8
H index
8
i10 index
831
Citations
Annastiina Silvennoinen : Citation Profile
Queensland University of Technology | RESEARCH PRODUCTION: 10 Articles 27 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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14 years (2005 - 2019). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Annastiina Silvennoinen. | Is cited by:
| Cites to:
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Main data
Where Annastiina Silvennoinen has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Financial Econometrics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| NCER Working Paper Series / National Centre for Econometric Research | 9 |
| Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney | 3 |
| SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics | 3 |
Recent works citing Annastiina Silvennoinen (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices. (2023). Noda, Akihiko ; Moriya, Koichiro. In: Papers. RePEc:arx:papers:2305.05998. Full description at Econpapers || Download paper |
| 2023 | Revisiting the Causality between Oil Prices and Stock Markets in Selected MENA Countries: A Bootstrap Rolling-window Approach. (2023). ben Hamouda, Abderrazek. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-05-13. Full description at Econpapers || Download paper |
| 2023 | Prospects for the Development of Transport in Poland during the Energy Crisis. (2023). Zimon, Grzegorz. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-03-8. Full description at Econpapers || Download paper |
| 2023 | Return and volatility connectedness between gold and energy markets: Evidence from the pre- and post-COVID vaccination phases. (2023). Jareo, Francisco ; Yousaf, Imran ; Arfaoui, Nadia. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:617-634. Full description at Econpapers || Download paper |
| 2023 | Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758. Full description at Econpapers || Download paper |
| 2023 | Commodity 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. Full description at Econpapers || Download paper |
| 2023 | Time-varying market efficiency of safe-haven assets. (2023). Leirvik, Thomas ; Okoroafor, Ugochi C. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323003963. Full description at Econpapers || Download paper |
| 2023 | Projected Dynamic Conditional Correlations. (2023). Brownlees, Christian ; Llorens-Terrazas, Jordi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1761-1776. Full description at Econpapers || Download paper |
| 2023 | The 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. Full description at Econpapers || Download paper |
| 2023 | Revisiting the Silver Crisis. (2023). Salvador, Enrique ; Poti, Valerio ; Bredin, Don. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000459. Full description at Econpapers || Download paper |
| 2023 | Do geopolitical oil price risk influence stock market returns and volatility of Pakistan: Evidence from novel non-parametric quantile causality approach. (2023). Ozkan, Oktay ; Saleem, Asima ; Khan, Nasir. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000636. Full description at Econpapers || Download paper |
| 2023 | Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle. (2023). Labeaga, Jose ; Martin-Garcia, Rodrigo ; Galan-Gutierrez, Juan Antonio. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723001216. Full description at Econpapers || Download paper |
| 2023 | Dynamic connectedness in commodity futures markets during Covid-19 in India: New evidence from a TVP-VAR extended joint connectedness approach. (2023). Olson, Dennis ; Mishra, Aswini Kumar ; Patnaik, Debasis ; Arunachalam, Vairam. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723001988. Full description at Econpapers || Download paper |
| 2023 | The volatility of natural resources implications for sustainable development: Crude oil volatility prediction based on the multivariate structural regime switching. (2023). Ma, Feng ; Tang, Yusui. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003239. Full description at Econpapers || Download paper |
| 2023 | Integration 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. Full description at Econpapers || Download paper |
| 2023 | The extreme return connectedness between Sukuk and green bonds and their determinants and consequences for investors. (2023). Ben Amar, Amine ; Balli, Faruk ; Billah, Mabruk. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x23000021. Full description at Econpapers || Download paper |
| 2023 | Skewness in energy returns: estimation, testing and retain-->implications for tail risk. (2023). Iguez, Trino-Manuel ; Leon, Angel ; Carnero, Angeles M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:178-189. Full description at Econpapers || Download paper |
| 2023 | Connectedness among El Niño-Southern Oscillation, carbon emission allowance, crude oil and renewable energy stock markets: Time- and frequency-domain evidence based on TVP-VAR model. (2023). Wang, Yizhi ; Bai, Lan ; Zhang, Jiahao ; Wei, YU. In: Renewable Energy. RePEc:eee:renene:v:202:y:2023:i:c:p:289-309. Full description at Econpapers || Download paper |
| 2023 | The dynamic relationships between carbon prices and policy uncertainties. (2023). Wojewodzki, Michal ; Sharma, Satish ; Cai, Yifei ; Liu, Xiaoqin. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:188:y:2023:i:c:s0040162523000100. Full description at Econpapers || Download paper |
| 2023 | Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks. (2023). Terasvirta, Timo ; Silvennoinen, Annastiina ; Hall, Anthony D. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:1:p:5-:d:1059591. Full description at Econpapers || Download paper |
| 2023 | Markov-Regime Switches in Oil Markets: The Fear Factor Dynamics. (2023). Okawa, Hiroyuki. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:67-:d:1045068. Full description at Econpapers || Download paper |
| 2023 | Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict. (2023). Goutte, Stéphane ; ben Amar, Amine ; Bouattour, Mondher ; Bellalah, Makram. In: Working Papers. RePEc:hal:wpaper:halshs-04064084. Full description at Econpapers || Download paper |
