Rui Menezes : Citation Profile


Are you Rui Menezes?

ISCTE - Instituto Universitário de Lisboa (ISCTE-IUL) (50% share)
ISCTE - Instituto Universitário de Lisboa (ISCTE-IUL) (50% share)

6

H index

4

i10 index

145

Citations

RESEARCH PRODUCTION:

10

Articles

11

Papers

RESEARCH ACTIVITY:

   10 years (2003 - 2013). See details.
   Cites by year: 14
   Journals where Rui Menezes has often published
   Relations with other researchers
   Recent citing documents: 23.    Total self citations: 2 (1.36 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pme337
   Updated: 2022-11-19    RAS profile: 2016-10-08    
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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 Rui Menezes.

Is cited by:

Yoon, Seong-Min (7)

Ferreira, Paulo (5)

Brandouy, Olivier (5)

Tabak, Benjamin (4)

Fernandez-Macho, Javier (3)

Corazza, Marco (3)

Vieira, Isabel (2)

Dionisio, Andreia (2)

Johnston, Craig (2)

Zhou, Wei-Xing (2)

Vrins, Frédéric (2)

Cites to:

Granger, Clive (9)

Beine, Michel (8)

CAPELLE-BLANCARD, Gunther (8)

Maasoumi, Esfandiar (6)

Maasoumi, Esfandiar (6)

Racine, Jeffrey (6)

Bollerslev, Tim (5)

Bekaert, Geert (5)

Gregory, Allan (4)

Hansen, Bruce (4)

Harvey, David (4)

Main data


Where Rui Menezes has published?


Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications5

Working Papers Series with more than one paper published# docs
Papers / arXiv.org7
Econometrics / University Library of Munich, Germany2

Recent works citing Rui Menezes (2022 and 2021)


YearTitle of citing document
2021The illiquidity network of stocks in Chinas market crash. (2020). Zhao, Jichang ; Tan, Xiaoling. In: Papers. RePEc:arx:papers:2004.01917.

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2021A Time Series Analysis-Based Stock Price Prediction Using Machine Learning and Deep Learning Models. (2020). Sen, Jaydip ; Mehtab, Sidra. In: Papers. RePEc:arx:papers:2004.11697.

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2022Tsallis Relative entropy from asymmetric distributions as a risk measure for financial portfolios. (2022). Page, Sherman ; Devi, Sandhya. In: Papers. RePEc:arx:papers:2205.13625.

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2022Efficiency of the Moscow Stock Exchange before 2022. (2022). Marmi, Stefano ; Mazzarisi, Piero ; Shternshis, Andrey. In: Papers. RePEc:arx:papers:2207.10476.

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2022Shannon entropy: an econophysical approach to cryptocurrency portfolios. (2022). Miramontes, Octavio ; Rodriguez-Rodriguez, Noe. In: Papers. RePEc:arx:papers:2210.02633.

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2021Generalized entropy plane based on multiscale weighted multivariate dispersion entropy for financial time series. (2021). Shang, Pengjian ; Wang, Zhuo. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:142:y:2021:i:c:s0960077920308651.

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2022A Monte-Carlo approach for pricing arithmetic Asian rainbow options under the mixed fractional Brownian motion. (2022). Shokrollahi, F ; Ballestra, L V ; Ahmadian, D. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:158:y:2022:i:c:s0960077922002338.

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2022Measuring market efficiency: The Shannon entropy of high-frequency financial time series. (2022). Marmi, Stefano ; Mazzarisi, Piero ; Shternshis, Andrey. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:162:y:2022:i:c:s0960077922006130.

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2022Using crowdsourced images to study selected cultural ecosystem services and their relationships with species richness and carbon sequestration. (2022). Lautenbach, Sven ; Volk, Martin ; Cord, Anna F ; Seo, Bumsuk ; Lee, Heera. In: Ecosystem Services. RePEc:eee:ecoser:v:54:y:2022:i:c:s2212041622000079.

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2021Hunting the quicksilver: Using textual news and causality analysis to predict market volatility. (2021). Dionisio, Andreia ; Banerjee, Ameet Kumar ; Mahapatra, Biplab ; Pradhan, H K. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001800.

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2022Information sharing among cryptocurrencies: Evidence from mutual information and approximate entropy during COVID-19. (2022). Demir, Ender ; Charif, Husni ; Assaf, Ata. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005183.

