Michel Robe : Citation Profile


Are you Michel Robe?

University of Illinois at Urbana-Champaign

10

H index

10

i10 index

833

Citations

RESEARCH PRODUCTION:

28

Articles

33

Papers

RESEARCH ACTIVITY:

   35 years (1989 - 2024). See details.
   Cites by year: 23
   Journals where Michel Robe has often published
   Relations with other researchers
   Recent citing documents: 90.    Total self citations: 15 (1.77 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pro31
   Updated: 2024-11-08    RAS profile: 2024-10-08    
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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 Michel Robe.

Is cited by:

GUPTA, RANGAN (20)

Kose, Ayhan (15)

Filis, George (15)

Prasad, Eswar (14)

Rogoff, Kenneth (11)

Degiannakis, Stavros (10)

Bulir, Ales (10)

Manera, Matteo (10)

Chauvet, Lisa (9)

Renneboog, Luc (9)

Prokopczuk, Marcel (8)

Cites to:

Irwin, Scott (43)

Kilian, Lutz (22)

Garcia, Philip (20)

Adjemian, Michael (19)

Vayanos, Dimitri (16)

Buyuksahin, Bahattin (11)

Constantinides, George (10)

Harris, Jeffrey (9)

Isengildina Massa, Olga (9)

Reinhart, Carmen (8)

Kose, Ayhan (7)

Main data


Where Michel Robe has published?


Journals with more than one article published# docs
Journal of Futures Markets5
The Energy Journal3
Journal of Commodity Markets2

Working Papers Series with more than one paper published# docs
2021 Annual Meeting, August 1-3, Austin, Texas / Agricultural and Applied Economics Association3
Post-Print / HAL3
2024 Annual Meeting, July 28-30, New Orleans, LA / Agricultural and Applied Economics Association3
Computing in Economics and Finance 2001 / Society for Computational Economics2
2020 Annual Meeting, July 26-28, Kansas City, Missouri / Agricultural and Applied Economics Association2

Recent works citing Michel Robe (2024 and 2023)


YearTitle of citing document
2023.

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2023Understanding the role of supply and demand factors in the global wheat market: a Structural Vector Autoregressive approach. (2023). Bertoni, Danilo ; Valenti, Daniele ; Olper, Alessandro ; Cavicchioli, Davide. In: FEEM Working Papers. RePEc:ags:feemwp:338780.

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2024.

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2023The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots. (2023). Dai, Yun-Shi ; Zhou, Wei-Xing ; Duong, Kiet Tuan. In: Papers. RePEc:arx:papers:2310.16850.

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2024Dynamic linkages in agricultural and energy markets: A quantile impulse response approach. (2024). Li, Jian ; Chavas, Jeanpaul ; Wang, Linjie. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:4:p:639-676.

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2023Short interest and the stock market relation with news sentiment from traditional and social media sources. (2023). Smales, Lee ; Liu, Zhangxin ; Chamberlain, Ben. In: Australian Economic Papers. RePEc:bla:ausecp:v:62:y:2023:i:2:p:321-334.

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2023S&P 500 volatility, volatility regimes, and economic uncertainty. (2023). Chatrath, Arjun ; Adrangi, Bahram ; Raffiee, Kambiz. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1362-1387.

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2023Assessing the impact of aid on public health expenditure in aid recipient countries. (2023). Connolly, Daniel ; Kim, Youngwan ; Lim, Yoojin. In: Development Policy Review. RePEc:bla:devpol:v:41:y:2023:i:1:n:e12635.

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2023Linkages between natural gas, fertiliser and cereal prices: A note. (2023). Baek, Jungho ; Miljkovic, Dragan ; Vatsa, Puneet. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:74:y:2023:i:3:p:935-940.

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2023Reasons Behind Words: OPEC Narratives and the Oil Market. (2023). Joets, Marc ; Brunetti, Celso ; Mignon, Valerie. In: EconomiX Working Papers. RePEc:drm:wpaper:2023-24.

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2023Does common ownership constrain managerial rent extraction? Evidence from insider trading profitability. (2023). Zhang, Hao ; Wu, Qiang ; Ma, Hui ; Chen, Shenglan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s092911992300038x.

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2023Positive and negative price bubbles of Chinese agricultural commodity futures. (2023). Chang, Chiu-Lan ; Lin, Yizhou ; Fang, Ming. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:456-471.

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2024Integrated nested Laplace approximations for threshold stochastic volatility models. (2024). Rue, Hvard ; Marin, Miguel J ; de Zea, P ; Veiga, Helena. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:15-35.

