Stefan T.M. Straetmans : Citation Profile


Are you Stefan T.M. Straetmans?

Maastricht University

11

H index

11

i10 index

658

Citations

RESEARCH PRODUCTION:

17

Articles

19

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (1997 - 2015). See details.
   Cites by year: 36
   Journals where Stefan T.M. Straetmans has often published
   Relations with other researchers
   Recent citing documents: 95.    Total self citations: 11 (1.64 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pst399
   Updated: 2019-10-06    RAS profile: 2016-03-30    
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Relations with other researchers


Works with:

Candelon, Bertrand (3)

Metiu, Norbert (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Stefan T.M. Straetmans.

Is cited by:

Lucas, Andre (24)

Zhou, Chen (20)

de Vries, Casper (12)

Dungey, Mardi (10)

Stork, Philip (10)

Schwaab, Bernd (10)

Masih, Abul (9)

Kole, Erik (9)

Chen, Shiu-Sheng (8)

Koopman, Siem Jan (8)

Garita, Gus (8)

Cites to:

de Vries, Casper (25)

Hartmann, Philipp (11)

pagan, adrian (11)

Candelon, Bertrand (9)

Frankel, Jeffrey (8)

Rose, Andrew (8)

Forbes, Kristin (8)

Chinn, Menzie (8)

Andrews, Donald (7)

Jansen, Dennis (7)

Reinhart, Carmen (7)

Main data


Where Stefan T.M. Straetmans has published?


Journals with more than one article published# docs
Journal of Banking & Finance4
Journal of International Money and Finance4
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute3
Research Memorandum / Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)2
Serie Research Memoranda / VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics2

Recent works citing Stefan T.M. Straetmans (2018 and 2017)


YearTitle of citing document
2018Measuring the response of gold prices to uncertainty: An analysis beyond the mean. (2018). Wohar, Mark ; Selmi, Refk ; bouoiyour, jamal. In: Papers. RePEc:arx:papers:1806.07623.

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2019Network Effects and Default Clustering for Large Portfolios. (2018). Spiliopoulos, Konstantinos ; Yang, Jia. In: Papers. RePEc:arx:papers:1812.07645.

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2019Systemic Risk and Collateral Adequacy. (2019). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:19-23.

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2017CONDITIONAL CO-MOVEMENT AND DYNAMIC INTERACTIONS: US AND BRIC EQUITY MARKETS. (2017). Singh, Amanjot. In: Economic Annals. RePEc:beo:journl:v:62:y:2017:i:212:p:85-112.

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2019Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: BIS Working Papers. RePEc:bis:biswps:766.

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2018STOCK†BOND CO†MOVEMENTS AND FLIGHT†TO†QUALITY IN G7 COUNTRIES: A TIME†FREQUENCY ANALYSIS. (2018). demiralay, sercan ; Gencer, Hatice Gaye ; Bayraci, Selcuk. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:1:p:e29-e49.

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2017Time-Varying Linkage of Possible Safe Haven Assets: A Cross-Market and Cross-asset Analysis. (2017). Nguyen, Phong ; Liu, Wei-Han. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:1:p:43-76.

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2018Stocks and Bonds: Flight-to-Safety for Ever?. (2018). Tokpavi, Sessi ; Boucher, Christophe. In: EconomiX Working Papers. RePEc:drm:wpaper:2018-39.

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2019Lower bank capital requirements as a policy tool to support credit to SMEs: evidence from a policy experiment. (2019). Dietsch, Michel ; Fraisse, Henri ; Le, Mathias ; Lecarpentier, Sandrine. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-12.

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2019Is tail risk the missing link between institutions and risk?. (2019). Ni, Wan ; Basu, Devraj ; Groslambert, Bertrand . In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00266.

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2017The effect of the US subprime crisis on Canadian banks. (2017). Bandyopadhyay, Satiprasad ; Kennedy, Duane ; Jha, Ranjini. In: Advances in accounting. RePEc:eee:advacc:v:36:y:2017:i:c:p:58-74.