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2021Do protectionist trade policies integrate domestic markets? Evidence from the Canada-U.S. softwood lumber dispute. (2021). , Craig ; Guo, Jinggang. In: Forest Policy and Economics. RePEc:eee:forpol:v:130:y:2021:i:c:s1389934121001313.

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2021Does the twin deficit hypothesis exist in India? Empirical evidence from an asymmetric non-linear cointegration approach. (2021). Ramana, R V ; Behera, Smruti Ranjan ; Mallick, Lingaraj. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:24:y:2021:i:c:s1703494921000244.

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2021Information content of liquidity and volatility measures. (2021). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara ; Kliber, Agata. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:563:y:2021:i:c:s0378437120307627.

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2021Quantifying the randomness of the forex market. (2021). Lopez, Alvaro Garcia ; Delgado-Bonal, Alfonso . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:569:y:2021:i:c:s037843712100042x.

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2021A singular value decomposition entropy approach for testing stock market efficiency. (2021). Rodriguez, Eduardo ; Alvarez-Ramirez, Jose. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:583:y:2021:i:c:s0378437121006105.

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2022Sudden shock and stock market network structure characteristics: A comparison of past crisis events. (2022). Ji, Xiaoqin ; Huang, KE ; Wen, Zhang ; He, Chengying. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:180:y:2022:i:c:s004016252200258x.

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2022.

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2022On Financial Distributions Modelling Methods: Application on Regression Models for Time Series. (2022). Dewick, Paul R. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:10:p:461-:d:941657.

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2021.

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2021Minimum Rényi entropy portfolios. (2021). Vrins, Frédéric ; Lassance, Nathan. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03364-2.

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2021Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?. (2021). Mokni, Khaled ; Ajmi, Ahdi Noomen ; Youssef, Manel. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00227-3.

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2021Tail risk interdependence. (2021). Chiu, Chingwai ; Stoja, Evarist ; Polanski, Arnold. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5499-5511.

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Works by Rui Menezes:


YearTitleTypeCited
2007Entropy and Uncertainty Analysis in Financial Markets In: Papers.
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paper5
2008Long Memory and Volatility Clustering: is the empirical evidence consistent across stock markets? In: Papers.
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paper37
2008Long memory and volatility clustering: Is the empirical evidence consistent across stock markets?.(2008) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 37
article
2008Stock market volatility: An approach based on Tsallis entropy In: Papers.
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paper1
2011Globalization and long-run co-movements in the stock market for the G7: an application of VECM under structural breaks In: Papers.
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paper6
2006On the integrated behaviour of non-stationary volatility in stock markets In: Papers.
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paper8
2007On the integrated behaviour of non-stationary volatility in stock markets.(2007) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 8
article
2005An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market In: Papers.
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paper23
2006An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market.(2006) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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This paper has another version. Agregated cites: 23
article
2006Asymmetric Conditional Volatility in International Stock Markets In: Papers.
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paper2
2007Asymmetric conditional volatility in international stock markets.(2007) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 2
article
2010On the globalization of stock markets: An application of VECM, SSA technique and mutual information to the G7? In: CEFAGE-UE Working Papers.
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paper4
2007NONLINEAR DYNAMICS WITHIN MACROECONOMIC FACTORS AND STOCK MARKET IN PORTUGAL, 1993-2003 In: Applied Econometrics and International Development.
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article0
2013On the predictability of realized volatility using feasible GLS In: Journal of Asian Economics.
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article2
2004Asymmetric price transmission within the Portuguese stock market In: Physica A: Statistical Mechanics and its Applications.
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article5
2004Mutual information: a measure of dependency for nonlinear time series In: Physica A: Statistical Mechanics and its Applications.
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article26
2012On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries In: The Quarterly Review of Economics and Finance.
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article11
2007Price transmission in cross boundary supply chains In: Empirica.
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article6
2012On the predictive power of implied volatility indexes: A comparative analysis with GARCH forecasted volatility In: MPRA Paper.
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paper2
2003Mutual information: a dependence measure for nonlinear time series In: Econometrics.
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paper7
2004Linear and nonlinear models for the analysis of the relationship between stock market prices and macroeconomic and financial factors In: Econometrics.
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paper0

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