Annastiina Silvennoinen : Citation Profile


Are you Annastiina Silvennoinen?

Queensland University of Technology

7

H index

6

i10 index

469

Citations

RESEARCH PRODUCTION:

9

Articles

26

Papers

RESEARCH ACTIVITY:

   13 years (2005 - 2018). See details.
   Cites by year: 36
   Journals where Annastiina Silvennoinen has often published
   Relations with other researchers
   Recent citing documents: 127.    Total self citations: 12 (2.49 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psi115
   Updated: 2019-10-15    RAS profile: 2018-06-17    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Teräsvirta, Timo (13)

Amado, Cristina (5)

Thorp, Susan (3)

Clements, Adam (3)

Hurn, Stan (3)

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

Is cited by:

Nguyen, Duc Khuong (12)

Hafner, Christian (9)

GUPTA, RANGAN (9)

Filis, George (9)

Maheu, John (9)

Savva, Christos (9)

Dungey, Mardi (8)

Degiannakis, Stavros (8)

Teräsvirta, Timo (8)

Bauwens, Luc (8)

Osborn, Denise (7)

Cites to:

Engle, Robert (42)

Teräsvirta, Timo (37)

Bollerslev, Tim (36)

Amado, Cristina (17)

Jagannathan, Ravi (15)

Laurent, Sébastien (10)

Rombouts, Jeroen (9)

Tse, Y. K. (9)

Diebold, Francis (8)

Sheppard, Kevin (8)

Bauwens, Luc (8)

Main data


Where Annastiina Silvennoinen has published?


Journals with more than one article published# docs
Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
NCER Working Paper Series / National Centre for Econometric Research9
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney3

Recent works citing Annastiina Silvennoinen (2018 and 2017)


YearTitle of citing document
2017Panel Smooth Transition Regression Models. (2017). Yang, Yukai ; Teräsvirta, Timo ; Gonzalez, Andres ; van Dijk, Dick ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-36.

Full description at Econpapers || Download paper

2018Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence. (2018). Filis, George ; Degiannakis, Stavros ; Arora, Vipin. In: The Energy Journal. RePEc:aen:journl:ej39-5-filis.

Full description at Econpapers || Download paper

2018Financial and Commodity-specific expectations in soybean futures markets. (2018). Grosche, S.-C., ; Cao, A. N. Q., . In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277538.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece. (2017). Papaioannou, Panagiotis G ; Dikaiakos, Christos ; Stratigakos, Akylas ; Siettos, Kostas . In: Papers. RePEc:arx:papers:1708.07063.

Full description at Econpapers || Download paper

2018Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures. (2018). Gatfaoui, Hayette. In: Papers. RePEc:arx:papers:1811.02382.

Full description at Econpapers || Download paper

2017Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?. (2017). Kilian, Lutz ; Baumeister, Christiane ; Ellwanger, Reinhard. In: Staff Working Papers. RePEc:bca:bocawp:17-35.

Full description at Econpapers || Download paper

2017Financial activity in agricultural futures markets: evidence from quantile regressions. (2017). Pradkhan, Elina . In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:61:y:2017:i:4:p:610-625.

Full description at Econpapers || Download paper

2017DYNAMICS BETWEEN NORTH AMERICAN AND EUROPEAN AGRICULTURAL FUTURES PRICES DURING TURMOIL AND FINANCIALIZATION. (2017). Ledebur, Ernst-Oliver ; Bohl, Martin T ; Adammer, Philipp . In: Bulletin of Economic Research. RePEc:bla:buecrs:v:69:y:2017:i:1:p:57-76.

Full description at Econpapers || Download paper

2019Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity. (2019). Savva, Christos S ; Lambertides, Neophytos ; Chelleysteeley, Patricia. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:1:p:116-159.

Full description at Econpapers || Download paper

2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48.

Full description at Econpapers || Download paper

2019The Impact of US Economic Policy Uncertainty Shock on GCC Stock Market Performance. (2019). Michael, Taillard ; Abdullah, Alqahtani. In: Asian Journal of Law and Economics. RePEc:bpj:ajlecn:v:10:y:2019:i:2:p:13:n:1.

