Andrija Mihoci : Citation Profile


Are you Andrija Mihoci?

Brandenburgische Technische Universität Cottbus (80% share)
Humboldt-Universität Berlin (10% share)
Humboldt-Universität Berlin (10% share)

3

H index

2

i10 index

41

Citations

RESEARCH PRODUCTION:

3

Articles

7

Papers

1

Chapters

RESEARCH ACTIVITY:

   9 years (2009 - 2018). See details.
   Cites by year: 4
   Journals where Andrija Mihoci has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 3 (6.82 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmi550
   Updated: 2019-11-16    RAS profile: 2016-09-05    
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Relations with other researchers


Works with:

Härdle, Wolfgang (6)

Authors registered in RePEc who have co-authored more than one work in the last five years with Andrija Mihoci.

Is cited by:

Niu, Linlin (8)

Härdle, Wolfgang (6)

Hautsch, Nikolaus (4)

Rossi, Eduardo (3)

Santucci de Magistris, Paolo (3)

Caporin, Massimiliano (3)

Gallo, Giampiero (3)

Brownlees, Christian (3)

Zhou, Wei-Xing (1)

Ghysels, Eric (1)

Fleming, Michael (1)

Cites to:

Härdle, Wolfgang (17)

Engle, Robert (9)

Hautsch, Nikolaus (7)

Prigent, Jean-Luc (5)

Acerbi, Carlo (3)

Gallo, Giampiero (3)

Maillet, Bertrand (3)

Brownlees, Christian (3)

Bassett, Gilbert (3)

Cipollini, Fabrizio (3)

Gonzalo, Jesus (2)

Main data


Where Andrija Mihoci has published?


Journals with more than one article published# docs
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany6

Recent works citing Andrija Mihoci (2018 and 2017)


YearTitle of citing document
2017Limit-order book resiliency after effective market orders: Spread, depth and intensity. (2017). Xu, Hai-Chuan ; Zhou, Wei-Xing ; Zhang, Wei ; Xiong, Xiong ; Chen, Wei. In: Papers. RePEc:arx:papers:1602.00731.

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2017Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk). (2017). Chen, Rui ; Ziegel, Johanna F ; Patton, Andrew J. In: Papers. RePEc:arx:papers:1707.05108.

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2017Order Flows and Limit Order Book Resiliency on the Meso-Scale. (2017). Ludkovski, Michael ; Bechler, Kyle . In: Papers. RePEc:arx:papers:1708.02715.

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2017An adaptive approach to forecasting three key macroeconomic variables for transitional China. (2017). Niu, Linlin ; Chen, Ying ; Xu, Xiu. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:201-213.

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2017What drives the sensitivity of limit order books to company announcement arrivals?. (2017). Siikanen, Milla ; Luoma, Arto ; Kanniainen, Juho. In: Economics Letters. RePEc:eee:ecolet:v:159:y:2017:i:c:p:65-68.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2019Dynamic semiparametric models for expected shortfall (and Value-at-Risk). (2019). Chen, Rui ; Ziegel, Johanna F ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:388-413.

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2018Forecasting the term structure of option implied volatility: The power of an adaptive method. (2018). Niu, Linlin ; Han, Qian ; Chen, Ying. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:157-177.

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2017Limit order books and liquidity around scheduled and non-scheduled announcements: Empirical evidence from NASDAQ Nordic. (2017). Siikanen, Milla ; Valli, Jaakko ; Kanniainen, Juho. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:264-271.

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2018Liquidity and volatility in the U.S. treasury market. (2018). Ghysels, Eric ; Fleming, Michael ; Engle, Robert ; Nguyen, Giang. In: Staff Reports. RePEc:fip:fednsr:590.

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2017Time-Varying Window Length for Correlation Forecasts. (2017). McCurdy, Tom ; Jeon, Yoontae . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:54-:d:122391.

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2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249.

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2017Dynamic Semiparametric Factor Model with a Common Break. (2017). Wu, Wei Biao ; Wang, Weining ; Chen, Likai. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-026.

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Works by Andrija Mihoci:


YearTitleTypeCited
2012Modelling and forecasting liquidity supply using semiparametric factor dynamics In: Journal of Empirical Finance.
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article19
2009Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics.(2009) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 19
paper
2009Modelling and forecasting liquidity supply using semiparametric factor dynamics.(2009) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 19
paper
2018lCARE - localizing conditional autoregressive expectiles In: Journal of Empirical Finance.
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article2
2015lCARE – localizing Conditional AutoRegressive Expectiles.(2015) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 2
paper
2012Local Adaptive Multiplicative Error Models for High-Frequency Forecasts In: SFB 649 Discussion Papers.
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paper12
2015Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts.(2015) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 12
article
2014Adaptive Order Flow Forecasting with Multiplicative Error Models In: SFB 649 Discussion Papers.
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paper5
2015TERES - Tail Event Risk Expectile based Shortfall In: SFB 649 Discussion Papers.
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paper3
2016Academic Ranking Scales in Economics: Prediction and Imputation In: SFB 649 Discussion Papers.
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paper0
Modelling Limit Order Book Volume Covariance Structures In: Chapters.
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chapter0

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