13
H index
15
i10 index
447
Citations
University of Manchester | 13 H index 15 i10 index 447 Citations RESEARCH PRODUCTION: 31 Articles 14 Papers RESEARCH ACTIVITY: 21 years (2002 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/phy6 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Stuart Hyde. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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Working Papers / Federal Reserve Bank of St. Louis | 5 |
Research Technical Papers / Central Bank of Ireland | 2 |
MPRA Paper / University Library of Munich, Germany | 2 |
Year | Title of citing document |
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2023 | Interconnectedness and extreme risk: Evidence from dual banking systems. (2023). bouoiyour, jamal ; Addi, Abdelhamid. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s026499932200387x. Full description at Econpapers || Download paper |
2023 | Breaking news headlines: Impact on trading activity in the cryptocurrency market. (2023). Subramaniam, Sowmya ; Kulbhaskar, Anamika Kumar. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002092. Full description at Econpapers || Download paper |
2023 | Moments, shocks and spillovers in Markov-switching VAR models. (2023). Kole, Erik ; van Dijk, Dick. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001902. Full description at Econpapers || Download paper |
2023 | The time-varying effects of liquidity and market efficiency of the European Union carbon market: Evidence from the TVP-SVAR-SV approach. (2023). Ren, Xiaohang ; Zhang, Rui ; Zhong, Meirui. In: Energy Economics. RePEc:eee:eneeco:v:123:y:2023:i:c:s0140988323002062. Full description at Econpapers || Download paper |
2023 | Research on the evolutionary strategy of carbon market under “dual carbon” goal: From the perspective of dynamic quota allocation. (2023). Han, Ying ; Qi, Xiaoyuan. In: Energy. RePEc:eee:energy:v:274:y:2023:i:c:s036054422300659x. Full description at Econpapers || Download paper |
2023 | Good volatility, bad volatility, and the cross section of cryptocurrency returns. (2023). Zhao, Ran ; Zhang, Zehua. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002284. Full description at Econpapers || Download paper |
2023 | Equity premium prediction: The role of information from the options market. (2023). Voukelatos, Nikolaos ; Panopoulou, Ekaterini ; Apergis, Iraklis ; Alexandridis, Antonios K. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000908. Full description at Econpapers || Download paper |
2023 | Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US. (2023). Neuenkirch, Matthias ; Haase, Felix. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:587-605. Full description at Econpapers || Download paper |
2023 | A shadow rate without a lower bound constraint. (2023). Ristiniemi, Annukka ; de Rezende, Rafael B. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002667. Full description at Econpapers || Download paper |
2023 | How well do investor sentiment and ensemble learning predict Bitcoin prices?. (2023). Sahut, Jean-Michel ; Hikkerova, Lubica ; Hajek, Petr. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002227. Full description at Econpapers || Download paper |
2023 | The motifs of risk transmission in multivariate time series: Application to commodity prices. (2023). Spelta, Alessandro ; Pagnottoni, Paolo. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:87:y:2023:i:pb:s0038012122002609. Full description at Econpapers || Download paper |
2023 | Central Bank Credibility’s Effect on Stock Exchange Returns’ Volatility: Evidence from OECD Countries. (2023). Papadamou, Stephanos ; Spyromitros, Eleftherios ; Oikonomou, Georgios ; Dokas, Ioannis. In: Economies. RePEc:gam:jecomi:v:11:y:2023:i:10:p:257-:d:1260178. Full description at Econpapers || Download paper |
2023 | An Exploratory Study on the Development of a Crisis Index: Focusing on South Korea’s Petroleum Industry. (2023). Cha, Jeonghwa ; Kim, Hangook ; Park, Kyungbo. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:14:p:5346-:d:1192956. Full description at Econpapers || Download paper |
2023 | Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor Attention. (2023). Zhang, Yinpeng ; Zhu, Panpan ; Zhou, Qingjie. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:2:p:929-:d:1035420. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model. (2023). Erer, Deniz. In: EKOIST Journal of Econometrics and Statistics. RePEc:ist:ekoist:v:0:y:2023:i:38:p:105-126. Full description at Econpapers || Download paper |
2023 | Multivariate Regime Switching Model Estimation and Asset Allocation. (2023). Zhang, Xili ; Xu, Weidong ; Zheng, Kai. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:1:d:10.1007_s10614-021-10203-9. Full description at Econpapers || Download paper |
2023 | Constrained portfolio strategies in a regime-switching economy. (2023). Campani, Carlos Heitor ; Lewin, Marcelo. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:1:d:10.1007_s11408-022-00414-x. Full description at Econpapers || Download paper |
2023 | The influencing mechanism of financial development on CO2 emissions in China: double moderating effect of technological innovation and fossil energy dependence. (2023). Chen, Jinhua ; Feng, David ; Zang, Leizhen ; Xiong, Feng. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:25:y:2023:i:6:d:10.1007_s10668-022-02250-5. Full description at Econpapers || Download paper |
2023 | Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality. (2023). Gherghina, Ştefan ; Simionescu, Liliana Nicoleta. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00430-w. Full description at Econpapers || Download paper |
2023 | The linkage between Bitcoin and foreign exchanges in developed and emerging markets. (2023). Bensaida, Ahmed. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00454-w. Full description at Econpapers || Download paper |
2023 | International journal of finance and economics: A bibliometric overview. (2023). Gupta, Prashant ; Goyal, Kirti ; Kumar, Satish ; Baker, Kent H. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:9-46. Full description at Econpapers || Download paper |
