Annastiina Silvennoinen : Citation Profile


Are you Annastiina Silvennoinen?

Queensland University of Technology

8

H index

8

i10 index

761

Citations

RESEARCH PRODUCTION:

10

Articles

27

Papers

RESEARCH ACTIVITY:

   14 years (2005 - 2019). See details.
   Cites by year: 54
   Journals where Annastiina Silvennoinen has often published
   Relations with other researchers
   Recent citing documents: 106.    Total self citations: 16 (2.06 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psi115
   Updated: 2022-08-06    RAS profile: 2019-08-19    
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Relations with other researchers


Works with:

Teräsvirta, Timo (7)

Amado, Cristina (5)

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

Is cited by:

Teräsvirta, Timo (22)

GUPTA, RANGAN (21)

Savva, Christos (18)

Nguyen, Duc Khuong (15)

Filis, George (15)

Degiannakis, Stavros (13)

Bauwens, Luc (13)

De Santis, Roberto (11)

Hafner, Christian (10)

Maheu, John (9)

Osborn, Denise (9)

Cites to:

Engle, Robert (64)

Teräsvirta, Timo (54)

Bollerslev, Tim (42)

Amado, Cristina (26)

Jagannathan, Ravi (19)

Bauwens, Luc (17)

Laurent, Sébastien (17)

Sheppard, Kevin (16)

McAleer, Michael (15)

Rombouts, Jeroen (14)

Tse, Y. K. (12)

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
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics3
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney3

Recent works citing Annastiina Silvennoinen (2022 and 2021)


YearTitle of citing document
2021Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model. (2021). Terasvirta, Timo ; Silvennoinen, Annastiina ; Hall, Anthony D. In: CREATES Research Papers. RePEc:aah:create:2021-13.

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2022A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Wade, Glen ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian. In: CREATES Research Papers. RePEc:aah:create:2022-01.

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2022Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis. (2022). Drago, Carlo ; Scozzari, Andrea. In: Papers. RePEc:arx:papers:2202.02197.

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2022Extremal Dependence in Australian Electricity Markets. (2022). Han, Lin ; Trueck, Stefan ; Cribben, Ivor. In: Papers. RePEc:arx:papers:2202.09970.

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2021Hedging uncertainty with cryptocurrencies: Is bitcoin your best bet?. (2021). Zopounidis, Constantin ; King, Timothy ; Koutmos, Dimitrios. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:4:p:815-837.

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2021Outliers and misleading leverage effect in asymmetric GARCH-type models. (2021). Carnero, M. Angeles ; Angeles, Carnero M ; Ana, Perez. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:19:n:2.

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2022Is the Tracking Error Time-Varying? Evidence from Agricultural ETCs. (2022). Bohl, Martin T ; Biakowski, Jdrzej ; Perera, Devmali. In: Working Papers in Economics. RePEc:cbt:econwp:22/13.

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2021Integrated nested Laplace approximations for threshold stochastic volatility models. (2021). Rue, Havard ; Lopes, Maria Helena ; de Zea, P ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31804.

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2021Oil Price Volatility Models during Coronavirus Crisis: Testing with Appropriate Models Using Further Univariate GARCH and Monte Carlo Simulation Models. (2021). Hadhek, Zouhaier ; Bouazizi, Tarek ; Lassoued, Mongi. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-01-35.

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2022The Interaction of Major Crypto-assets, Clean Energy, and Technology Indices in Diversified Portfolios. (2022). Ozay, Tugba ; Umut, Alican ; Ozdurak, Caner. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-02-54.

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2021The COVID-19 pandemic and speculation in energy, precious metals, and agricultural futures. (2021). Ghafoor, Abdul ; Sifat, Imtiaz ; Ah, Abdollah. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000423.

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2021Oil and precious metals: Volatility transmission, hedging, and safe haven analysis from the Asian crisis to the COVID-19 crisis. (2021). Kang, Sang Hoon ; Vo, Xuan Vinh ; Nekhili, Ramzi ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:71:y:2021:i:c:p:73-96.

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2021Price explosiveness in nonferrous metal futures markets. (2021). Xiong, Tao ; Ma, Richie Ruchuan. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:75-90.

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2021Correlation regimes in international equity and bond returns. (2021). Martinez, Oscar ; Aslanidis, Nektarios. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:397-410.