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2024The cyclicality of official bilateral lending: Which cycle do flows follow?. (2024). Lotti, Giulia ; Avellan, Leopoldo ; Gomez, Tomas ; Galindo, Arturo J. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014124000153.

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2023Futures contract collateralization and its implications. (2023). Jarrow, Robert ; Kwok, Simon S. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000890.

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2023Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758.

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2023On the volatility of WTI crude oil prices: A time-varying approach with stochastic volatility. (2023). LE, Thai-Ha ; Park, Donghyun ; Bui, Manh Tien ; Boubaker, Sabri. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s014098832200603x.

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2023Climate change and fossil fuel prices: A GARCH-MIDAS analysis. (2023). Salisu, Afees ; Nmadu, Yaaba B ; Tumala, Mohammed M. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002906.

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2024Measuring world oil market integration with a Thick Pen. (2024). Jin, Xin ; Gronwald, Marc. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000239.

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2024Stock market bubbles and the realized volatility of oil price returns. (2024). Pierdzioch, Christian ; Nielsen, Joshua ; Gupta, Rangan. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001403.

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2023Dissecting hedge funds strategies. (2023). Noori, Mohammad ; Hitaj, Asmerilda. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004033.

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2023Forecasting global stock market volatilities in an uncertain world. (2023). Zhang, Ting ; Wang, Gang-Jin ; Zeng, Zhi-Jian ; Xie, Chi ; Li, Zhao-Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004136.

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2023Co-movement between commodity and equity markets revisited—An application of the Thick Pen method. (2023). Lee, Seungho ; Durand, Robert B ; Gronwald, Marc ; Wadud, Sania. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000844.

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2023Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach. (2023). Zhang, Dalu ; Yan, Meilan ; Xiao, Qin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002594.

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2024Crude oil prices in times of crisis: The role of Covid-19 and historical events. (2024). Bouazizi, Tarek ; Guesmi, Khaled ; Vigne, Samuel A ; Galariotis, Emilios. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004714.

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2023How do investors react to overnight returns? Evidence from Korea. (2023). Yu, Jinyoung ; Webb, Robert I ; Ryu, Doojin ; Ham, Hyuna. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001526.

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2024US dollar and oil market uncertainty: New evidence from explainable machine learning. (2024). Kocaarslan, Baris. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004057.

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2024Empirical probabilistic forecasting: An approach solely based on deterministic explanatory variables for the selection of past forecast errors. (2024). Goldschmidt, Ronaldo R ; Silva, Eugenio ; Romanus, Eduardo E. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:184-201.

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2024Capital-market effects of tipper-tippee insider trading law: Evidence from the Newman ruling. (2024). Pierce, Andrew T. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:77:y:2024:i:2:s0165410123000630.

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2023Option Returns, Risk Premiums, and Demand Pressure in Energy Markets. (2023). Li, Bingxin ; Jacobs, Kris. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002679.

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2023Cross-asset time-series momentum: Crude oil volatility and global stock markets. (2023). Xu, Yahua ; Tse, Yiuman ; Indriawan, Ivan ; Fernandez-Perez, Adrian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426622002849.

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2024The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots. (2024). Duong, Kiet Tuan ; Dai, Yun-Shi ; Zhou, Wei-Xing. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:217:y:2024:i:c:p:91-111.

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2023Food aid and violent conflict: A review and Empiricist’s companion. (2023). Hirsch, Stefan ; Mishra, Ashok K ; Koppenberg, Maximilian. In: Food Policy. RePEc:eee:jfpoli:v:121:y:2023:i:c:s0306919223001409.

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2023Model uncertainty, economic development, and welfare costs of business cycles. (2023). Okubo, Masakatsu. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:76:y:2023:i:c:s0164070423000149.

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2023On the welfare costs of business cycles: Beyond nondurable goods. (2023). , Fabio ; Couto, Gabriel T ; Barros, Fernando. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:78:y:2023:i:c:s0164070423000605.

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2023Speculation or actual demand? The return spillover effect between stock and commodity markets. (2023). Gao, Tianshu ; Zhou, Baicheng ; Wang, Shu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000654.

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2023The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?. (2023). Liu, Rui ; Gao, Xin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000319.

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2023The economic impact of daily volatility persistence on energy markets. (2023). Wang, Jianxin ; Thomas, Alice Carole ; Nikitopoulos, Christina Sklibosios. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000423.