Full description at Econpapers || Download paper

2018Equities and Commodities Comovements: Evidence from Emerging Markets. (2018). Ivelina, Pavlova ; Boyrie, DE. In: Global Economy Journal. RePEc:bpj:glecon:v:18:y:2018:i:3:p:14:n:1.

Full description at Econpapers || Download paper

2018What is the Spillover Effect of the U.S. Equity and Money Market on the Key Latin American Agricultural Exports?. (2018). Andres, Giron ; Victor, Giron ; Eduardo, Giron Luis ; Paola, Sierra Lya. In: Global Economy Journal. RePEc:bpj:glecon:v:18:y:2018:i:4:p:9:n:4.

Full description at Econpapers || Download paper

2018A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns. (2018). Haas, Markus ; Ji-Chun, Liu ; Markus, Haas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:3:p:27:n:3.

Full description at Econpapers || Download paper

2017Strategic Bidding of Electric Power Generating Companies: Evidence from the Australian National Energy Market. (2017). Long, Ngo ; Dungey, Mardi ; van Long, Ngo ; Ghahremanlou, Ali. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6819.

Full description at Econpapers || Download paper

2018Nonlinearities and Regimes in Conditional Correlations with Different Dynamics. (2018). Bauwens, L ; Otrando, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:201803.

Full description at Econpapers || Download paper

2017Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?. (2017). Kilian, Lutz ; Baumeister, Christiane ; Ellwanger, Reinhard. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11740.

Full description at Econpapers || Download paper

2017Examining the Common Dynamics of Commodity Futures Prices. (2017). Gross, Christian. In: CQE Working Papers. RePEc:cqe:wpaper:6317.

Full description at Econpapers || Download paper

2017Has Financialization in Commodity Markets Affected the Predictability in Metal Markets? The Efficient Markets Hypotheses for Metal Returns. (2017). Sierra, Lya Paola ; Osorio, Carolina ; Giron, Luis Eduardo. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-03.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Oil and stock markets before and after financial crises : a local Gaussian correlation approach. (2017). Panagiotidis, Theodore ; Bampinas, Georgios. In: Bank of Estonia Working Papers. RePEc:eea:boewps:wp2016-11.

Full description at Econpapers || Download paper

2019Impact of oil price fluctuations on tanker maritime network structure and traffic flow changes. (2019). Murray, Alan T ; Lu, Feng ; Fang, Zhixiang ; Yu, Hongchu ; Chen, Jinhai ; Mei, Qiang ; Peng, Peng ; Zhang, Hengcai. In: Applied Energy. RePEc:eee:appene:v:237:y:2019:i:c:p:390-403.

Full description at Econpapers || Download paper

2017The long and short of commodity tails and their relationship to Asian equity markets. (2017). Vo, Duc ; Powell, Robert ; Pham, Thach ; Singh, Abhay K. In: Journal of Asian Economics. RePEc:eee:asieco:v:52:y:2017:i:c:p:32-44.

Full description at Econpapers || Download paper

2017Structural vector autoregressions with smooth transition in variances. (2017). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:84:y:2017:i:c:p:43-57.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Financial contagion and volatility spillover: An exploration into Indian commodity derivative market. (2017). Sinha Roy, Saikat ; Sinharoy, Saikat. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:368-380.

Full description at Econpapers || Download paper

2018Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes. (2018). Alexakis, Christos ; Pappas, Vasileios. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:222-239.

Full description at Econpapers || Download paper

2018Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets. (2018). Zhang, Zhaoyong ; Shi, Yanlin ; Ho, Kin-Yip. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:168-186.

Full description at Econpapers || Download paper

2019Evaluation of multivariate GARCH models in an optimal asset allocation framework. (2019). Hasim, Haslifah M ; Vrontos, Spyridon ; Abdul, Nor Syahilla. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:568-596.

Full description at Econpapers || Download paper

2019Network connectedness and net spillover between financial and commodity markets. (2019). Yoon, Seong-Min ; Uddin, Gazi ; al Mamun, MD ; Kang, Sang Hoon. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:801-818.

Full description at Econpapers || Download paper

2017Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets. (2017). Uddin, Gazi ; Nguyen, Duc Khuong ; Bekiros, Stelios ; Junior, Leonidas Sandoval . In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:3:p:945-961.

