8
H index
7
i10 index
393
Citations
Lunds Universitet | 8 H index 7 i10 index 393 Citations RESEARCH PRODUCTION: 20 Articles 18 Papers RESEARCH ACTIVITY: 19 years (2000 - 2019). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pas128 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Hossein Asgharian. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of International Money and Finance | 2 |
The European Journal of Finance | 2 |
Journal of International Financial Markets, Institutions and Money | 2 |
The Journal of Financial Econometrics | 2 |
Journal of Banking & Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers / Lund University, Department of Economics | 8 |
Knut Wicksell Working Paper Series / Lund University, Knut Wicksell Centre for Financial Studies | 4 |
Year | Title of citing document |
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2023 | Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542. Full description at Econpapers || Download paper |
2023 | Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592. Full description at Econpapers || Download paper |
2023 | Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064. Full description at Econpapers || Download paper |
2023 | S&P 500 volatility, volatility regimes, and economic uncertainty. (2023). Chatrath, Arjun ; Adrangi, Bahram ; Raffiee, Kambiz. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1362-1387. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Financial shock transmission to heterogeneous firms: the earnings-based borrowing constraint channel. (2023). Grothe, Magdalena ; Chiu, Livia ; van Robays, Ine ; Schulze, Tatjana. In: Working Paper Series. RePEc:ecb:ecbwps:20232860. Full description at Econpapers || Download paper |
2023 | A Probabilistic Approach for Denoising Option Prices. (2023). Lawuobahsumo, Kokulo ; Gueye, Djibril. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-02-3. Full description at Econpapers || Download paper |
2023 | Stock return anomalies identification during the Covid-19 with the application of a grouped multiple comparison procedure. (2023). Cai, Qingyun ; Chang, Chiu-Lan. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:168-183. Full description at Econpapers || Download paper |
2023 | Asymmetric contagion of jump risk in the Chinese financial sector: Monetary policy transmission matters. (2023). Song, Yuping ; Hou, Weijie ; Feng, Yun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003443. Full description at Econpapers || Download paper |
2023 | Carbon trading amidst global uncertainty: The role of policy and geopolitical uncertainty. (2023). Adediran, Idris ; Swaray, Raymond. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000913. Full description at Econpapers || Download paper |
2023 | The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants. (2023). Pan, Beier. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001074. Full description at Econpapers || Download paper |
2023 | Cross-border Italian sovereign risk transmission in EMU countries. (2023). Napolitano, Oreste ; Fiorelli, Cristiana ; D'Uva, Marcella ; Capasso, Salvatore. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002365. Full description at Econpapers || Download paper |
2023 | Forecasting stock return volatility in data-rich environment: A new powerful predictor. (2023). Li, Tingyu ; Zhang, Xiaotong ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001802. Full description at Econpapers || Download paper |
2023 | GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets. (2023). Li, Min-Jian ; Yao, Can-Zhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000335. Full description at Econpapers || Download paper |
2023 | Cross-industry asset allocation with the spatial interaction on multiple risk transmission channels. (2023). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s106294082300058x. Full description at Econpapers || Download paper |
2023 | Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach. (2023). Javed, Farrukh ; Nguyen, Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:272-292. Full description at Econpapers || Download paper |
2023 | The oil price-inflation nexus: The exchange rate pass- through effect. (2023). Du, Min ; Cui, Tianxiang ; Zheng, Dandan ; Ding, Shusheng. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003262. Full description at Econpapers || Download paper |
2023 | The effect of uncertainty on stock market volatility and correlation. (2023). Hou, Ai Jun ; Christiansen, Charlotte ; Asgharian, Hossein. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001097. Full description at Econpapers || Download paper |
2023 | The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate. (2023). Chang, Kuang-Liang. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000402. Full description at Econpapers || Download paper |
2023 | Chinese crude oil futures volatility and sustainability: An uncertainty indices perspective. (2023). Zhao, Chenchen ; Huang, Dengshi ; Xu, Weiju. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006705. Full description at Econpapers || Download paper |
2023 | Technology shocks - Gold market connection: Is the effect episodic to business cycle behaviour?. (2023). Ogbonna, Ahamuefula ; Abolade, Onomeabure C ; Olaniran, Abeeb O ; Ayinde, Taofeek O. In: Resources Policy. RePEc:eee:jrpoli:v:84:y:2023:i:c:s0301420723004828. Full description at Econpapers || Download paper |
2023 | Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Bouri, Elie. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:303-314. Full description at Econpapers || Download paper |
2023 | Are categorical EPU indices predictable for carbon futures volatility? Evidence from the machine learning method. (2023). Liang, Chao ; Huang, Dengshi ; Guo, Xiaozhu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:672-693. Full description at Econpapers || Download paper |
2023 | The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Panzica, Roberto ; Billio, Monica. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:196-223. Full description at Econpapers || Download paper |
2023 | Stock market volatility prediction: Evidence from a new bagging model. (2023). Huang, Dengshi ; Xu, Weiju ; Bu, Jinfeng ; Luo, Qin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:445-456. Full description at Econpapers || Download paper |
2023 | Forecasting gold volatility with geopolitical risk indices. (2023). Umar, Muhammad ; Liang, Chao ; Guo, Qiang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002434. Full description at Econpapers || Download paper |
2023 | Economic policy uncertainty and environmental governance company volatility: Evidence from China. (2023). Feng, Jing ; Qi, Jipeng ; Lv, Wendai. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000016. Full description at Econpapers || Download paper |
