A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03.

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2021Time-Gap effects of crude oil prices on the foreign exchange rates: Evidence from Nigeria. (2021). Anietie, Jeremiah ; Nkoro, Emeka ; John, Nenubari Ikue. In: Bussecon Review of Social Sciences (2687-2285). RePEc:adi:bsrsss:v:3:y:2021:i:3:p:31-44.

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2022The Unexpected Effects of Daylightsaving time: Traffic Accidents in Mexican Municipalities. (2022). Hancevic, Pedro I ; Rodriguez, Hugo Salas. In: Working Papers. RePEc:aoz:wpaper:106.

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2022Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

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2021Improved ACD-based financial trade durations prediction leveraging LSTM networks and Attention Mechanism. (2021). Li, BO ; Long, Wen ; Dai, Wei ; Shi, Yong. In: Papers. RePEc:arx:papers:2101.02736.

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2021Deep Kernel Gaussian Process Based Financial Market Predictions. (2021). Long, Wen ; Dai, Wei ; Shi, Yong ; Li, BO. In: Papers. RePEc:arx:papers:2105.12293.

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2021Forecasting High-Dimensional Covariance Matrices of Asset Returns with Hybrid GARCH-LSTMs. (2021). Boulet, Lucien. In: Papers. RePEc:arx:papers:2109.01044.

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2021Sector Volatility Prediction Performance Using GARCH Models and Artificial Neural Networks. (2021). Nybo, Curtis. In: Papers. RePEc:arx:papers:2110.09489.

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2022EmTract: Investor Emotions and Market Behavior. (2021). Skog, Rolf ; Vamossy, Domonkos. In: Papers. RePEc:arx:papers:2112.03868.

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2022Will Chinese Twenty-four Solar Terms Affect Stock Return: Evidence from Shanghai Index of China. (2022). Junguang, Zhao ; Xinghao, LI ; Tianbao, Zhou. In: Papers. RePEc:arx:papers:2203.12603.

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2021Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective. (2021). Sahuc, Jean-Guillaume ; Mouabbi, Sarah ; Renne, Jean-Paul. In: Working papers. RePEc:bfr:banfra:844.

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2021Are the risk attitudes of professional investors affected by personal catastrophic experiences?. (2021). Kecskes, Ambrus ; Bhagwat, Vineet ; Bernile, Gennaro ; Nguyen, Phuong Anh. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:2:p:455-486.

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2021A nonrandom walk down Hollywood boulevard: Celebrity deaths and investor sentiment. (2021). Lepori, Gabriele M. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:3:p:591-613.

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2021The Welfare Effects of Time Reallocation: Evidence from Daylight Saving Time. (2021). Flèche, Sarah ; Costa-Font, Joan ; Ricardo, Pagan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9195.

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2021Music Sentiment and Stock Returns Around the World. (2021). Edmans, Alex ; Indriawan, Ivan ; Garel, Alexandre ; Fernandez, Adrian . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15756.

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2021Residual electricity demand: An empirical investigation. (2021). Molnár, Peter ; Lyócsa, Štefan ; Molnar, Peter ; Lyocsa, Tefan ; Catherine, Linh Phuong. In: Applied Energy. RePEc:eee:appene:v:283:y:2021:i:c:s0306261920316846.

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2021Air pollution and behavioral biases: Evidence from stock market anomalies. (2021). Pham, Mia Hang ; Nguyen, Hung T. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303701.

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2021Football sentiment and stock market returns: Evidence from a frontier market. (2021). Nguyen, Duc Nguyen ; Truong, Quang-Thai ; Al-Mohamad, Somar ; Bakry, Walid ; Tran, Quynh-Nhu. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000162.

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2021Investor emotions and earnings announcements. (2021). Vamossy, Domonkos F. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000186.

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2021Stock price reaction to appointment of a chief health officer during COVID-19. (2021). Ichev, Riste. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:31:y:2021:i:c:s221463502100085x.

