Stefan T.M. Straetmans : Citation Profile


Are you Stefan T.M. Straetmans?

Maastricht University

11

H index

12

i10 index

695

Citations

RESEARCH PRODUCTION:

17

Articles

19

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (1997 - 2015). See details.
   Cites by year: 38
   Journals where Stefan T.M. Straetmans has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 11 (1.56 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pst399
   Updated: 2020-09-14    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 (24)

Zhou, Chen (20)

de Vries, Casper (15)

Stork, Philip (10)

Schwaab, Bernd (10)

Dungey, Mardi (9)

Kole, Erik (9)

Masih, Abul (9)

Zhang, Xin (8)

Candelon, Bertrand (8)

Garita, Gus (8)

Cites to:

de Vries, Casper (26)

pagan, adrian (11)

Hartmann, Philipp (11)

Candelon, Bertrand (9)

Chinn, Menzie (8)

Reinhart, Carmen (8)

Frankel, Jeffrey (8)

Phillips, Peter (7)

Andrews, Donald (7)

Jansen, Dennis (7)

Wolff, Christian (7)

Main data


Where Stefan T.M. Straetmans has published?


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

Working Papers Series with more than one paper published# docs
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 (2020 and 2019)


YearTitle of citing document
2020Network effects in default clustering for large systems. (2019). Yang, Jia ; Spiliopoulos, Konstantinos. In: Papers. RePEc:arx:papers:1812.07645.

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2020A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110.

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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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2019Extreme Downside Risk in Asset Returns. (2019). Ergun, Lerby. In: Staff Working Papers. RePEc:bca:bocawp:19-46.

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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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2019Does Intra‐regional Trade Matter in Regional Stock Markets? New Evidence from the Asia‐Pacific Region. (2019). Kim, Young Min ; Choi, Moon Jung. In: Asian Economic Journal. RePEc:bla:asiaec:v:33:y:2019:i:3:p:253-280.

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2019Housing Rent Dynamics and Rent Regulation in St. Petersburg (1880-1917). (2019). Waltl, Sofie ; Kholodilin, Konstantin ; Limonov, Leonid . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1780.

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2019Lower bank capital requirements as a policy tool to support credit to SMEs: evidence from a policy experiment. (2019). Lé, Mathias ; fraisse, henri ; Dietsch, Michel ; 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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2019Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: Working Paper Series. RePEc:ecb:ecbwps:20192225.

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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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2019Financial contagion and flight to quality between emerging markets and U.S. bond market. (2019). Gulolu, Bulent ; Soylu, Pinar Kaya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304042.

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2020Structural breaks in the correlations between Asian and US stock markets. (2020). Chou, Pei-I, ; Lee, Chia-Hao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081830250x.

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2020Exchange rate regimes and market integration: evidence from the dynamic relations between renminbi onshore and offshore markets. (2020). Zeng, Zhixiong ; Yan, Yuruo ; Wan, Xiaoli. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s106294082030070x.

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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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2019A new approach to measure systemic risk: A bivariate copula model for dependent censored data. (2019). Osmetti, Silvia Angela ; Calabrese, Raffaella. In: European Journal of Operational Research. RePEc:eee:ejores:v:279:y:2019:i:3:p:1053-1064.

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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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2019Time-varying energy and stock market integration in Asia. (2019). Wagner, Niklas ; Batten, Jonathan ; Szilagyi, Peter G ; Kinateder, Harald. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:777-792.

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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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2019Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach. (2019). Guidolin, Massimo ; Hansen, Erwin ; Pedio, Manuela. In: Journal of Financial Markets. RePEc:eee:finmar:v:45:y:2019:i:c:p:83-114.

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2020Asymmetric causality between stock returns and usual hedges: An industry-level analysis. (2020). Bahmani-Oskooee, Mohsen ; Hadzic, Muris ; Ghodsi, Seyed Hesam. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s1703494920300074.

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2019Directional spillover effects between ASEAN and world stock markets. (2019). Uddin, Gazi ; Troster, Victor ; Yoon, Seong-Min ; Kang, Sang Hoon. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:52-53:y:2019:i::s1042444x19300751.

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2019Estimating multifactor portfolio credit risk: A variance reduction approach. (2019). Chiu, Yu-Fen ; Shyu, So-De ; Lee, Yi-Hsi ; Hsieh, Ming-Hua. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x18301094.

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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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2019Multiscale Volatility Transmission and Portfolio Construction Between the Baltic Stock Markets. (2019). Živkov, Dejan ; Manic, Slavica ; Urakovic, Jasmina. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:69:y:2019:i:2:p:211-235.

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2019The Influence of Domestic and Foreign Shocks on Portfolio Diversification Gains and the Associated Risks. (2019). Narayan, Seema. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:160-:d:274897.

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2020A Wavelet-Based Analysis of the Co-Movement between Sukuk Bonds and Shariah Stock Indices in the GCC Region: Implications for Risk Diversification. (2020). Tiwari, Aviral ; Nasreen, Samia ; Raza, Syed Ale ; Hammoudeh, Shawkat ; Ali, Syed Asif. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:4:p:63-:d:338385.

