Hossein Asgharian : Citation Profile


Are you Hossein Asgharian?

Lunds Universitet

8

H index

7

i10 index

393

Citations

RESEARCH PRODUCTION:

20

Articles

18

Papers

RESEARCH ACTIVITY:

   19 years (2000 - 2019). See details.
   Cites by year: 20
   Journals where Hossein Asgharian has often published
   Relations with other researchers
   Recent citing documents: 35.    Total self citations: 14 (3.44 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pas128
   Updated: 2024-01-16    RAS profile: 2022-10-16    
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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 Hossein Asgharian.

Is cited by:

GUPTA, RANGAN (24)

Salisu, Afees (8)

Conrad, Christian (8)

Demirer, Riza (6)

Mishra, Anil (6)

Papadamou, Stephanos (5)

Wang, Weining (5)

Yin, Libo (5)

Zhang, Yaojie (5)

Kollias, Christos (4)

El Ghini, Ahmed (4)

Cites to:

Engle, Robert (20)

Pastor, Lubos (20)

Fama, Eugene (17)

French, Kenneth (15)

Harvey, Campbell (14)

Jagannathan, Ravi (12)

Bollerslev, Tim (12)

Diebold, Francis (11)

Christiansen, Charlotte (10)

Andersen, Torben (9)

Colacito, Riccardo (8)

Main data


Where Hossein Asgharian has published?


Journals with more than one article published# docs
Journal of International Money and Finance2
The European Journal of Finance2
Journal of International Financial Markets, Institutions and Money2
The Journal of Financial Econometrics2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Lund University, Department of Economics8
Knut Wicksell Working Paper Series / Lund University, Knut Wicksell Centre for Financial Studies4

Recent works citing Hossein Asgharian (2024 and 2023)


YearTitle of citing document
2023Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

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2023Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

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2023Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064.

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2023S&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.

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2023.

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2023Financial 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.

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2023A 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.

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2023Stock 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.

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2023Asymmetric 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.

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2023Carbon 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.

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2023The 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.

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2023Cross-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.

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2023Forecasting 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.

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2023GARCH-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.

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2023Cross-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.

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2023Dynamic 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.

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2023The 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.

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2023The 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.

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2023The 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.

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2023Chinese 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.

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2023Technology 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.

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2023Testing 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.

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2023Are 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.

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2023The 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.

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2023Stock 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.

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2023Forecasting 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.

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2023Economic 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.

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2023Global 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.

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2023Cracking 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.

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2023Return 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.

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2023Technological 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.

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2023Economic 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.

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2023Dynamic 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.

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2023.

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Works by Hossein Asgharian:


YearTitleTypeCited
2014Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification In: CREATES Research Papers.
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2014Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification.(2014) In: Working Papers.
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This paper has nother version. Agregated cites: 30
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2016Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification.(2016) In: The Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 30
article
2015Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets In: CREATES Research Papers.
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paper31
2015Effects of macroeconomic uncertainty on the stock and bond markets.(2015) In: Finance Research Letters.
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This paper has nother version. Agregated cites: 31
article
2016Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation In: CREATES Research Papers.
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paper2
2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing In: CREATES Research Papers.
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paper0
2017Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation In: CREATES Research Papers.
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paper0
2000Cross?sectional analysis of Swedish stock returns with time?varying beta: the Swedish stock market 1983–96 In: European Financial Management.
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article7
2013Financial and Economic Integrations Impact on Asian Equity Markets’ Sensitivity to External Shocks In: The Financial Review.
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article4
2005Evaluating the importance of missing risk factors using the optimal orthogonal portfolio approach In: Journal of Empirical Finance.
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article0
2008Evaluating a non-linear asset pricing model on international data In: International Review of Financial Analysis.
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article1
2006Evaluating a nonlinear asset pricing model on international data.(2006) In: Working Papers.
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This paper has nother version. Agregated cites: 1
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2003The 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.
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article2
2006Home bias among European investors from a Bayesian perspective In: Journal of International Financial Markets, Institutions and Money.
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article12
2011A conditional asset-pricing model with the optimal orthogonal portfolio In: Journal of Banking & Finance.
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article3
2013A spatial analysis of international stock market linkages In: Journal of Banking & Finance.
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article70
2013A spatial analysis of international stock market linkages.(2013) In: Knut Wicksell Working Paper Series.
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This paper has nother version. Agregated cites: 70
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2011Risk contagion among international stock markets In: Journal of International Money and Finance.
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article52
2018Cross-border asset holdings and comovements in sovereign bond markets In: Journal of International Money and Finance.
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article2
2015Cross-Border Asset Holdings and Comovements in Sovereign Bond Markets.(2015) In: Working Papers.
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This paper has nother version. Agregated cites: 2
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2002Cross Sectional Analysis of the Swedish Stock Market In: Working Papers.
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paper1
2004A Comparative Analysis of Ability of Mimicking Portfolios in Representing the Background Factors In: Working Papers.
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paper0
2014Predicting Stock Price Volatility by Analyzing Semantic Content in Media In: Working Papers.
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2013Predicting Stock Price Volatility by Analyzing Semantic Content in Media.(2013) In: Knut Wicksell Working Paper Series.
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This paper has nother version. Agregated cites: 0
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2014Institutional Quality, Trust and Stock-Market Participation: Learning to Forget In: Working Papers.
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2014Institutional Quality, Trust and Stock Market Participation: Learning to Forget.(2014) In: Knut Wicksell Working Paper Series.
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This paper has nother version. Agregated cites: 5
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2019Systemic Risk and Centrality Revisited: The Role of Interactions In: Working Papers.
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paper1
2013Importance of the macroeconomic variables for variance prediction A GARCH-MIDAS approach In: Knut Wicksell Working Paper Series.
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2001Equity Risk Factors for a Small Open Economy: A Risk Management Perspective In: Multinational Finance Journal.
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article0
2006Jump Spillover in International Equity Markets In: The Journal of Financial Econometrics.
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article24
2016Credit Constraints, Growth and Inequality Dynamics In: Working Papers.
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paper5
2009An analysis of momentum and contrarian anomalies using an orthogonal portfolio approach In: Applied Economics Letters.
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article0
2005A critical investigation of the explanatory role of factor mimicking portfolios in multifactor asset pricing models In: Applied Financial Economics.
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article3
2010Book-to-market and size effects: compensations for risks or outcomes of market inefficiencies? In: The European Journal of Finance.
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2003Are highly leveraged firms more sensitive to an economic downturn? In: The European Journal of Finance.
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article8
2011An event study of price movements following realized jumps In: Quantitative Finance.
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article4
2013The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH?MIDAS Approach In: Journal of Forecasting.
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