Michael Neumann : Citation Profile


Are you Michael Neumann?

Queen Mary University of London

2

H index

1

i10 index

21

Citations

RESEARCH PRODUCTION:

2

Articles

1

Papers

RESEARCH ACTIVITY:

   3 years (2011 - 2014). See details.
   Cites by year: 7
   Journals where Michael Neumann has often published
   Relations with other researchers
   Recent citing documents: 6.    Total self citations: 1 (4.55 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pne203
   Updated: 2017-09-16    RAS profile: 2014-10-23    
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Relations with other researchers


Works with:

Skiadopoulos, George (2)

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

Is cited by:

Skiadopoulos, George (4)

Escobar Anel, Marcos (2)

Wolff, Christian (2)

Rasmouki, Fanou (1)

Lehnert, Thorsten (1)

Lin, Hai (1)

bekkour, lamia (1)

Power, Gabriel (1)

Lambrinoudakis, Costas (1)

Skintzi, Vasiliki (1)

Bernales, Alejandro (1)

Cites to:

Guidolin, Massimo (1)

PETITJEAN, Mikael (1)

Mele, Antonio (1)

Skiadopoulos, George (1)

Bollerslev, Tim (1)

Urga, Giovanni (1)

Goncalves, Silvia (1)

Neely, Christopher (1)

Fornari, Fabio (1)

Rangel, Jose (1)

Easley, David (1)

Main data


Where Michael Neumann has published?


Recent works citing Michael Neumann (2017 and 2016)


YearTitle of citing document
2016International stock market cointegration under the risk-neutral measure. (2016). Power, Gabriel ; Gagnon, Marie-Helene ; Toupin, Dominique . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:243-255.

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2016On the predictability of model-free implied correlation. (2016). Skintzi, Vasiliki ; Refenes, Apostolos ; Markopoulou, Chryssa . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:527-547.

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2016How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns. (2016). Skiadopoulos, George ; Konstantinidi, Eirini . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:62:y:2016:i:c:p:62-75.

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2016Inflation Protected Investment Strategies. (2016). Mahlstedt, Mirco ; Zagst, Rudi . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:2:p:9-:d:66628.

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2016Forecasting and pricing powers of option-implied tree models: Tranquil and volatile market conditions. (2016). Elyasiani, Elyas ; Ruggieri, Alessio ; Muzzioli, Silvia . In: Department of Economics. RePEc:mod:depeco:0099.

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2016Fear or greed? What does a skewness index measure?. (2016). Elyasiani, Elyas ; Muzzioli, Silvia ; Gambarelli, Luca . In: Department of Economics. RePEc:mod:depeco:0102.

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Works by Michael Neumann:


YearTitleTypeCited
2013Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Options In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article16
2014Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market In: Working Papers.
[Full Text][Citation analysis]
paper0
2011ASSET CORRELATIONS IN TURBULENT MARKETS AND THE IMPACT OF DIFFERENT REGIMES ON ASSET MANAGEMENT In: Asia-Pacific Journal of Operational Research (APJOR).
[Full Text][Citation analysis]
article5

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