Andrew Patton : Citation Profile


Are you Andrew Patton?

Duke University (90% share)
London School of Economics (LSE) (5% share)

21

H index

28

i10 index

1904

Citations

RESEARCH PRODUCTION:

35

Articles

42

Papers

1

Chapters

RESEARCH ACTIVITY:

   16 years (2000 - 2016). See details.
   Cites by year: 119
   Journals where Andrew Patton has often published
   Relations with other researchers
   Recent citing documents: 376.    Total self citations: 27 (1.4 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppa34
   Updated: 2017-11-18    RAS profile: 2017-04-06    
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Relations with other researchers


Works with:

Ramadorai, Tarun (6)

Quaedvlieg, Rogier (3)

Bollerslev, Tim (3)

Liu, Lily (2)

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

Is cited by:

Lucas, Andre (26)

Reboredo, Juan (22)

Baruník, Jozef (19)

McAleer, Michael (19)

Koopman, Siem Jan (19)

Christoffersen, Peter (16)

van Dijk, Dick (16)

Clements, Michael (14)

Fantazzini, Dean (13)

Lee, Tae Hwy (13)

Hautsch, Nikolaus (13)

Cites to:

Bollerslev, Tim (83)

Diebold, Francis (61)

Andersen, Torben (57)

Hansen, Peter (41)

Shephard, Neil (39)

Lunde, Asger (33)

White, Halbert (33)

Engle, Robert (31)

Barndorff-Nielsen, Ole (29)

West, Kenneth (26)

Meddahi, Nour (21)

Main data


Where Andrew Patton has published?


Journals with more than one article published# docs
Journal of Econometrics7
Journal of Business & Economic Statistics4
Journal of Finance3
Review of Financial Studies2

Working Papers Series with more than one paper published# docs
Working Papers / Duke University, Department of Economics5
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego4
Working Papers / Warwick Business School, Finance Group3
OFRC Working Papers Series / Oxford Financial Research Centre2
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Andrew Patton (2017 and 2016)


YearTitle of citing document
2016Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael . In: CREATES Research Papers. RePEc:aah:create:2016-17.

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2016Volume, Volatility and Public News Announcements. (2016). Li, Jia ; Xue, Yuan . In: CREATES Research Papers. RePEc:aah:create:2016-19.

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2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2017-13.

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2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19.

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2017Variance swap payoffs, risk premia and extreme market conditions. (2017). , Jeroen ; Violante, Francesco ; Stentoft, Lars . In: CREATES Research Papers. RePEc:aah:create:2017-21.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger . In: CREATES Research Papers. RePEc:aah:create:2017-26.

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2017Modelling and forecasting WIG20 daily returns. (2017). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina . In: CREATES Research Papers. RePEc:aah:create:2017-29.

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2016CoVaR. (2016). Brunnermeier, Markus ; Adrian, Tobias. In: American Economic Review. RePEc:aea:aecrev:v:106:y:2016:i:7:p:1705-41.

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2017The Social Cost of Near-Rational Investment. (2017). Hassan, Tarek ; Mertens, Thomas M. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:4:p:1059-1103.

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2016TIME VARYING CORRELATION RESEARCH AMONG CORN, ETHANOL, AND GASOLINE: COPULA –GARCH APPROACH. (2016). Anderson, David P ; Welch, Mark J ; Su, Sang . In: 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama. RePEc:ags:saea17:252741.

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2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:1504.03733.

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2017Correction to Black-Scholes formula due to fractional stochastic volatility. (2017). Garnier, Josselin ; Solna, Knut . In: Papers. RePEc:arx:papers:1509.01175.

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2016Portfolio Optimisation Under Flexible Dynamic Dependence Modelling. (2016). Catania, Leopoldo ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:1601.05199.

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2016Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

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2016Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2016Quantile Graphical Models: Prediction and Conditional Independence with Applications to Financial Risk Management. (2016). Chernozhukov, Victor ; Chen, Mingli ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1607.00286.

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2016Granger Independent Martingale Processes. (2016). Mulinacci, Sabrina ; Romagnoli, Silvia ; Cherubini, Umberto . In: Papers. RePEc:arx:papers:1607.01519.

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2016Asymmetric volatility connectedness on forex markets. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1607.08214.

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2017Elicitability and backtesting: Perspectives for banking regulation. (2017). Nolde, Natalia ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1608.05498.

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2016Quantile Dependence between Stock Markets and its Application in Volatility Forecasting. (2016). Han, Heejoon. In: Papers. RePEc:arx:papers:1608.07193.