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2018Renminbi exchange rate assessment and competitors exports: New perspective. (2018). Lee, Chien-Chiang ; Zeng, Jhih-Hong ; Chen, Pei-Fen. In: China Economic Review. RePEc:eee:chieco:v:50:y:2018:i:c:p:187-205.

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2018Objective priors for the number of degrees of freedom of a multivariate t distribution and the t-copula. (2018). Villa, Cristiano ; Rubio, Francisco J. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:124:y:2018:i:c:p:197-219.

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2017An extreme value analysis of the last century crises across industries in the U.S. economy. (2017). Trapin, Luca ; Riccaboni, Massimo ; Bee, Marco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:81:y:2017:i:c:p:65-78.

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2017The sources of contagion risk in a banking sector with foreign ownership. (2017). Havranek, Tomas ; Fiala, Tomas . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:108-121.

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2017Regional spillovers across transitioning emerging and frontier equity markets: A multi-time scale wavelet analysis. (2017). Masih, Abul ; Dewandaru, Ginanjar. In: Economic Modelling. RePEc:eee:ecmode:v:65:y:2017:i:c:p:30-40.

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2017Understanding Chinese provincial real estate investment: A Global VAR perspective. (2017). Rudkin, Simon ; Chen, Yang. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:248-260.

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2018Measuring the response of gold prices to uncertainty: An analysis beyond the mean. (2018). Wohar, Mark ; Selmi, Refk ; bouoiyour, jamal. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:105-116.

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2019Tail risk under price limits. (2019). Park, Kinam ; Kee, Hyukdo ; Oh, Sekyung. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:113-123.

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2017Investor sentiment and country exchange traded funds: Does economic freedom matter?. (2017). Lee, Chien-Chiang ; Hsu, Yi-Chung ; Chen, Mei-Ping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:285-299.

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2018Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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2019Sharp asymptotics for large portfolio losses under extreme risks. (2019). Yang, Yang ; Tang, Zhaofeng. In: European Journal of Operational Research. RePEc:eee:ejores:v:276:y:2019:i:2:p:710-722.

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2017Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach. (2017). Shahzad, Syed Jawad Hussain ; Mensi, walid ; Zeitun, Rami ; Hammoudeh, Shawkat ; Hussain, Syed Jawad ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:130-147.

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2017Heavy tails and asymmetry of returns in the Russian stock market. (2017). Ankudinov, Andrei ; Ibragimov, Rustam ; Lebedev, Oleg . In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:200-219.

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2018Financial connectedness of BRICS and global sovereign bond markets. (2018). Ahmad, Wasim ; Daly, Kevin J ; Mishra, Anil V. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:1-16.

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2019One country, two systems? The heavy-tailedness of Chinese A- and H- share markets. (2019). Ibragimov, Rustam ; Chen, Zhimin. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:115-141.

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2018The “Cubic Law of the Stock Returns” in emerging markets. (2018). Gu, Zhiye ; Ibragimov, Rustam. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:182-190.

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2017Diversifying away the risk of war and cross-border political crisis. (2017). , Ayman ; Nolte, Sandra ; Wisniewski, Tomasz Piotr . In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:494-510.

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2017Can stock market investors hedge energy risk? Evidence from Asia. (2017). Wagner, Niklas ; Szilagyi, Peter ; Batten, Jonathan ; Kinateder, Harald. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:559-570.

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2018Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold. (2018). Selmi, Refk ; bouoiyour, jamal ; Hammoudeh, Shawkat ; Mensi, Walid. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:787-801.

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2018A top-down approach to identifying bull and bear market states. (2018). Hanna, Alan J. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:93-110.

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2018The influence of terrorism risk on stock market integration: Evidence from eight OECD countries. (2018). Narayan, Seema ; LE, Thai-Ha ; Sriananthakumar, S ; Le, T.-H., . In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:247-259.

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2017Systemic risk in carry-trade portfolios. (2017). Liu, Chih-Liang ; Yang, Hsin-Feng . In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:40-46.

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2017Sovereign bond markets and financial volatility dynamics: Panel-GARCH evidence for six euro area countries. (2017). Cermeño, Rodolfo ; Curto, Jose Dias ; Cermeo, Rodolfo ; Ribeiro, Pedro Pires . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:107-114.