2023 | Explaining Monetary Spillovers: The Matrix Reloaded. (2023). Xia, Fan Dora ; Schrimpf, Andreas ; Kearns, Jonathan. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:55:y:2023:i:6:p:1535-1568. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2007 | Habit Formation, Surplus Consumption and Return Predictability: International Evidence In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 14 |
2010 | Habit formation, surplus consumption and return predictability: International evidence.(2010) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
2008 | Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies In: European Financial Management. [Full Text][Citation analysis] | article | 13 |
2023 | Financial development and the effect of cross?border bank flows on house prices In: The Financial Review. [Full Text][Citation analysis] | article | 0 |
2004 | FOREX Risk: Measurement and Evaluation Using Value?at?Risk In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 4 |
2002 | Forex Risk: Measurement and Evaluation using Value-at-Risk.(2002) In: Research Technical Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2007 | UK Stock Returns and the Impact of Domestic Monetary Policy Shocks In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 56 |
2007 | MONETARY POLICY AND BEHAVIOURAL FINANCE In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 4 |
2005 | CONSUMPTION ASSET PRICING MODELS: EVIDENCE FROM THE UK* In: Manchester School. [Full Text][Citation analysis] | article | 11 |
2014 | Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 7 |
2010 | Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2005 | European Monetary Policy Surprises: The Aggregate and Sectoral Stock Market Response In: Research Technical Papers. [Citation analysis] | paper | 45 |
2009 | European monetary policy surprises: the aggregate and sectoral stock market response.(2009) In: International Journal of Finance & Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 45 | article | |
2013 | Determinants of corporate exchange rate exposure in Chilean firms In: Journal Economía Chilena (The Chilean Economy). [Full Text][Citation analysis] | article | 2 |
2012 | Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 6 |
2002 | Excess volatility and efficiency in French and German stock markets In: Economic Modelling. [Full Text][Citation analysis] | article | 10 |
2013 | Duration, trading volume and the price impact of trades in an emerging futures market In: Emerging Markets Review. [Full Text][Citation analysis] | article | 2 |
2014 | A microstructure analysis of the carbon finance market In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 33 |
2015 | Time-varying regional and global integration and contagion: Evidence from style portfolios In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 13 |
2020 | News sentiment in the cryptocurrency market: An empirical comparison with Forex In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 29 |
2023 | Time-varying bond market integration and the impact of financial crises In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 0 |
2022 | The yen–dollar risk premium: A story of regime shifts in bond markets In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 0 |
2022 | Measuring market integration during crisis periods In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 0 |
2009 | Non-linear predictability in stock and bond returns: When and where is it exploitable? In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 51 |
2009 | Non-linear predictability in stock and bond returns: when and where is it exploitable?.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | paper | |
2011 | Investigating sources of unanticipated exposure in industry stock returns In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 15 |
2010 | Investigating Sources of Unanticipated Exposure in Industry Stock Returns.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2012 | Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 27 |
2010 | Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2011 | Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2010 | Monetary policy surprises and international bond markets In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 26 |
2018 | The reality of stock market jumps diversification In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 3 |
2008 | Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK In: Journal of Multinational Financial Management. [Full Text][Citation analysis] | article | 5 |
2010 | Consumption asset pricing and the term structure In: The Quarterly Review of Economics and Finance. [Full Text][Citation analysis] | article | 9 |
2007 | What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2008 | Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2012 | Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2005 | Resuscitating the C-CAPM: empirical evidence from France and Germany In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 7 |
2010 | Tests of the conditional asset pricing model: further evidence from the cross-section of stock returns In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 3 |
2004 | Dont break the habit: structural stability tests of consumption models in the UK In: Money Macro and Finance (MMF) Research Group Conference 2003. [Full Text][Citation analysis] | paper | 0 |
2007 | The response of industry stock returns to market, exchange rate and interest rate risks In: MPRA Paper. [Full Text][Citation analysis] | paper | 21 |
2007 | Correlation dynamics between Asia-Pacific, EU and US stock returns In: MPRA Paper. [Full Text][Citation analysis] | paper | 20 |
2005 | Dont break the habit: structural stability tests of consumption asset pricing models in the UK In: Applied Economics Letters. [Full Text][Citation analysis] | article | 3 |
2009 | What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model In: Applied Financial Economics. [Full Text][Citation analysis] | article | 2 |
2014 | Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
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