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2016Copula-Based Univariate Time Series Structural Shift Identification Test. (2016). Penikas, Henry . In: Papers. RePEc:arx:papers:1609.05056.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger . In: Papers. RePEc:arx:papers:1610.00332.

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2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models. (2016). Wintenberger, Olivier ; Koopman, Siem Jan ; Blasques, Francisco ; Gorgi, P. In: Papers. RePEc:arx:papers:1610.02863.

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2017Dependent Defaults and Losses with Factor Copula Models. (2017). Ackerer, Damien ; Vatter, Thibault . In: Papers. RePEc:arx:papers:1610.03050.

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2016Fractal Optimization of Market Neutral Portfolio. (2016). Drozdov, Ilia ; Kamenshchikov, Sergey . In: Papers. RePEc:arx:papers:1612.03698.

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2017Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2017). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1701.01185.

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2017Time Series Copulas for Heteroskedastic Data. (2017). Loaiza-Maya, Rub'En ; Maneesoonthorn, Worapree ; Smith, Michael S. In: Papers. RePEc:arx:papers:1701.07152.

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2017Two-Stage Stochastic International Portfolio Optimisation under Regular-Vine-Copula-Based Scenarios. (2017). Chatsanga, Nonthachote ; Parkes, Andrew J. In: Papers. RePEc:arx:papers:1704.01174.

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2017Multivariate Geometric Expectiles. (2017). Herrmann, Klaus ; Mailhot, Melina ; Hofert, Marius . In: Papers. RePEc:arx:papers:1704.01503.

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2017Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment. (2017). Fouque, Jean-Pierre ; Hu, Ruimeng . In: Papers. RePEc:arx:papers:1706.03139.

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2017Portfolio Risk Assessment using Copula Models. (2017). Semenov, Mikhail ; Smagulov, Daulet . In: Papers. RePEc:arx:papers:1707.03516.

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

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2017Derivative-Based Optimization with a Non-Smooth Simulated Criterion. (2017). Frazier, David T ; Zhu, Dan . In: Papers. RePEc:arx:papers:1708.02365.

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2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). Baruník, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622.

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2017Time-Varying Extreme Value Dependence with Application to Leading European Stock Markets. (2017). de Carvalho, Miguel ; Wadsworth, Jennifer ; Camilo, Daniela Castro . In: Papers. RePEc:arx:papers:1709.01198.

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2017Testing if the market microstructure noise is a function of the limit order book. (2017). Clinet, Simon ; Potiron, Yoann . In: Papers. RePEc:arx:papers:1709.02502.

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2017Counterparty credit limits: An effective tool for mitigating counterparty risk?. (2017). Gould, Martin D ; Porter, Mason A ; Howison, Sam D ; Hautsch, Nikolaus. In: Papers. RePEc:arx:papers:1709.08238.

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2016On the statistical properties of multiplicative GARCH models. (2016). Conrad, Christian ; Kleen, Onno . In: Working Papers. RePEc:awi:wpaper:0613.

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2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2016Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation. (2016). Issler, João ; Gaglianone, Wagner ; Matos, Silvia Maria . In: Working Papers Series. RePEc:bcb:wpaper:436.

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2017Empirical Findings on Inflation Expectations in Brazil: a survey. (2017). Gaglianone, Wagner. In: Working Papers Series. RePEc:bcb:wpaper:464.

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2016Tracking Changes in the Intensity of Financial Sectors Systemic Risk. (2016). Jin, Xisong ; de Simone, Francisco Nadal . In: BCL working papers. RePEc:bcl:bclwop:bclwp102.

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2017Systemic Financial Sector and Sovereign Risks. (2017). Jin, Xisong ; de Simone, Francisco Nadal . In: BCL working papers. RePEc:bcl:bclwop:bclwp109.

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2016Constant Proportion Portfolio Insurance Strategy in Southeast European Markets. (2016). Agi-Abeta, Elma . In: Business Systems Research. RePEc:bit:bsrysr:v:7:y:2016:i:1:p:59-80.

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2016Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades. (2016). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas. In: Journal of Finance. RePEc:bla:jfinan:v:71:y:2016:i:2:p:601-634.

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2016Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings. (2016). Ehm, Werner ; Kruger, Fabian ; Jordan, Alexander ; Gneiting, Tilmann . In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:78:y:2016:i:3:p:505-562.

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2017Is there accuracy of forward freight agreements in forecasting future freight rates? An empirical investigation. (2017). Kasimati, Evangelia ; Veraros, Nikolaos . In: Working Papers. RePEc:bog:wpaper:230.

