K. Geert Rouwenhorst : Citation Profile


Are you K. Geert Rouwenhorst?

Yale University

15

H index

19

i10 index

1678

Citations

RESEARCH PRODUCTION:

16

Articles

30

Papers

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   25 years (1990 - 2015). See details.
   Cites by year: 67
   Journals where K. Geert Rouwenhorst has often published
   Relations with other researchers
   Recent citing documents: 319.    Total self citations: 8 (0.47 %)

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   Permalink: http://citec.repec.org/pro146
   Updated: 2020-08-01    RAS profile: 2020-01-03    
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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 K. Geert Rouwenhorst.

Is cited by:

Szafarz, Ariane (17)

Jansen, W. Jos (11)

Del Negro, Marco (11)

Prokopczuk, Marcel (11)

Leung, Tim (10)

Flavin, Thomas (10)

Swinkels, Laurens (9)

Harvey, Campbell (9)

Berben, Robert-Paul (9)

Panopoulou, Ekaterini (9)

De Moor, Lieven (9)

Cites to:

Harvey, Campbell (11)

Fama, Eugene (9)

French, Kenneth (8)

Bekaert, Geert (5)

Brown, Stephen (5)

Shanken, Jay (5)

Bessembinder, Hendrik (4)

Veld, Chris (4)

Ferson, Wayne (4)

Goetzmann, William (4)

Rajan, Raghuram (3)

Main data


Where K. Geert Rouwenhorst has published?


Journals with more than one article published# docs
Review of Financial Studies2
Journal of Financial Economics2
Journal of Monetary Economics2

Working Papers Series with more than one paper published# docs
Yale School of Management Working Papers / Yale School of Management20

Recent works citing K. Geert Rouwenhorst (2019 and 2018)


YearTitle of citing document
2017The role of cointegration for optimal hedging with heteroscedastic error term. (2017). Johansen, Soren ; Gatarek, Lukasz . In: CREATES Research Papers. RePEc:aah:create:2017-12.

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2017Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil. (2017). Byun, Sung Je ; Je, Sung. In: The Energy Journal. RePEc:aen:journl:ej38-5-byun.

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2017Economic value of portfolio diversification: Evidence from international multi-asset portfolios. (2017). Sharma, Prateek. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(613):y:2017:i:4(613):p:33-42.

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2017Identifying the Impact of Financialization in Commodity Futures Prices from Index Rebalancing. (2017). Sanders, Dwight R ; Irwin, Scott H ; Yan, Lei. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258504.

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2018Hedging Positions, Basis, and Futures Risk Premium: A Disaggregated Data Analysis on US Wheat Markets. (2018). Grieb, Terrance ; Hoang, Nam. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:273799.

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2019Potential Growth and Natural Yield Curve in Japan. (2019). Vaccaro-Grange, Etienne ; Rhouzlane, Meryem ; Dufrenot, Gilles. In: AMSE Working Papers. RePEc:aim:wpaimx:1912.

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2017An equilibrium model for spot and forward prices of commodities. (2017). Anthropelos, Michail ; Papapantoleon, Antonis ; Kupper, Michael. In: Papers. RePEc:arx:papers:1502.00674.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

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2017Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options. (2017). Leung, Tim ; Guo, Kevin . In: Papers. RePEc:arx:papers:1610.09403.

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2017Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach. (2017). Leung, Tim ; Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:1701.00875.

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2018Pairs Trading under Drift Uncertainty and Risk Penalization. (2018). Eksi, Zehra ; Colaneri, Katia ; Altay, Suhan. In: Papers. RePEc:arx:papers:1704.06697.

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2017Open Source Fundamental Industry Classification. (2017). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:1706.04210.

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2017Stop-loss and Leverage in optimal Statistical Arbitrage with an application to Energy market. (2017). Baldi, Tommaso Santagostino ; Baviera, Roberto. In: Papers. RePEc:arx:papers:1706.07021.

