K. Geert Rouwenhorst : Citation Profile

Are you K. Geert Rouwenhorst?

Yale University

19

H index

20

i10 index

2279

Citations

RESEARCH PRODUCTION:

19

Articles

22

Papers

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   31 years (1990 - 2021). See details.
   Cites by year: 73
   Journals where K. Geert Rouwenhorst has often published
   Relations with other researchers
   Recent citing documents: 82.    Total self citations: 7 (0.31 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pro146
   Updated: 2024-01-16    RAS profile: 2021-11-27    
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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 K. Geert Rouwenhorst.

Is cited by:

Szafarz, Ariane (20)

Zaremba, Adam (18)

Prokopczuk, Marcel (17)

Swinkels, Laurens (12)

Del Negro, Marco (11)

Leung, Tim (11)

Flavin, Thomas (10)

Harvey, Campbell (9)

Kose, Ayhan (9)

Panopoulou, Ekaterini (9)

De Moor, Lieven (9)

Cites to:

Harvey, Campbell (10)

French, Kenneth (10)

Fama, Eugene (9)

Shanken, Jay (5)

Bessembinder, Hendrik (5)

Goetzmann, William (5)

Brown, Stephen (5)

Hamao, Yasushi (5)

Hayashi, Fumio (4)

Bekaert, Geert (4)

Campbell, John (4)

Main data

Where K. Geert Rouwenhorst has published?

Journals with more than one article published# docs
Review of Financial Studies2
Journal of Finance2
Journal of Financial Economics2
Journal of Monetary Economics2

Working Papers Series with more than one paper published# docs
Yale School of Management Working Papers / Yale School of Management13
NBER Working Papers / National Bureau of Economic Research, Inc8

Recent works citing K. Geert Rouwenhorst (2024 and 2023)

YearTitle of citing document
2023Excursion Risk. (2020). Cont, Rama ; Ananova, Anna ; Xu, Renyuan. In: Papers. RePEc:arx:papers:2011.02870.

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2023Detecting data-driven robust statistical arbitrage strategies with deep neural networks. (2022). Neufeld, Ariel ; Yin, Daiying ; Sester, Julian. In: Papers. RePEc:arx:papers:2203.03179.

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2023Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2022). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095.

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2023Select and Trade: Towards Unified Pair Trading with Hierarchical Reinforcement Learning. (2023). Huang, Jimin ; Lai, Yanzhao ; Peng, Min ; Xie, Qianqian ; Zhang, Boyi. In: Papers. RePEc:arx:papers:2301.10724.

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2023Pairs Trading: An Optimal Selling Rule with Constraints. (2023). Zhang, Qing ; Wu, Zhen ; Tie, Jingzhi ; Liu, Ruyi. In: Papers. RePEc:arx:papers:2307.15300.

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2023A hidden Markov model for statistical arbitrage in international crude oil futures markets. (2023). Rotondi, Francesco ; Fontana, Claudio ; Fanelli, Viviana. In: Papers. RePEc:arx:papers:2309.00875.

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2023C++ Design Patterns for Low-latency Applications Including High-frequency Trading. (2023). Gunduz, Burak ; Bilokon, Paul. In: Papers. RePEc:arx:papers:2309.04259.

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2023Monte Carlo Simulation for Trading Under a L\evy-Driven Mean-Reverting Framework. (2023). Lu, Kevin W ; Leung, Tim. In: Papers. RePEc:arx:papers:2309.05512.

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2023Optimal Entry and Exit with Signature in Statistical Arbitrage. (2023). Lee, Kiseop ; Chakraborty, Prakash ; Ning, Boming. In: Papers. RePEc:arx:papers:2309.16008.

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2023Copula-based deviation measure of cointegrated financial assets. (2023). Shulzhenko, Alexander. In: Papers. RePEc:arx:papers:2312.02081.

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2023Ride the trend: Is there spread momentum profit in the US commodity markets?. (2023). Garcia, Philip ; Serra, Teresa ; Shang, Quanbiao. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:74:y:2023:i:1:p:24-47.

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2023Hedging pressure momentum and the predictability of oil futures returns. (2023). Zhang, Yaojie ; Wang, Yudong ; Chen, Chuang ; Yu, Dan. In: Economic Modelling. RePEc:eee:ecmode:v:121:y:2023:i:c:s0264999323000263.

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2023Pairs trading via unsupervised learning. (2023). Wei, Alenson Jun ; He, Zhaodong ; Han, Chulwoo. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:2:p:929-947.

