K. Geert Rouwenhorst : Citation Profile


Are you K. Geert Rouwenhorst?

Yale University

16

H index

19

i10 index

1740

Citations

RESEARCH PRODUCTION:

16

Articles

30

Papers

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   29 years (1990 - 2019). See details.
   Cites by year: 60
   Journals where K. Geert Rouwenhorst has often published
   Relations with other researchers
   Recent citing documents: 133.    Total self citations: 8 (0.46 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pro146
   Updated: 2020-10-24    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)

Prokopczuk, Marcel (11)

Jansen, W. Jos (11)

Leung, Tim (10)

Flavin, Thomas (10)

Panopoulou, Ekaterini (9)

Harvey, Campbell (9)

Swinkels, Laurens (9)

De Moor, Lieven (9)

Berben, Robert-Paul (9)

Billio, Monica (8)

Cites to:

Harvey, Campbell (11)

Fama, Eugene (9)

French, Kenneth (8)

Brown, Stephen (5)

Bekaert, Geert (5)

Shanken, Jay (5)

Ferson, Wayne (4)

Veld, Chris (4)

Bessembinder, Hendrik (4)

Goetzmann, William (4)

Voth, Hans-Joachim (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 (2020 and 2019)


YearTitle of citing document
2020Optimal Asset Allocation for Commodity Sovereign Wealth Funds. (2020). Parra-Alvarez, Juan ; Ma, Lin ; Irarrazabal, Alfonso A. In: CREATES Research Papers. RePEc:aah:create:2020-10.

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

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2020Long-term stock returns in Brazil: volatile equity returns for U.S.-like investors. (2020). Sanvicente, Antonio ; Brito, Ricardo D ; Araujo, Eurilton. In: Working Papers Series. RePEc:bcb:wpaper:525.

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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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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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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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2019Pure momentum is priced. (2019). Welch, Robert ; Wang, Yan ; Lazrak, Skander ; Chen, Lemeng. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:22:y:2019:i:c:p:75-89.

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2020Separating the signal from the noise – Financial machine learning for Twitter. (2020). Krauss, Christopher ; Fischer, Thomas G ; Schnaubelt, Matthias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300634.

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2020International Stock Comovements with Endogenous Clusters. (2020). Owyang, Michael ; Jackson Young, Laura ; Coroneo, Laura. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300725.

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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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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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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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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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2020Which risk factors drive oil futures price curves?. (2020). Shevchenko, Pavel V ; Peters, Gareth W ; Matsui, Tomoko ; Bagnarosa, Guillaume ; Ames, Matthew. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988320300153.

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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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2020Time series momentum and macroeconomic risk. (2020). O'Brien, John ; Hutchinson, Mark C. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301137.

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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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2019Stock market integration between the UK and the US: Evidence over eight decades. (2019). Casalin, Fabrizio ; Aladesanmi, Olalekan ; Metcalf, Hugh . In: Global Finance Journal. RePEc:eee:glofin:v:41:y:2019:i:c:p:32-43.

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2019Competition and stability in modern banking: A post-crisis perspective. (2019). Vives, Xavier. In: International Journal of Industrial Organization. RePEc:eee:indorg:v:64:y:2019:i:c:p:55-69.

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2019Realized correlations, betas and volatility spillover in the agricultural commodity market: What has changed?. (2019). Bonato, Matteo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:184-202.

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2019Stock-ADR Arbitrage: Microstructure Risk. (2019). Clark, Ephraim ; McGroarty, Frank ; Raju, V L ; Mitra, Sovan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443118304694.

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2020A functional time series analysis of forward curves derived from commodity futures. (2020). Wang, Shixuan ; Horvath, Lajos ; Liu, Zhenya ; Rice, Gregory. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:646-665.

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2020Forecasting commodity prices out-of-sample: Can technical indicators help?. (2020). Wang, Yudong ; Wu, Chongfeng ; Liu, LI. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:666-683.

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2019Why has the size effect disappeared?. (2019). Yoon, Bohyun ; Min, Byoung-Kyu ; Ahn, Dong-Hyun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:102:y:2019:i:c:p:256-276.

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2020Return comovement. (2020). Parsley, David ; Popper, Helen. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302340.

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2020Curve momentum. (2020). Prokopczuk, Marcel ; Simen, Chardin Wese ; Paschke, Raphael . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426619302912.

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2020Factor based commodity investing. (2020). Tessaromatis, Nikolaos ; Sakkas, Athanasios. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:115:y:2020:i:c:s0378426620300741.