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2018Mean Reversion Trading with Sequential Deadlines and Transaction Costs. (2018). Leung, Tim ; Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:1707.03498.

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2019A singular stochastic control approach for optimal pairs trading with proportional transaction costs. (2019). Xing, Haipeng. In: Papers. RePEc:arx:papers:1911.10450.

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2020Rational Kernel on Pricing Models of Inflation Derivatives. (2020). Zhou, Yue. In: Papers. RePEc:arx:papers:2001.05124.

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2020A closed-form solution for optimal mean-reverting trading strategies. (2020). de Prado, Marcos Lopez ; Lipton, Alexander. In: Papers. RePEc:arx:papers:2003.10502.

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2020Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352.

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2020Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling. (2020). Kandhai, Drona ; Garlaschelli, Diego ; Squartini, Tiziano ; Anagnostou, Ioannis. In: Papers. RePEc:arx:papers:2006.03014.

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2020Quant Bust 2020. (2020). Kakushadze, Zura. In: Papers. RePEc:arx:papers:2006.05632.

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2017Momentum Decomposition: Evidence from Emerging Markets. (2017). Wei, Xianhua ; Guo, Hongbo . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:123-132.

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2018Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors. (2018). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1886.

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2020Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models?. (2020). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20140.

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2018Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95.

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2017Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:676.

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2017Pairs trading in Chinese commodity futures markets: an adaptive cointegration approach. (2017). Chen, Danni ; Wu, Leilei ; Gao, Yan ; Cui, Jing. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:5:p:1237-1264.

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2017Momentum in weekly returns: the role of intermediate-horizon past performance. (2017). Chai, Daniel ; Ji, Philip Inyeob ; Limkriangkrai, Manapon. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i::p:45-68.

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2017Integration between the London and New York Stock Exchanges, 1825–1925. (2017). Campbell, Gareth ; Rogers, Meeghan. In: Economic History Review. RePEc:bla:ehsrev:v:70:y:2017:i:4:p:1185-1218.

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2018The rise and demise of gedik markets in Istanbul, 1750–1860. (2018). Aair, Seven. In: Economic History Review. RePEc:bla:ehsrev:v:71:y:2018:i:1:p:133-156.

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2017The Revealed Preference of Sophisticated Investors. (2017). Blocher, Jesse ; Molyboga, Marat. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:5:p:839-872.

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2018Negative bubbles: What happens after a crash. (2018). Goetzmann, William N ; Kim, Dasol. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:171-191.

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2018Monetary policy uncertainty, positions of traders and changes in commodity futures prices. (2018). Gospodinov, Nikolay ; Jamali, Ibrahim. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:239-260.

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2017Mutual Fund Liquidity Costs. (2017). Fulkerson, Jon A ; Riley, Timothy B. In: Financial Management. RePEc:bla:finmgt:v:46:y:2017:i:2:p:359-375.

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2017Duration Dependence, Behavioral Restrictions, and the Market Timing Ability of Commodity Trading Advisors. (2017). Frömmel, Michael ; Mende, Alexander ; Frommel, Michael ; Elaut, Gert. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:427-450.

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2017Bubbles, Froth and Facts: Another Look at the Masters Hypothesis in Commodity Futures Markets. (2017). Sanders, Dwight R ; Irwin, Scott H. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:68:y:2017:i:2:p:345-365.

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2017A CLOSER LOOK AT VALUE PREMIUM: LITERATURE REVIEW AND SYNTHESIS. (2017). Pätäri, Eero ; Leivo, Timo ; Patari, Eero. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:1:p:79-168.

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2018Change Detection and the Causal Impact of the Yield Curve. (2018). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:966-987.

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2017How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?. (2017). demiralay, sercan ; Ulusoy, Veysel. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:6:p:765-794.

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2017EMERGENCE OF COMMODITY DERIVATIVES AS DEFENSIVE INSTRUMENT IN PORTFOLIO RISK HEDGING: A CASE OF INDIAN COMMODITY MARKETS. (2017). Shelly, Singhal . In: Studies in Business and Economics. RePEc:blg:journl:v:12:y:2017:i:1:p:202-234.