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2023Machine learning and the cross-section of emerging market stock returns. (2023). Kalsbach, Tobias ; Hanauer, Matthias X. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000274.

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2023Higher-order moments and co-moments contribution to spillover analysis and portfolio risk management. (2023). Bouri, Elie ; Nekhili, Ramzi. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000944.

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2023Convenience yield risk. (2023). Wichmann, Robert ; Simen, Chardin Wese ; Symeonidis, Lazaros ; Prokopczuk, Marcel. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000348.

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2023A weekly structural VAR model of the US crude oil market. (2023). Manera, Matteo ; Bastianin, Andrea ; Valenti, Daniele. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001548.

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2023Forecasting commodity prices returns: The role of partial least squares approach. (2023). Dai, Zhifeng ; Zhu, Haoyang ; Wen, Chufu. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003237.

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2023Financial stress and commodity price volatility. (2023). Verousis, Thanos ; Zhou, Zhiping ; Wang, Kai ; Chen, Louisa. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003729.

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2023Dissecting hedge funds strategies. (2023). Noori, Mohammad ; Hitaj, Asmerilda. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004033.

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2023Are commodity futures a hedge against inflation? A Markov-switching approach. (2023). Zhou, Zhiping ; Zhang, Xuan ; Liu, Chunbo. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s105752192300008x.

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2023Co-movement between commodity and equity markets revisited—An application of the Thick Pen method. (2023). Lee, Seungho ; Durand, Robert B ; Gronwald, Marc ; Wadud, Sania. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000844.

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2023Oil supply expectations and corporate social responsibility. (2023). Miao, Xiao ; Zhang, Yun ; Wen, Fenghua ; Chen, Lin. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001540.

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2023Possibility versus feasibility: International portfolio diversification under financial liberalization. (2023). Yao, Shujie ; Wan, Hong ; Chen, Yiqing. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001680.

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2023Financialization and speculators risk premia in commodity futures markets. (2023). Revoredo-Giha, Cesar ; Carter, Colin A. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002077.

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2023Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach. (2023). Zhang, Dalu ; Yan, Meilan ; Xiao, Qin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002594.

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2023International high-frequency arbitrage for cross-listed stocks. (2023). Dionne, Georges ; Yergeau, Gabriel ; Poutre, Cedric. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002934.

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2023Tracking speculative trading. (2023). Grob, Linus ; Boos, Dominik. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000635.

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2023What explains the benefits of international portfolio diversification?. (2023). Sy, Oumar ; Nazaire, Gregory ; Guedhami, Omrane ; Attig, Najah. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443122002013.

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2023Recency bias and the cross-section of international stock returns. (2023). Zaremba, Adam ; Cakici, Nusret. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:84:y:2023:i:c:s1042443123000069.

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2023Technical analysis, spread trading, and data snooping control. (2023). Sermpinis, Georgios ; Pantelous, Athanasios A ; Laws, Jason ; Psaradellis, Ioannis. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:178-191.

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2023Option Returns, Risk Premiums, and Demand Pressure in Energy Markets. (2023). Li, Bingxin ; Jacobs, Kris. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002679.

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2023Misery on Main Street, victory on Wall Street: Economic discomfort and the cross-section of global stock returns. (2023). Zaremba, Adam ; Cakici, Nusret. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000043.

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2023Cross-asset time-series momentum: Crude oil volatility and global stock markets. (2023). Xu, Yahua ; Tse, Yiuman ; Indriawan, Ivan ; Fernandez-Perez, Adrian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426622002849.

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2023Exploiting the dynamics of commodity futures curves. (2023). Zhang, Tingxi ; Miffre, Joelle ; Fan, John Hua ; Bianchi, Robert J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001632.

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2023Reaching for yield and the housing market: Evidence from 18th-century Amsterdam. (2023). Korevaar, Matthijs. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:3:p:273-296.

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2023What matters in a characteristic?. (2023). Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:1:p:52-72.

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2023Do prime brokers intermediate capital?. (2023). Sinclair, Andrew J. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:53:y:2023:i:c:s1042957322000572.

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2023Equity market connectedness across regimes of geopolitical risks: Historical evidence and theory. (2023). Miescu, Mirela ; Jalloul, Maya. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001110.

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2023Commodity momentum: A tale of countries and sectors. (2023). Qiao, Xiao ; Fan, John Hua. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851323000053.

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2023Revisiting the Silver Crisis. (2023). Salvador, Enrique ; Poti, Valerio ; Bredin, Don. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000459.

