6
H index
3
i10 index
116
Citations
ISCTE - Instituto Universitário de Lisboa (ISCTE-IUL) (50% share) | 6 H index 3 i10 index 116 Citations RESEARCH PRODUCTION: 10 Articles 11 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: | Cites to: |
Journals with more than one article published | # docs |
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Physica A: Statistical Mechanics and its Applications | 5 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 7 |
Econometrics / University Library of Munich, Germany | 2 |
Year | Title of citing document |
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2020 | The illiquidity network of stocks in Chinas market crash. (2020). Zhao, Jichang ; Tan, Xiaoling. In: Papers. RePEc:arx:papers:2004.01917. Full description at Econpapers || Download paper |
2020 | Information 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. Full description at Econpapers || Download paper |
2020 | Information flow networks of Chinese stock market sectors. (2020). Zhou, Wei-Xing ; Yan, Wanfeng ; Cai, Qing ; Yue, Peng. In: Papers. RePEc:arx:papers:2004.08759. Full description at Econpapers || Download paper |
2020 | A 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. Full description at Econpapers || Download paper |
2020 | A micro-to-macro approach to returns, volumes and waiting times. (2020). Petroni, Filippo ; D'Amico, Guglielmo. In: Papers. RePEc:arx:papers:2007.06262. Full description at Econpapers || Download paper |
2020 | Do 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. Full description at Econpapers || Download paper |
2020 | Characterization of time series through information quantifiers. (2020). Shang, Pengjian ; Liu, Zhengli ; Wang, Yuanyuan. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:132:y:2020:i:c:s0960077919305223. Full description at Econpapers || Download paper |
2020 | Measuring 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. Full description at Econpapers || Download paper |
2020 | Dynamic 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. Full description at Econpapers || Download paper |
2020 | Product 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. Full description at Econpapers || Download paper |
2020 | Complexity 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. Full description at Econpapers || Download paper |
2020 | Fluctuation 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. Full description at Econpapers || Download paper |
2021 | Information 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. Full description at Econpapers || Download paper |
2020 | Boltzmann Entropy in Cryptocurrencies: A Statistical Ensemble Based Approach. (2020). Grilli, Luca ; Santoro, Domenico. In: MPRA Paper. RePEc:pra:mprapa:99591. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2007 | Entropy and Uncertainty Analysis in Financial Markets In: Papers. [Full Text][Citation analysis] | paper | 4 |
2008 | Long Memory and Volatility Clustering: is the empirical evidence consistent across stock markets? In: Papers. [Full Text][Citation analysis] | paper | 32 |
2008 | Long memory and volatility clustering: Is the empirical evidence consistent across stock markets?.(2008) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | article | |
2008 | Stock market volatility: An approach based on Tsallis entropy In: Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | Globalization and long-run co-movements in the stock market for the G7: an application of VECM under structural breaks In: Papers. [Full Text][Citation analysis] | paper | 5 |
2006 | On the integrated behaviour of non-stationary volatility in stock markets In: Papers. [Full Text][Citation analysis] | paper | 8 |
2007 | On the integrated behaviour of non-stationary volatility in stock markets.(2007) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2005 | An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market In: Papers. [Full Text][Citation analysis] | paper | 18 |
2006 | An 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. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | article | |
2006 | Asymmetric Conditional Volatility in International Stock Markets In: Papers. [Full Text][Citation analysis] | paper | 2 |
2007 | Asymmetric conditional volatility in international stock markets.(2007) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2010 | On the globalization of stock markets: An application of VECM, SSA technique and mutual information to the G7? In: CEFAGE-UE Working Papers. [Full Text][Citation analysis] | paper | 4 |
2007 | NONLINEAR DYNAMICS WITHIN MACROECONOMIC FACTORS AND STOCK MARKET IN PORTUGAL, 1993-2003 In: Applied Econometrics and International Development. [Full Text][Citation analysis] | article | 0 |
2013 | On the predictability of realized volatility using feasible GLS In: Journal of Asian Economics. [Full Text][Citation analysis] | article | 1 |
2004 | Asymmetric price transmission within the Portuguese stock market In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 3 |
2004 | Mutual information: a measure of dependency for nonlinear time series In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 19 |
2012 | On 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. [Full Text][Citation analysis] | article | 6 |
2007 | Price transmission in cross boundary supply chains In: Empirica. [Full Text][Citation analysis] | article | 6 |
2012 | On the predictive power of implied volatility indexes: A comparative analysis with GARCH forecasted volatility In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
2003 | Mutual information: a dependence measure for nonlinear time series In: Econometrics. [Full Text][Citation analysis] | paper | 7 |
2004 | Linear and nonlinear models for the analysis of the relationship between stock market prices and macroeconomic and financial factors In: Econometrics. [Full Text][Citation analysis] | paper | 0 |
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