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

3

i10 index

111

Citations

RESEARCH PRODUCTION:

10

Articles

11

Papers

RESEARCH ACTIVITY:

   10 years (2003 - 2013). See details.
   Cites by year: 11
   Journals where Rui Menezes has often published
   Relations with other researchers
   Recent citing documents: 23.    Total self citations: 2 (1.77 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pme337
   Updated: 2020-10-17    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)

Brandouy, Olivier (5)

Tabak, Benjamin (4)

Ferreira, Paulo (4)

Fernandez-Macho, Javier (3)

Corazza, Marco (3)

Zhou, Wei-Xing (2)

Vieira, Isabel (2)

Dionisio, Andreia (2)

Živkov, Dejan (2)

Fernandez Bariviera, Aurelio (2)

Cites to:

Granger, Clive (8)

Racine, Jeffrey (6)

Maasoumi, Esfandiar (6)

Maasoumi, Esfandiar (6)

Harvey, David (4)

Clements, Adam (4)

Bollerslev, Tim (4)

Bekaert, Geert (4)

Masih, Abul (4)

Hassani, Hossein (3)

Poon, Ser-Huang (3)

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 (2020 and 2019)


YearTitle of citing document
2019Nonlinear dependencies on Brazilian equity network from mutual information minimum spanning trees. (2019). Prataviera, G A ; Barbi, A Q. In: Papers. RePEc:arx:papers:1711.06185.

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2019Financial Portfolios based on Tsallis Relative Entropy as the Risk Measure. (2019). Devi, Sandhya. In: Papers. RePEc:arx:papers:1901.04945.

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

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2020Information transfer between stock market sectors: A comparison between the USA and China. (2020). Zhou, Wei-Xing ; Batten, Jonathan A ; Fan, Yaodong ; Yue, Peng. In: Papers. RePEc:arx:papers:2004.07612.

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2020Information flow networks of Chinese stock market sectors. (2020). Zhou, Wei-Xing ; Yan, Wanfeng ; Cai, Qing ; Yue, Peng. In: Papers. RePEc:arx:papers:2004.08759.

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2020A 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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2020A micro-to-macro approach to returns, volumes and waiting times. (2020). Petroni, Filippo ; D'Amico, Guglielmo. In: Papers. RePEc:arx:papers:2007.06262.

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2020Do Protectionist Trade Policies Integrate Domestic Markets? Evidence from the Canada-U.S. Softwood Lumber Dispute. (2020). , Craig ; Guo, Jinggang. In: Staff Working Papers. RePEc:bca:bocawp:20-10.

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2019Tail risk interdependence. (2019). Chiu, Ching-Wai ; Stoja, Evarist ; Polanski, Arnold. In: Bank of England working papers. RePEc:boe:boeewp:0815.

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2020Characterization of time series through information quantifiers. (2020). Wang, Yuanyuan ; Shang, Pengjian ; Liu, Zhengli. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:132:y:2020:i:c:s0960077919305223.

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2020Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis. (2020). Su, Xianfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304085.

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2020Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets. (2020). Su, Xianfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301157.

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2020Product differentiation and dynamics of cost pass-through in the German fish market: An error-correction-distance measure approach. (2020). Gordon, Daniel V ; Bronnmann, Julia ; Bittmann, Thomas. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:19:y:2020:i:c:s2405851319300704.

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2019Multiscale joint permutation entropy for complex time series. (2019). Yin, YI ; Peng, Chung-Kang ; Ahn, Andrew C ; Shang, Pengjian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:515:y:2019:i:c:p:388-402.

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2019Nonlinear dependencies on Brazilian equity network from mutual information minimum spanning trees. (2019). Prataviera, G A ; Barbi, A Q. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:876-885.

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2019Modeling the predictive power of the singular value decomposition-based entropy. Empirical evidence from the Dow Jones Global Titans 50 Index. (2019). Busu, Mihail. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119304340.

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2019The correlation structure in the international stock markets during global financial crisis. (2019). Mei, Dong-Cheng ; Gao, Hai-Ling. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119312002.

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2019Persistence in firm’s asset and equity volatility. (2019). Lovreta, Lidija ; Gonzalez-Pla, Francisco. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s037843711931310x.

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2020Complexity analysis of time series based on generalized fractional order cumulative residual distribution entropy. (2020). Shang, Pengjian ; Wang, YU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:537:y:2020:i:c:s0378437119314785.

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2020Fluctuation behavior analysis of stochastic exclusion financial dynamics with random jump. (2020). Wang, Jun ; Ke, Jinchuan ; Jia, Linlu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319545.

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2020Boltzmann Entropy in Cryptocurrencies: A Statistical Ensemble Based Approach. (2020). Grilli, Luca ; Santoro, Domenico. In: MPRA Paper. RePEc:pra:mprapa:99591.

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2019Frontier markets’ efficiency: mutual information and detrended fluctuation analyses. (2019). Vieira, Isabel ; Ferreira, Paulo ; Dionisio, Andreia ; Mohti, Wahbeeah. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:14:y:2019:i:3:d:10.1007_s11403-018-0224-9.

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Works by Rui Menezes:


YearTitleTypeCited
2007Entropy and Uncertainty Analysis in Financial Markets In: Papers.
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paper4
2008Long Memory and Volatility Clustering: is the empirical evidence consistent across stock markets? In: Papers.
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paper32
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: 32
article
2008Stock market volatility: An approach based on Tsallis entropy In: Papers.
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paper0
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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paper5
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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paper15
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: 15
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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article1
2004Asymmetric price transmission within the Portuguese stock market In: Physica A: Statistical Mechanics and its Applications.
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article3
2004Mutual information: a measure of dependency for nonlinear time series In: Physica A: Statistical Mechanics and its Applications.
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article17
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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article6
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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paper1
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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