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2017Does the Design of Spot Markets Matter for the Success of Futures Markets? Evidence from Dairy Futures. (2017). Koeman, Jan ; Biakowski, Jdrzej. In: Working Papers in Economics. RePEc:cbt:econwp:17/18.

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2018Formation of Market Beliefs in the Oil Market. (2018). Anatolyev, Stanislav ; Selezneva, Veronika . In: CERGE-EI Working Papers. RePEc:cer:papers:wp619.

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2017Disentangling the relationship between liquidity and returns in Latin America. (2017). Taborda, Rodrigo ; French, Joseph. In: Documentos CEDE. RePEc:col:000089:015606.

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2017Lags, Costs and Shocks: An Equilibrium Model of the Oil Industry. (2017). Bornstein, Gideon ; Rebelo, Sergio ; Krusell, Per. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12047.

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2017Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929. (2017). Grossman, Richard. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12121.

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2017Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12460.

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2018The Slope of the Term Structure and Recessions: The Pre-Fed Evidence, 1857-1913. (2018). Stuart, Rebecca ; Gerlach, Stefan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13013.

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2019Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?. (2019). Joenvaara, Juha ; Tolonen, Pekka ; Kosowski, Robert ; Kaupila, Mikko. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13618.

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2019Before the Cult of Equity: New Monthly Indices of the British Share Market, 1829-1929. (2019). Turner, John ; Grossman, Richard ; Campbell, Gareth. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13717.

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2019Global Market Inefficiencies. (2019). Grinblatt, Mark ; Bartram, Sohnke M. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14232.

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2019Commodity Prices In Empirical Research. (2019). Carpantier, Jean-Franois. In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales). RePEc:ctl:louvir:2020021.

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2017The 52-Week High and Momentum Investing: Implications for Asset Pricing Models. (2017). Lobao, Julio ; Fernandes, Joao Meira. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2017:v:18:i:1:lobao.

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2017The 52-Week High and Momentum Investing: Implications for Asset Pricing Models. (2017). Lobao, Julio ; Fernandes, Joao Meira. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2017:v:18:i:2:lobao.

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2019Revisiting the Time Series Momentum Anomaly. (2019). Jo, Yonghwan ; Kim, Jihee. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:2:jokim.

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2017Identifying Speculative Demand Shocks in Commodity Futures Markets through Changes in Volatility. (2017). Rieth, Malte ; Hachula, Michael . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1646.

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2019Financial Frictions and the Futures Pricing Puzzle. (2019). Taamouti, Abderrahim ; EL Alaoui, AbdelKader ; Ebrahim, M. Shahid ; ap Gwilym, Rhys ; Rahman, Hamid. In: Working Papers. RePEc:dur:durham:2019_07.

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2017Are International Portfolio Diversification Opportunities Decreasing? Evidence from Principal Component Analysis. (2017). Todorov, Galin K. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-03-85.

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2017Statistical Arbitrage Pairs Trading with High-frequency Data. (2017). Stubinger, Johannes ; Bredthauer, Jens. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-76.

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2018Küresel Risk Algýsýnýn Küresel Ticaret Üzerindeki Etkisi. (2018). Cihangir, Idem Kurt. In: Isletme ve Iktisat Calismalari Dergisi. RePEc:eco:journ4:2018-01-1.

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2018Factor-adjusted multiple testing of correlations. (2018). Du, Lilun ; Zhong, Pingshou ; Luo, Ronghua ; Lan, Wei. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:128:y:2018:i:c:p:34-47.

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2017On the behavior of commodity prices when speculative storage is bounded. (2017). Kleppe, Tore ; Oglend, Atle. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:75:y:2017:i:c:p:52-69.

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2018Interest rate swaps and corporate default. (2018). Jermann, Urban J ; Yue, Vivian Z. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:88:y:2018:i:c:p:104-120.