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2021Risk spillovers and hedge strategies between global crude oil markets and stock markets: Do regime switching processes combining long memory and asymmetry matter?. (2021). Lin, Ling ; Ou, Yangchen ; Jiang, Yong ; Zhou, Zhongbao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000334.

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2021Analysis of the impact of COVID-19 pandemic on G20 stock markets. (2021). Dong, Zibing ; Wang, Jian ; Zhuang, Xintian ; Li, Yanshuang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001455.

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2022Functional time series approach to analyzing asset returns co-movements. (2022). Xia, Yingcun ; Saart, Patrick W. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:127-151.

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2021Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies. (2021). Wang, Qingwei ; Mazouz, Khelifa ; Ding, Wenjie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:42-56.

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2021The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns. (2021). Uddin, Gazi ; Makkonen, Adam ; Cardia, Michel Ferreira ; Rahman, Md Lutfur ; Vallstrom, Daniel. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002802.

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2021Global crude oil and the Chinese oil-intensive sectors: A comprehensive causality study. (2021). Leong, Soon Heng. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s014098832100431x.

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2022Forecasting oil and gold volatilities with sentiment indicators under structural breaks. (2022). GUPTA, RANGAN ; Demirer, Riza ; Ji, Qiang ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s014098832100596x.

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2022Oil and gold as a hedge and safe-haven for metals and agricultural commodities with portfolio implications. (2022). Kang, Sang Hoon ; Suleman, Muhammad Tahir ; Arif, Muhammad ; Hasan, Mudassar ; Naeem, Muhammad Abubakr. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321006022.

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2022Dependence structure and dynamic connectedness between green bonds and financial markets: Fresh insights from time-frequency analysis before and during COVID-19 pandemic. (2022). Tiwari, Aviral ; Naifar, Nader ; Nasreen, Samia ; Elsayed, Ahmed H. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000299.

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2022Sensitivity of US sectoral returns to energy commodities under different investment horizons and market conditions. (2022). Kang, Sanghoon ; McIver, Ron ; Vo, Xuan Vinh ; Ur, Mobeen. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000603.

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2022Time-varying dependence dynamics between international commodity prices and Australian industry stock returns: a Perspective for portfolio diversification. (2022). Tiwari, Aviral ; Hammoudeh, Shawkat ; Karikari, Nana Kwasi ; Aikins, Emmanuel Joel. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000731.

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2022Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities. (2022). Nepal, Rabindra ; Paltrinieri, Andrea ; Naeem, Muhammad Abubakr ; Farid, Saqib. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001384.

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2021Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China. (2021). Huo, Rui ; Ahmed, Abdullahi D. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988320300803.

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2021A closer look into the global determinants of oil price volatility. (2021). Filis, George ; Gabauer, David ; Filippidis, Michail ; Chatziantoniou, Ioannis. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988320304321.

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2021The role of oil as a determinant of stock market interdependence: The case of the USA and GCC. (2021). Herbst, Patrick ; Ziadat, Salem Adel ; McMillan, David G. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000074.

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2021OPEC news and jumps in the oil market. (2021). Yoon, Seong-Min ; Pierdzioch, Christian ; Gupta, Rangan ; Gkillas, Konstantinos. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000013.

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2021Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model. (2021). Zhang, Shuhua ; Terasvirta, Timo ; Kang, Jian ; He, Changli. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000761.

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2021Determinants of project bond prices – Insights into infrastructure and energy capital markets. (2021). Wunsche, Andreas ; Horsch, Andreas ; Heyde, Frank ; Richter, Sylvia. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000803.

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2021Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets. (2021). Kang, Sang Hoon ; Vo, Xuan Vinh ; al Rababa, Abdel Razzaq ; Mensi, Walid. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001675.

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2021Forecasting selected energy commodities prices with Bayesian dynamic finite mixtures. (2021). Drachal, Krzysztof. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321001882.

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2021Structure dependence between oil and agricultural commodities returns: The role of geopolitical risks. (2021). Tiwari, Aviral ; GUPTA, RANGAN ; Suleman, Muhammed Tahir ; Boachie, Micheal Kofi. In: Energy. RePEc:eee:energy:v:219:y:2021:i:c:s0360544220326918.

