Susan Thorp : Citation Profile


Are you Susan Thorp?

University of Sydney

7

H index

6

i10 index

285

Citations

RESEARCH PRODUCTION:

26

Articles

43

Papers

1

Chapters

RESEARCH ACTIVITY:

   30 years (1987 - 2017). See details.
   Cites by year: 9
   Journals where Susan Thorp has often published
   Relations with other researchers
   Recent citing documents: 65.    Total self citations: 21 (6.86 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pth50
   Updated: 2017-07-22    RAS profile: 2017-06-06    
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Relations with other researchers


Works with:

Ortmann, Andreas (5)

Dobrescu, Loretti (5)

Silvennoinen, Annastiina (3)

Dungey, Mardi (2)

Yang, Minxian (2)

Stavrunova, Olena (2)

Iskhakov, Fedor (2)

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

Is cited by:

McAleer, Michael (12)

Chang, Chia-Lin (12)

Nguyen, Duc Khuong (11)

Tansuchat, Roengchai (9)

Mitchell, Olivia (8)

Uddin, Gazi (6)

Kilian, Lutz (5)

Guidolin, Massimo (5)

Filis, George (5)

Bekiros, Stelios (4)

De Pace, Pierangelo (4)

Cites to:

Laibson, David (19)

Madrian, Brigitte (19)

Lusardi, Annamaria (18)

Mitchell, Olivia (15)

Skinner, Jonathan (15)

Rigobon, Roberto (14)

Zeldes, Stephen (14)

van Rooij, Maarten (14)

Campbell, John (13)

Engle, Robert (12)

Keane, Michael (12)

Main data


Where Susan Thorp has published?


Journals with more than one article published# docs
The Economic Record7
Journal of Pension Economics and Finance3
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney13
RBA Research Discussion Papers / Reserve Bank of Australia5
Working Paper Series / The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney4
Discussion Papers / School of Economics, The University of New South Wales3
NCER Working Paper Series / National Centre for Econometric Research2
Working Papers / ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales2
Econometric Society 2004 Australasian Meetings / Econometric Society2

Recent works citing Susan Thorp (2017 and 2016)


YearTitle of citing document
2016Understanding Dynamic Conditional Correlations between Commodities Futures Markets. (2016). Nicolini, Marcella ; Manera, Matteo ; Behmiri, Niaz Bashiri . In: ESP: Energy Scenarios and Policy. RePEc:ags:feemes:232223.

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2016Alternative Approaches for Rating INDCs: a Comparative Analysis. (2016). Davide, Marinella ; Vesco, Paola . In: MITP: Mitigation, Innovation,and Transformation Pathways. RePEc:ags:feemmi:232716.

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2017An equilibrium model for spot and forward prices of commodities. (2017). Anthropelos, Michail ; Papapantoleon, Antonis ; Kupper, Michael . In: Papers. RePEc:arx:papers:1502.00674.

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2016Optimal Consumption, Investment and Housing with Means-tested Public Pension in Retirement. (2016). Shevchenko, Pavel V ; Andreasson, Johan G. In: Papers. RePEc:arx:papers:1606.08984.

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2016The 2015-2017 policy changes to the means-tests of Australian Age Pension: implication to decisions in retirement. (2016). Shevchenko, Pavel V ; Andreasson, Johan G. In: Papers. RePEc:arx:papers:1611.08330.

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2016Comments on Monetary independence in a financially integrated world: what do measures of interest rate co-movement tell us?. (2016). Dungey, Mardi . In: BIS Papers chapters. RePEc:bis:bisbpc:88-13.

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2016Contagion in International Stock and Currency Markets During Recent Crisis Episodes. (2016). Tuteja, Divya ; Dua, Pami. In: Working papers. RePEc:cde:cdewps:258.

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2016Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?. (2016). Kilian, Lutz ; Baumeister, Christiane ; Ellwanger, Reinhard . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6282.

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2017Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?. (2017). Kilian, Lutz ; Baumeister, Christiane ; Ellwanger, Reinhard . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11740.

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2017Examining the Common Dynamics of Commodity Futures Prices. (2017). Gross, Christian . In: CQE Working Papers. RePEc:cqe:wpaper:6317.

