Citation profile for Marius Matei

Marius Matei : Citation Profile

Academia Romana (47% share)
Banca Nationala a Romaniei (47% share)
Macquarie University (6% share)

H index

i10 index

Citations

RESEARCH PRODUCTION:

Articles

Papers

RESEARCH ACTIVITY:

   10 years (2009 - 2019). See details.
   Cites by year: 4
   Journals where Marius Matei has often published
   Relations with other researchers
   Recent citing documents: 5.    Total self citations: 2 (4 %)

MORE DETAILS IN:

EconPapers Author's homepage

ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma1184
   Updated: 2024-01-16    RAS profile: 2019-11-28
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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 Marius Matei.

Is cited by:

Yang, Xiye (3)

Baumohl, Eduard (3)

Výrost, Tomáš (3)

Neely, Christopher (2)

Scheule, Harald (2)

Luciani, Matteo (2)

McMahon, Michael (1)

Anufriev, Mikhail (1)

Carmona-Benítez, Rafael (1)

Acatrinei, Marius (1)

Gradojevic, Nikola (1)

Cites to:

Bollerslev, Tim (44)

Andersen, Torben (32)

Diebold, Francis (29)

Engle, Robert (13)

Hansen, Peter (10)

Shephard, Neil (10)

Tauchen, George (9)

Lunde, Asger (8)

Ait-Sahalia, Yacine (8)

Meddahi, Nour (6)

Harvey, Andrew (5)

Main data

Where Marius Matei has published?

Journals with more than one article published	# docs
Journal for Economic Forecasting	4

Working Papers Series with more than one paper published	# docs
Working Papers / University of Tasmania, Tasmanian School of Business and Economics	2

Recent works citing Marius Matei (2024 and 2023)

Year	Title of citing document
2023	Quantifying Long-Term Volatility for Developed Stock Markets: An Empirical Case Study Using PGARCH Model on Toronto Stock Exchange (TSX). (2023). Manohar, Singh ; Abhishek, Anand ; Simion, Mircea Laurentiu ; Birau, Ramona ; Bharat, Meher Kumar ; Santosh, Kumar. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2023:i:2:p:61-68. Full description at Econpapers \|\| Download paper
2023	Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns. (2023). Peng, Zhe ; Xu, Mengyu ; Zhang, Zhengjun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003613. Full description at Econpapers \|\| Download paper
2023	Shot-noise cojumps: exact simulation and option pricing. (2023). Zhao, Hongbiao ; Dassios, Angelos ; Qu, Yan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:111537. Full description at Econpapers \|\| Download paper
2023	Mind Your Language: Market Responses to Central Bank Speeches. (2023). Yang, Xiye ; Neely, Christopher J ; McMahon, Michael ; Erdemlioglu, Deniz ; Ahrens, Maximilian. In: Working Papers. RePEc:fip:fedlwp:96270. Full description at Econpapers \|\| Download paper
2023	Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490. Full description at Econpapers \|\| Download paper

Works by Marius Matei:

Year	Title	Type	Cited
2018	Testing for mutually exciting jumps and financial flights in high frequency data In: Journal of Econometrics. [Full Text][Citation analysis]	article	13
2019	Bivariate Volatility Modeling with High-Frequency Data In: Econometrics. [Full Text][Citation analysis]	article	2
2009	Assessing Volatility Forecasting Models: Why GARCH Models Take the Lead In: Journal for Economic Forecasting. [Full Text][Citation analysis]	article	11
2011	Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data In: Journal for Economic Forecasting. [Full Text][Citation analysis]	article	0
2012	Perspectives on risk measurement: a critical assessment of PC-GARCH against the main volatility forecasting models In: Journal for Economic Forecasting. [Full Text][Citation analysis]	article	1
2012	Price Volatility Forecast for Agricultural Commodity Futures? The Role of High Frequency Data In: Journal for Economic Forecasting. [Full Text][Citation analysis]	article	4
2010	Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes In: Working Papers of Institute for Economic Forecasting. [Full Text][Citation analysis]	paper	0
2009	Analiza riscului în evaluarea oportunitatilor internationale de investitii. Perspective în modelarea si previzionarea volatilitatii utilizate în estimarea riscului In: Working Papers of Macroeconomic Modelling Seminar. [Full Text][Citation analysis]	paper	0
2014	Identifying periods of financial stress in Asian currencies: the role of high frequency financial market data In: Working Papers. [Full Text][Citation analysis]	paper	2
2015	Surfing through the GFC: systemic risk in Australia In: Working Papers. [Full Text][Citation analysis]	paper	15