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2020The yield spreads ability to forecast economic activity: What have we learned after 30 years of studies?. (2020). Papadamou, Stephanos ; Siriopoulos, Costas ; Evgenidis, Anastasios. In: Journal of Business Research. RePEc:eee:jbrese:v:106:y:2020:i:c:p:221-232.

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2019Bubbles for Fama. (2019). Greenwood, Robin ; You, Yang ; Shleifer, Andrei. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:1:p:20-43.

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2019Public hedge funds. (2019). Sun, Lin ; Teo, Melvyn. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:1:p:44-60.

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2020Domestically formed international diversification. (2020). Vivian, Andrew ; Lu, Qinye. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:103:y:2020:i:c:s0261560619306473.

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2019The risk premium of gold. (2019). Simen, Chardin Wese ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:94:y:2019:i:c:p:140-159.

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2019On the global financial market integration “swoosh” and the trilemma. (2019). Mehl, Arnaud ; Bekaert, Geert. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:94:y:2019:i:c:p:227-245.

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2019What drives European Union stock market co-movements?. (2019). Pochea, Maria Miruna ; NIOI, Mihai . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:97:y:2019:i:c:p:57-69.

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2019The economic drivers of commodity market volatility. (2019). Symeonidis, Lazaros ; Stancu, Andrei ; Prokopczuk, Marcel. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:98:y:2019:i:c:4.

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2019Jumps in commodity markets. (2019). Prokopczuk, Marcel ; Benno, Duc Binh. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:13:y:2019:i:c:p:55-70.

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2020Comovement in the commodity futures markets: An analysis of the energy, grains, and livestock sectors. (2020). Putnam, Kyle J ; Adhikari, Ramesh. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:18:y:2020:i:c:s2405851318300680.

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2019The role of trading volume, open interest and trader positions on volatility transmission between spot and futures markets. (2019). Soytas, Ugur ; Ordu-Akkaya, Beyza Mina ; Ugurlu-Yildirim, Ecenur. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:410-422.

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2019Oil subsidies and the risk exposure of oil-user stocks: Evidence from net oil producers. (2019). Hassan, M. Kabir ; Basher, Syed ; Alhassan, Abdulrahman. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:461-472.

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2020Does foreign portfolio investment strengthen stock-commodity markets connection?. (2020). Soytas, Ugur ; Ordu-Akkaya, Beyza Mina. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719303617.

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2020An anatomy of commodity futures returns in China. (2020). Zhang, Zhekai ; Xiao, Jun. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x20301086.

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2019Explaining future market return and evaluating market condition with common preferred spread index. (2019). Cho, Poongjin ; Ku, Seungmo ; Lee, Changju ; Chang, Woojin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:921-934.

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2020Testing the efficient market hypothesis in Latin American stock markets. (2020). Sanchez-Granero, M A ; Trinidad-Segovia, J E ; Ramos-Requena, J P ; Balladares, K A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:540:y:2020:i:c:s037843711931739x.

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2020Selecting stock pairs for pairs trading while incorporating lead–lag relationship. (2020). Chatterjee, Niladri ; Gupta, Kartikay. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:551:y:2020:i:c:s0378437119322666.

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2020The impact of corporate strategy on capital structure: evidence from Italian listed firms. (2020). Oriani, Raffaele ; Cetrini, Giorgio ; Cappa, Francesco. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:379-385.

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2019The information content of realized volatility of sector indices in China’s stock market. (2019). Lung, Peter ; Zhang, Lili ; Liu, Dehong ; Lin, Tiantian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:625-640.

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2019Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets. (2019). Chiang, Thomas C. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:264-278.

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2019Momentum effects in China: A review of the literature and an empirical explanation of prevailing controversies. (2019). Yang, Yunlin ; Hudson, Robert ; Gebka, Bartosz. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:78-101.

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2019Regional and global integration of Asian stock markets. (2019). Ferreira, Paulo ; Vieira, Isabel ; Dionisio, Andreia ; Mohti, Wahbeeah. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:357-368.

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2020Long-Term, Short-Term and Time-Varying Profitability of Reversals: The Role of Market State and Volatility. (2020). Abd, Mohd Edil ; Shaharuddin, Shahrin Saaid ; Munir, Ali Fayyaz. In: International Journal of Economics & Business Administration (IJEBA). RePEc:ers:ijebaa:v:viii:y:2020:i:2:p:501-520.