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2016CONDITIONAL CORRELATION COEFFICIENT AS A TOOL FOR ANALYSIS OF CONTAGION IN FINANCIAL MARKETS AND REAL ECONOMY INDEXES BASED ON THE SYNTHETIC RATIO. (2016). Siedlecki, Rafa ; Papla, Daniel . In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2016:i:4:p:287-299.

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2016Disaggregating the correlation under bearish and bullish markets: A Quantile-quantile approach. (2016). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Ameer, Saba . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00683.

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2016Correlation changes between the risk-free rate and sovereign yields of euro area countries. (2016). De Santis, Roberto ; Stein, Michael ; Desantis, Roberto . In: Working Paper Series. RePEc:ecb:ecbwps:20161979.

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2016Individual Choice of a Pension Fund in Russia: Are the Investment Results of the Fund Important?. (2016). Tumanyants, Karen A ; Gulyaeva, Eugenia V. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-04-05.

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2016No contagion from Russia toward global equity markets after the 2014 international sanctions. (2016). Castagneto-Gissey, G ; Nivorozhkin, E. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:52:y:2016:i:c:p:79-98.

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2016A high-frequency analysis of the interactions between REIT return and volatility. (2016). Zhou, Jian. In: Economic Modelling. RePEc:eee:ecmode:v:56:y:2016:i:c:p:102-108.

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2017Informativeness of trade size in foreign exchange markets. (2017). Gradojevic, Nikola ; Erdemlioglu, Deniz ; Genay, Ramazan . In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:27-33.

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2016Contagion in CDS, banking and equity markets. (2016). Tabak, Benjamin ; da Silva, Mauricio ; de Castro, Rodrigo . In: Economic Systems. RePEc:eee:ecosys:v:40:y:2016:i:1:p:120-134.

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2017Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets. (2017). Uddin, Gazi ; Nguyen, Duc Khuong ; Bekiros, Stelios ; Junior, Leonidas Sandoval . In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:3:p:945-961.

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2017Commodity price cycles and financial pressures in African commodities exporters. (2017). Kablan, Sandrine ; Guesmi, Khaled ; Ftiti, Zied . In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:215-231.

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2016Recent hikes in oil-equity market correlations: Transitory or permanent?. (2016). Li, Xiao-Ming ; Zhang, Bing . In: Energy Economics. RePEc:eee:eneeco:v:53:y:2016:i:c:p:305-315.

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2016Impact of the financial crisis on Indian commodity markets: Structural breaks and volatility dynamics. (2016). Prasanna, Krishna ; Shalini, Velappan . In: Energy Economics. RePEc:eee:eneeco:v:53:y:2016:i:c:p:40-57.

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2016Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH. (2016). Basher, Syed ; Sadorsky, Perry . In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:235-247.

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2016Information spillover dynamics of the energy futures market sector: A novel common factor approach. (2016). Kuruppuarachchi, Duminda ; Premachandra, I M. In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:277-294.

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2016On the dynamic links between commodities and Islamic equity. (2016). Ng, Adam ; Inghelbrecht, Koen ; Disli, Mustafa ; Nagayev, Ruslan . In: Energy Economics. RePEc:eee:eneeco:v:58:y:2016:i:c:p:125-140.

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2016Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries. (2016). Filis, George ; Degiannakis, Stavros ; Boldanov, Rustam . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:209-220.

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2016Dynamic spillovers between Shanghai and London nonferrous metal futures markets. (2016). Yoon, Seong-Min ; Kang, Sanghoon . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:181-188.

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2017Cross-financial-market correlations and quantitative easing. (2017). Zhang, Jie ; Zhong, Rui ; Kryzanowski, Lawrence . In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:13-21.

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2016On the time scale behavior of equity-commodity links: Implications for portfolio management. (2016). Uddin, Gazi ; Nguyen, Duc Khuong ; Bekiros, Stelios ; Sjo, BO. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:41:y:2016:i:c:p:30-46.

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2016Commodities momentum: A behavioral perspective. (2016). Bianchi, Robert ; Fan, John Hua ; Drew, Michael E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:c:p:133-150.