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2023Financialization of commodity markets ten years later. (2023). Wang, Ningli ; Tang, KE ; Kang, Wenjin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s240585132300003x.

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2023Microstructure and high-frequency price discovery in the soybean complex. (2023). Debie, Philippe ; Gohin, Alexandre ; Bagnarosa, Guillaume ; Zhou, Xinquan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000041.

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2023Commodity futures return predictability and intertemporal asset pricing. (2023). Poti, Valerio ; Eyiah-Donkor, Emmanuel ; Cotter, John. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851322000460.

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2023The impact of financialization on the efficiency of commodity futures markets. (2023). Sulewski, Christoph ; Putz, Alexander ; Irwin, Scott H ; Bohl, Martin T. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s240585132300020x.

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2023Do spot market auction data help price discovery?. (2023). Scott, Ayesha ; Schoen, Tilman ; Miffre, Joelle ; Fernandez-Perez, Adrian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000259.

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2023ETP tracking of U.S. agricultural and energy markets. (2023). Stewart, Shamar ; de Leon, Maximo ; Hassman, Colburn ; Massa, Olga Isengildina. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s240585132300034x.

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2023Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle. (2023). Labeaga, Jose ; Martin-Garcia, Rodrigo ; Galan-Gutierrez, Juan Antonio. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723001216.

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2023Shock transmission between crude oil prices and stock markets. (2023). Esparcia, Carlos ; Jareo, Francisco ; Koczar, Monika W ; Escribano, Ana. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723004658.

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2023A pairs trading strategy based on mixed copulas. (2023). Caldeira, Joo F ; Ziegelmann, Flavio A. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:87:y:2023:i:c:p:16-34.

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2023International portfolio diversification and the home bias puzzle. (2023). Oh, Frederick Dongchuhl ; Lee, Kyounghun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922001933.

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2023The evolvement of momentum effects in China: Evidence from functional data analysis. (2023). Wang, Shixuan ; Teka, Hanen ; Liu, Zhenya. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002197.

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2023Market segmentation and international diversification across country and industry portfolios. (2023). Zaremba, Adam ; Yargi, Seher Goren ; Umutlu, Mehmet. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000806.

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2023Frequency connectedness and cross-quantile dependence among medicare, medicine prices and health-tech equity. (2023). Sohag, Kazi ; Gainetdinova, Anna ; Nappo, Fabio ; Riad, S M. In: Technovation. RePEc:eee:techno:v:120:y:2023:i:c:s016649722200030x.

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2023The Missing Tail Risk in Option Prices. (2023). Sattiraju, Sai ; Matschke, Johannes ; Melek, Nida Akir ; Brown, Jason. In: Research Working Paper. RePEc:fip:fedkrw:96072.

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2023Does Climate Change News Matter?. (2023). Horst, Enrique Ter ; Malagon, Juliana ; Ferrer, Jovelyn. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:18:p:13865-:d:1242384.

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2023Pursuing the Sustainability of Real Estate Market: The Case of Chinese Land Resources Diversification. (2023). Wen, Zhong-Qin ; Chiang, Shu-Hen ; Lee, Cheng-Wen. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:7:p:5850-:d:1109353.

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2023Do investors care about carbon risk? The impact of the Paris agreement on the inflation hedging performance of commodities. (2023). Selmi, Refk. In: Post-Print. RePEc:hal:journl:hal-04133736.

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2023Mismarking in Mutual Funds. (2023). Schuster, Philipp ; Merrick, John J ; Atanasov, Vladimir. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:2:p:1275-1300.

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2023Measuring Dependence in a Set of Asset Returns. (2023). Wang, King ; Madan, Dilip B. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:2:d:10.1007_s10690-022-09378-4.

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2023The arbitrage strategy in the crude oil futures market of shanghai international energy exchange. (2023). Chang, Chun-Ping ; Ma, Chao ; Niu, Jing. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:2:d:10.1007_s10644-022-09468-3.

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2023The predictive ability of technical trading rules: an empirical analysis of developed and emerging equity markets. (2023). Rink, Kevin. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:4:d:10.1007_s11408-023-00433-2.

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2023Consumption with earnings, liquidity, and market based models. (2023). Wroblewski, David ; Snigaroff, Robert. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:2:d:10.1007_s11156-022-01103-6.

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2023The Term Structure of Equity Risk Premia: Levered Noise and New Estimates*. (2023). Simutin, Mikhail ; Fisher, Adlai ; Carlson, Murray ; Boguth, Oliver. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:4:p:1155-1182..