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2018Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals. (2018). Omura, Akihiro ; Todorova, Neda ; Chung, Richard ; Li, Bin. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:496-510.

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2018Financial integration in Africa: New evidence using network approach. (2018). Inekwe, John ; Bhattacharya, Mita ; Valenzuela, Maria Rebecca. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:379-390.

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2018The predictive power of the yield spread for future economic expansions: Evidence from a new approach. (2018). Wohar, Mark ; Gebka, Bartosz. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:181-195.

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2019Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices. (2019). Lin, Hai ; Premachandra, IM ; Kuruppuarachchi, Duminda. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:92-112.

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2020Financial frictions and the futures pricing puzzle. (2020). Taamouti, Abderrahim ; ap Gwilym, Rhys ; Rahman, Hamid ; el Alaoui, Abdelkader O ; Ebrahim, Shahid M. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:358-371.

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2019Picking winners to pick your winners: The momentum effect in commodity risk factors. (2019). Osman, Mohamed ; Karathanasopoulos, Andreas ; Mikutowski, Mateusz ; Zaremba, Adam. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306053.

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2020Structural breaks in the correlations between Asian and US stock markets. (2020). Chou, Pei-I, ; Lee, Chia-Hao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081830250x.

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2020Unconventional monetary policy and financialization of commodities. (2020). Soytas, Ugur ; Ordu-Akkaya, Beyza Mina. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818304844.

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2018Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics?. (2018). Oxley, Les ; Hu, Yang. In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:131-134.

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2018Momentum and crash sensitivity. (2018). Ruenzi, Stefan ; Weigert, Florian. In: Economics Letters. RePEc:eee:ecolet:v:165:y:2018:i:c:p:77-81.

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2018Global risk aversion and emerging market return comovements. (2018). Omay, Tolga ; Yuksel, Aydin ; Demirer, Riza. In: Economics Letters. RePEc:eee:ecolet:v:173:y:2018:i:c:p:118-121.

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2020How do markets value stock liquidity? Comparative evidence from the UK, the US, Germany and China. (2020). Liu, Guy ; Bo, Yibo ; Gregoriou, Andros. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519302198.

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2018Additive nonparametric models with time variable and both stationary and nonstationary regressors. (2018). LINTON, OLIVER ; Dong, Chaohua. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:212-236.

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2017Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500. (2017). Huck, Nicolas ; Krauss, Christopher ; Do, Xuan Anh . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:2:p:689-702.

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2018Deep learning with long short-term memory networks for financial market predictions. (2018). Fischer, Thomas ; Krauss, Christopher. In: European Journal of Operational Research. RePEc:eee:ejores:v:270:y:2018:i:2:p:654-669.

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2018Long-run wavelet-based correlation for financial time series. (2018). cotter, john ; Genay, Ramazan ; Conlon, Thomas. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:676-696.

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2017Digesting anomalies in emerging European markets: A comparison of factor pricing models. (2017). Zaremba, Adam ; Czapkiewicz, Anna. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:1-15.

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2019One country, two systems? The heavy-tailedness of Chinese A- and H- share markets. (2019). Ibragimov, Rustam ; Chen, Zhimin. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:115-141.

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2019The cross-section of returns in frontier equity markets: Integrated or segmented pricing?. (2019). Maydybura, Alina ; Zaremba, Adam. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:219-238.

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2017Idiosyncratic returns and relative value in the US Treasury market. (2017). Nielsen, Youngju ; Pungaliya, Raunaq S. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:125-144.

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2017The evolving beta-liquidity relationship of hedge funds. (2017). Stefanova, Denitsa ; Siegmann, Arjen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:286-303.

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2017How some bankers made a million by trading just two securities?. (2017). Rinne, Kalle ; Suominen, Matti. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:304-315.

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2017Construction of an efficient portfolio of power purchase decisions based on risk-diversification tradeoff. (2017). Contreras, Javier ; Sosa, Anibal ; Rodriguez, Yeny E. In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:286-297.