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2021Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets. (2021). Zou, Huiwen ; Goh, Mark ; Cui, Jinxin. In: Energy. RePEc:eee:energy:v:225:y:2021:i:c:s0360544221004394.

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2022Energy markets – Who are the influencers?. (2022). Ferreira, Paulo ; Quintino, Derick ; Bouri, Elie ; Dionisio, Andreia ; Almeida, Dora. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pa:s0360544221022106.

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2022The asymmetric effects of oil price shocks and uncertainty on non-ferrous metal market: Based on quantile regression. (2022). Li, Hailing ; Zhu, Xuehong ; Chen, Ying. In: Energy. RePEc:eee:energy:v:246:y:2022:i:c:s0360544222002687.

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2021A three-tiered nested analytical approach to financial integration: The case of emerging and frontier equity markets. (2021). Guidi, Francesco ; Cagliesi, Gabriella. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000417.

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2021Dynamic volatility spillovers and investment strategies between the Chinese stock market and commodity markets. (2021). Cao, Jiahui ; Wen, Fenghua ; Wang, Xiong ; Liu, Zhen. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001137.

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2021Commodity financialisation and price co-movement: Lessons from two centuries of evidence. (2021). Mikutowski, Mateusz ; Zaremba, Adam ; Umar, Zaghum. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319308402.

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2021A realized EGARCH-MIDAS model with higher moments. (2021). Wu, Xinyu ; Xie, Haibin. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319308505.

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2021From bottom ten to top ten: The role of cryptocurrencies in enhancing portfolio return of poorly performing stocks. (2021). Matkovskyy, Roman ; Bouraoui, Taoufik ; Dowling, Michael ; Jalan, Akanksha. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309894.

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2021Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds. (2021). Vo, Xuan Vinh ; Balli, Hatice ; Naeem, Muhammad Abubakr ; Ha, Thi Thu. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320304207.

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2022Interest in cryptocurrencies predicts conditional correlation dynamics. (2022). Chuffart, Thomas. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321002956.

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2021Cross-commodity hedging for illiquid futures: Evidence from Chinas base metal futures market. (2021). Tongurai, Jittima ; Chen, Xiangyu. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028321000508.

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2021Asymmetric volatility connectedness between Islamic stock and commodity markets. (2021). McIver, Ron ; Suleman, Muhammad Tahir ; Kang, Sang Hoon. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s104402832100051x.

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2021On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities. (2021). Yfanti, S ; Karanasos, M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000111.

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2022Financial market linkages and the sovereign debt crisis. (2022). Amado, Cristina ; Campos-Martins, Susana. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s0261560621002473.

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2021Asymmetric volatility in commodity markets. (2021). Mu, Xiaoyi ; Chen, Yu-Fu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:22:y:2021:i:c:s2405851320300167.

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2021Commodity index risk premium. (2021). Schwartz, Eduardo S ; Rojas, Maximiliano ; Ortega, Hector ; Cortazar, Gonzalo. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:22:y:2021:i:c:s2405851320300337.

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2022The “necessary evil” in Chinese commodity markets. (2022). Zhang, Tingxi ; Mo, DI ; Fan, John Hua. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:25:y:2022:i:c:s2405851321000209.

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2022An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting. (2022). Wang, Shixuan ; Liu, Zhenya ; Han, Xuyuan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:25:y:2022:i:c:s2405851321000222.

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2021Energy commodities, precious metals and industrial metal markets: A nexus across different investment horizons and market conditions. (2021). Vo, Xuan Vinh ; Ur, Mobeen. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720308746.

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2021Asymmetric and time-frequency spillovers among commodities using high-frequency data. (2021). Vo, Xuan Vinh ; Shahzad, Syed Jawad Hussain ; Caporin, Massimiliano ; Hasan, Mudassar ; Arif, Muhammad ; Naeem, Muhammad Abubakr. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309879.

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2021Dynamics of connectedness across crude oil, precious metals and exchange rate: Evidence from time and frequency domains. (2021). Dar, Arif ; Bhanja, Niyati ; Paul, Manas ; Shah, Adil Ahmad. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001689.

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2021Clustering commodity markets in space and time: Clarifying returns, volatility, and trading regimes through unsupervised machine learning. (2021). Vo, Xuan Vinh ; Ur, Mobeen ; Chen, James Ming. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001768.