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2023Financialization of commodity markets ten years later. (2023). Wang, Ningli ; Tang, KE ; Kang, Wenjin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s240585132300003x.

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2023Microstructure and high-frequency price discovery in the soybean complex. (2023). Debie, Philippe ; Gohin, Alexandre ; Bagnarosa, Guillaume ; Zhou, Xinquan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000041.

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2023Forecasting the U.S. season-average farm price of corn: Derivation of an alternative futures-based forecasting model. (2023). Hoffman, Linwood ; Adam, Brian ; Farhangdoost, Sara ; Etienne, Xiaoli L. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000235.

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2023The impact of financialization on the efficiency of commodity futures markets. (2023). Sulewski, Christoph ; Putz, Alexander ; Irwin, Scott H ; Bohl, Martin T. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s240585132300020x.

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2024Quantile coherency across bonds, commodities, currencies, and equities. (2024). Stenvall, David ; Rahman, Md Lutfur ; Lucey, Brian ; Uddin, Gazi Salah. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000697.

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2024Does public information facilitate price consensus? Characterizing USDA announcement effects using realized volatility. (2024). Janzen, Joseph P ; Bunek, Gabriel D. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851324000011.

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2024Quantifying spillovers and connectedness among commodities and cryptocurrencies: Evidence from a Quantile-VAR analysis. (2024). Tzeremes, Panayiotis ; Corbet, Shaen ; Papadamou, Stephanos ; Kyriazis, Nikolaos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851324000047.

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2023Crude oil pipeline constraints: A tale of two shales. (2023). Luong, Phat V. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006468.

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2023Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approach. (2023). GUPTA, RANGAN ; Gabauer, David ; Chatziantoniou, Ioannis. In: Resources Policy. RePEc:eee:jrpoli:v:84:y:2023:i:c:s0301420723004403.

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2023Energy transition metals and global sentiment: Evidence from extreme quantiles. (2023). Gubareva, Mariya ; Pham, Linh ; Ghosh, Bikramaditya ; Teplova, Tamara. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723008814.

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2024Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach. (2024). Bellalah, Makram ; ben Amar, Amine ; Abricha, Amal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:229-246.

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2023Sustainable energy transition and its demand for scarce resources: Insights into the German Energiewende through a new risk assessment framework. (2023). Rathgeber, A W ; Kurz, P ; Brem, M ; Papenfuss, P ; Schischke, A. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:176:y:2023:i:c:s1364032123000461.

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2024On the transmission mechanism between the inventory arbitrage activity, speculative activity and the commodity price under the US QE policy: Evidence from a TVP-VAR model. (2024). Alexiou, Constantinos ; Yao, Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1054-1072.

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2024Whom is economic aid meant for? The push vs. pull determinant factors of official development assistance. (2024). Kim, Kyunghun ; Jung, Yunji. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:173-195.

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2024Commodities and Policy Uncertainty Channel(s). (2024). Filbeck, G ; Bosch, D ; Smimou, K. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:351-379.

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2023Abnormal trading volume, news and market efficiency: Evidence from the Jamaica Stock Exchange. (2023). Swidler, Steve ; Wright, Calvin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922001908.

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2024Frequency volatility connectedness and portfolio hedging of U.S. energy commodities. (2024). Moravcova, Michala ; Koenda, Even. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000679.

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2023Frequency connectedness and cross-quantile dependence among medicare, medicine prices and health-tech equity. (2023). Sohag, Kazi ; Gainetdinova, Anna ; Nappo, Fabio ; Riad, S M. In: Technovation. RePEc:eee:techno:v:120:y:2023:i:c:s016649722200030x.

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2023.

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2024Forecasting Selected Commodities’ Prices with the Bayesian Symbolic Regression. (2024). Pawowski, Micha ; Drachal, Krzysztof. In: IJFS. RePEc:gam:jijfss:v:12:y:2024:i:2:p:34-:d:1366740.

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2023.

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2023Determinants of Corn and Soybean Futures Prices Traded on the Brazilian Stock Exchange: An ARDL Approach. (2023). Tessmann, Mathias ; Carrasco-Gutierrez, Carlos ; Lima, Alexandre Vasconcelos. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:15:y:2023:i:1:p:65.

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2023Food Aid and Violent Conflict: A Review of Literature. (2023). Mishra, Ashok K ; Koppenberg, Maximilian ; Hirsch, Stefan. In: IZA Discussion Papers. RePEc:iza:izadps:dp16574.