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2017Behavioral Biases in Firms Growth Expectations. (2017). Koga, Maiko ; Kato, Haruko . In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp17e09.

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2016Price Dependence between Different Beef Cuts and Quality Grades: A Copula Approach at the Retail Level for the U.S. Beef Industry. (2016). Stavrakoudis, Athanassios ; Dimitrios, Panagiotou ; Athanassios, Stavrakoudis . In: Journal of Agricultural & Food Industrial Organization. RePEc:bpj:bjafio:v:14:y:2016:i:1:p:121-131:n:6.

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2016A non-linear forecast combination procedure for binary outcomes. (2016). Lahiri, Kajal ; Liu, Yang ; Kajal, Lahiri . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:4:p:421-440:n:2.

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2016Realised Variance Forecasting Under Box-Cox Transformations. (2016). Taylor, Nick. In: Bristol Accounting and Finance Discussion Papers. RePEc:bri:accfin:16/4.

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2017Timing Strategy Performance in the Crude Oil Futures Market. (2017). Taylor, Nick. In: Bristol Accounting and Finance Discussion Papers. RePEc:bri:accfin:17/7.

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2016A Semiparametric Intraday GARCH Model. (2016). Malec, Peter. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1633.

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2016How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?. (2016). Auer, Benjamin R ; Mogel, Benjamin . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6288.

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2016Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns. (2016). Garcia, René ; Fontaine, Jean-Sebastien ; Gungor, Sermin . In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-21.

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2016Confidence Cycles and Liquidity Hoarding. (2016). Audzei, Volha. In: Working Papers. RePEc:cnb:wpaper:2016/07.

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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

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2016Forecasting in Economics and Finance. (2016). Elliott, Graham ; Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11354.

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2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan G ; Lunde, Asger ; Groenborg, Niels . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11896.

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2017The Quanto Theory of Exchange Rates. (2017). Martin, Ian ; Kremens, Lukas . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11970.

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2017Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach. (2017). Segnon, Mawuli ; Trede, Mark . In: CQE Working Papers. RePEc:cqe:wpaper:6617.

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2016In Search of Hedges and Safe Havens in Global Financial Markets. (2016). Wanat, Stanisław ; Śmiech, Sławomir ; Papie, Monika . In: Statistics in Transition new series. RePEc:csb:stintr:v:17:y:2016:i:3:p:557-574.

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2016Estimating Beta. (2016). Prokopczuk, Marcel ; Hollstein, Fabian . In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:51:y:2016:i:04:p:1437-1466_00.

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2017Bank-Specific Shocks and House Price Growth in the U.S.. (2017). Noth, Felix ; Bremus, Franziska ; Krause, Thomas . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1636.

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2017Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market. (2017). Zarraga, Ainhoa ; Ciarreta, Aitor ; Muniainy, Peru . In: ISER Discussion Paper. RePEc:dpr:wpaper:0991.

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2017Extreme Risk Value and Dependence Structure of the China Securities Index 300. (2017). CHONG, Terence Tai Leung ; Ding, Yue ; Pang, Tianxiao . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00292.

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2017On the Co-movements among East Asian Foreign Exchange Markets: A Multivariate FIAPARCH-DCC approach. (2017). el Abed, Riadh . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00370.

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2016Pricing of Risk, Various Volatility Dynamics and Macroeconomic Exposure of Firm Returns: New Evidence on Age Effect. (2016). Khan, Faisal . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-02-27.

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2016ECB footprints on inflation forecast uncertainty. (2016). Makarova, Svetlana . In: Bank of Estonia Working Papers. RePEc:eea:boewps:wp2016-5.

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2016Fluctuation behavior analysis of international crude oil and gasoline price based on complex network perspective. (2016). Wang, Minggang ; Tian, Zihao ; Jiang, Shumin ; Du, Ruijin ; Chen, Ying . In: Applied Energy. RePEc:eee:appene:v:175:y:2016:i:c:p:109-127.

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2016Forecasting volatility of wind power production. (2016). Shen, Zhiwei ; Ritter, Matthias. In: Applied Energy. RePEc:eee:appene:v:176:y:2016:i:c:p:295-308.

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2016Managing risk with a realized copula parameter. (2016). Fengler, Matthias ; Okhrin, Ostap . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152.

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2016Asymmetry in tail dependence in equity portfolios. (2016). Jondeau, Eric. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:351-368.

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2016Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach. (2016). Palm, Franz ; Laurent, Sébastien ; Lecourt, Christelle . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:383-400.

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2016Semiparametric score driven volatility models. (2016). Lucas, Andre ; Blasques, Francisco ; Ji, Jiangyu . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:58-69.

