Roengchai Tansuchat : Citation Profile


Are you Roengchai Tansuchat?

Chiang Mai University

8

H index

8

i10 index

508

Citations

RESEARCH PRODUCTION:

5

Articles

41

Papers

RESEARCH ACTIVITY:

   6 years (2009 - 2015). See details.
   Cites by year: 84
   Journals where Roengchai Tansuchat has often published
   Relations with other researchers
   Recent citing documents: 44.    Total self citations: 17 (3.24 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pta326
   Updated: 2021-02-20    RAS profile: 2019-04-06    
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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 Roengchai Tansuchat.

Is cited by:

McAleer, Michael (90)

Chang, Chia-Lin (74)

Nguyen, Duc Khuong (22)

Filis, George (18)

Hammoudeh, Shawkat (16)

Chkili, Walid (13)

Wang, Yudong (12)

Caporin, Massimiliano (12)

Hsu, Hui-Kuang (10)

Degiannakis, Stavros (9)

AROURI, Mohamed (9)

Cites to:

McAleer, Michael (77)

Chan, Felix (22)

Bollerslev, Tim (15)

Chang, Chia-Lin (14)

Hoti, Suhejla (13)

Ling, Shiqing (12)

Caporin, Massimiliano (12)

Hammoudeh, Shawkat (11)

Engle, Robert (10)

Spagnolo, Nicola (6)

Sola, Martin (6)

Main data


Where Roengchai Tansuchat has published?


Journals with more than one article published# docs
Energy Economics2

Working Papers Series with more than one paper published# docs
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute9
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo9
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo7
KIER Working Papers / Kyoto University, Institute of Economic Research6
Proceedings of International Academic Conferences / International Institute of Social and Economic Sciences2
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico2

Recent works citing Roengchai Tansuchat (2021 and 2020)


YearTitle of citing document
2020Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2007.

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2020Dynamic Linkages Between the Oil Spot, Oil Futures, and Stock Markets: Evidence from Dubai. (2020). Alawi, Suha Mahmoud ; Lamouchi, Rim Ammar. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-01-50.

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2020Does the Choice of the Multivariate GARCH Model on Volatility Spillovers Matter? Evidence from Oil Prices and Stock Markets in G7 Countries. (2020). Dritsakis, Nikolaos ; Kartsonakis-Mademlis, Dimitrios. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-21.

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2020The Impact of COVID-19 on Price Volatility of Crude Oil and Natural Gas Listed on Multi Commodity Exchange of India. (2020). Sarea, Adel M ; Mohapatra, Latasha ; Hawaldar, Iqbal Thonse ; Meher, Bharat Kumar. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-49.

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2020Analysis of the Relationship between Energy Price Changes and Stock Market Indices in Developed Countries. (2020). Baibosynova, Gulzhan ; Nakhipbekova, Symbat ; Kulbayeva, Aigerim ; Batyrova, Nazygul. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-06-22.

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2020Dynamic frequency connectedness between oil and natural gas volatilities. (2020). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:181-189.

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2020The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

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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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2020Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models. (2020). Singh, Anuradha ; Powell, Robert ; Yong, J ; Do, A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819301342.

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2020Do alternative energy markets provide optimal alternative investment opportunities?. (2020). Vo, Xuan Vinh ; Ur, Mobeen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301674.

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2020Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications. (2020). Dash, Saumya Ranjan ; Guhathakurta, Kousik ; Maitra, Debasish. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303615.

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2020Oil price shocks and EMU sovereign yield spreads. (2020). Filis, George ; Filippidis, Michail ; Kizys, Renatas. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304530.

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2020Analyzing time-varying volatility spillovers between the crude oil markets using a new method. (2020). Gong, XU ; Liu, Tangyong. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988320300505.

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2020Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. (2020). Di Iorio, Francesca ; Tamvakis, Michael ; Kyriakou, Ioannis ; Marchese, Malvina. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300967.

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2020Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness. (2020). Gabauer, David ; Filis, George ; Antonakakis, Nikolaos ; de Gracia, Fernando Perez ; Cunado, Juncal. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s014098832030102x.

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2020Frequency dynamics of volatility spillovers among crude oil and international stock markets: The role of the interest rate. (2020). Wang, Xunxiao. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302401.

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2020Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung Xuan. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302875.

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2020Windowed volatility spillover effects among crude oil prices. (2020). Liu, Siyao ; Sun, Qingru ; An, Feng ; Gao, Xiangyun. In: Energy. RePEc:eee:energy:v:200:y:2020:i:c:s0360544220306289.

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2020Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management. (2020). Tsuji, Chikashi. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521919302224.

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2020Do the crude oil futures of the Shanghai International Energy Exchange improve asset allocation of Chinese petrochemical-related stocks?. (2020). Yang, Chen ; Lv, Fei ; Fang, Libing. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301812.