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2021Killing in the stock market: Evidence from organ donations. (2021). Barnes, Spencer. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001076.

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2021National air pollution and the cross-section of stock returns in China. (2021). Zhang, Jin E ; Ruan, Xinfeng ; Gehricke, Sebastian A ; Kirk-Reeve, Samuel. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001167.

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2022When rain matters! Investments and value relevance. (2022). Neupane, Suman ; Thapa, Chandra ; Koirala, Santosh ; Rao, Sandeep. In: Journal of Corporate Finance. RePEc:eee:corfin:v:73:y:2022:i:c:s0929119920302716.

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2022Seasonality and momentum across national equity markets. (2022). Balvers, Ronald ; Song, Jian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000584.

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2021Extreme heat and stock market activity. (2021). el Ouadghiri, Imane ; Peillex, Jonathan ; Jaballah, Jamil ; Gomes, Mathieu. In: Ecological Economics. RePEc:eee:ecolec:v:179:y:2021:i:c:s092180092030015x.

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2021The impact of weather-induced moods on M&A performance. (2021). Machokoto, Michael ; Tunyi, Abongeh A. In: Economics Letters. RePEc:eee:ecolet:v:207:y:2021:i:c:s0165176521002883.

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2022In the mood for sustainable funds?. (2022). Indriawan, Ivan ; Garel, Alexandre ; Fernandez-Perez, Adrian. In: Economics Letters. RePEc:eee:ecolet:v:217:y:2022:i:c:s0165176522002348.

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2022Colors, Emotions, and the Auction Value of Paintings. (2022). Noussair, Charles ; Renneboog, Luc ; Ma, Marshall Xiaoyin. In: European Economic Review. RePEc:eee:eecrev:v:142:y:2022:i:c:s0014292121002774.

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2022Turning the heat on financial decisions: Examining the role temperature plays in the incidence of bias in a time-limited financial market. (2022). Johnson, J. E. V., ; Ma, T ; Sung, M.-C., ; Costa, L F. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:3:p:1142-1157.

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2022Does air pollution influence investor trading behavior? Evidence from China. (2022). Huang, Lin ; Wei, Mengxin ; Guo, Mengmeng. In: Emerging Markets Review. RePEc:eee:ememar:v:50:y:2022:i:c:s1566014121000303.

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2022The stock market tips. (2022). Uzmanoglu, Cihan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:67:y:2022:i:c:p:271-287.

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2021When does daylight saving time save electricity? Weather and air-conditioning. (2021). Guven, Cahit ; Aksakalli, Vural ; Zhang, Quanda ; Yuan, Haishan. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001213.

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2022Air pollution and mediation effects in stock market, longitudinal evidence from China. (2022). Xu, Alan. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002101.

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2021Air pollution, local bias, and stock returns. (2021). , Taoyang ; Yang, Tao ; Guo, Mengmeng ; Ding, Xiaoya. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320303305.

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2021Transient emotions, perceptions of well-being, and mutual fund flows. (2021). Dayani, Arash ; Bazley, William J ; Jannati, Sima. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316391.

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2022Seasonal and Calendar Effects and the Price Efficiency of Cryptocurrencies. (2022). Eichel, Ron ; Aharon, David Y ; Qadan, Mahmoud. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003597.

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2022Photo sentiment and stock returns around the world. (2022). Chiah, Mardy ; Zhong, Angel ; Hu, Xiaolu. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004074.

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2022Do AI-powered mutual funds perform better?. (2022). Ren, Jinjuan ; Chen, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005547.

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2022The Groundhog Day stock market anomaly. (2022). Fedorova, Svetlana ; Shuraeva, Arina ; Shanaev, Savva. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005766.

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2021The effect of securities class action lawsuits on mergers and acquisitions. (2021). Zhao, Kun ; Walker, Thomas ; Davis, Frederick ; Basnet, Anup. In: Global Finance Journal. RePEc:eee:glofin:v:48:y:2021:i:c:s1044028319301978.