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2016On the risk comovements between the crude oil market and U.S. dollar exchange rates. (2016). Keddad, Benjamin ; DE TRUCHIS, Gilles. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pa:p:206-215.

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2016Reducible diffusions with time-varying transformations with application to short-term interest rates. (2016). Hadri, Kaddour ; Bu, Ruijun ; Cheng, Jie . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pa:p:266-277.

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2016Hedging performance of REIT index futures: A comparison of alternative hedge ratio estimation methods. (2016). Zhou, Jian. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:690-698.

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2016Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model. (2016). Huang, Zhuo ; Wang, Tianyi ; Liu, Hao . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:812-821.

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2016Spatial price dependence by time scale: Empirical evidence from the international butter markets. (2016). Fousekis, Panos ; Grigoriadis, Vasilis . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:195-204.

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2016Further evidence on the rationality of interest rate expectations: A comprehensive study of developed and emerging economies. (2016). Miah, Fazlul ; Hammoudeh, Shawkat ; Khalifa, Ahmed Ali . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:574-590.

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2016Interdependence of foreign exchange markets: A wavelet coherence analysis. (2016). Yang, Lu ; Hamori, Shigeyuki ; Zhang, Huimin ; Cai, Xiao Jing . In: Economic Modelling. RePEc:eee:ecmode:v:55:y:2016:i:c:p:6-14.

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2016How is Chinas coke price related with the world oil price? The role of extreme movements. (2016). Wu, Yanrui ; Guo, Yanfeng ; Wen, Xiaoqian . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:22-33.

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2016Gold price and stock markets nexus under mixed-copulas. (2016). Nguyen, Cuong ; Komornik, Jozef ; Komornikova, Magda ; Bhatti, Ishaq M. In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:283-292.

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2016On the isolated impact of copulas on risk measurement: Asimulation study. (2016). Berger, Theo . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:475-481.

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2016Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries. (2016). Brooks, Rob ; Fenech, Jean Pierre ; Silvapulle, Param ; Thomas, Alice. In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:83-92.

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2016Contagion in the worlds stock exchanges seen as a set of coupled oscillators. (2016). Rotundo, Giulia ; Bellenzier, Lucia ; Andersen, Jorgen Vitting . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:224-236.

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2017How are Africas emerging stock markets related to advanced markets? Evidence from copulas. (2017). ALAGIDEDE, PAUL ; Mensah, Jones Odei . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:1-10.

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2017Euro or not? Vulnerability of Czech and Slovak economies to regional and international turmoil. (2017). Kliber, Agata ; Puciennik, Piotr . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:313-323.

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2017Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models. (2017). Xue, Wen-Jun ; Zhang, Li-Wen . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:391-401.

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2017Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

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2017Can energy commodity futures add to the value of carbon assets?. (2017). Roubaud, David ; Bouri, Elie ; Wen, Xiaoqian . In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:194-206.

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2017Measuring the output gap in Switzerland with linear opinion pools. (2017). Buncic, Daniel ; Muller, Oliver . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:153-171.

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2017Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests. (2017). Jiang, Yonghong ; Monginsidi, Joe Yohanes ; Nie, HE. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:384-398.

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2017Can asymmetric conditional volatility imply asymmetric tail dependence?. (2017). Kim, Jong-Min ; Jung, Hojin . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:409-418.

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2017The cross section of international government bond returns. (2017). Zaremba, Adam ; Czapkiewicz, Anna. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:171-183.

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2017Can investors of Chinese energy stocks benefit from diversification into commodity futures?. (2017). Nguyen, Duc Khuong ; Wen, Xiaoqian . In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:184-200.

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2017Does REIT index hedge inflation risk? New evidence from the tail quantile dependences of the Markov-switching GRG copula. (2017). Chang, Kuang-Liang . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:56-67.

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2016Does cross-sectional forecast dispersion proxy for macroeconomic uncertainty? New empirical evidence. (2016). Friedrici, Karola ; Baetje, Fabian . In: Economics Letters. RePEc:eee:ecolet:v:143:y:2016:i:c:p:38-43.

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2016Linear time-varying regression with Copula–DCC–GARCH models for volatility. (2016). Kim, Jong-Min ; Jung, Hojin . In: Economics Letters. RePEc:eee:ecolet:v:145:y:2016:i:c:p:262-265.

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2016A nonparametric approach to test for predictability. (2016). Pan, Zhiyuan ; Wu, Chongfeng ; Wang, Yudong. In: Economics Letters. RePEc:eee:ecolet:v:148:y:2016:i:c:p:10-16.

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