| 2023 | Financial Development, Political Instability, Trade Openness and Growth in Brazil: Evidence from a New Dataset, 1890-2003. (2023). Glebkina, Ekaterina ; Campos, Nauro ; Koutroumpis, Panagiotis ; Karanasos, Menelaos. In: Open Economies Review. RePEc:kap:openec:v:34:y:2023:i:4:d:10.1007_s11079-022-09684-4. Full description at Econpapers || Download paper |
| 2023 | Liquidity and realized covariance forecasting: a hybrid method with model uncertainty. (2023). Li, Weiping ; Ma, Feng ; Cao, Yangli ; Qiao, Gaoxiu. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02248-y. Full description at Econpapers || Download paper |
| 2023 | Nonlinearity 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. Full description at Econpapers || Download paper |
| 2023 | Emerging and advanced economies markets behaviour during the COVID?19 crisis era. (2023). Goutte, Stéphane ; Fateh, BELAID ; Ben Amar, Amine ; Belaid, Fateh ; Guesmi, Khaled. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1563-1581. Full description at Econpapers || Download paper |
| 2023 | Global connectivity between commodity prices and national stock markets: A time?varying MIDAS analysis. (2023). Fazio, Giorgio ; Ghoshray, Atanu ; Enilov, Martin. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2607-2619. Full description at Econpapers || Download paper |
| 2023 | Investment opportunities in the energy market: What can be learnt from different energy sectors. (2023). Uddin, Gazi ; Sahamkhadam, Maziar ; Tang, OU ; Yahya, Muhammad. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3611-3636. Full description at Econpapers || Download paper |
| 2023 | Uncertainties and green bond markets: Evidence from tail dependence. (2023). Lin, Boqiang ; Su, Tong. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:4458-4475. Full description at Econpapers || Download paper |
| 2023 | COVID?19 and tail risk contagion across commodity futures markets. (2023). Han, Liyan ; Qiao, Tongshuai. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:242-272. Full description at Econpapers || Download paper |
| 2023 | Evaluating 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. Full description at Econpapers || Download paper |
Works by Annastiina Silvennoinen:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2008 | Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 86 |
| 2007 | Modelling 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 nother version. Agregated cites: 86 | paper | |
| 2009 | Modeling 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 nother version. Agregated cites: 86 | article | |
| 2008 | Multivariate GARCH models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 95 |
| 2008 | Multivariate GARCH models.(2008) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 95 | paper | |
| 2008 | Parameterizing unconditional skewness in models for financial time series In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 24 |
| 2008 | Parameterizing Unconditional Skewness in Models for Financial Time Series.(2008) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | article | |
| 2005 | Parameterizing Unconditional Skewness in Models for Financial Time Series.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
| 2012 | Modelling conditional correlations of asset returns: A smooth transition approach In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 35 |
| 2015 | Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach.(2015) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | article | |
| 2014 | A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 13 |
| 2014 | A 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 nother version. Agregated cites: 13 | paper | |
| 2016 | A 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 nother version. Agregated cites: 13 | article | |
| 2015 | Testing constancy of unconditional variance in volatility models by misspecification and specification tests In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
| 2016 | Testing 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 nother version. Agregated cites: 6 | article | |
| 2015 | Testing 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 nother version. Agregated cites: 6 | paper | |
| 2017 | Consistency 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] | paper | 3 |
| 2017 | Modelling and forecasting WIG20 daily returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
| 2017 | Modelling and forecasting WIG20 daily returns.(2017) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2017 | Modelling and Forecasting WIG20 Daily Returns.(2017) In: Central European Journal of Economic Modelling and Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations.(2018) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2018 | Transition from the Taylor rule to the zero lower bound In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Volatility timing: How best to forecast portfolio exposures In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 8 |
| 2013 | Financialization, crisis and commodity correlation dynamics In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 458 |
| 2010 | Financialization, Crisis and Commodity Correlation Dynamics.(2010) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 458 | paper | |
| 2005 | Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 66 |
| 2005 | Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | paper | |
| 2009 | On the economic benefit of utility based estimation of a volatility model In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Portfolio allocation: Getting the most out of realised volatility In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Volatility timing and portfolio selection: How best to forecast volatility In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Forecasting multivariate volatility in larger dimensions: some practical issues In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2013 | On the Benefits of Equicorrelation for Portfolio Allocation In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 23 |
| 2016 | Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics.(2016) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | article | |
| 2016 | Volatility Dependent Dynamic Equicorrelation In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Volatility-dependent correlations: further evidence of when, where and how In: Empirical Economics. [Full Text][Citation analysis] | article | 5 |
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