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2021The pricing of global temperature shocks in the cost of equity capital. (2021). Gregory, Richard P. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s104244312100038x.

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2021Probabilistic recalibration of forecasts. (2021). MacHete, Reason L ; Adams, Jennifer M ; Rosner, Robert ; Graziani, Carlo. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:1-27.

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2022Combining forecasts for universally optimal performance. (2022). Yang, Yuhong ; Cheng, Gang ; Rolling, Craig A ; Qian, Wei. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:193-208.

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2021No-Arbitrage pricing of GDP-Linked bonds. (2021). Eguren Martin, Fernando ; Yan, Wen ; Meldrum, Andrew. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s0378426621000339.

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2021Tuesday Blues and the day-of-the-week effect in stock returns. (2021). Zhong, Angel ; Chiah, Mardy. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002028.

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2021Trading behavior of retail investors in derivatives markets: Evidence from Mini options. (2021). Zhong, Zhaodong ; Zhao, Chen ; Li, Yubin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002090.

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2022The Winner Takes It All: Investor Sentiment and the Eurovision Song Contest. (2022). Abudy, Menachem ; Shust, Efrat ; Mugerman, Yevgeny. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:137:y:2022:i:c:s0378426622000322.

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2022Global weather-based trading strategies. (2022). Tremblay, Andreanne ; Dong, Ming. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:143:y:2022:i:c:s0378426622001546.

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2021The effect of time-induced stress on financial decision making in real markets: The case of traffic congestion. (2021). Kliger, Doron ; Gelman, Sergey. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:185:y:2021:i:c:p:814-841.

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2021Are return seasonalities due to risk or mispricing?. (2021). Nyberg, Peter ; Linnainmaa, Juhani T ; Keloharju, Matti. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:1:p:138-161.

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2021Air pollution, affect, and forecasting bias: Evidence from Chinese financial analysts. (2021). Xu, Nianhang ; Wang, Yongxiang ; Fisman, Raymond ; Dong, Rui. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:3:p:971-984.

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2021Do limits to arbitrage explain the benefits of volatility-managed portfolios?. (2021). Detzel, Andrew ; Barroso, Pedro. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:3:p:744-767.

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2021Asset prices, midterm elections, and political uncertainty. (2021). Marsh, Terry ; Chan, Kam Fong. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:1:p:276-296.

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2021Air pollution, behavioral bias, and the disposition effect in China. (2021). Zhang, Jian ; Massa, Massimo ; Li, Jennifer. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:2:p:641-673.

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2022Ambiguity about volatility and investor behavior. (2022). Uhr, Charline ; Meyer, Steffen ; Kostopoulos, Dimitrios. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:1:p:277-296.

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2022Music sentiment and stock returns around the world. (2022). Edmans, Alex ; Indriawan, Ivan ; Garel, Alexandre ; Fernandez-Perez, Adrian. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:2:p:234-254.

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2021The Halloween indicator, “Sell in May and Go Away”: Everywhere and all the time. (2021). Jacobsen, Ben ; Zhang, Cherry Y. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302242.

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2021On the relation between Pandemic Disease Outbreak News and Crude oil, Gold, Gold mining, Silver and Energy Markets. (2021). Shaikh, Imlak. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000428.

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2021Chaotic behavior in gold, silver, copper and bitcoin prices. (2021). Bildirici, Melike ; Sonustun, Bahri. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003950.

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2021Japanese monetary policy and its impact on stock market implied volatility during pleasant and unpleasant weather. (2021). Finta, Marinela Adriana. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x2100069x.

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2021Impact of Global Warming on SENSEX fluctuations — A study based on Multifractal detrended cross correlation analysis between the temperature anomalies and the SENSEX fluctuations. (2021). Ghosh, Dipak ; Chatterjee, Sucharita. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:571:y:2021:i:c:s037843712100087x.