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2021Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach. (2021). Umar, Zaghum ; Gabauer, David ; Balcilar, Mehmet. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002300.

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2021On interdependence structure of Chinas commodity market. (2021). Yang, Xuan ; He, Limin ; Chen, Peng. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721002671.

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2021Information transmission and entropy-based network between Chinese stock market and commodity futures market. (2021). Hu, Ziang ; Niu, Hongli. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003044.

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2021Financial regimes and oil prices. (2021). Mohammed, Mikidadu ; Barrales-Ruiz, Jose. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003093.

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2022Oil shocks and equity returns during bull and bear markets: The case of oil importing and exporting nations. (2022). Herbst, Patrick ; McMillan, David G ; Ziadat, Salem Adel. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004694.

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2022How the price dynamics of energy resources and precious metals interact with conventional and Islamic Stocks: Fresh insight from dynamic ARDL approach. (2022). Ozturk, Ilhan ; Sharif, Arshian ; Ashraf, Muhammad Sajjad ; Khan, Muhammad Kamran ; Sarwat, Salman ; Godil, Danish Iqbal. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004785.

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2022On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis. (2022). Ahmed, Walid. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:83:y:2022:i:c:p:135-151.

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2021Financial advice: Who Exactly Follows It?. (2021). Yagil, Joseph ; Qadan, Mahmoud ; Reiter-Gavish, Liron. In: Research in Economics. RePEc:eee:reecon:v:75:y:2021:i:3:p:244-258.

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2022Dependence between renewable energy related critical metal futures and producer equity markets across varying market conditions. (2022). Junttila, Juha ; Uddin, Gazi Salah ; Kits, Ilya ; Borg, Elin. In: Renewable Energy. RePEc:eee:renene:v:190:y:2022:i:c:p:879-892.

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2021Commodity futures returns and policy uncertainty. (2021). Bannigidadmath, Deepa ; Narayan, Paresh Kumar. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:364-383.

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2021Fair-weather Friends? Sector-specific volatility connectedness and transmission. (2021). Power, Gabriel ; Vedenov, Dmitry ; Liu, Pan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:712-736.

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2021In search of safe haven assets during COVID-19 pandemic: An empirical analysis of different investor types. (2021). Nagayev, Ruslan ; Aysan, Ahmet F ; Rizkiah, Siti K ; Salim, Kinan ; Disli, Mustafa. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000829.

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2022Traders’ motivation and hedging pressure in commodity futures markets. (2022). Smimou, K ; Bosch, David. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001501.

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2021How do Artificial Intelligence and Robotics Stocks co-move with traditional and alternative assets in the age of the 4th industrial revolution? Implications and Insights for the COVID-19 period. (2021). Bayraci, Selcuk ; Gencer, Hatice Gaye ; Demiralay, Sercan. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:171:y:2021:i:c:s0040162521004212.

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2021Sugar Prices vs. Financial Market Uncertainty in the Time of Crisis: Does COVID-19 Induce Structural Changes in the Relationship?. (2021). Smutka, Luboš ; Prochazka, Petr ; Wielechowski, Micha ; Czech, Katarzyna ; Kotyza, Pavel. In: Agriculture. RePEc:gam:jagris:v:11:y:2021:i:2:p:93-:d:484771.

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2021The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties. (2021). Gouider, Abdessalem ; Mezghani, Imed ; ben Haddad, Hedi. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:2:p:91-:d:575121.

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2022Oil and Gas Markets and COVID-19: A Critical Rumination on Drivers, Triggers, and Volatility. (2022). Bandyopadhyay, Kaushik Ranjan . In: Energies. RePEc:gam:jeners:v:15:y:2022:i:8:p:2884-:d:794079.

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2021Does Time Varying Risk Premia Exist in the International Bond Market? An Empirical Evidence from Australian and French Bond Market. (2021). A. B. M. Rabiul Alam Beg, ; A. B. M. Rabiul Alam Beg, ; Aftab, Hira. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:9:y:2021:i:1:p:3-:d:474400.

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2021Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management. (2021). Yousfi, Mohamed ; Bouzgarrou, Houssam ; Dhaoui, Abderrazak. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:222-:d:554950.

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2021.

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2021Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach. (2021). Candila, Vincenzo ; Andreani, Mila ; Petrella, Lea ; Morelli, Giacomo. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:8:p:144-:d:612252.

