Diaa Noureldin : Citation Profile


Are you Diaa Noureldin?

International Monetary Fund (IMF)

3

H index

2

i10 index

182

Citations

RESEARCH PRODUCTION:

6

Articles

7

Papers

1

Chapters

RESEARCH ACTIVITY:

   15 years (2008 - 2023). See details.
   Cites by year: 12
   Journals where Diaa Noureldin has often published
   Relations with other researchers
   Recent citing documents: 13.    Total self citations: 3 (1.62 %)

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   Permalink: http://citec.repec.org/pno257
   Updated: 2024-01-16    RAS profile: 2023-06-08    
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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 Diaa Noureldin.

Is cited by:

Bauwens, Luc (13)

Patton, Andrew (11)

Quaedvlieg, Rogier (9)

Bollerslev, Tim (9)

Maheu, John (8)

Storti, Giuseppe (8)

Omori, Yasuhiro (8)

Laurent, Sébastien (7)

Gallo, Giampiero (6)

Lucas, Andre (6)

Braione, Manuela (6)

Cites to:

Rogoff, Kenneth (14)

Engle, Robert (14)

Shephard, Neil (9)

Bauwens, Luc (8)

Obstfeld, Maurice (8)

Laurent, Sébastien (7)

Frankel, Jeffrey (7)

Bollerslev, Tim (7)

Sheppard, Kevin (7)

Campbell, John (7)

Hafner, Christian (6)

Main data


Where Diaa Noureldin has published?


Working Papers Series with more than one paper published# docs
IMF Working Papers / International Monetary Fund2
Economics Series Working Papers / University of Oxford, Department of Economics2

Recent works citing Diaa Noureldin (2024 and 2023)


YearTitle of citing document
2023Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2023Civil Conflicts and Exchange Rate Misalignment: Evidence from MENA and Arab League Members. (2023). Lemaire, Thibault ; Thibault, Lemaire. In: Review of Middle East Economics and Finance. RePEc:bpj:rmeecf:v:19:y:2023:i:2:p:101-130:n:3.

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2023The contribution of realized covariance models to the economic value of volatility timing. (2023). Bauwens, Luc ; Xu, Yongdeng. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023018.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2023Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures. (2023). Reh, Laura ; Hartkopf, Jan Patrick. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005019.

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2023Forecasting extreme financial risk: A score-driven approach. (2023). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:720-735.

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2023Time-varying variance and skewness in realized volatility measures. (2023). Lucas, Andre ; Opschoor, Anne. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:827-840.

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2023DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955.

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2023Bayesian forecast combination using time-varying features. (2023). Li, Feng ; Kang, Yanfei. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1287-1302.

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2023A method for predicting VaR by aggregating generalized distributions driven by the dynamic conditional score. (2023). Li, Handong ; Song, Shijia. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:203-214.

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2023Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum. (2023). Chevallier, Julien ; Sanhaji, Bilel. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:3:p:19-:d:1214066.

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2023Explicit minimal representation of variance matrices, and its implication for dynamic volatility models. (2023). Abadir, Karim M. In: The Econometrics Journal. RePEc:oup:emjrnl:v:26:y:2023:i:1:p:88-104..

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2023Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution. (2021). Lucas, Andr E ; Blasques, Francisco ; Rossini, Luca ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210010.

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Works by Diaa Noureldin:


YearTitleTypeCited
2018Much Ado about the Egyptian Pound: Exchange Rate Misalignment and the Path Towards Equilibrium In: Review of Middle East Economics and Finance.
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article4
2014Multivariate rotated ARCH models In: Journal of Econometrics.
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article39
2012Multivariate Rotated ARCH Models.(2012) In: Economics Papers.
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This paper has nother version. Agregated cites: 39
paper
2012Multivariate Rotated ARCH models.(2012) In: Economics Series Working Papers.
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This paper has nother version. Agregated cites: 39
paper
2022The impact of the exchange rate regime on the dispersion of the price-change distribution: Evidence from a large panel of countries In: Journal of International Financial Markets, Institutions and Money.
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article0
2020Optimal asset allocation and consumption rules for commodity-based sovereign wealth funds In: International Review of Economics & Finance.
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article0
2008Optimal Asset Allocation and Consumption Rules for Commodity-Based Sovereign Wealth Funds.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0
paper
2022Transitioning to a Greener Labor Market: Cross-Country Evidence from Microdata In: IMF Working Papers.
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paper0
2023How We Missed the Inflation Surge: An Anatomy of Post-2020 Inflation Forecast Errors In: IMF Working Papers.
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paper0
2011Multivariate High-Frequency-Based Volatility (HEAVY) Models In: Economics Papers.
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paper139
2011Multivariate High-Frequency-Based Volatility (HEAVY) Models.(2011) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 139
paper
2012Multivariate high?frequency?based volatility (HEAVY) models.(2012) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has nother version. Agregated cites: 139
article
2022Volatility Prediction Using a Realized-Measure-Based Component Model* In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
article0
2014Time-varying Dependence in the Term Structure of Interest Rates: A Copula-based Approach In: World Scientific Book Chapters.
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chapter0

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