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2016A life-cycle model with ambiguous survival beliefs. (2016). Zimper, Alexander ; Ludwig, Alexander ; Groneck, Max . In: Journal of Economic Theory. RePEc:eee:jetheo:v:162:y:2016:i:c:p:137-180.

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2016Commodity returns co-movements: Fundamentals or “style” effect?. (2016). Moussa, Zakaria ; Darné, Olivier ; Darne, Olivier ; Charlot, Philippe . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:68:y:2016:i:c:p:130-160.

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2017Black swan events and safe havens: The role of gold in globally integrated emerging markets. (2017). Uddin, Gazi ; Nguyen, Duc Khuong ; Boubaker, Sabri ; Bekiros, Stelios . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pb:p:317-334.

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2016Increasing trends in the excess comovement of commodity prices. (2016). Ohashi, Kazuhiko ; Okimoto, Tatsuyoshi . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:1:y:2016:i:1:p:48-64.

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2016The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies. (2016). Zimmermann, Heinz ; Haase, Marco . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:3:y:2016:i:1:p:1-15.

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2016A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets. (2016). Charfeddine, Lanouar ; Benlagha, Noureddine . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:37-38:y:2016:i::p:168-189.

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2016Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach. (2016). Uddin, Gazi ; Reboredo, Juan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:43:y:2016:i:c:p:284-298.

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2016Complexity and asset legitimacy in retirement investment. (2016). KALAYCI, Kenan ; Friesen, Lana ; Tse, Alan . In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:60:y:2016:i:c:p:35-48.

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2016Increasing Trends in the Excess Comovement of Commodity Prices. (2016). Okimoto, Tatsuyoshi ; Ohashi, Kazuhiko . In: CAMA Working Papers. RePEc:een:camaaa:2016-09.

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2016Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Y. In: Econometric Institute Research Papers. RePEc:ems:eureir:93116.

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2016Is the Effect of Risk on Stock Returns Different in Up and Down Markets? A Multi-Country Study. (2016). Kundu, Srikanta ; Sarkar, Nityananda . In: International Econometric Review (IER). RePEc:erh:journl:v:8:y:2016:i:2:p:53-71.

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2017Linkages Between Equity and Global Food Markets: New Evidence from Including Structural Changes. (2017). Alshogeathri, Mofleh ; Jouini, Jamel . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:67:y:2017:i:3:p:166-198.

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2016Understanding Dynamic Conditional Correlations between Commodities Futures Markets. (2016). Nicolini, Marcella ; Manera, Matteo ; Behmiri, Niaz Bashiri . In: Working Papers. RePEc:fem:femwpa:2016.17.

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2017Optimal Time to Enter a Retirement Village. (2017). Zhang, Jinhui ; Wei, Jiaqin ; Purcal, Sachi . In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:1:p:20-:d:93729.

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2016Athens game of chicken or the conditional dependence between the Greek banks. (2016). Derbali, Abdelkader ; Hallara, Slaheddine ; Sy, Aida . In: International Journal of Economics and Accounting. RePEc:ids:ijecac:v:7:y:2016:i:1:p:1-26.

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2016Subjective Belief Distributions and the Characterization of Economic Literacy. (2016). Lau, Morten ; di Girolamo, Amalia ; Swarthout, Todd J ; Harrison, Glenn . In: IZA Discussion Papers. RePEc:iza:izadps:dp9856.

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2016The characteristics of infrastructure as an investment class. (2016). De Moor, Lieven ; Thierie, Wouter . In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:30:y:2016:i:3:d:10.1007_s11408-016-0273-9.

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2017Searching for a listed infrastructure asset class using mean–variance spanning. (2017). Blanc-Brude, Frederic ; Wilde, Simon ; Whittaker, Timothy . In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:2:d:10.1007_s11408-017-0286-z.

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2017Good Consumer Information: the Information Paradigm at its (Dead) End?. (2017). Oehler, Andreas ; Wendt, Stefan . In: Journal of Consumer Policy. RePEc:kap:jcopol:v:40:y:2017:i:2:d:10.1007_s10603-016-9337-5.