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2022Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?. (2022). Benkraiem, Ramzi ; Isleimeyyeh, Mohammad ; Goutte, Stephane ; Amar, Amine. In: Working Papers. RePEc:hal:wpaper:halshs-03672476.

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2021Commodity Transaction Tax (CTT): Nature of Correlation Dynamics and Volatility Linkages Between Indian Commodity and Equity Markets. (2021). Kurisetti, Padma ; Perumandla, Swamy. In: International Journal of Asian Business and Information Management (IJABIM). RePEc:igg:jabim0:v:12:y:2021:i:2:p:16-36.

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2021Hedging Islamic and conventional stock markets with other financial assets: comparison between competing DCC models on hedging effectiveness. (2021). Jarboui, Anis ; Ghorbel, Ahmed ; Hamma, Wajdi. In: Journal of Asset Management. RePEc:pal:assmgt:v:22:y:2021:i:3:d:10.1057_s41260-021-00208-2.

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2021Forecasting Oil and Gold Volatilities with Sentiment Indicators Under Structural Breaks. (2021). Demirer, Riza ; Ji, Qiang ; Gupta, Rangan ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202130.

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2021Integration and Risk Transmission in the Market for Crude Oil: A Time-Varying Parameter Frequency Connectedness Approach. (2021). GUPTA, RANGAN ; Gabauer, David ; Chatziantoniou, Ioannis. In: Working Papers. RePEc:pre:wpaper:202147.

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2021Return and Volatility Spillover between Stock Prices and Exchange Rates in Croatia: A Spillover Methodology Approach. (2021). Škrinjarić, Tihana ; Ego, Boko ; Dedi, Lidija. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2021:i:1:p:93-108.

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2022The Evaluation of Mean-Detrended Cross-Correlation Analysis Portfolio Strategy for Multiple risk Assets. (2022). Chen, Zhonglu ; Zhang, Linlin ; Wu, XU. In: Evaluation Review. RePEc:sae:evarev:v:46:y:2022:i:2:p:138-164.

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2021Dynamic Commodity Portfolio Management: A Regime-switching VAR Model. (2021). Biswal, Pratap Chandra ; Singhal, Shelly. In: Global Business Review. RePEc:sae:globus:v:22:y:2021:i:2:p:532-549.

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2021Evaluating the performance of degrees of freedom estimation in asymmetric GARCH models with t-student innovations. (2021). , Thais ; Christian, ; Migon, Helio S ; Cerqueira, Vinicius S. In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:40:y:2021:i:2:a:80292.

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2021Modeling the flow of information between financial time-series by an entropy-based approach. (2021). Vellucci, P ; Mastroeni, L ; Benedetto, F. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03319-7.

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2021Tell me where to stop: thresholds in the bank lending and output growth relationship. (2021). Koursaros, Demetris ; Savva, Christos ; Michail, Nektarios. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:4:d:10.1007_s00181-020-01823-5.

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2022The links between gold, oil prices and Islamic stock markets in a regime switching environment. (2022). Chkili, Walid. In: Eurasian Economic Review. RePEc:spr:eurase:v:12:y:2022:i:1:d:10.1007_s40822-022-00202-y.

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2021African equity markets’ exposure to oil and other commodities - implications for global portfolio diversification. (2021). Sjo, BO ; Boako, Gideon ; Alagidede, Imhotep Paul. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:45:y:2021:i:2:d:10.1007_s12197-020-09527-3.

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2022Spillovers and portfolio optimization of precious metals and global/regional equity markets. (2022). Kang, Sang Hoon ; Hernandez, Jose Arreola ; Arreolahernandez, Jose ; Yoon, Seong-Min. In: Applied Economics. RePEc:taf:applec:v:54:y:2022:i:20:p:2320-2342.

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2021Oil Price Pass through to Agricultural Commodities†. (2021). Skolrud, Tristan ; Lundberg, Clark ; Chatrath, Arjun ; Adrangi, Bahram. In: American Journal of Agricultural Economics. RePEc:wly:ajagec:v:103:y:2021:i:2:p:721-742.

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2021Commodity prices and the Brazilian real exchange rate. (2021). de Lima, Joo E ; de Mattos, Leonardo B ; da Silva, Rodrigo. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:3152-3172.

