Stefan T.M. Straetmans : Citation Profile

Are you Stefan T.M. Straetmans?

Maastricht University

13

H index

16

i10 index

866

Citations

RESEARCH PRODUCTION:

17

Articles

19

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (1997 - 2015). See details.
   Cites by year: 48
   Journals where Stefan T.M. Straetmans has often published
   Relations with other researchers
   Recent citing documents: 62.    Total self citations: 12 (1.37 %)

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   Permalink: http://citec.repec.org/pst399
   Updated: 2023-03-25    RAS profile: 2016-03-30    
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Relations with other researchers

Works with:

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

Is cited by:

Lucas, Andre (28)

Zhou, Chen (18)

Schwaab, Bernd (14)

de Vries, Casper (13)

Koopman, Siem Jan (12)

Candelon, Bertrand (12)

Stork, Philip (12)

Kole, Erik (10)

Kräussl, Roman (9)

Masih, Abul (9)

Garita, Gus (8)

Cites to:

de Vries, Casper (27)

Hartmann, Philipp (15)

Reinhart, Carmen (13)

Candelon, Bertrand (12)

pagan, adrian (12)

Wolff, Christian (9)

Engle, Robert (9)

Rose, Andrew (9)

Andrews, Donald (8)

Frankel, Jeffrey (8)

Chinn, Menzie (8)

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
CEPR Discussion Papers / C.E.P.R. Discussion Papers3
Tinbergen Institute Discussion Papers / Tinbergen Institute3
Serie Research Memoranda / VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics2
Research Memorandum / Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)2

Recent works citing Stefan T.M. Straetmans (2022 and 2021)

YearTitle of citing document
2022Industry Characteristics and Financial Risk Spillovers. (2022). Chiua, Wan-Chien ; Wang, Chih-Wei ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02263.

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2021Mortgage-Related Bank Penalties and Systemic Risk among U.S. Banks. (2021). Kočenda, Evžen ; Kocenda, Even ; Bro, Vaclav. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9463.

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2021The Rate of Return on Real Estate: Long-Run Micro-Level Evidence. (2021). Spaenjers, Christophe ; Steiner, Eva ; Chambers, David. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15657.

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2022What drives individual investors in the bear market?. (2022). Guo, Jie ; Hu, Nan ; Liu, Yaodong ; Xu, Rong. In: The British Accounting Review. RePEc:eee:bracre:v:54:y:2022:i:6:s0890838922000427.

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2021Intersectoral systemic risk spillovers between energy and agriculture under the financial and COVID-19 crises. (2021). Chevallier, Julien ; Deng, Yuanyue ; Lin, Renda ; Zhu, BO ; Chen, Pingshe. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002406.

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2022Financial contagion drivers during recent global crises. (2022). Perote, Javier ; Cortes, Lina M ; Pineda, Julian. In: Economic Modelling. RePEc:eee:ecmode:v:117:y:2022:i:c:s0264999322003042.

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2021Can home-biased investors diversify interregionally in the long run?. (2021). Ur, Mobeen ; Narayan, Seema. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:167-181.

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2022Exchange rate misalignments, capital flows and volatility. (2022). Orlov, Alexei G ; Grossmann, Axel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s106294082200002x.

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2021Large portfolio losses in a turbulent market. (2021). Yang, Yang ; Tong, Zhiwei ; Tang, Qihe. In: European Journal of Operational Research. RePEc:eee:ejores:v:292:y:2021:i:2:p:755-769.

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2022Tail risk, systemic risk and spillover risk of crude oil and precious metals. (2022). Benjasak, Chonlakan ; Kumpamool, Chamaiporn ; Chaudhry, Sajid M ; Ahmed, Rizwan. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002298.

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2021Housing rent dynamics and rent regulation in St. Petersburg (1880–1917). (2021). Waltl, Sofie ; Limonov, Leonid ; Kholodilin, Konstantin. In: Explorations in Economic History. RePEc:eee:exehis:v:81:y:2021:i:c:s0014498321000164.

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2021Diversifying equity with cryptocurrencies during COVID-19. (2021). Goutte, Stéphane ; Goodell, John W. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001198.

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2021Dynamic spillovers across oil, gold and stock markets in the presence of major public health emergencies. (2021). Chen, Jinyu ; Zhu, Xuehong ; Liao, Jianhui. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001563.

