Elizabeth Ann Maharaj : Citation Profile


Are you Elizabeth Ann Maharaj?

Monash University

6

H index

3

i10 index

103

Citations

RESEARCH PRODUCTION:

13

Articles

8

Papers

RESEARCH ACTIVITY:

   19 years (1994 - 2013). See details.
   Cites by year: 5
   Journals where Elizabeth Ann Maharaj has often published
   Relations with other researchers
   Recent citing documents: 19.    Total self citations: 5 (4.63 %)

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   Permalink: http://citec.repec.org/pma1840
   Updated: 2020-08-01    RAS profile:    
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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 Elizabeth Ann Maharaj.

Is cited by:

Caiado, Jorge (9)

Verona, Fabio (8)

Crato, Nuno (6)

D'Urso, Pierpaolo (5)

Peña, Daniel (5)

Otranto, Edoardo (4)

Faria, Gonçalo (4)

Liu, Shen (3)

Bastos, João (3)

Slottje, Daniel (2)

Hirschberg, Joseph (2)

Cites to:

ausloos, marcel (9)

Peña, Daniel (6)

Crato, Nuno (5)

Caiado, Jorge (5)

Harvey, Campbell (5)

Cajueiro, Daniel (3)

Taylor, John (3)

Cincotti, Silvano (3)

Williams, John (3)

faff, robert (3)

Kim, Jae (3)

Main data


Where Elizabeth Ann Maharaj has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis4
Physica A: Statistical Mechanics and its Applications2

Working Papers Series with more than one paper published# docs
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics6

Recent works citing Elizabeth Ann Maharaj (2018 and 2017)


YearTitle of citing document
2017The Future of Money: Liquidity co-movement between financial institutions and real estate firms: evidence from China. (2017). Xie, RU ; Williams, Jonathan ; Huang, Sheng. In: Working Papers. RePEc:bng:wpaper:17004.

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2017Forecasting the equity risk premium with frequency-decomposed predictors. (2017). Verona, Fabio ; Faria, Gonçalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_001.

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2018The equity risk premium and the low frequency of the term spread. (2018). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_007.

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2020Time-frequency forecast of the equity premium. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_006.

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2019ESTIMATING HEDGING EFFECTIVENESS USING VARIANCE REDUCTION AND RISK-RETURN APPROACHES: EVIDENCE FROM NATIONAL STOCK EXCHANGE OF INDIA. (2019). Gupta, Kapil ; Kaur, Mandeep. In: Copernican Journal of Finance & Accounting. RePEc:cpn:umkcjf:v:8:y:2019:i:4:p:149-169.

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2018Classification tree methods for panel data using wavelet-transformed time series. (2018). Zhao, Xin ; Milan, Zoka ; Taylor, Charles C ; Barber, Stuart . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:127:y:2018:i:c:p:204-216.

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2018Forecasting stock market returns by summing the frequency-decomposed parts. (2018). Verona, Fabio ; Faria, Gonalo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:228-242.

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2017Thawing frozen capital markets and backdoor bailouts: Evidence from the Feds liquidity programs. (2017). Helwege, Jean ; Jindra, Jan ; Boyson, Nicole M. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:76:y:2017:i:c:p:92-119.

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2017Reprint of: Thawing frozen capital markets and backdoor bailouts: Evidence from the Feds liquidity programs. (2017). Helwege, Jean ; Jindra, Jan ; Boyson, Nicole M. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:193-220.

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2019A new method to compare the spectral densities of two independent periodically correlated time series. (2019). Roohi, Reza ; Heydari, Mohammad Hossein ; Mahmoudi, Mohammad Reza. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:160:y:2019:i:c:p:103-110.

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2019Robust multivariate and functional archetypal analysis with application to financial time series analysis. (2019). Epifanio, Irene ; Moliner, Jesus. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:519:y:2019:i:c:p:195-208.

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2017Forecasting stock market returns by summing the frequency-decomposed parts. (2017). Verona, Fabio ; Faria, Gonalo. In: CEF.UP Working Papers. RePEc:por:cetedp:1702.

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2020Long memory and fractality among global equity markets: A multivariate wavelet approach. (2020). Bhandari, Avishek. In: MPRA Paper. RePEc:pra:mprapa:99653.