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2021Research on external financial risk measurement of China real estate. (2021). Wang, Jiazhen ; Zheng, Luyuan ; Jiang, Yuexiang. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5472-5484.

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2021Should stock investors include cryptocurrencies in their portfolios after all? Evidence from a conditional diversification benefits measure. (2021). Bayraci, Seluk ; Demiralay, Sercan. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:4:p:6188-6204.

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2022Did equity returns and volatilities change after the 2016 Trump election victory?. (2022). Škrinjarić, Tihana ; Dedi, Lidija ; Yavas, Burhan F. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1291-1308.

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2022The role of intermediary capital risk in predicting oil volatility. (2022). Yin, Libo. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:401-416.

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2022Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach. (2022). Wang, Shixuan ; Liu, Zhenya. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2438-2457.

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2022What matters when developing oil price volatility forecasting frameworks?. (2022). Filis, George ; Degiannakis, Stavros ; Delis, Panagiotis. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:361-382.

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2022Forecasting the volatility of agricultural commodity futures: The role of co?volatility and oil volatility. (2022). Luo, Jiawen ; Ji, Qiang ; Marfatia, Hardik A. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:383-404.

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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.
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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.
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This paper has another version. Agregated cites: 80
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2009Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model.(2009) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 80
article
2008Multivariate GARCH models In: CREATES Research Papers.
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paper94
2008Multivariate GARCH models.(2008) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 94
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2008Parameterizing unconditional skewness in models for financial time series In: CREATES Research Papers.
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paper23
2008Parameterizing Unconditional Skewness in Models for Financial Time Series.(2008) In: Journal of Financial Econometrics.
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2005Parameterizing Unconditional Skewness in Models for Financial Time Series.(2005) In: Research Paper Series.
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This paper has another version. Agregated cites: 23
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2012Modelling conditional correlations of asset returns: A smooth transition approach In: CREATES Research Papers.
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paper30
2015Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach.(2015) In: Econometric Reviews.
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article
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market In: CREATES Research Papers.
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paper11
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market.(2014) In: NCER Working Paper Series.
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This paper has another version. Agregated cites: 11
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2016A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market.(2016) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 11
article
2015Testing constancy of unconditional variance in volatility models by misspecification and specification tests In: CREATES Research Papers.
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2016Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2016) In: Studies in Nonlinear Dynamics & Econometrics.
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This paper has another version. Agregated cites: 6
article
2015Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2015) In: NCER Working Paper Series.
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This paper has another version. Agregated cites: 6
paper
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model In: CREATES Research Papers.
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paper3
2017Modelling and forecasting WIG20 daily returns In: CREATES Research Papers.
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paper3
2017Modelling and forecasting WIG20 daily returns.(2017) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 3
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2017Modelling and Forecasting WIG20 Daily Returns.(2017) In: Central European Journal of Economic Modelling and Econometrics.
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This paper has another version. Agregated cites: 3
article
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations In: CREATES Research Papers.
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paper3
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations.(2018) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 3
paper
2018Transition from the Taylor rule to the zero lower bound In: CREATES Research Papers.
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paper1
2013Volatility timing: How best to forecast portfolio exposures In: Journal of Empirical Finance.
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article8
2013Financialization, crisis and commodity correlation dynamics In: Journal of International Financial Markets, Institutions and Money.
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article408
2010Financialization, Crisis and Commodity Correlation Dynamics.(2010) In: Research Paper Series.
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This paper has another version. Agregated cites: 408
paper
2005Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
paper68
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: 68
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2009On the economic benefit of utility based estimation of a volatility model In: NCER Working Paper Series.
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paper0
2010Portfolio allocation: Getting the most out of realised volatility In: NCER Working Paper Series.
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2011Volatility timing and portfolio selection: How best to forecast volatility In: NCER Working Paper Series.
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2012Forecasting multivariate volatility in larger dimensions: some practical issues In: NCER Working Paper Series.
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paper0
2013On the Benefits of Equicorrelation for Portfolio Allocation In: NCER Working Paper Series.
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paper1
2015Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics In: NCER Working Paper Series.
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paper18
2016Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics.(2016) In: Journal of Futures Markets.
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article
2016Volatility Dependent Dynamic Equicorrelation In: NCER Working Paper Series.
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2019Volatility-dependent correlations: further evidence of when, where and how In: Empirical Economics.
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article4

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