Cornelis A. Los : Citation Profile


Are you Cornelis A. Los?

University of California-Irvine

4

H index

3

i10 index

70

Citations

RESEARCH PRODUCTION:

13

Articles

39

Papers

1

Books

14

Chapters

RESEARCH ACTIVITY:

   23 years (1985 - 2008). See details.
   Cites by year: 3
   Journals where Cornelis A. Los has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 26 (27.08 %)

EXPERT IN:

   Economic Methodology
   Mathematical and Quantitative Methods
   Market Structure, Pricing, and Design
   Information, Knowledge, and Uncertainty
   Prices, Business Fluctuations, and Cycles

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plo23
   Updated: 2020-08-09    RAS profile: 2019-10-14    
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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 Cornelis A. Los.

Is cited by:

Aloui, Chaker (6)

Fernandez, Viviana (6)

Sensoy, Ahmet (6)

Tabak, Benjamin (5)

Nguyen, Duc Khuong (5)

Vacha, Lukas (3)

Baruník, Jozef (3)

Kočenda, Evžen (3)

Espinosa, Christian (3)

Dominique, C-Rene (2)

Venegas-Martínez, Francisco (2)

Cites to:

Bollerslev, Tim (21)

Fama, Eugene (17)

Dacorogna, Michel (14)

Mandelbrot, Benoît (14)

Baillie, Richard (10)

Olsen, Richard (9)

Cheung, Yin-Wong (8)

Lo, Andrew (7)

Engle, Robert (7)

Fisher, Adlai (7)

Calvet, Laurent (7)

Main data


Where Cornelis A. Los has published?


Journals with more than one article published# docs
Journal of Multinational Financial Management3
Eastern Economic Journal2
International Review of Financial Analysis2
The IUP Journal of Financial Economics2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Finance / University Library of Munich, Germany25
Research Paper / Federal Reserve Bank of New York6
Econometrics / University Library of Munich, Germany3
School of Economics Working Papers / University of Adelaide, School of Economics2

Recent works citing Cornelis A. Los (2018 and 2017)


YearTitle of citing document
2020Econophysical bourse volatility – Global Evidence. (2020). Ghosh, Bikramaditya ; Mc, Krishna. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:9:y:2020:i:2:p:87-107.

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2017Do oil price asymmetric effects on the stock market persist in multiple time horizons?. (2017). Sun, Xiaoqi ; Gao, Xiangyun ; An, Haizhong ; Huang, Shupei. In: Applied Energy. RePEc:eee:appene:v:185:y:2017:i:p2:p:1799-1808.

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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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2019Long run analysis of crude oil portfolios. (2019). Cerqueti, Roy ; Fanelli, Viviana ; Rotundo, Giulia. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:183-205.

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2019Testing the oil price efficiency using various measures of long-range dependence. (2019). Tiwari, Aviral ; Roubaud, David ; Pathak, Rajesh. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303421.

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2017Decoding Chinese stock market returns: Three-state hidden semi-Markov model. (2017). Wang, Shixuan ; Liu, Zhenya. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:44:y:2017:i:c:p:127-149.

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2018Intraday return inefficiency and long memory in the volatilities of forex markets and the role of trading volume. (2018). Shahzad, Syed Jawad Hussain ; Kayani, Ghulam Mujtaba ; Hanif, Waqas ; Hernandez, Jose Areola ; Hussain, Syed Jawad. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:433-450.

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2019Revisiting the weak-form efficiency of the EUR/CHF exchange rate market: Evidence from episodes of different Swiss franc regimes. (2019). Stanley, Eugene H ; Shao, Hao-Lin ; Yang, Yan-Hong . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:734-746.

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2019Parameter identification for mixed fractional Brownian motions with the drift parameter. (2019). Wu, Xiang ; Xiao, Weilin ; Cheng, Xuwen ; Cai, Chunhao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:536:y:2019:i:c:s0378437119305783.