2023 | Global economic uncertainty and the Chinese stock market: Assessing the impacts of global indicators. (2023). Cui, Can ; Zhang, Yueyan ; Bai, Jiancheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000752. Full description at Econpapers || Download paper |
2023 | Cracking the Code of Market Secrets: A Deep Dive into Financial Anomalies. (2023). Pu, Suan Hui ; Uluyol, Burhan ; Kanaparan, Geetha ; Shaturaev, Jakhongir. In: MPRA Paper. RePEc:pra:mprapa:119039. Full description at Econpapers || Download paper |
2023 | Return Volatility, Correlation, and Hedging of Green and Brown Stocks: Is there a Role for Climate Risk Factors?. (2023). GUPTA, RANGAN ; Fang, Libing ; Bouri, Elie ; Li, Haohua. In: Working Papers. RePEc:pre:wpaper:202301. Full description at Econpapers || Download paper |
2023 | Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Working Papers. RePEc:pre:wpaper:202308. Full description at Econpapers || Download paper |
2023 | Economic Conditions and Predictability of US Stock Returns Volatility: Local Factor versus National Factor in a GARCH-MIDAS Model. (2023). Cepni, Oguzhan ; Gupta, Rangan ; Liao, Wenting ; Salisu, Afees A. In: Working Papers. RePEc:pre:wpaper:202323. Full description at Econpapers || Download paper |
2023 | Dynamic spatiotemporal correlation coefficient based on adaptive weight. (2023). Yu, Xuezeng ; Zhang, Weiguo ; Tan, Chunzhi ; Mo, Guoli. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00437-3. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2014 | Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 30 |
2014 | Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | paper | |
2016 | Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification.(2016) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | article | |
2015 | Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 31 |
2015 | Effects of macroeconomic uncertainty on the stock and bond markets.(2015) In: Finance Research Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | article | |
2016 | Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
2017 | Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2017 | Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2000 | Cross?sectional analysis of Swedish stock returns with time?varying beta: the Swedish stock market 1983–96 In: European Financial Management. [Full Text][Citation analysis] | article | 7 |
2013 | Financial and Economic Integrations Impact on Asian Equity Markets’ Sensitivity to External Shocks In: The Financial Review. [Full Text][Citation analysis] | article | 4 |
2005 | Evaluating the importance of missing risk factors using the optimal orthogonal portfolio approach In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
2008 | Evaluating a non-linear asset pricing model on international data In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 1 |
2006 | Evaluating a nonlinear asset pricing model on international data.(2006) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2003 | The explanatory role of factor portfolios for industries exposed to foreign competition: evidence from the Swedish stock market In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 2 |
2006 | Home bias among European investors from a Bayesian perspective In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 12 |
2011 | A conditional asset-pricing model with the optimal orthogonal portfolio In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 3 |
2013 | A spatial analysis of international stock market linkages In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 70 |
2013 | A spatial analysis of international stock market linkages.(2013) In: Knut Wicksell Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 70 | paper | |
2011 | Risk contagion among international stock markets In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 52 |
2018 | Cross-border asset holdings and comovements in sovereign bond markets In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 2 |
2015 | Cross-Border Asset Holdings and Comovements in Sovereign Bond Markets.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2002 | Cross Sectional Analysis of the Swedish Stock Market In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2004 | A Comparative Analysis of Ability of Mimicking Portfolios in Representing the Background Factors In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Predicting Stock Price Volatility by Analyzing Semantic Content in Media In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Predicting Stock Price Volatility by Analyzing Semantic Content in Media.(2013) In: Knut Wicksell Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2014 | Institutional Quality, Trust and Stock-Market Participation: Learning to Forget In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2014 | Institutional Quality, Trust and Stock Market Participation: Learning to Forget.(2014) In: Knut Wicksell Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2019 | Systemic Risk and Centrality Revisited: The Role of Interactions In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2013 | Importance of the macroeconomic variables for variance prediction A GARCH-MIDAS approach In: Knut Wicksell Working Paper Series. [Full Text][Citation analysis] | paper | 8 |
2001 | Equity Risk Factors for a Small Open Economy: A Risk Management Perspective In: Multinational Finance Journal. [Full Text][Citation analysis] | article | 0 |
2006 | Jump Spillover in International Equity Markets In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 24 |
2016 | Credit Constraints, Growth and Inequality Dynamics In: Working Papers. [Citation analysis] | paper | 5 |
2009 | An analysis of momentum and contrarian anomalies using an orthogonal portfolio approach In: Applied Economics Letters. [Full Text][Citation analysis] | article | 0 |
2005 | A critical investigation of the explanatory role of factor mimicking portfolios in multifactor asset pricing models In: Applied Financial Economics. [Full Text][Citation analysis] | article | 3 |
2010 | Book-to-market and size effects: compensations for risks or outcomes of market inefficiencies? In: The European Journal of Finance. [Full Text][Citation analysis] | article | 1 |
2003 | Are highly leveraged firms more sensitive to an economic downturn? In: The European Journal of Finance. [Full Text][Citation analysis] | article | 8 |
2011 | An event study of price movements following realized jumps In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
2013 | The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH?MIDAS Approach In: Journal of Forecasting. [Full Text][Citation analysis] | article | 117 |
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