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2019Day-of-the-week effects in financial contagion. (2019). Gebka, Bartosz ; Anderson, Robert ; Sewraj, Deeya. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:221-226.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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2018Measuring systemic risk across financial market infrastructures. (2018). Li, Fu Chun ; Perez-Saiz, Hector. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:1-11.

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2018Network linkages to predict bank distress. (2018). Constantin, Andreea ; Sarlin, Peter ; Peltonen, Tuomas A. In: Journal of Financial Stability. RePEc:eee:finsta:v:35:y:2018:i:c:p:226-241.

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2017Strong boards, ownership concentration and EU banks’ systemic risk-taking: Evidence from the financial crisis. (2017). Gallo, Angela ; Battaglia, Francesca . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:128-146.

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2017Uncertainty, systemic shocks and the global banking sector: Has the crisis modified their relationship?. (2017). Uribe, Jorge ; Chuliá, Helena ; Guillen, Montserrat ; Chulia, Helena. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:52-68.

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2018Identifying contagion: A unifying approach. (2018). Gebka, Bartosz ; Robert, ; Sewraj, Deeya. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:224-240.

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2018A network approach to unravel asset price comovement using minimal dependence structure. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:91:y:2018:i:c:p:119-132.

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2018Credit conditions and the housing price ratio: Evidence from Ireland’s boom and bust. (2018). Lyons, Ronan C. In: Journal of Housing Economics. RePEc:eee:jhouse:v:42:y:2018:i:c:p:84-96.

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2017Economic evaluation of asymmetric and price range information in gold and general financial markets. (2017). Wu, Chih-Chiang ; Chiu, Junmao. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:53-68.

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2018Regional pull vs global push factors: China and US influence on Asian financial markets. (2018). He, Dong ; Wang, Honglin ; Dong, Jinyue ; Shu, Chang. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:87:y:2018:i:c:p:112-132.

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2018Evaluating the predicting power of ordered probit models for multiple business cycle phases in the U.S. and Japan. (2018). Tarassow, Artur ; Proao, Christian R. In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:50:y:2018:i:c:p:60-71.

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2017Identification of market trends with string and D2-brane maps. (2017). Barto, Erik ; Pinak, Richard . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:479:y:2017:i:c:p:57-70.

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2017Frequency aspects of information transmission in a network of three western equity markets. (2017). Schmidbauer, Harald ; Uluceviz, Erhan ; Rosch, Angi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:933-946.

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2018Quantile dependence between the stock, bond and foreign exchange markets – Evidence from the UK. (2018). Raza, Hamid ; Wu, Weiou. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:286-296.

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2018Extreme co-movements and dependencies among major international exchange rates: A copula approach. (2018). Tiwari, Aviral ; Albulescu, Claudiu ; Goyeau, Daniel ; Aubin, Christian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:56-69.

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2017Do analysts forecasts of term spread differential help predict directional change in exchange rates?. (2017). Baghestani, Hamid ; Toledo, Hugo . In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:62-69.

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2017Further evidence on bear market predictability: The role of the external finance premium. (2017). Chen, Shiu-Sheng ; Chou, Yu-Hsi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:50:y:2017:i:c:p:106-121.

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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.

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2019Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate. (2019). Yang, Lu ; Zeng, Yu-Feng ; Chen, Wang ; Hu, Shichao ; Peng, Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:137-149.

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2017A fresh look at integration of risks in the international stock markets: A wavelet approach. (2017). Marfatia, Hardik. In: Review of Financial Economics. RePEc:eee:revfin:v:34:y:2017:i:c:p:33-49.

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2017Sanctions and the Russian stock market. (2017). Ankudinov, Andrei ; Lebedev, Oleg ; Ibragimov, Rustam. In: Research in International Business and Finance. RePEc:eee:riibaf:v:40:y:2017:i:c:p:150-162.