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2017A four-factor stochastic volatility model of commodity prices. (2017). Schone, Max F ; Spinler, Stefan . In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:2:d:10.1007_s11147-016-9126-y.

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2016Forecasting oil price realized volatility: A new approach. (2016). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:69105.

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2016Information Diffusion, Cluster formation and Entropy-based Network Dynamics in Equity and Commodity Markets. (2016). Uddin, Gazi ; Nguyen, Duc Khuong ; Bekiros, Stelios ; Junior, Leonidas Sandoval . In: MPRA Paper. RePEc:pra:mprapa:73397.

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2016Dynamic global linkages of the BRICS stock markets with the U.S. and Europe under external crisis shocks: Implications for portfolio risk forecasting. (2016). Nguyen, Duc Khuong ; Hammoudeh, Shawkat ; Mensi, Walid ; Kang, Sang Hoon . In: MPRA Paper. RePEc:pra:mprapa:73400.

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2016Black Swan Events and Safe Havens: The role of Gold in Globally Integrated Emerging Markets. (2016). Uddin, Gazi ; Nguyen, Duc Khuong ; Bekiros, Stelios ; Boubaker, Sabri . In: MPRA Paper. RePEc:pra:mprapa:75740.

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2017Forecasting oil prices. (2017). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:77531.

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2016The Relationship between Commodity Markets and Commodity Mutual Funds: A Wavelet-Based Analysis. (2016). GUPTA, RANGAN ; Cuñado, Juncal ; Chang, Tsangyao ; Antonakakis, Nikolaos ; Cunado, Juncal . In: Working Papers. RePEc:pre:wpaper:201619.

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2017The Role of Economic and Financial Uncertainties in Predicting Commodity Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Test. (2017). GUPTA, RANGAN ; Balcilar, Mehmet ; Bahloul, Walid ; Cunado, Juncal . In: Working Papers. RePEc:pre:wpaper:201725.

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2016Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach. (2016). Skiadopoulos, George ; Daskalaki, Charoula ; Topaloglou, Nikolas . In: Working Papers. RePEc:qmw:qmwecw:wp797.

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2016The Co-Movement between Non-GM and GM Soybean Prices in China: Evidence from Dalian Futures Market (2004-2014). (2016). Houston, Jack E ; Wang, Nanying . In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:3:y:2016:i:4:p:37-47.

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2017The changing international network of sovereign debt and financial institutions. (2017). Dungey, Mardi ; Volkov, Vladimir ; Harvey, John . In: Working Papers. RePEc:tas:wpaper:23500.

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2016Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160047.

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2016Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1610.

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2017Has Crude Oil Become a Financial Asset? Evidence from Ten Years of Financialization. (2017). Adams, Zeno ; Kartsakli, Maria . In: Working Papers on Finance. RePEc:usg:sfwpfi:2017:10.

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2016The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice. (2016). Pan, Wei-Ting . In: PhD Thesis. RePEc:uts:finphd:32.

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2016Did the renewable fuel standard shift market expectations of the price of ethanol?. (2016). Kilian, Lutz ; Baumeister, Christiane ; Ellwanger, Reinhard . In: CFS Working Paper Series. RePEc:zbw:cfswop:563.

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Works by Susan Thorp:


YearTitleTypeCited
2011Financial Competence, Risk Presentation and Retirement Portfolio Preferences In: Working Papers.
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2014Financial competence, risk presentation and retirement portfolio preferences.(2014) In: Journal of Pension Economics and Finance.
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2011Economic Rationality, Risk Presentation, and Retirement Portfolio Choice In: Working Papers.
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2011Economic Rationality, Risk Presentation, and Retirement Portfolio Choice..(2011) In: MPRA Paper.
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1988VAR Forecasting Models of the Australian Economy: A Preliminary Analysis. In: Australian Economic Papers.
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1988VAR Forecasting Models of the Australian Economy: A Preliminary Analysis.(1988) In: RBA Research Discussion Papers.
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2005That Courage is not Inconsistent with Caution: Currency Hedging for Superannuation Funds In: The Economic Record.
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2008Choices and Constraints over Retirement Income Streams: Comparing Rules and Regulations In: The Economic Record.
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2007Choices and constraints over retirement income streams: comparing rules and regulations.(2007) In: Discussion Papers.
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2007Choices and Constraints over Retirement Income Streams: Comparing Rules and Regulations.(2007) In: Research Paper Series.
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2012Financial Competence and Expectations Formation: Evidence from Australia In: The Economic Record.
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2013Means-Tested Public Pensions, Portfolio Choice and Decumulation in Retirement In: The Economic Record.
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2009Means-Tested Income Support, Portfolio Choice and Decumulation in Retirement.(2009) In: Research Paper Series.
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2014Just Interested or Getting Involved? An Analysis of Superannuation Attitudes and Actions In: The Economic Record.
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2015Optimal Annuity Purchases for Australian Retirees In: The Economic Record.
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2016How Portfolios Evolve after Retirement: Evidence from Australia In: The Economic Record.
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2013How Portfolios Evolve After Retirement: Evidence from Australia.(2013) In: CAMA Working Papers.
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2015How portfolios evolve after retirement: evidence from Australia.(2015) In: CAMA Working Papers.
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2013How Portfolios Evolve After Retirement: Evidence From Australia.(2013) In: Working Paper Series.
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2007SYMMETRIC VERSUS ASYMMETRIC CONDITIONAL COVARIANCE FORECASTS: DOES IT PAY TO SWITCH? In: Journal of Financial Research.
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2005Annuitization and asset allocation with HARA utility In: Journal of Pension Economics and Finance.
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2004Annuitization and Asset Allocation with HARA Utlity.(2004) In: Econometric Society 2004 Australasian Meetings.
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2007Decentralized investment management: an analysis of non-profit pension funds In: Journal of Pension Economics and Finance.
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2015Family, friends and framing: A cross-country study of subjective survival expectations In: DNB Working Papers.
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2004That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds In: Econometric Society 2004 Australasian Meetings.
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2015Cohort and target age effects on subjective survival probabilities: Implications for models of the retirement phase In: Journal of Economic Dynamics and Control.
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2006Valuing volatility spillovers In: Global Finance Journal.
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2005Valuing Volatility Spillovers.(2005) In: International Finance.
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2008The private value of public pensions In: Insurance: Mathematics and Economics.
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2007The Private Value of Public Pensions.(2007) In: Research Paper Series.
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2013Financialization, crisis and commodity correlation dynamics In: Journal of International Financial Markets, Institutions and Money.
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2010Financialization, Crisis and Commodity Correlation Dynamics.(2010) In: Research Paper Series.
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2010Unobservable shocks as carriers of contagion In: Journal of Banking & Finance.
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2015Endogenous crisis dating and contagion using smooth transition structural GARCH In: Journal of Banking & Finance.
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2012Endogenous crisis dating and contagion using smooth transition structural GARCH.(2012) In: Working Papers.
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2016As easy as pie: How retirement savers use prescribed investment disclosures In: Journal of Economic Behavior & Organization.
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2007Measuring equity market integration using uncorrelated information flows: Tokyo, London and New York In: Journal of Multinational Financial Management.
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2008DISCOUNTING AND CONSUMPTION OVER AN UNCERTAIN HORIZON: DRAW-DOWN PLANS FOR FAMILY TRUSTS In: CAMA Working Papers.
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2007Discounting and Consumption Over an Uncertain Horizon: Draw-Down Plans for Family Trusts.(2007) In: Research Paper Series.
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2008SCENARIO ANALYSIS WITH RECURSIVE UTILITY: DYNAMIC CONSUMPTION PLANS FOR CHARITABLE ENDOWMENTS In: CAMA Working Papers.
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2007Scenario Analysis with Recursive Utility: Dynamic Consumption Plans for Charitable Endowments.(2007) In: Research Paper Series.
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2009MEANS-TESTED INCOME SUPPORT, PORTFOLIO CHOICE AND DECUMULATION IN RETIREMENT In: CAMA Working Papers.
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2009Means-Tested Income Support, Portfolio Choice and Decumulation in Retirement.(2009) In: Research Paper Series.
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2007Financial engineering for Australian annuitants In: Chapters.
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