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2020Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?. (2020). Hamori, Shigeyuki ; Liu, Tiantian. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:12:p:3162-:d:373133.

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2020Robust Optimization-Based Commodity Portfolio Performance. (2020). Panta, Humnath ; Putnam, Kyle J ; Adhikari, Ramesh. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:3:p:54-:d:409459.

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2019Statistical Arbitrage with Mean-Reverting Overnight Price Gaps on High-Frequency Data of the S&P 500. (2019). Schneider, Lucas ; Stubinger, Johannes. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:51-:d:218983.

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2020The Distribution of Cross Sectional Momentum Returns When Underlying Asset Returns Are Student’s t Distributed. (2020). Satchell, Stephen ; Kang, Oh Kang. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:2:p:27-:d:316651.

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2019Market-Risk Optimization among the Developed and Emerging Markets with CVaR Measure and Copula Simulation. (2019). Tiwari, Aviral Kumar ; Trabelsi, Nader. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:78-:d:246399.

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2020Exploring Arbitrage Strategies in Corporate Social Responsibility Companies. (2020). Sanchez-Granero, Miguel Angel ; Trinidad-Segovia, Juan Evangelista ; Ramos-Requena, Jose Pedro ; Montoya-Cruz, Estefania. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:16:p:6293-:d:394618.

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2020Momentum Investment Strategy Using a Hidden Markov Model. (2020). Oh, Kyong Joo ; Lee, Hee Soo ; Bae, Han Hee ; Ryou, Hosun. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:17:p:7031-:d:405619.

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2020A DSGE-VAR Analysis for Tourism Development and Sustainable Economic Growth. (2020). Sanchez-Serrano, Jose Ramon ; Leon-Gomez, Ana ; Alaminos, David. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:9:p:3635-:d:352783.

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2019Inequality and finance in a rent economy. (2019). Stiglitz, Joseph ; Russo, Alberto ; Gallegati, Mauro ; Caverzasi, Eugenio ; Botta, Alberto. In: Greenwich Papers in Political Economy. RePEc:gpe:wpaper:23101.

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2020Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?. (2020). Low, Rand ; Rad, Hossein ; Faff, Robert ; Miffre, Joelle. In: Post-Print. RePEc:hal:journl:hal-02868473.

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2019International diversification benefits -a view on time-varying European market integration. (2019). Carpantier, Jean-François ; Sapata, Christelle. In: Working Papers. RePEc:hal:wpaper:hal-02171480.

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2020Commodity Prices in Empirical Research. (2020). Carpantier, Jean-Franois. In: Working Papers. RePEc:hal:wpaper:hal-02497404.

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2019Potential Growth and Natural Yield Curve in Japan. (2019). Vaccaro-Grange, Etienne ; Rhouzlane, Meryem ; Dufrenot, Gilles. In: Working Papers. RePEc:hal:wpaper:halshs-02091035.

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2019Optimizing the Pairs-Trading Strategy Using Deep Reinforcement Learning with Trading and Stop-Loss Boundaries. (2019). Kim, Taewook. In: Complexity. RePEc:hin:complx:3582516.

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2020EQUITY MARKET INTEGRATION AND DIVERSIFICATION: EVIDENCE FROM EMERGING AND DEVELOPED COUNTRIES. (2020). Setaputra, Robert ; Rim, Hong. In: The International Journal of Business and Finance Research. RePEc:ibf:ijbfre:v:14:y:2020:i:2:p:51-59.

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2019Empirical Investigation of an Equity Pairs Trading Strategy. (2019). Li, Feng ; Chen, Zhuo. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:1:p:370-389.

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2019Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns. (2019). Rossi, Alberto G ; Gao, Xiaohui ; Bakshi, Gurdip. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:2:p:619-641.

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2019Tail Risk Concerns Everywhere. (2019). Song, Zhaogang ; Lu, Xiaomeng ; Gao, George P. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:7:p:3111-3130.

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2019Firm Value and the Impact of Operational Management. (2019). Karathanasopoulos, Andreas ; Mitra, Sovan. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:26:y:2019:i:1:d:10.1007_s10690-018-9258-1.

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2020Commodity Spot and Futures Prices Under Supply, Demand, and Financial Trading: Single Input–Output Model. (2020). Nakajima, Katsushi. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:1:d:10.1007_s10690-019-09280-6.

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2019Common risk factors in international stock markets. (2019). Schrimpf, Andreas ; Ziegler, Andreas ; Wagner, Alexander F ; von Arx, Urs ; Schmidt, Peter S. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:33:y:2019:i:3:d:10.1007_s11408-019-00334-3.