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2018Information transmission across stock indices and stock index futures: International evidence using wavelet framework. (2018). Aloui, Chaker ; Yarovaya, Larisa ; Keung, Marco Chi ; Hkiri, Besma. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:411-421.

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2018Government Guarantees and the Valuation of American Banks. (2018). Weill, Pierre-Olivier ; Eisfeldt, Andrea L ; D'Avernas, Adrien ; Atkeson, Andrew. In: Staff Report. RePEc:fip:fedmsr:567.

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2018The Interaction between Oil Price and Financial Stress: Evidence from the U.S. Data. (2018). Polat, Onur. In: Fiscaoeconomia. RePEc:fis:journl:180302.

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2018Relationship between Foreign Exchange Rate and Stock Price of Commercial Banks in Romanian financial market. (2018). Duta, Violeta. In: Scientific Papers. RePEc:fst:wpaper:0014.

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2018Extreme Portfolio Loss Correlations in Credit Risk. (2018). Muhlbacher, Andreas ; Guhr, Thomas. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:72-:d:158439.

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2018A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations. (2018). Fischer, Matthias ; Pfeuffer, Marius ; Moser, Thorsten. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:142-:d:188842.

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2018A Hybrid Approach to Explore the Risk Dependency Structure among Agribusiness Firms. (2018). Lei, Zhimei ; Lim, Ming K ; Cui, LI ; Wu, Kuo-Jui. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:2:p:533-:d:132141.

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2018Measuring the response of gold prices to uncertainty: An analysis beyond the mean. (2018). Wohar, Mark ; Selmi, Refk ; bouoiyour, jamal. In: Post-Print. RePEc:hal:journl:hal-01817067.

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2018Integration and Disintegration of EMU Government Bond Markets. (2018). Sibbertsen, Philipp ; Leschinski, Christian ; Voges, Michelle . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-625.

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2018Everybodys a Victim? Global Terror, Well-Being and Political Attitudes. (2018). Akay, Alpaslan ; Elsayed, Ahmed ; Bargain, Olivier. In: Working Papers in Economics. RePEc:hhs:gunwpe:0733.

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2017Inflation Rates Are Very Different When Housing Rents Are Accurately Measured. (2017). Ambrose, Brent ; Yoshida, Jiro ; Coulson, Edward N. In: HIT-REFINED Working Paper Series. RePEc:hit:remfce:71.

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2017Sugar With Your Coffee?: Financials, Fundamentals, and Soft Price Uncertainty. (2016). Robe, Michel ; Wallen, Jonathan ; Covindassamy, Genevre. In: IDB Publications (Working Papers). RePEc:idb:brikps:8588.

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2017Evaluating the predicting power of ordered probit models for multiple business cycle phases in the U.S. and Japan. (2017). Tarassow, Artur ; Proaño, Christian ; Proao, Christian R. In: IMK Working Paper. RePEc:imk:wpaper:188-2017.

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2019Housing Rent Dynamics and Rent Regulation in St. Petersburg (1880-1917). (2019). Sofie, Waltl ; Leonid, Limonov ; Konstantin, KHOLODILIN. In: LISER Working Paper Series. RePEc:irs:cepswp:2019-03.

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2018Everybodys a Victim? Global Terror, Well-Being and Political Attitudes. (2018). Akay, Alpaslan ; Elsayed, Ahmed ; Bargain, Olivier. In: IZA Discussion Papers. RePEc:iza:izadps:dp11597.

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2018International Capital Movement and Monetary Independence in Asia. (2018). Nanovsky, Simeon ; Kim, Yoonbai. In: International Advances in Economic Research. RePEc:kap:iaecre:v:24:y:2018:i:2:d:10.1007_s11294-018-9682-z.

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2018Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis. (2018). Alcock, Jamie ; Andrlikova, Petra. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:56:y:2018:i:2:d:10.1007_s11146-016-9593-9.

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2018Stock Market Contagion: a New Approach. (2018). Lyócsa, Štefan ; Horvath, Roman ; Lyocsa, Tefan. In: Open Economies Review. RePEc:kap:openec:v:29:y:2018:i:3:d:10.1007_s11079-018-9481-4.