Full description at Econpapers || Download paper

2017Commodity price cycles and financial pressures in African commodities exporters. (2017). Kablan, Akassi ; Guesmi, Khaled ; Ftiti, Zied. In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:215-231.

Full description at Econpapers || Download paper

2018Extreme dependence and risk spillovers between oil and Islamic stock markets. (2018). Shahzad, Syed Jawad Hussain ; Hussain, Syed Jawad ; Al-Yahyaee, Khamis H ; Ur, Mobeen ; Hammoudeh, Shawkat ; Mensi, Walid. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:42-63.

Full description at Econpapers || Download paper

2017Diversification benefits of commodities: A stochastic dominance efficiency approach. (2017). Topaloglou, Nikolas ; Skiadopoulos, George ; Daskalaki, Charoula. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:250-269.

Full description at Econpapers || Download paper

2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

Full description at Econpapers || Download paper

2017Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. (2017). Yoon, Seong-Min ; McIver, Ron ; Kang, Sang Hoon. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:19-32.

Full description at Econpapers || Download paper

2017Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis. (2017). Andriosopoulos, Kostas ; Spyrou, Spyros ; Galariotis, Emilios. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:217-227.

Full description at Econpapers || Download paper

2017The impact of the German response to the Fukushima earthquake. (2017). Waterson, Michael ; Grossi, Luigi ; Heim, Sven. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:450-465.

Full description at Econpapers || Download paper

2017Crude inventory accounting and speculation in the physical oil market. (2017). Diaz-Rainey, Ivan ; Lont, David H ; Roberts, Helen. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:508-522.

Full description at Econpapers || Download paper

2017Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications. (2017). Sensoy, Ahmet ; Mensi, walid ; Hammoudeh, Shawkat ; Kang, Sang Hoon ; Wanas, Idries Mohammad. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:454-475.

Full description at Econpapers || Download paper

2017“De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets. (2017). Chevallier, Julien ; Guesmi, Khaled ; Zhang, Yue-Jun. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:228-239.

Full description at Econpapers || Download paper

2018Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example. (2018). Drachal, Krzysztof. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:208-251.

Full description at Econpapers || Download paper

2018The asymmetric return-volatility relationship of commodity prices. (2018). Baur, Dirk G ; Dimpfl, Thomas. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:378-387.

Full description at Econpapers || Download paper

2018Forecasting oil prices: High-frequency financial data are indeed useful. (2018). Filis, George ; Degiannakis, Stavros. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:388-402.

Full description at Econpapers || Download paper

2019A novel market efficiency index for energy futures and their term structure risk premiums. (2019). Roberts, Helen ; Premachandra, I M ; Kuruppuarachchi, Duminda. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:23-33.

Full description at Econpapers || Download paper

2019Financialization, fundamentals, and the time-varying determinants of US natural gas prices. (2019). Zhang, Dayong ; Broadstock, David Clive ; Wang, Tiantian. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:707-719.

Full description at Econpapers || Download paper

2017Cross-financial-market correlations and quantitative easing. (2017). Zhang, Jie ; Zhong, Rui ; Kryzanowski, Lawrence. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:13-21.

Full description at Econpapers || Download paper

2018The relationship between commodity markets and commodity mutual funds: A wavelet-based analysis. (2018). GUPTA, RANGAN ; Cuñado, Juncal ; Chang, Tsangyao ; Antonakakis, Nikolaos ; Cunado, Juncal. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:1-9.

Full description at Econpapers || Download paper

2018Portfolio management with targeted constant market volatility. (2018). Doan, Bao ; Sherris, Michael ; Reeves, Jonathan J ; Papageorgiou, Nicolas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:134-147.

Full description at Econpapers || Download paper

2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:711-732.

Full description at Econpapers || Download paper

2017Variance risk in commodity markets. (2017). Symeonidis, Lazaros ; Prokopczuk, Marcel ; Simen, Chardin Wese . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:81:y:2017:i:c:p:136-149.

Full description at Econpapers || Download paper

2017Determinants of the crude oil futures curve: Inventory, consumption and volatility. (2017). Yeung, Danny ; Thorp, Susan ; Nikitopoulos-Sklibosios, Christina ; Squires, Matthew. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:53-67.