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2022Analyst sentiment and earning forecast bias in financial markets. (2022). Zhang, Jiu ; Zhao, NA ; Bai, Ling ; Cen, Tao ; Xiong, Long ; Jiang, Xiong-Fei ; Zheng, Chang-Juan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121008669.

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2021Halloween effect and active fund management. (2021). Samios, Yiannis ; Kenourgios, Dimitris. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:534-544.

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2022Naval disasters, world war two and the British stock market. (2022). Urquhart, Andrew ; Hudson, Robert. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s027553192100177x.

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2022Calendar anomalies in passion investments: Price patterns and profit opportunities. (2022). Ji, Qiang ; Havrylina, Ahniia ; Bouri, Elie ; Plastun, Alex. In: Research in International Business and Finance. RePEc:eee:riibaf:v:61:y:2022:i:c:s0275531922000666.

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2021The Influence of Investors’ Mood on the Stock Prices: Evidence from Energy Firms in Warsaw Stock Exchange, Poland. (2021). Shahzad, Umer ; Mentel, Urszula ; Tarczyski, Waldemar. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:21:p:7396-:d:673347.

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2021The Impact of Weather Factors on Quotations of Energy Sector Companies on Warsaw Stock Exchange. (2021). Tarczyska-Uniewska, Magorzata ; Majewski, Sebastian ; Tarczyski, Waldemar ; Mentel, Grzegorz ; Majewska, Agnieszka. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:6:p:1536-:d:514552.

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2021.

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2021Does the Croatian Stock Market Have Seasonal Affective Disorder?. (2021). Škrinjarić, Tihana ; Ego, Boko ; Marasovi, Branka. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:2:p:89-:d:503333.

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2021Machine Learning in Finance: A Metadata-Based Systematic Review of the Literature. (2021). Warin, Thierry ; Stojkov, Aleksandar. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:302-:d:587602.

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2022.

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2021Forward-Looking Volatility Estimation for Risk-Managed Investment Strategies during the COVID-19 Crisis. (2021). Wallbaum, Kai ; Garbelli, Matteo ; di Persio, Luca. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:2:p:33-:d:490808.

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2021Differences in Local Rice Price Volatility, Climate, and Macroeconomic Determinants in the Indonesian Market. (2021). Koestoer, Raldi Hendro ; Supriatna, Jatna ; Putra, Agie Wandala ; Budhi, Tri Edhi. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:8:p:4465-:d:537440.

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2021Air Pollution Affects Decision-Making: Evidence from the Ballot Box. (2021). Pestel, Nico ; Bellani, Luna ; Elsner, Benjamin ; Ceolotto, Stefano. In: IZA Discussion Papers. RePEc:iza:izadps:dp14718.

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2021Sunset Long Shadows: Time, Crime, and Perception of Change. (2021). Jelnov, Pavel. In: IZA Discussion Papers. RePEc:iza:izadps:dp14770.

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2021Computing Macro-Effects and Welfare Costs of Temperature Volatility: A Structural Approach. (2021). Jüppner, Marcus ; Paradiso, Antonio ; Juppner, Marcus ; Donadelli, Michael ; Schlag, Christian. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10031-3.

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2022Impact of COVID-19 pandemic on the energy markets. (2022). Shaikh, Imlak. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:55:y:2022:i:1:d:10.1007_s10644-021-09320-0.

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2022Localized sentiment trading in heterogeneous labor markets: evidence from free agent signings. (2022). Whyte, Ann Marie ; Newman, Melinda ; Akhigbe, Aigbe. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:3:d:10.1007_s11156-021-01023-x.

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2021Air pollution, investor sentiment and excessive returns. (2021). Muntifering, Matthew. In: Journal of Asset Management. RePEc:pal:assmgt:v:22:y:2021:i:2:d:10.1057_s41260-021-00206-4.