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2022A bibliometric review of financial market integration literature. (2022). Yarovaya, Larisa ; Paltrinieri, Andrea ; Oriani, Marco Ercole ; Goodell, John W ; Patel, Ritesh. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000151.

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2022The 2008 global financial crisis and COVID-19 pandemic: How safe are the safe haven assets?. (2022). Szulczyk, Kenneth R ; Faff, Robert ; Cheema, Muhammad A. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002691.

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2021Investor sentiment and dollar-pound exchange rate returns: Evidence from over a century of data using a cross-quantilogram approach. (2021). Shahzad, Syed Jawad Hussain ; GUPTA, RANGAN ; Olson, Eric ; Kyei, Clement Kweku ; Hussain, Syed Jawad. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320301422.

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2021Covid-19 pandemic and tail-dependency networks of financial assets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Do, Hung Xuan ; Le, Trung Hai. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316147.

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2022The impacts of rare disasters on asset returns and risk premiums in advanced economies (1870–2015). (2022). Nguyenhuu, Tam. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321001999.

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2021Two decades of contagion effect on stock markets: Which events are more contagious?. (2021). Smaga, Pawe ; Kurowski, Ukasz ; Rogowicz, Karol ; Iwanicz-Drozdowska, Magorzata. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s157230892100067x.

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2021Tail risk in the European sovereign bond market during the financial crises: Detecting the influence of the European Central Bank. (2021). Neumann, Christian ; Fendel, Ralf. In: Global Finance Journal. RePEc:eee:glofin:v:50:y:2021:i:c:s1044028319302066.

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2021International tail risk connectedness: Network and determinants. (2021). Lambe, Brendan John ; Nguyen, Linh Hoang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000512.

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2021The structure and degree of dependence in government bond markets. (2021). Vulanovic, Milos ; Swinkels, Laurens ; Piljak, Vanja ; Dimic, Nebojsa. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001049.

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2021Systemic risk allocation using the asymptotic marginal expected shortfall. (2021). Zhou, Chen ; Qin, Xiao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s0378426621000571.

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2021Herding by corporates in the US and the Eurozone through different market conditions. (2021). Vioto, Davide ; Tunaru, Radu ; Duygun, Meryem. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302679.

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2021What drives the commodity-sovereign risk dependence in emerging market economies?. (2021). Giessler, Stefan ; Eichler, Stefan ; Boehm, Hannes. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:111:y:2021:i:c:s0261560620302643.

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2021Stock market volatility and jumps in times of uncertainty. (2021). Triantafyllou, Athanasios ; Vlastakis, Nikolaos ; Megaritis, Anastasios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:113:y:2021:i:c:s0261560621000048.

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2022Mortgage-related bank penalties and systemic risk among U.S. banks. (2022). Kočenda, Evžen ; Koenda, Even ; Bro, Vaclav. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002266.

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2022International determinants of asymmetric dependence in investment returns. (2022). Sinagl, Petra ; Alcock, Jamie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002278.

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2021Risk spillovers and diversification between oil and non-ferrous metals during bear and bull market states. (2021). Vo, Xuan Vinh ; Mensi, Walid ; Ur, Mobeen. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s030142072100146x.

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2022Degree and structure of return dependence among commodities, energy stocks and international equity markets during the post-COVID-19 period. (2022). Azimli, Asil. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001271.

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2022Extreme risk transmission among bitcoin and crude oil markets. (2022). Pan, Zhigang ; Xu, Pengfei ; Wang, LU ; Hong, Yanran ; Li, Dongxin. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722002094.

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2021Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures. (2021). Bannigidadmath, Deepa ; Powell, Robert ; Pham, Thach N. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:70:y:2021:i:c:s0927538x21001773.

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2021Optimal time-varying tail risk network with a rolling window approach. (2021). Zhang, Shuai. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:580:y:2021:i:c:s0378437121004003.

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2021Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities. (2021). GUPTA, RANGAN ; Ji, Qiang ; Bouri, Elie ; Subramaniam, Sowmya. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:289-298.

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2021Time-varying comovement of stock and treasury bond markets in Europe: A quantile regression approach. (2021). Lee, Hyunchul. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:1-20.

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2021Systemic-systematic risk in financial system: A dynamic ranking based on expectiles. (2021). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:330-365.