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2020The Dynamics of the S&P 500 under a Crisis Context: Insights from a Three-Regime Switching Model. (2020). Leccadito, Arturo ; Lamantia, Fabio ; la Mantia, Fabio ; de Giovanni, Domenico ; Costabile, Massimo ; Baiardi, Lorenzo Cerboni ; Staino, Alessandro ; Russo, Emilio ; Pirra, Marco ; Menzietti, Massimiliano ; Massabo, Ivar. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:71-:d:379251.

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2019Housing Rent Dynamics and Rent Regulation in St. Petersburg (1880-1917). (2019). Waltl, Sofie ; Kholodilin, Konstantin ; Limonov, Leonid E. In: HSE Working papers. RePEc:hig:wpaper:213/ec/2019.

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

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

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2020Investor Sentiment and Dollar-Pound Exchange Rate Returns: Evidence from Over a Century of Data Using a Cross-Quantilogram Approach. (2020). Kyei, Clement ; GUPTA, RANGAN ; Olson, Eric ; Hussain, Syed Jawad. In: Working Papers. RePEc:pre:wpaper:202008.

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2020News and noise bubbles in the housing market. (). Gazzani, Andrea Giovanni. In: Review of Economic Dynamics. RePEc:red:issued:18-262.

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2019NORTA for portfolio credit risk. (2019). Tran, Quang Khoi ; Channouf, Nabil ; Ben-Ameur, Hatem ; Ayadi, Mohamed A. In: Annals of Operations Research. RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2829-8.

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2020Investigating liquidity constraints as a channel of contagion: a regime switching approach. (2020). Sruthi, Rajan ; Shijin, Santhakumar. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00185-2.

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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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2019Housing Rent Dynamics and Rent Regulation in St. Petersburg (1880-1917). (2019). Waltl, Sofie ; Kholodilin, Konstantin ; Limonov, Leonid E. In: Department of Economics Working Paper Series. RePEc:wiw:wus005:6817.

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2019Detecting structural differences in tail dependence of financial time series. (2019). Schienle, Melanie ; Bormann, Carsten . In: Working Paper Series in Economics. RePEc:zbw:kitwps:122.

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2020Inequality in nineteenth century Manhattan: Evidence from the housing market. (2020). Gray, Rowena. In: QUCEH Working Paper Series. RePEc:zbw:qucehw:202002.

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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.
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article5
2010COMOVEMENTS OF DIFFERENT ASSET CLASSES DURING MARKET STRESS In: Pacific Economic Review.
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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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paper300
2001Asset market linkages in crisis periods.(2001) In: Proceedings.
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paper
2001Asset Market Linkages in Crisis Periods..(2001) In: Quebec a Montreal - Recherche en gestion.
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paper
2001Asset Market Linkages in Crisis Periods.(2001) In: Tinbergen Institute Discussion Papers.
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paper
2004Asset Market Linkages in Crisis Periods.(2004) In: The Review of Economics and Statistics.
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article
2004Fundamentals and Joint Currency Crises In: CEPR Discussion Papers.
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paper8
2008Are Capital Controls in the Foreign Exchange Market Effective? In: CEPR Discussion Papers.
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paper8
2008Are Capital Controls in the Foreign Exchange Market Effective?.(2008) In: LSF Research Working Paper Series.
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This paper has another version. Agregated cites: 8
paper
2013Are capital controls in the foreign exchange market effective?.(2013) In: Journal of International Money and Finance.
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article
2010Does the euro dominate Central and Eastern European money markets? In: SIRE Discussion Papers.
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paper3
2013Does the euro dominate Central and Eastern European money markets?.(2013) In: Journal of International Money and Finance.
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article
2010Heavy tails and currency crises In: Journal of Empirical Finance.
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article15
2015Predicting exchange rate cycles utilizing risk factors In: Journal of Empirical Finance.
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article4
2001An analytic approach to credit risk of large corporate bond and loan portfolios In: Journal of Banking & Finance.
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article61
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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article0
2008On measuring synchronization of bulls and bears: The case of East Asia In: Journal of Banking & Finance.
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article81
2013Long-term asset tail risks in developed and emerging markets In: Journal of Banking & Finance.
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article12
2012The Amsterdam rent index: The housing market and the economy, 1550–1850 In: Journal of Housing Economics.
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article18
2006Testing for multiple regimes in the tail behavior of emerging currency returns In: Journal of International Money and Finance.
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article17
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.
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article4
2014Disentangling economic recessions and depressions In: Working Papers.
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paper18
2013Disentangling economic recessions and depressions.(2013) In: Discussion Papers.
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This paper has another version. Agregated cites: 18
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2008Extreme US stock market fluctuations in the wake of 9|11 In: Journal of Applied Econometrics.
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article38
2007Banking System Stability. A Cross-Atlantic Perspective In: NBER Chapters.
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chapter60
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.
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article0
2003Tail behaviour of credit loss distributions for general latent factor models In: Applied Mathematical Finance.
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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.
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paper0
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.
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paper24
1998Time varying forex market inefficiency In: Serie Research Memoranda.
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paper0
2000Extremal spillovers in financial markets In: Serie Research Memoranda.
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