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2021Are consumer confidence and asset value expectations positively associated with length of daylight?: An exploration of psychological mediators between length of daylight and seasonal asset price trans. (2021). Konishi, Yoko ; Sekizawa, Yoichi. In: PLOS ONE. RePEc:plo:pone00:0245520.

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2021IMPACT OF MENTAL HEALTH AND WELL-BEING OF INDIAN STOCK MARKET TRADERS. (2021). Sana, Alekhya ; Manda, Vijaya Kittu. In: MPRA Paper. RePEc:pra:mprapa:109941.

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2021Is There a Differential Market Size Effect in U.S. Free Agent Signings? Evidence From Localized Sentiment Trading. (2021). Whyte, Ann Marie ; Newman, Melinda ; Akhigbe, Aigbe. In: Journal of Sports Economics. RePEc:sae:jospec:v:22:y:2021:i:6:p:678-721.

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2022Mood Beta, Sentiment and Stock Returns in China. (2022). Li, Yuan. In: SAGE Open. RePEc:sae:sagope:v:12:y:2022:i:1:p:21582440221079873.

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2021Investor behavior and weather factors: evidences from Asian region. (2021). Kathiravan, Chinnadurai ; Venkateswar, Sankaran ; Selvam, Murugesan ; Balakrishnan, S. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03335-7.

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2021Volatility in the stock market: ANN versus parametric models. (2021). Clementi, Daniele ; Decclesia, Rita Laura. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03374-0.

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2021Curb appeal: how temporary weather patterns affect house prices. (2021). Gourley, Patrick. In: The Annals of Regional Science. RePEc:spr:anresc:v:67:y:2021:i:1:d:10.1007_s00168-020-01042-x.

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2022The forecasting of consumer exchange-traded funds (ETFs) via grey relational analysis (GRA) and artificial neural network (ANN). (2022). Chen, Jo-Hui ; Malinda, Maya. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:2:d:10.1007_s00181-021-02039-x.

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2021Soccer Scores, Short-Term Mood and Fertility. (2021). Cozzani, Marco ; Bernardi, Fabrizio. In: European Journal of Population. RePEc:spr:eurpop:v:37:y:2021:i:3:d:10.1007_s10680-021-09576-2.

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2021Light a lamp and look at the stock market. (2021). CHUNDAKKADAN, RADEEF. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00232-6.

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2021Investigating seasonality, policy intervention and forecasting in the Indian gold futures market: a comparison based on modeling non-constant variance using two different methods. (2021). Anuradha, N ; Nargunam, Rupel . In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00283-9.

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2022Investor sentiments and stock markets during the COVID-19 pandemic. (2022). Dibooglu, Sel ; Cevik, Emrah Ismail ; Altinkeski, Buket Kirci. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00375-0.

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2022Relationship Between Climate Risk and Physical and Organizational Capital. (2022). Zhang, Lei ; Lobo, Gerald ; Kanagaretnam, Kiridaran. In: Management International Review. RePEc:spr:manint:v:62:y:2022:i:2:d:10.1007_s11575-022-00467-0.

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2022The 1920s technological revolution and the crash of 1929: the role of RCA, DuPont, General Motors, and Union Carbide. (2022). Gulati, Bhraman ; Wuthisatian, Rattaphon ; Guerrero, Federico ; Papadovasilaki, Dimitra. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:5:d:10.1007_s43546-022-00208-3.

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2021Spring Forward, Dont Fall Back: The Effect of Daylight Saving Time on Road Safety. (2021). Schiele, Valentin ; Bnnings, Christian. In: The Review of Economics and Statistics. RePEc:tpr:restat:v:103:y:2021:i:1:p:165-176.

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2022Recurrent conditional heteroskedasticity. (2022). Kohn, Robert ; TRAN, MINHNGOC ; Nguyen, Trongnghia. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:5:p:1031-1054.