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2020Cryptocurrencies and the downside risk in equity investments. (2020). lucey, brian ; Roubaud, David ; Bouri, Elie. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612318306342.

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2020Spatial connectedness of volatility spillovers in G20 stock markets: Based on block models analysis. (2020). Wu, Dongmei ; Zhuang, Xintian ; Zhang, Weiping. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319304805.

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2020Dealing with tail risk in energy commodity markets: Futures contracts versus exchange-traded funds. (2020). Leatham, David J ; Sukcharoen, Kunlapath ; Arunanondchai, Panit. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:20:y:2020:i:c:s2405851319300777.

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2020Oil prices, stock market returns and volatility spillovers: Evidence from Turkey. (2020). Dibooglu, Selahattin ; Çevik, Emrah. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:42:y:2020:i:3:p:597-614.

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2020Modeling the nexus of crude oil, new energy and rare earth in China: An asymmetric VAR-BEKK (DCC)-GARCH approach. (2020). Zheng, Biao ; Chen, Yufeng ; Qu, Fang. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420718306950.

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2020Dynamic connectedness and portfolio strategies: Energy and metal markets. (2020). Takin, Dilvin ; Cagli, Efe Aglar ; Mandaci, Pinar Evrim. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720301008.

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2020Are ethanol markets globalized or regionalized?. (2020). Kang, Sang Hoon ; Ahmed, Ali ; Dutta, Anupam ; Uddin, Gazi Salah ; Hernandez, Jose Areola. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:551:y:2020:i:c:s0378437119322617.

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2020Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19*. (2020). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:134:y:2020:i:c:s1364032120306377.

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2020Who affects who? Oil price against the stock return of oil-related companies: Evidence from the U.S. and China. (2020). Lv, Xin ; Xin Lv, ; Yu, Chang ; Lien, Donald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:67:y:2020:i:c:p:85-100.

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2020Composite hedge and utility maximization for optimal futures hedging. (2020). Feng, Yun ; Cui, Yan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:15-32.

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2020Modelling the nonlinear relationship between oil prices, stock markets, and exchange rates in oil-exporting and oil-importing countries. (2020). Guesmi, Khaled ; Chkir, Imed ; Naoui, Kamel ; ben Brayek, Angham. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920300659.

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2020Handling financial risks in crude oil imports: Taking into account crude oil prices as well as country and transportation risks. (2020). Wang, Shuang ; Gu, Yewen ; Lu, Jing ; Wallace, Stein W. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:133:y:2020:i:c:s1366554519311883.

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2020Liner shipping industry and oil price volatility: Dynamic connectedness and portfolio diversification. (2020). Chandra, Saurabh ; Maitra, Debasish ; Dash, Saumya Ranjan. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:138:y:2020:i:c:s136655452030613x.

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2020Can Crude Oil Serve as a Hedging Asset for Underlying Securities?—Research on the Heterogenous Correlation between Crude Oil and Stock Index. (2020). Zhang, Hai ; Du, Ziqing ; Xu, SA. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:12:p:3139-:d:372639.

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2020Dynamic Characteristics of Crude Oil Price Fluctuation—From the Perspective of Crude Oil Price Influence Mechanism. (2020). Drakeford, Benjamin M ; Li, Zhenghui ; Peng, Jiaying. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:17:p:4465-:d:405903.

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2020Structure and Formation Mechanism of China-ASEAN Tourism Cooperation. (2020). Ji, Yingchao ; Bi, Yahua ; Yin, Jie. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:13:p:5440-:d:380856.

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2021Spillovers entre los principales Mercados Accionarios de Latinoamérica, Estados Unidos y el Mercado Petrolero. (2021). Climent, Jose Antonio ; Duran, Nancy Muller ; Benavides, Domingo Rodriguez. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:1:p:1-18.

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2020Dynamic Correlation and Risk Contagion Between “Black” Futures in China: A Multi-scale Variational Mode Decomposition Approach. (2020). Wang, Qunwei ; Zhou, Dequn ; Dai, Xingyu. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:4:d:10.1007_s10614-018-9857-y.

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2020Oil Price Volatility and Stock Returns: Evidence from Three Oil-price Wars. (2020). Mughal, Mazhar ; Ahmed, Junaid ; Khan, Mushtaq Hussain. In: PIDE-Working Papers. RePEc:pid:wpaper:2020:22.

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2020.

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2020Cryptocurrencies: Hedging Opportunities From Domestic Perspectives in Southeast Asia Emerging Markets. (2020). Robiyanto, Robiyanto ; Nugroho, Bayu Adi ; Demi, Irene Rini ; Wahyudi, Sugeng ; Susilo, Didik. In: SAGE Open. RePEc:sae:sagope:v:10:y:2020:i:4:p:2158244020971609.

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2020Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios. (2020). Unal, Gazanfer ; Demirel, Mustafa. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00203-3.