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2018Impact of the Main Currencies Exchange Rates on the Romanian Economic Policy Transformation. (2018). Zaharia, Marian ; Andrei, Jean ; Dragoi, Mihaela Cristina. In: Montenegrin Journal of Economics. RePEc:mje:mjejnl:v:14:y:2018:i:2:p:7-19.

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2018Government Guarantees and the Valuation of American Banks. (2018). Atkeson, Andrew ; Weill, Pierre-Olivier ; Eisfeldt, Andrea L ; D'Avernas, Adrien. In: NBER Chapters. RePEc:nbr:nberch:14085.

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2019Cross-Border Capital Flows and Return Dynamics in Emerging Stock Markets: Relative Roles of Equity and Debt Flows. (2019). Demirer, Riza ; Gupta, Rangan ; Bouras, Christos ; Bathia, Deven. In: Working Papers. RePEc:pre:wpaper:201937.

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2018Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics. (2018). Rodrigues, Paulo ; Cruz, Joo ; Nicolau, Joo. In: Working Papers. RePEc:ptu:wpaper:w201814.

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2017Extreme movements of the Russian stock market and their consequences for management and economic modeling. (2017). Ibragimov, Rustam ; Lebedev, Oleg ; Ankudinov, Andrei . In: Applied Econometrics. RePEc:ris:apltrx:0311.

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2018Evidence of Bull and Bear Markets in the Bovespa index: An application of Markovian regime-switching Models with Duration Dependence. (2018). de Paula, Fernando Henrique ; Moura, Guilherme Valle ; Caldeira, Joo Frois . In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:38:y:2018:i:1:a:56135.

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2018Risk minimization in multi-factor portfolios: What is the best strategy?. (2018). Kremer, Philipp J ; Paterlini, Sandra ; Talmaciu, Andreea. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2467-6.

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2017Bank-sovereign ties against interbank market integration: the case of the Italian segment. (2017). Popoyan, Lilit ; Saroyan, Susanna . In: LEM Papers Series. RePEc:ssa:lemwps:2017/02.

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2019Co-movement between the US and the securitised real estate markets of the Asian-Pacific economies. (2019). Huang, Yuting ; Li, Qiang ; Zhou, Xiaoxia ; Liow, Kim Hiang. In: Journal of Property Research. RePEc:taf:jpropr:v:36:y:2019:i:1:p:27-58.

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2017Credit conditions and the housing price ratio: evidence from Irelands bubble and crash. (2017). Lyons, Ronan. In: Trinity Economics Papers. RePEc:tcd:tcduee:tep0717.

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2018THE DETERMINANTS OF A SIMULTANEOUS CRASH IN GOLD AND STOCK MARKETS: AN ORDERED LOGIT APPROACH. (2018). Hamori, Shigeyuki ; Miyazaki, Takashi. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:13:y:2018:i:01:n:s2010495218500045.

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2018Selection bias in historical housing data. (2018). Gray, Rowena. In: QUCEH Working Paper Series. RePEc:zbw:qucehw:201801.

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Works by Stefan T.M. Straetmans:


YearTitleTypeCited
2009Multivariate Business Cycle Synchronization in Small Samples In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article5
2010COMOVEMENTS OF DIFFERENT ASSET CLASSES DURING MARKET STRESS In: Pacific Economic Review.
[Full Text][Citation analysis]
article9
2009Comovements of Different Asset Classes During Market Stress.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 9
paper
2001Asset Market Linkages in Crisis Periods In: CEPR Discussion Papers.
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paper287
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2001Asset Market Linkages in Crisis Periods.(2001) In: Tinbergen Institute Discussion Papers.
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2004Asset Market Linkages in Crisis Periods.(2004) In: The Review of Economics and Statistics.
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2002Erratum to An analytic approach to credit risk of large corporate bond and loan portfolios [Journal of Banking and Finance 25, no. 9, pp. 1635-1664] In: Journal of Banking & Finance.
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2001Tail Behavior of Credit Loss Distributions for General Latent Factor Models.(2001) In: Tinbergen Institute Discussion Papers.
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