Full description at Econpapers || Download paper

2017Are correlations constant? Empirical and theoretical results on popular correlation models in finance. (2017). Füss, Roland ; Gluck, Thorsten ; Adams, Zeno ; Fuss, Roland ; ROLAND FSS, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:9-24.

Full description at Econpapers || Download paper

2018Is food financialized? Yes, but only when liquidity is abundant. (2018). Oran, Adil ; Soytas, Ugur ; Ordu, Beyza Mina. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:82-96.

Full description at Econpapers || Download paper

2017A tale of two tails: Explaining extreme events in financialized agricultural markets. (2017). Algieri, Bernardina ; Koch, Nicolas ; Kalkuhl, Matthias. In: Food Policy. RePEc:eee:jfpoli:v:69:y:2017:i:c:p:256-269.

Full description at Econpapers || Download paper

2017Black swan events and safe havens: The role of gold in globally integrated emerging markets. (2017). Uddin, Gazi ; Nguyen, Duc Khuong ; Bekiros, Stelios ; Boubaker, Sabri. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pb:p:317-334.

Full description at Econpapers || Download paper

2017Forecasting oil price realized volatility using information channels from other asset classes. (2017). Filis, George ; Degiannakis, Stavros. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:76:y:2017:i:c:p:28-49.

Full description at Econpapers || Download paper

2018Guilty speculators? Range-based conditional volatility in a cross-section of wheat futures. (2018). Huss, Matthias ; Haase, Marco . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:10:y:2018:i:c:p:29-46.

Full description at Econpapers || Download paper

2018Volatility spillover in seafood markets. (2018). Jonsson, Erlendur ; Dahl, Roy Endre . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:12:y:2018:i:c:p:44-59.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Modeling the multivariate dynamic dependence structure of commodity futures portfolios. (2017). Paraschiv, Florentina ; Erik, Tom ; Fuss, Roland ; ROLAND FSS, ; Aepli, Matthias D. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:6:y:2017:i:c:p:66-87.

Full description at Econpapers || Download paper

2017Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets. (2017). Soytas, Ugur ; Sarı, Ramazan ; Gormus, Alper ; Sari, Ramazan ; Kocaarslan, Baris. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:7:y:2017:i:c:p:41-56.

Full description at Econpapers || Download paper

2017Financialization of metal markets: Does futures trading influence spot prices and volatility?. (2017). Mayer, Herbert ; Wanner, Markus ; Rathgeber, Andreas. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:300-316.

Full description at Econpapers || Download paper

2017Time-varying volatility spillovers between stock and precious metal markets with portfolio implications. (2017). Mensi, walid ; Kang, Sang Hoon ; Al-Yahyaee, Khamis Hamed. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:88-102.

Full description at Econpapers || Download paper

2018Do commodities effectively hedge real estate risk? A multi-scale asymmetric DCC approach. (2018). Shahzad, Syed Jawad Hussain ; Raza, Syed ; Hussain, Syed Jawad ; Ali, Sajid. In: Resources Policy. RePEc:eee:jrpoli:v:57:y:2018:i:c:p:10-29.

Full description at Econpapers || Download paper

2019Can alternative hedging assets add value to Islamic-conventional portfolio mix: Evidence from MGARCH models. (2019). Ali, Sajid ; Raza, Naveed ; Salman, Aneel ; Ur, Mobeen ; Hussain, Syed Jawad. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:210-230.

Full description at Econpapers || Download paper

2019Coherence, connectedness and dynamic hedging effectiveness between emerging markets equities and commodity index funds. (2019). Mishra, Anil ; Ahmad, Wasim ; Singh, Jitendra. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:441-460.

Full description at Econpapers || Download paper

2019Nonlinear effects of financial factors on fluctuations in nonferrous metals prices: A Markov-switching VAR analysis. (2019). Zhu, Xuehong ; Chen, Jinyu ; Zhong, Meirui. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:489-500.

Full description at Econpapers || Download paper

2019Dynamic impact of Chinas stock market on the international commodity market. (2019). An, Haizhong ; Wen, Shaobo ; Liu, Xueyong ; Huang, Shupei. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:564-571.