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2020Hedging ship price risk using freight derivatives in the drybulk market. (2020). Bornes, Eirik A ; Ameln, Haakon ; Adland, Roar. In: Journal of Shipping and Trade. RePEc:spr:josatr:v:5:y:2020:i:1:d:10.1186_s41072-019-0056-3.

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2020Return and volatility transmission between Chinas and international crude oil futures markets: A first look. (2020). Yang, Jian ; Zhou, Yinggang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:6:p:860-884.

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Works by Roengchai Tansuchat:


YearTitleTypeCited
2015The Spillover of Capital Inflows and The Role of United States Quantitative Easing on Thailand, Brazil, and India Countries’ Macroeconomic In: Applied Economics Journal.
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article0
2010Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH In: Working Papers in Economics.
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paper171
2011Crude oil hedging strategies using dynamic multivariate GARCH.(2011) In: Energy Economics.
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This paper has another version. Agregated cites: 171
article
2010Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH.(2010) In: Econometric Institute Research Papers.
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This paper has another version. Agregated cites: 171
paper
2010Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH.(2010) In: KIER Working Papers.
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This paper has another version. Agregated cites: 171
paper
2010Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH.(2010) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 171
paper
2010Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns In: Working Papers in Economics.
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paper143
2010Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns.(2010) In: CARF F-Series.
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2013Conditional correlations and volatility spillovers between crude oil and stock index returns.(2013) In: The North American Journal of Economics and Finance.
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2010Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns.(2010) In: Econometric Institute Research Papers.
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2010Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns.(2010) In: KIER Working Papers.
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This paper has another version. Agregated cites: 143
paper
2010Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns.(2010) In: CIRJE F-Series.
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paper
2011Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns.(2011) In: Documentos de Trabajo del ICAE.
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This paper has another version. Agregated cites: 143
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2010Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets In: Working Papers in Economics.
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paper76
2010Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets.(2010) In: Energy Economics.
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This paper has another version. Agregated cites: 76
article
2010Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations In: Working Papers in Economics.
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paper24
2009Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations.(2009) In: CARF F-Series.
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This paper has another version. Agregated cites: 24
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2009Interdependence of international tourism demand and volatility in leading ASEAN destinations.(2009) In: Econometric Institute Research Papers.
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This paper has another version. Agregated cites: 24
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2010Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations.(2010) In: KIER Working Papers.
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This paper has another version. Agregated cites: 24
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2009Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations.(2009) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 24
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2010Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns In: Working Papers in Economics.
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2009Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns.(2009) In: CARF F-Series.
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This paper has another version. Agregated cites: 7
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2011Modelling conditional correlations in the volatility of Asian rubber spot and futures returns.(2011) In: Mathematics and Computers in Simulation (MATCOM).
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This paper has another version. Agregated cites: 7
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2009Modelling conditional correlations in the volatility of Asian rubber spot and futures returns.(2009) In: Econometric Institute Research Papers.
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2010Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns.(2010) In: KIER Working Papers.
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2009Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns.(2009) In: CIRJE F-Series.
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2012Modelling Long Memory Volatility in Agricultural Commodity Futures Returns In: Working Papers in Economics.
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paper32
2009Modelling Long Memory Volatility in Agricultural Commodity Futures Returns.(2009) In: CARF F-Series.
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2009Modelling Long Memory Volatility in Agricultural Commodity Futures Returns.(2009) In: Econometric Institute Research Papers.
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2012Modelling Long Memory Volatility in Agricultural Commodity Futures Returns.(2012) In: Econometric Institute Research Papers.
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2012Modelling Long Memory Volatility in Agricultural Commodity Futures Return.(2012) In: KIER Working Papers.
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2009Modelling Long Memory Volatility in Agricultural Commodity Futures Returns.(2009) In: CIRJE F-Series.
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2012Modelling Long Memory Volatility in Agricultural Commodity Futures Returns.(2012) In: Documentos de Trabajo del ICAE.
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2009Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return In: CARF F-Series.
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2009Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return.(2009) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 13
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2009Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets In: CARF F-Series.
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2009Modelling conditional correlations for risk diversification in crude oil markets.(2009) In: Econometric Institute Research Papers.
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2009Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets.(2009) In: CIRJE F-Series.
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2009Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets In: CARF F-Series.
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2009Forecasting volatility and spillovers in crude oil spot, forward and future markets.(2009) In: Econometric Institute Research Papers.
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2009Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets.(2009) In: CIRJE F-Series.
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2010Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets In: Econometric Institute Research Papers.
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2010Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets.(2010) In: KIER Working Papers.
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This paper has another version. Agregated cites: 23
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2010Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets.(2010) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 23
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2015Game Theory of Green and Non-green Oriented Productions: Dried Longan Enterprises In: Proceedings of International Academic Conferences.
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2015Portfolio Optimization of Global REITs Returns: High-Dimensional Copula-Based Approach In: Proceedings of International Academic Conferences.
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