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2017Fuzzy data analysis and classification. (2017). DUrso, Pierpaolo ; Gil, Maria Angeles. In: Advances in Data Analysis and Classification. RePEc:spr:advdac:v:11:y:2017:i:4:d:10.1007_s11634-017-0304-z.

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2018Temporal clustering of time series via threshold autoregressive models: application to commodity prices. (2018). Aslan, Sipan ; Iyigun, Cem ; Yozgatligil, Ceylan . In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-017-2659-0.

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2018The Hierarchical Spectral Merger Algorithm: A New Time Series Clustering Procedure. (2018). Euan, Carolina ; Ortega, Joaquin ; Ombao, Hernando. In: Journal of Classification. RePEc:spr:jclass:v:35:y:2018:i:1:d:10.1007_s00357-018-9250-5.

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2018Modeling Binary Time Series Using Gaussian Processes with Application to Predicting Sleep States. (2018). Gao, XU ; Ombao, Hernando ; Shahbaba, Babak. In: Journal of Classification. RePEc:spr:jclass:v:35:y:2018:i:3:d:10.1007_s00357-018-9268-8.

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2018Nonlinear Time Series Clustering Based on Kolmogorov-Smirnov 2D Statistic. (2018). Zhang, Beibei ; Chen, Rong. In: Journal of Classification. RePEc:spr:jclass:v:35:y:2018:i:3:d:10.1007_s00357-018-9271-0.

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2019Higher Co-Moments and Downside Beta in Asset Pricing. (2019). Kashif, Muhammad ; Chhapra, Imran Umer. In: Asian Academy of Management Journal of Accounting and Finance (AAMJAF). RePEc:usm:journl:aamjaf01501_129-155.

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Works by Elizabeth Ann Maharaj:


YearTitleTypeCited
2005On the comparison of time series using subsampling In: DES - Working Papers. Statistics and Econometrics. WS.
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paper4
2006Comparison of time series using subsampling.(2006) In: Computational Statistics & Data Analysis.
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article
2002Comparison of non-stationary time series in the frequency domain In: Computational Statistics & Data Analysis.
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article18
2001Comparison of Non-Stationary Time Series in the Frequency Domain..(2001) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 18
paper
2007Discrimination of locally stationary time series using wavelets In: Computational Statistics & Data Analysis.
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article8
2013A hypothesis test using bias-adjusted AR estimators for classifying time series in small samples In: Computational Statistics & Data Analysis.
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article3
2012The impact of a new term auction facility on Libor–OIS spreads and volatility transmission between money and mortgage markets during the subprime crisis In: Journal of International Money and Finance.
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article9
2010A coherence-based approach for the pattern recognition of time series In: Physica A: Statistical Mechanics and its Applications.
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article6
2012A wavelet based investigation of long memory in stock returns In: Physica A: Statistical Mechanics and its Applications.
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article9
2010Impact of capital control measures on the Malaysian stock market: A multiresolution analysis In: International Journal of Managerial Finance.
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article1
2008Wavelet Estimation of Asymmetric Hedge Ratios: Does Econometric Sophistication Boost Hedging Effectiveness? In: International Journal of Business and Economics.
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article2
1994A Significance Test for Classifying ARMA Models. In: Monash Econometrics and Business Statistics Working Papers.
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paper24
1995Homogeneity of Variance Test for the Comparison of Two or More Spectra. In: Monash Econometrics and Business Statistics Working Papers.
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paper0
1999A Test for the Difference Parameter of the ARFIMA Model Using the Moving Blocks Bootstrap. In: Monash Econometrics and Business Statistics Working Papers.
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paper0
2003Using Evolutionary Spectra to Forecast Time Series In: Monash Econometrics and Business Statistics Working Papers.
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2004Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns: evidence in Australian data In: Monash Econometrics and Business Statistics Working Papers.
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2004Wavelet timescales and conditional relationship between higher- order systematic co-moments and portfolio returns: evidence in Australian data.(2004) In: Finance.
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paper
2010Wavelet-based Fuzzy Clustering of Time Series In: Journal of Classification.
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article6
2008Estimation and analysis of the Hurst exponent for Australian stocks using wavelet analysis In: Applied Financial Economics Letters.
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article1
2008Relationship between downside risk and return: new evidence through a multiscaling approach In: Applied Financial Economics.
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article1
2008Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns In: Quantitative Finance.
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article11

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