Cornelis A. Los : Citation Profile


Are you Cornelis A. Los?

University of California-Irvine

4

H index

3

i10 index

72

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: 8.    Total self citations: 26 (26.53 %)

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: 2020-10-24    RAS profile: 2020-10-08    
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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:

Fernandez, Viviana (6)

Sensoy, Ahmet (6)

Aloui, Chaker (6)

Nguyen, Duc Khuong (5)

Tabak, Benjamin (5)

Kočenda, Evžen (3)

Baruník, Jozef (3)

Vacha, Lukas (3)

Espinosa, Christian (3)

Şensoy, Ahmet (2)

Shahzad, Syed Jawad Hussain (2)

Cites to:

Bollerslev, Tim (21)

Fama, Eugene (17)

Mandelbrot, Benoît (14)

Dacorogna, Michel (14)

Baillie, Richard (10)

Olsen, Richard (9)

Cheung, Yin-Wong (8)

Lo, Andrew (7)

Calvet, Laurent (7)

Engle, Robert (7)

Fisher, Adlai (7)

Main data


Where Cornelis A. Los has published?


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

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 (2020 and 2019)


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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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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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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2020Can government stabilize the housing market? The evidence from South Korea. (2020). Ahn, Kwangwon ; Song, Yena ; Jang, Hanwool. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:550:y:2020:i:c:s037843711932271x.

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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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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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article23
2004Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997.(2004) In: Finance.
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This paper has another version. Agregated cites: 23
paper
2008Persistence characteristics of the Chinese stock markets In: International Review of Financial Analysis.
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article20
2005Persistence Characteristics of the Chinese Stock Markets.(2005) In: Finance.
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This paper has another version. Agregated cites: 20
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
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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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This paper has another version. Agregated cites: 0
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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This paper has another version. Agregated cites: 0
paper
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
paper
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
paper
1991A Scientific View of Economic Data Analysis In: Eastern Economic Journal.
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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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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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