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2018Long-term stock market volatility and the influence of terrorist attacks in Europe. (2018). Gurdgiev, Constantin ; Corbet, Shaen ; Meegan, Andrew. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:118-131.

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2019The Effect of Extremely Small Price Limits: Evidence from the Early Period of the Chinese Stock Market. (2019). Li, Honggang ; Dong, Xinyue. In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:55:y:2019:i:7:p:1516-1530.

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2017Econophysics and Financial Economics: An Emerging Dialogue. (2017). Schinckus, Christophe ; Jovanovic, Franck . In: OUP Catalogue. RePEc:oxp:obooks:9780190205034.

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2018Modeling Returns of Stock Indexes through Fractional Brownian Motion Combined with Jump Processes and Modulated by Markov Chains. (2018). Venegas-Martínez, Francisco ; Martinez-Garcia, Miguel Angel ; Venegas-Martinez, Francisco ; Carpinteyro, Martha. In: MPRA Paper. RePEc:pra:mprapa:90549.

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2019Modelado de rendimientos de índices bursátiles mediante movimiento fraccional browniano combinado con procesos de saltos y modulado por cadenas de Markov / Modeling Returns of Stock Indexes through . (2019). Venegas-Martínez, Francisco ; Martinez, Miguel Angel ; Carpinteyro, Martha. In: Estocástica: finanzas y riesgo. RePEc:sfr:efruam:v:9:y:2019:i:2:p:163-180.

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Works by Cornelis A. Los:


YearTitleTypeCited
2000Wavelet Multiresolution Analysis of High-Frequency FX Rates, Summer 1997 In: School of Economics Working Papers.
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2000Visualization of Chaos for Finance Majors In: School of Economics Working Papers.
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paper4
2004Visualization of Chaos for Finance Majors.(2004) In: Finance.
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paper
1985Measurement Problems of Inflation Disaggregation. In: Journal of Business & Economic Statistics.
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article0
2005Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997 In: International Review of Financial Analysis.
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article22
2004Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997.(2004) In: Finance.
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paper
2008Persistence characteristics of the Chinese stock markets In: International Review of Financial Analysis.
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article19
2005Persistence Characteristics of the Chinese Stock Markets.(2005) In: Finance.
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This paper has another version. Agregated cites: 19
paper
1999Galtons Error and the under-representation of systematic risk In: Journal of Banking & Finance.
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2004Galtons Error and the Under-Representation of Systematic Risk.(2004) In: Finance.
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This paper has another version. Agregated cites: 0
paper
2006System identification in noisy data environments: An application to six Asian stock markets In: Journal of Banking & Finance.
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2004System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets.(2004) In: International Finance.
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paper
2006Persistence characteristics of Latin American financial markets In: Journal of Multinational Financial Management.
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2004Persistence Characteristics of Latin American Financial Markets.(2004) In: Finance.
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This paper has another version. Agregated cites: 10
paper
2004Persistence Characteristics of Latin American Financial Markets.(2004) In: Finance.
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This paper has another version. Agregated cites: 10
paper
1998Optimal multi-currency investment strategies with exact attribution in three Asian countries In: Journal of Multinational Financial Management.
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article0
2004Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries.(2004) In: Finance.
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1999Nonparametric testing of the high-frequency efficiency of the 1997 Asian foreign exchange markets In: Journal of Multinational Financial Management.
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article3
2004Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets.(2004) In: Finance.
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This paper has another version. Agregated cites: 3
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2007Long memory options: LM evidence and simulations In: Research in International Business and Finance.
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article5
2005Long Memory Options: LM Evidence and Simulations.(2005) In: Finance.
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This paper has another version. Agregated cites: 5
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1991A Scientific View of Economic Data Analysis In: Eastern Economic Journal.
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article0
1991A Scientific View of Economic Data Analysis: Reply In: Eastern Economic Journal.
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1986The ghost in the box: comment on \\what will take the con out of econometrics.\\ In: Research Paper.
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1986Collinearity analysis of a simple money demand equation In: Research Paper.
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paper0
1986Quality control of empirical econometrics: a status report In: Research Paper.
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1986Why there is still no empirical evidence for a money equation! Comments on \\an historical perspective to the econometrics of money and income.\\ In: Research Paper.
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1987The prejudices of least squares, principal components and common factor schemes In: Research Paper.
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1987Identification of a linear system from inexact data: a three variable example In: Research Paper.
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2005Why VaR FailsLong Memory and Extreme Events in Financial Markets In: The IUP Journal of Financial Economics.
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article1
2004Why VAR Fails: Long Memory and Extreme Events in Financial Markets.(2004) In: Finance.
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This paper has another version. Agregated cites: 1
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2006VISUALIZATION OF THE ROAD TO CHAOS FOR FINANCE AND ECONOMICS MAJORS In: The IUP Journal of Financial Economics.
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article1
2008Investment Model Uncertainty and Fair Pricing In: MPRA Paper.
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2004The Unscientific Incompleteness and Bias of Unidirectional Projections (= Regressions): A Questionnaire In: Econometrics.
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2004Model Uncertainty, Complexity and Rank in Finance In: Econometrics.
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2005Were Cobb and Douglas Prejudiced? A Critical Re-analysis of their 1928 Production Model Identification In: Econometrics.
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2004Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data In: Finance.
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2004The Changing Concept of Financial Risk In: Finance.
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2004The 1998 Third Annual Survey of Risk Management Practices of Unit Trusts in Singapore In: Finance.
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2004Optimal Asian Multi-Currency Strategy Portfolios with Exact Risk Attribution In: Finance.
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2004Valuation of Six Asian Stock Markets: Financial System Identification in Noisy Environments In: Finance.
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2004Long-Term Dependence Characteristics of European Stock Indices In: Finance.
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2004Dynamic Risk Profile of the US Term Structure by Wavelet MRA In: Finance.
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2004Measuring Financial Cash Flow and Term Structure Dynamics In: Finance.
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2004Long Memory Options: Valuation In: Finance.
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2004Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash In: Finance.
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2004Measuring the Degree of Efficiency of Financial Market In: Finance.
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2004When to Put All Your Eggs in One Basket.....When Diversification Increases Portfolio Risk! In: Finance.
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2005Measurement of Financial Risk Persistence In: Finance.
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2005Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate In: Finance.
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2005The Degree of Stability of Price Diffusion In: Finance.
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2004The Fed’s Consistent Monetary Policy: A Long Term Perspective In: Macroeconomics.
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2000Computational Finance:A Scientific Perspective In: World Scientific Books.
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2000A SCIENTIFIC PERSPECTIVE In: World Scientific Book Chapters.
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2000CAPITAL BUDGETING AND ANALYTIC FORMULAS In: World Scientific Book Chapters.
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2000FUNDAMENTAL SECURITY VALUATION In: World Scientific Book Chapters.
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2000ANALYSIS OF EXACT DATA I In: World Scientific Book Chapters.
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2000ANALYSIS OF INEXACT DATA II In: World Scientific Book Chapters.
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2000OPTIMAL PORTFOLIO FORMATION In: World Scientific Book Chapters.
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2000SYSTEMATIC FINANCIAL RISK ANALYSIS In: World Scientific Book Chapters.
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2000COMPLETE VALUATION AND DYNAMIC RISK THEORY In: World Scientific Book Chapters.
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2000OPTION PRICING I In: World Scientific Book Chapters.
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2000OPTION PRICING II.(2000) In: World Scientific Book Chapters.
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2000BOND PORTFOLIO VALUATION AND MANAGEMENT In: World Scientific Book Chapters.
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2000FORWARDS AND FUTURES In: World Scientific Book Chapters.
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2000SWAPS In: World Scientific Book Chapters.
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2000MULTI-CURRENCY INVESTMENTS AND EXACT PERFORMANCE ATTRIBUTION In: World Scientific Book Chapters.
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