Full description at Econpapers || Download paper

2018Whether the fluctuation of China’s financial markets have impact on global commodity prices?. (2018). Liao, Jia ; Xu, Xiangyun ; Qian, QI. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:1030-1040.

Full description at Econpapers || Download paper

2019Persistence in trends and cycles of gold and silver prices: Evidence from historical data. (2019). GUPTA, RANGAN ; Gil-Alana, Luis A ; Cunado, Juncal. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:345-354.

Full description at Econpapers || Download paper

2018The dependence structure between Chinese and other major stock markets using extreme values and copulas. (2018). Hussain, Saiful Izzuan ; Li, Steven. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:421-437.

Full description at Econpapers || Download paper

2018The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs. (2018). Jitmaneeroj, Boonlert. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:282-298.

Full description at Econpapers || Download paper

2017The behaviour of asset return and volatility spillovers in Turkey: A tale of two crises. (2017). Berke, Burcu ; Bajo-Rubio, Oscar ; McMillan, David. In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:577-589.

Full description at Econpapers || Download paper

2017Do commodities make effective hedges for equity investors?. (2017). Wohar, Mark ; Olson, Eric ; Vivian, Andrew. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1274-1288.

Full description at Econpapers || Download paper

2019The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:115614.

Full description at Econpapers || Download paper

2017Linkages Between Equity and Global Food Markets: New Evidence from Including Structural Changes. (2017). JOUINI, Jamel ; Alshogeathri, Mofleh . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:67:y:2017:i:3:p:166-198.

Full description at Econpapers || Download paper

2019Do Crude Oil Prices Drive the Relationship between Stock Markets of Oil-Importing and Oil-Exporting Countries?. (2019). Mokni, Khaled ; Youssef, Manel . In: Economies. RePEc:gam:jecomi:v:7:y:2019:i:3:p:70-:d:247077.

Full description at Econpapers || Download paper

2018Determining Time-Varying Drivers of Spot Oil Price in a Dynamic Model Averaging Framework. (2018). Drachal, Krzysztof. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:5:p:1207-:d:145404.

Full description at Econpapers || Download paper

2018Exploring the Dynamic Links between GCC Sukuk and Commodity Market Volatility. (2018). Naifar, Nader. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:3:p:72-:d:163414.

Full description at Econpapers || Download paper

2017A Cointegrated Regime-Switching Model Approach with Jumps Applied to Natural Gas Futures Prices. (2017). Leonhardt, Daniel ; Zagst, Rudi ; Ware, Antony. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:48-:d:111674.

Full description at Econpapers || Download paper

2017Volatility Spillover between Water, Energy and Food. (2017). Peri, Massimo ; Baldi, Lucia ; Vandone, Daniela. In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:6:p:1071-:d:101981.

Full description at Econpapers || Download paper

2017Jumps in Commodity Markets. (2017). Prokopczuk, Marcel ; Benno, Duc Binh. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-615.

Full description at Econpapers || Download paper

2018Is Commodity Index Investing Profitable?. (2018). Prokopczuk, Marcel ; Fethke, Tobias. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-635.

Full description at Econpapers || Download paper

2018Outliers and misleading leverage effect in asymmetric GARCH-type models. (2018). Carnero, M. Angeles ; Espartero, Ana Perez. In: Working Papers. Serie AD. RePEc:ivi:wpasad:2018-01.

Full description at Econpapers || Download paper

2019How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models. (2019). Dong, Manh Cuong ; Sriboonchitta, Songsak ; Lee, Sangyoel. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-017-9743-z.

Full description at Econpapers || Download paper

2017A four-factor stochastic volatility model of commodity prices. (2017). Schone, Max F ; Spinler, Stefan. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:2:d:10.1007_s11147-016-9126-y.

Full description at Econpapers || Download paper

2019Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe. (2019). Wengerek, Sascha Tobias ; Uhde, Andre ; Hippert, Benjamin. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:2:d:10.1007_s11147-018-9148-8.

Full description at Econpapers || Download paper

2017An Analysis of Spillovers Between Islamic and Conventional Stock Bank Returns: Evidence from the GCC Countries. (2017). Benlagha, Noureddine ; Mseddi, Slim . In: Multinational Finance Journal. RePEc:mfj:journl:v:21:y:2017:i:2:p:91-132.