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2017Noncausality and the commodity currency hypothesis. (2017). Nyberg, Henri ; Lof, Matthijs. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:424-433.

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2017Investment and operating choice: Oil and natural gas futures prices and drilling activity. (2017). Linn, Scott ; Chen, Fan. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:54-68.

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2018Relative value arbitrage in European commodity markets. (2018). Hain, Martin ; Uhrig-Homburg, Marliese ; Hess, Julian. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:140-154.

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2018Predictability of crude oil prices: An investor perspective. (2018). Liu, LI ; Yang, LI ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:193-205.

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2018Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices. (2018). Ferrer, Roman ; Jareo, Francisco ; Lopez, Raquel ; Hussain, Syed Jawad. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:1-20.

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2019Stop-loss and leverage in optimal statistical arbitrage with an application to energy market. (2019). Baldi, Tommaso Santagostino ; Baviera, Roberto. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:130-143.

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2019Temporal and spectral dependence between crude oil and agricultural commodities: A wavelet-based copula approach. (2019). Oglend, Atle ; Yahya, Muhammad ; Dahl, Roy Endre. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:277-296.

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2019Time-varying energy and stock market integration in Asia. (2019). Wagner, Niklas ; Batten, Jonathan ; Szilagyi, Peter G ; Kinateder, Harald. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:777-792.

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2019Ask CARL: Forecasting tail probabilities for energy commodities. (2019). Algieri, Bernardina ; Leccadito, Arturo. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319302786.

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2019Transmission of shocks and contagion from U.S. to MENA equity markets: The role of oil and gas markets. (2019). Goutte, Stéphane ; Jamali, Ibrahim ; Guesmi, Khaled ; Abid, Ilyes. In: Energy Policy. RePEc:eee:enepol:v:134:y:2019:i:c:s0301421519305403.

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2018The 52-week high, momentum, and investor sentiment. (2018). Hao, Ying ; Yang, Nien-Tzu ; Ko, Kuan-Cheng ; Chou, Robin K. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:167-183.

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2018Sentiment-based momentum strategy. (2018). Suh, Sangwon ; Kim, Byungoh. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:52-68.

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2018Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets. (2018). Mishra, Anil ; Ahmad, Wasim ; Daly, Kevin. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:117-133.

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2017Nonparametric tolerance limits for pair trading. (2017). Chen, Cathy W. S. ; Lin, Tsai-Yu . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:1-9.

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2018A single-stage approach for cointegration-based pairs trading. (2018). Law, K F ; Li, W K. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:177-184.

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2018Picking up the pennies in front of the bulldozer: The profitability of gilt based trading strategies. (2018). Quinn, Barry ; MacDonald, Fred ; Hanna, Alan. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:214-222.

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2019A study of first generation commodity indices: Indices based on financial diversification. (2019). Six, Pierre ; Ahn, Jung-Hyun . In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:194-200.

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More than 100 citations found, this list is not complete...

K. Geert Rouwenhorst has edited the books:


YearTitleTypeCited

Works by K. Geert Rouwenhorst:


YearTitleTypeCited
2012Commodity Investing In: Annual Review of Financial Economics.
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article15
1990Solving the Stochastic Growth Model by a Discrete-State-Space, Euler-Equation Approach. In: Journal of Business & Economic Statistics.
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article13
1999The Role of Beta and Size in the Cross‐Section of European Stock Returns In: European Financial Management.
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article40
2008The Role of Beta and Size in the Cross-Section of European Stock Returns.(2008) In: Yale School of Management Working Papers.
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This paper has another version. Agregated cites: 40
paper
1999Local Return Factors and Turnover in Emerging Stock Markets In: Journal of Finance.
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article255
2001Local Return Factors and Turnover in Emerging Stock Markets.(2001) In: Yale School of Management Working Papers.
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This paper has another version. Agregated cites: 255
paper
2001Day Trading International Mutual Funds: Evidence and Policy Solutions In: Journal of Financial and Quantitative Analysis.
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article36
2001Day Trading International Mutual Funds: Evidence And Policy Solutions.(2001) In: Yale School of Management Working Papers.
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This paper has another version. Agregated cites: 36
paper
2003Long-Term Global Market Correlations In: DNB Staff Reports (discontinued).
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paper271
2001Long-Term Global Market Correlations.(2001) In: NBER Working Papers.
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This paper has another version. Agregated cites: 271
paper
2005Long-Term Global Market Correlations.(2005) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 271
article
2008Long-Term Global Market Correlations.(2008) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 271
paper
1995Evaluating the gains from international risksharing : A comment In: Carnegie-Rochester Conference Series on Public Policy.
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article0
1995The structure of international stock returns and the integration of capital markets In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article54
2013New evidence on the first financial bubble In: Journal of Financial Economics.
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article24
2009New Evidence on the First Financial Bubble.(2009) In: NBER Working Papers.
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This paper has another version. Agregated cites: 24
paper
2009New Evidence on the First Financial Bubble.(2009) In: Yale School of Management Working Papers.
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This paper has another version. Agregated cites: 24
paper
1994Does industrial structure explain the benefits of international diversification? In: Journal of Financial Economics.
[Full Text][Citation analysis]
article248
1991Time to build and aggregate fluctuations : A reconsideration In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article30
1994International term structures and real economic growth In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article169
1991Asset Returns and Business Cycles. In: Rochester, Business - Ph.D.,.
[Citation analysis]
paper4
2014Dutch Securities for American Land Speculation in the Late Eighteenth Century In: NBER Chapters.
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chapter1
2004Facts and Fantasies about Commodity Futures In: NBER Working Papers.
[Full Text][Citation analysis]
paper61
2005Facts and Fantasies about Commodity Futures.(2005) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61
paper
2007The Fundamentals of Commodity Futures Returns In: NBER Working Papers.
[Full Text][Citation analysis]
paper152
2013The Fundamentals of Commodity Futures Returns.(2013) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 152
article
2008The Fundamentals of Commodity Futures Returns.(2008) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 152
paper
2008Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors In: NBER Working Papers.
[Full Text][Citation analysis]
paper14
2008Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors.(2008) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2015Facts and Fantasies about Commodity Futures Ten Years Later In: NBER Working Papers.
[Full Text][Citation analysis]
paper32
1999Pairs Trading: Performance of a Relative Value Arbitrage Rule In: NBER Working Papers.
[Full Text][Citation analysis]
paper154
2006Pairs Trading: Performance of a Relative-Value Arbitrage Rule.(2006) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 154
article
1998Pairs Trading: Performance of a Relative Value Arbitrage Rule.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 154
paper
1998Pairs Trading: Performance of a Relative Value Arbitrage Rule.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 154
paper
1998Pairs Trading: Performance of a Relative Value Arbitrage Rule.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 154
paper
2000Global Real Estate Markets - Cycles and Fundamentals In: NBER Working Papers.
[Full Text][Citation analysis]
paper39
1999Global Real Estate Markets: Cycles And Fundamentals.(1999) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39
paper
2001Global Real Estate Markets: Cycles And Fundamentals.(2001) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39
paper
2014Editors Choice Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors In: Review of Financial Studies.
[Full Text][Citation analysis]
article10
2019On commodity price limits In: Journal of Futures Markets.
[Full Text][Citation analysis]
article1
2008The Origins of Mutual Funds In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
paper0
2006A Note on Erb and Harvey (2005) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
paper1
2007Commodity Futures: A Japanese Perspective In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
paper1
2000European Equity Markets and EMU: Are the Differences Between Countries Slowly Disappearing? In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
paper8
2000Behavioral Factors in Mutual Fund Flows In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
paper24
2001Behavioral Factors in Mutual Fund Flows.(2001) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
paper
2008International Momentum Strategies In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
paper4

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