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2022Do oil prices and economic policy uncertainty matter for precious metal returns? New insights from a TVP-VAR framework. (2022). Zhong, Meirui ; Chen, Jinyu ; Dong, Xuesong ; Huang, Jianbai. In: International Review of Economics & Finance. RePEc:eee:reveco:v:78:y:2022:i:c:p:433-445.

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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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2022Safe haven assets for international stock markets: A regime-switching factor copula approach. (2022). Tachibana, Minoru. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531921002129.

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2022False Safe Haven Assets: Evidence From the Target Volatility Strategy Based on Recurrent Neural Network. (2022). Będowska-Sójka, Barbara ; Perez, Katarzyna ; Grobelny, Przemysaw ; Bdowska-Sojka, Barbara ; Kaczmarek, Tomasz. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531921002312.

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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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2022Tail risk and systemic risk of finance and technology (FinTech) firms. (2022). Benjasak, Chonlakan ; Duc, Toan Luu ; Ahmed, Rizwan ; Chaudhry, Sajid M. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:174:y:2022:i:c:s0040162521006247.

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2021Integration and Disintegration of EMU Government Bond Markets. (2021). Sibbertsen, Philipp ; Leschinski, Christian ; Voges, Michelle. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:1:p:13-:d:517289.

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2021.

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2022Comovement across BRICS and the US Stock Markets: A Multitime Scale Wavelet Analysis. (2022). Uwilingiye, Josine ; Batondo, Musumba. In: IJFS. RePEc:gam:jijfss:v:10:y:2022:i:2:p:27-:d:791757.

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2021.

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2022?uk?k or Bond, Which Is More Sustainable during COVID-19? Global Evidence from the Wavelet Coherence Model. (2022). Ludeen, Abdullah ; Alonazi, Wadi B ; Rehman, Mohd Ziaur ; Khan, Uzair Abdullah ; Bhutto, Niaz Ahmed. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:17:p:10541-:d:896518.

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2021Real Estate Return in Hong Kong and its Determinants: A Dynamic Gordon Growth Model Analysis. (2021). Hartzell, David ; Wang, Shizhen. In: International Real Estate Review. RePEc:ire:issued:v:24:n:01:2021:p:113-138.

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2021Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics. (2021). Rodrigues, Paulo ; Nicolau, Joo ; Cruz, Joo. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:28:y:2021:i:3:d:10.1007_s10690-020-09324-2.

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2022The Nexus between Monetary Policy and Commercial Lending Rates: Comprehensive Evidence from Czechia during Different Policy Stances. (2022). Vágnerová Linnertová, Dagmar ; Linnertova, Dagmar Vagnerova ; Kajurova, Veronika. In: Eastern European Economics. RePEc:mes:eaeuec:v:60:y:2022:i:4:p:330-351.

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2021External Balance Sheets and the COVID-19 Crisis. (2021). Juvenal, Luciana ; Hale, Galina. In: NBER Working Papers. RePEc:nbr:nberwo:29277.

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2021Safe Haven or Hedge: Diversification Abilities of Asset Classes in Pakistan. (2021). Imran, Zulfiqar Ali ; Ahad, Muhammad. In: MPRA Paper. RePEc:pra:mprapa:107613.

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2022Do Sovereign Credit Ratings Matter for Foreign Direct Investment: Evidence from Sub-Sahara African Countries. (2022). Eita, Joel ; Biyase, Mduduzi ; Arogundade, Sodiq. In: MPRA Paper. RePEc:pra:mprapa:115404.

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2021Gold and Government Bonds as Safe-Haven Assets Against Stock Market Turbulence in China. (2021). Chang, Meng-Shiuh ; Huang, Wei. In: SAGE Open. RePEc:sae:sagope:v:11:y:2021:i:1:p:2158244021990655.

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2021Persistence and cyclical dynamics of US and UK house prices: Evidence from over 150 years of data. (2021). GUPTA, RANGAN ; Gil-Alana, Luis ; Miller, Stephen M ; Canarella, Giorgio. In: Urban Studies. RePEc:sae:urbstu:v:58:y:2021:i:1:p:53-72.

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2021The term structure of sovereign credit default swap and the cross?section of exchange rate predictability. (2021). Zeng, Ming ; Calice, Giovanni. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:445-458.

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2021Not everyone is a follower: The behaviour of interest rate and equity markets within major economies relative to the United States. (2021). Fabozzi, Frank J ; Tunaru, Diana. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2335-2350.