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2019Late Trading in Mutual Fund Shares – The Sequel?. (2019). Margaritis, Dimitris ; Wagner, Moritz. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:55:y:2019:i:1:d:10.1007_s10693-017-0280-7.

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2019Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis. (2019). Yunus, Nafeesa. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:58:y:2019:i:2:d:10.1007_s11146-017-9639-7.

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2020Tangible and intangible information in emerging markets. (2020). Blackburn, Douglas W ; Cakici, Nusret. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:4:d:10.1007_s11156-019-00833-4.

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2020When Overconfident Traders Meet Feedback Traders - Updated from 2016. (2020). Rousseau, Fabrice ; Germain, Laurent ; Boco, Herve . In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n270-16.pdf.

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2020Global and Local Commodity Prices: A Further Look at the Indonesian Agricultural Commodities. (2020). Wibowo, Sigit S ; Nareswari, Pradita. In: Capital Markets Review. RePEc:mfa:journl:v:28:y:2020:i:1:p:65-76.

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2019Is a recession imminent? The signal of the yield curve. (2019). van Nieuwenhuyze, CH ; Deroose, M ; de Backer, B. In: Economic Review. RePEc:nbb:ecrart:y:2019:m:june:i:i:p:69-93.

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2020A Sticky-Price View of Hoarding. (2020). Hong, Harrison ; de Paula, Aureo ; Singh, Vishal ; Hansman, Christopher. In: NBER Working Papers. RePEc:nbr:nberwo:27051.

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2020The Performance of Hedge Fund Performance Fees. (2020). Rossi, Andrea ; Birru, Justin ; Ben-David, Itzhak. In: NBER Working Papers. RePEc:nbr:nberwo:27454.

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2019Analyzing Short Term Momentum Effect on Stock Market of Hong Kong. An Empirical Case Study. (2019). Imran, Zulfiqar Ali ; Birau, Ramona ; Spulbar, Cristi. In: Ovidius University Annals, Economic Sciences Series. RePEc:ovi:oviste:v:xix:y:2019:i:2:p:889-894.

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2020Styles through a convergent/divergent lens: the curious case of ESG. (2020). Srivastava, Nandini ; Satchell, Stephen ; Gao, Yang. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:1:d:10.1057_s41260-019-00146-0.

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2020Should investors join the index revolution? Evidence from around the world. (2020). Wong, Kit Pong ; Matthias, . In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:3:d:10.1057_s41260-020-00162-5.

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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.
[Citation analysis]
article13
1999The Role of Beta and Size in the Cross‐Section of European Stock Returns In: European Financial Management.
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article41
2008The Role of Beta and Size in the Cross-Section of European Stock Returns.(2008) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
paper
1999Local Return Factors and Turnover in Emerging Stock Markets In: Journal of Finance.
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article265
2001Local Return Factors and Turnover in Emerging Stock Markets.(2001) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 265
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
paper
2003Long-Term Global Market Correlations In: DNB Staff Reports (discontinued).
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paper274
2001Long-Term Global Market Correlations.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 274
paper
2005Long-Term Global Market Correlations.(2005) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 274
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: 274
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]
article55
2013New evidence on the first financial bubble In: Journal of Financial Economics.
[Full Text][Citation analysis]
article28
2009New Evidence on the First Financial Bubble.(2009) In: NBER Working Papers.
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This paper has another version. Agregated cites: 28
paper
2009New Evidence on the First Financial Bubble.(2009) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28
paper
1994Does industrial structure explain the benefits of international diversification? In: Journal of Financial Economics.
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article250
1991Time to build and aggregate fluctuations : A reconsideration In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article31
1994International term structures and real economic growth In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article172
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.
[Full Text][Citation analysis]
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]
paper166
2013The Fundamentals of Commodity Futures Returns.(2013) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 166
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: 166
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]
paper19
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: 19
paper
2015Facts and Fantasies about Commodity Futures Ten Years Later In: NBER Working Papers.
[Full Text][Citation analysis]
paper43
1999Pairs Trading: Performance of a Relative Value Arbitrage Rule In: NBER Working Papers.
[Full Text][Citation analysis]
paper158
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: 158
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: 158
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: 158
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: 158
paper
2000Global Real Estate Markets - Cycles and Fundamentals In: NBER Working Papers.
[Full Text][Citation analysis]
paper40
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: 40
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: 40
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]
article12
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

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2020. Contact: CitEc Team