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2023Effect of the duration of membership in the GATT/WTO on human development in developed and developing countries. (2023). Gnangnon, Sena Kimm. In: Empirica. RePEc:kap:empiri:v:50:y:2023:i:4:d:10.1007_s10663-023-09589-6.

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2023Are All Directors Treated Equally? Evidence from Director Turnover Following Opportunistic Insider Selling. (2023). Gaeremynck, Ann ; Bruynseels, Liesbeth ; de Groote, Sander. In: Journal of Business Ethics. RePEc:kap:jbuset:v:185:y:2023:i:1:d:10.1007_s10551-022-05127-9.

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2023Portfolio diversification and sustainable assets from new perspectives. (2023). Kanamura, Takashi. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:7:d:10.1057_s41260-023-00336-x.

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2023Multivariate models of commodity futures markets: a dynamic copula approach. (2023). Zhang, Yu Yvette ; Wang, Qiaoyu ; Li, QI ; Chen, Sihong. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-023-02373-2.

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2023Nonlinearity in the causality and systemic risk spillover between the OPEC oil and GCC equity markets: a pre- and post-financial crisis analysis. (2023). Abakah, Emmanuel ; Hammoudeh, Shawkat ; Alagidede, Imhotep Paul ; Tiwari, Aviral Kumar. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:3:d:10.1007_s00181-023-02366-1.

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2023The effect of macroeconomic news announcements on the implied volatility of commodities: The role of survey releases. (2023). Lopez, Raquel ; Fernandezperez, Adrian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1499-1530.

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2023The effectiveness of crude oil futures hedging during infectious disease outbreaks in the 21st century. (2023). Teo, Jiajun ; Go, Youhow ; Chan, Kam Fong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1559-1575.

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2023Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis. (2023). Magkonis, Georgios ; Filis, George ; Tzouvanas, Panagiotis ; Filippidis, Michail. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:6:p:807-825.

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Works by Michel Robe:


YearTitleTypeCited
2013Physical Markets, Paper Markets and the WTI-Brent Spread In: The Energy Journal.
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.() In: .
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2013OPEC Fair Price Pronouncements and the Market Price of Crude Oil In: The Energy Journal.
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2019Shock Propagation Across the Futures Term Structure: Evidence from Crude Oil Prices In: The Energy Journal.
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2017Shocks propagation across the futures term structure : evidence from crude oil prices.(2017) In: Post-Print.
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2019Shock propagation across the futures term structure: evidence from crude oil prices.(2019) In: Post-Print.
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2017What Drives Volatility Expectations in Grain and Oilseed Markets? In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois.
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2020Market Uncertainty and Sentiment around USDA Announcements In: 2020 Annual Meeting, July 26-28, Kansas City, Missouri.
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2022Market uncertainty and sentiment around USDA announcements.(2022) In: Journal of Futures Markets.
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2020Maximum Order Size and Agricultural Futures Market Quality: Evidence from a Natural Experiment In: 2020 Annual Meeting, July 26-28, Kansas City, Missouri.
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2013The Financialization of Food? In: Staff Working Papers.
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2017The Financialization of Food?.(2017) In: American Journal of Agricultural Economics.
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2001Foreign Aid and the Business Cycle In: Review of International Economics.
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1998Foreign Aid and the Business Cycle.(1998) In: Cahiers de recherche CREFE / CREFE Working Papers.
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2000FOREIGN AID AND THE BUSINESS CYCLE.(2000) In: Computing in Economics and Finance 2000.
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2016Insolvency and its Consequences: A Historical Perspective In: ifo DICE Report.
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2004Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data In: CIRANO Working Papers.
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2013Market incompleteness and the equity premium puzzle: Evidence from state-level data.(2013) In: Journal of Banking & Finance.
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2005Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data.(2005) In: Computing in Economics and Finance 2005.
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2000Magnitude X on the Richter Scale: Welfare Cost of Business Cycles in Developing Countries In: Cahiers de recherche CREFE / CREFE Working Papers.
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2001Magnitude X on the Richter Scale: Welfare Cost of Business Cycles in Developing Countries.(2001) In: Computing in Economics and Finance 2001.
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2002The States vs. the states: On the Welfare Cost of Business Cycles in the U.S. In: Cahiers de recherche du Département des sciences économiques, UQAM.
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2004The States vs. the states: On the Welfare Cost of Business Cycles in the U.S..(2004) In: Econometric Society 2004 North American Winter Meetings.
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2003The States vs. the states: On the Welfare Cost of Business Cycles in the U.S..(2003) In: Computing in Economics and Finance 2003.
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