Full description at Econpapers || Download paper

2018.

Full description at Econpapers || Download paper

2017Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?. (2017). Kilian, Lutz ; Baumeister, Christiane ; Ellwanger, Reinhard. In: NBER Working Papers. RePEc:nbr:nberwo:23752.

Full description at Econpapers || Download paper

2018Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach. (2018). Amado, Cristina ; Martins, Susana . In: NIPE Working Papers. RePEc:nip:nipewp:08/2018.

Full description at Econpapers || Download paper

2018Financialised internationalisation and structural hierarchies: a mixed-method study of exchange rate determination in emerging economies. (2018). Kaltenbrunner, Annina. In: Cambridge Journal of Economics. RePEc:oup:cambje:v:42:y:2018:i:5:p:1315-1341..

Full description at Econpapers || Download paper

2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach. (2017). Santos, Andre ; Moura, Guilherme ; Nogales, Francisco J ; Caldeira, Joo F. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:2:p:247-285..

Full description at Econpapers || Download paper

2018Structural Volatility Impulse Response Function and Asymptotic Inference. (2018). Liu, Xiaochun. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:2:p:316-339..

Full description at Econpapers || Download paper

2017Forecasting oil prices. (2017). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:77531.

Full description at Econpapers || Download paper

2017Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries. (2017). Filis, George ; Degiannakis, Stavros ; Boldanov, Rustam . In: MPRA Paper. RePEc:pra:mprapa:80435.

Full description at Econpapers || Download paper

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

Works by Annastiina Silvennoinen:


YearTitleTypeCited
2008Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model In: CREATES Research Papers.
[Full Text][Citation analysis]
paper61
2007Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model.(2007) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has another version. Agregated cites: 61
paper
2009Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model.(2009) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61
article
2008Multivariate GARCH models In: CREATES Research Papers.
[Full Text][Citation analysis]
paper64
2008Multivariate GARCH models.(2008) In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64
paper
2008Parameterizing unconditional skewness in models for financial time series In: CREATES Research Papers.
[Full Text][Citation analysis]
paper20
2008Parameterizing Unconditional Skewness in Models for Financial Time Series.(2008) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
article
2005Parameterizing Unconditional Skewness in Models for Financial Time Series.(2005) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
paper
2012Modelling conditional correlations of asset returns: A smooth transition approach In: CREATES Research Papers.
[Full Text][Citation analysis]
paper16
2015Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach.(2015) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
article
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market In: CREATES Research Papers.
[Full Text][Citation analysis]
paper7
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market.(2014) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2016A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market.(2016) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
2015Testing constancy of unconditional variance in volatility models by misspecification and specification tests In: CREATES Research Papers.
[Full Text][Citation analysis]
paper1
2016Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2016) In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2015Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2015) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model In: CREATES Research Papers.
[Full Text][Citation analysis]
paper1
2017Modelling and forecasting WIG20 daily returns In: CREATES Research Papers.
[Full Text][Citation analysis]
paper0
2017Modelling and forecasting WIG20 daily returns.(2017) In: NIPE Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2017Modelling and Forecasting WIG20 Daily Returns.(2017) In: Central European Journal of Economic Modelling and Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations In: CREATES Research Papers.
[Full Text][Citation analysis]
paper1
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations.(2018) In: NIPE Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2013Volatility timing: How best to forecast portfolio exposures In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article6
2013Financialization, crisis and commodity correlation dynamics In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
article243
2010Financialization, Crisis and Commodity Correlation Dynamics.(2010) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 243
paper
2005Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
paper45
2005Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations.(2005) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
paper
2009On the economic benefit of utility based estimation of a volatility model In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper0
2010Portfolio allocation: Getting the most out of realised volatility In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper0
2011Volatility timing and portfolio selection: How best to forecast volatility In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper0
2012Forecasting multivariate volatility in larger dimensions: some practical issues In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper0
2013On the Benefits of Equicorrelation for Portfolio Allocation In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper0
2015Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper4
2016Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics.(2016) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
2016Volatility Dependent Dynamic Equicorrelation In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team