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Works by Mark Kamstra:


YearTitleTypeCited
2000Losing Sleep at the Market: The Daylight Saving Anomaly In: American Economic Review.
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article209
1998Losing Sleep at the Market: The Daylight-Savings Anomaly.(1998) In: Discussion Papers.
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This paper has another version. Agregated cites: 209
paper
2002Losing Sleep at the Market: The Daylight Saving Anomaly: Reply In: American Economic Review.
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article22
2003Winter Blues: A SAD Stock Market Cycle In: American Economic Review.
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article328
2002Winter blues: a SAD stock market cycle.(2002) In: FRB Atlanta Working Paper.
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This paper has another version. Agregated cites: 328
paper
2001Combining Bond Rating Forecasts Using Logit. In: The Financial Review.
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article24
1998Combining Bond Rating Forecasts Using Logit..(1998) In: Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 24
paper
2005VOLATILITY FORECASTS, TRADING VOLUME, AND THE ARCH VERSUS OPTION?IMPLIED VOLATILITY TRADE?OFF In: Journal of Financial Research.
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article19
2004Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off.(2004) In: FRB Atlanta Working Paper.
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This paper has another version. Agregated cites: 19
paper
2010Trills Instead of T-Bills: Its Time to Replace Part of Government Debt with Shares in GDP In: The Economists' Voice.
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article6
2008The Case for Trills: Giving Canadians and their Pension Funds a Stake in the Wealth of the Nation In: C.D. Howe Institute Commentary.
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article4
2010Estimating the Equity Premium In: Journal of Financial and Quantitative Analysis.
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article6
2009The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation In: Cowles Foundation Discussion Papers.
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paper5
1989Interval forecasting : An analysis based upon ARCH-quantile estimators In: Journal of Econometrics.
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article74
2005Winter blues and time variation in the price of risk In: Journal of Empirical Finance.
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article38
2004Winter blues and time variation in the price of risk.(2004) In: FRB Atlanta Working Paper.
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This paper has another version. Agregated cites: 38
paper
1997An artificial neural network-GARCH model for international stock return volatility In: Journal of Empirical Finance.
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article54
1998Combining qualitative forecasts using logit In: International Journal of Forecasting.
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article25
2009Is it the weather? Comment In: Journal of Banking & Finance.
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article14
2003Pricing firms on the basis of fundamentals In: Economic Review.
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article2
2001Rational exuberance: The fundamentals of pricing firms, from blue chip to “dot com” In: FRB Atlanta Working Paper.
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paper0
2003Stare down the barrel and center the crosshairs: Targeting the ex ante equity premium In: FRB Atlanta Working Paper.
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paper1
1996A New Dividend Forecasting Procedure That Rejects Bubbles in Asset Prices: The Case of 1929s Stock Crash. In: Review of Financial Studies.
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article39
Forecasting Fundamental Asset Return Distributions In: Computing in Economics and Finance 1997.
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paper2
1999The Accuracy of Fundamental Stock Market Price Estimates and a Refinement to the Donaldson-Kamstra Fundamental Estimate In: Computing in Economics and Finance 1999.
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paper0
2001Volatility Forecasts, Trading Volume and the ARCH vs. Option-Implied Volatility Tradeoff. In: Discussion Papers.
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paper2
1991A Neural Network Test for Heteroskedasticity. In: Discussion Papers.
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paper2
1995Evolving Artificial Neural Networks to Combine Financial Forecasts. In: Discussion Papers.
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paper3
1996Forecasting Fundamental Asset Return Distributions and Tests for Excess Volatility and Bubbles. In: Discussion Papers.
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paper1
1998The Ex Post Rational Price is Certainly Ex Post, It Might Be Rational, But Is It Useful? In: Discussion Papers.
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paper0
1999Dividends, Earnings and Fundamental Valuation. In: Discussion Papers.
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paper0
2005Waiting for returns: using space-time duality to calibrate financial diffusions In: Quantitative Finance.
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article1

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