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2021Do investors gain from forecasting the asymmetric return co?movements of financial and real assets?. (2021). Power, Gabriel J ; Poshakwale, Sunil S ; Mandal, Anandadeep. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3246-3268.

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2021Tail risk connectedness between US industries. (2021). Tan, Linzhi ; Nguyen, Linh H. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3624-3650.

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2022A new approach to exchange rate forecast: The role of global financial cycle and time?varying parameters. (2022). Vo, Xuan Vinh ; Raheem, Ibrahim D. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:3:p:2836-2848.

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2022Extremal connectedness of hedge funds. (2022). Lambert, Marie ; Hambuckers, Julien ; Mhalla, Linda. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:5:p:988-1009.

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2021Housing rent dynamics and rent regulation in St. Petersburg (1880–1917). (2021). Waltl, Sofie R ; Limonov, Leonid E ; Kholodilin, Konstantin A. In: EconStor Open Access Articles and Book Chapters. RePEc:zbw:espost:266343.

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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]		article8
2010COMOVEMENTS OF DIFFERENT ASSET CLASSES DURING MARKET STRESS In: Pacific Economic Review.
[Full Text][Citation analysis]		article13
2009Comovements of Different Asset Classes During Market Stress.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 13		paper
2001Asset Market Linkages in Crisis Periods In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper370
2001Asset market linkages in crisis periods.(2001) In: Proceedings.
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2001Asset Market Linkages in Crisis Periods..(2001) In: Quebec a Montreal - Recherche en gestion.
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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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2004Fundamentals and Joint Currency Crises In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper11
2008Are Capital Controls in the Foreign Exchange Market Effective? In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper10
2008Are Capital Controls in the Foreign Exchange Market Effective?.(2008) In: LSF Research Working Paper Series.
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2013Are capital controls in the foreign exchange market effective?.(2013) In: Journal of International Money and Finance.
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2010Does the euro dominate Central and Eastern European money markets? In: SIRE Discussion Papers.
[Full Text][Citation analysis]		paper4
2013Does the euro dominate Central and Eastern European money markets?.(2013) In: Journal of International Money and Finance.
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2010Heavy tails and currency crises In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article22
2015Predicting exchange rate cycles utilizing risk factors In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article5
2001An analytic approach to credit risk of large corporate bond and loan portfolios In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article66
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.
[Full Text][Citation analysis]		article3
2008On measuring synchronization of bulls and bears: The case of East Asia In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article100
2013Long-term asset tail risks in developed and emerging markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article13
2012The Amsterdam rent index: The housing market and the economy, 1550–1850 In: Journal of Housing Economics.
[Full Text][Citation analysis]		article24
2006Testing for multiple regimes in the tail behavior of emerging currency returns In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article21
2015Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article14
2014Disentangling economic recessions and depressions In: Working Papers.
[Full Text][Citation analysis]		paper18
2013Disentangling economic recessions and depressions.(2013) In: Discussion Papers.
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2008Extreme US stock market fluctuations in the wake of 9|11 In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article48
2007Banking System Stability. A Cross-Atlantic Perspective In: NBER Chapters.
[Full Text][Citation analysis]		chapter77
2005Banking System Stability: A Cross-Atlantic Perspective.(2005) In: NBER Working Papers.
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1999Le rejet de lhypothèse defficience variable dans le temps sur le marché des changes In: Économie et Prévision.
[Full Text][Citation analysis]		article0
2003Tail behaviour of credit loss distributions for general latent factor models In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article10
2001Tail Behavior of Credit Loss Distributions for General Latent Factor Models.(2001) In: Tinbergen Institute Discussion Papers.
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1997Variation in the Slope Coefficient of the Fama Regression for Testing Uncovered Interest Rate Parity: Evidence from Fixed and Time-varying Coefficient Approaches In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper3
2013Bank lending strategy, credit scoring and financial crises In: Research Memorandum.
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2012Fat tails in small samples In: Research Memorandum.
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2012Predicting and capitalizing on stock market bears in the U.S. In: Research Memorandum.
[Full Text][Citation analysis]		paper25
1998Time varying forex market inefficiency In: Serie Research Memoranda.
[Full Text][Citation analysis]		paper0
2000Extremal spillovers in financial markets In: Serie Research Memoranda.
[Full Text][Citation analysis]		paper1

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