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2023Are return predictors of industrial equity indexes common across regions?. (2023). Umutlu, Mehmet ; Bengitoz, Pelin. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:5:d:10.1057_s41260-023-00313-4.

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2023Event studies in international finance research. (2023). Sy, Oumar ; Mansi, Sattar A ; Guedhami, Omrane ; el Ghoul, Sadok. In: Journal of International Business Studies. RePEc:pal:jintbs:v:54:y:2023:i:2:d:10.1057_s41267-022-00534-6.

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2023Unraveling the relationship between betas and ESG scores through the Random Forests methodology. (2023). del Carmen, Maria ; Martin-Cervantes, Pedro Antonio. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:3:d:10.1057_s41283-023-00121-5.

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2023Growth opportunities and earnings management by cross-listed and U.S. firms. (2023). Song, Xiaoxiao ; Lovata, Linda M ; Jategaonkar, Shrikant P. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:1:d:10.1007_s12197-022-09599-3.

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2023Optimal Pairs Trading Strategies: A Stochastic Mean–Variance Approach. (2023). Gu, Jia-Wen ; Wu, Chufang ; Ching, Wai-Ki ; Yu, Fenghui. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:196:y:2023:i:1:d:10.1007_s10957-022-02131-x.

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2023The profitability of pair trading strategy in stock markets: Evidence from Toronto stock exchange. (2023). Talebi, Hassan ; Haddad, Gholamreza Keshavarz. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:193-207.

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2023From Black Wednesday to Brexit: Macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom. (2023). Gottschalk, Sylvia. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2843-2873.

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2023Less disagreement, better forecasts: Adjusted risk measures in the energy futures market. (2023). Xue, Xiaohan ; Gong, Yujing ; Zhang, Ning. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1332-1372.

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2023Commodity network and predictable returns. (2023). Ye, Yang ; Xu, QI. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1423-1449.

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2023Commodity momentum decomposition. (2023). Sakemoto, Ryuta ; Iwanaga, Yasuhiro. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:198-216.

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2023Probability weighting in commodity futures markets. (2023). Wang, Ying ; Xu, QI ; Yuan, Jun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:4:p:516-548.

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2023A tale of two premiums revisited. (2023). Marechal, Loic. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:5:p:580-614.

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2023Wisdom of crowds and commodity pricing. (2023). de Silva, Sanuri ; Binnewies, Sebastian ; Fan, John Hua. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:8:p:1040-1068.

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2023The geopolitical risk premium in the commodity futures market. (2023). Pan, Zheyao ; Liao, Yin ; Cheng, Daxuan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:8:p:1069-1090.

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2023An empirical investigation on risk factors in cryptocurrency futures. (2023). Ran, Zhenkai ; Hu, Jiangdong ; Hao, Wenyan ; Chi, Yeguang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:8:p:1161-1180.

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2023Contagion between selected European indexes during the Covid-19 pandemic. (2023). Syrek, Robert ; Gurgul, Henryk. In: Operations Research and Decisions. RePEc:wut:journl:v:33:y:2023:i:1:p:47-59:id:4.

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2023Do investors overvalue startups? Evidence from the junior stakes of mutual funds. (2023). Yasuda, Ayako ; Shanker, Harshini ; Hameed, Allaudeen ; Cheng, SI ; Barber, Brad M ; Agarwal, Vikas. In: CFR Working Papers. RePEc:zbw:cfrwps:2304.

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2023Clustering-based sector investing. (2023). Goodarzi, Milad ; Bagnara, Matteo. In: SAFE Working Paper Series. RePEc:zbw:safewp:397.

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K. Geert Rouwenhorst has edited the books:

YearTitleTypeCited

Works by K. Geert Rouwenhorst:

YearTitleTypeCited
2012Commodity Investing In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article27
1990Solving the Stochastic Growth Model by a Discrete-State-Space, Euler-Equation Approach. In: Journal of Business & Economic Statistics.
[Citation analysis]		article13
2014William N. Goetzmann , Catherine Labio , K. Geert Rouwenhorst , and Timothy G. Young , eds., The great mirror of folly: finance, culture, the crash of 1720 ( New Haven : Yale University Press , 2013 . In: Economic History Review.
[Full Text][Citation analysis]		article0
1999The Role of Beta and Size in the Cross?Section of European Stock Returns In: European Financial Management.
[Full Text][Citation analysis]		article47
2008The Role of Beta and Size in the Cross-Section of European Stock Returns.(2008) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 47		paper
1999Local Return Factors and Turnover in Emerging Stock Markets In: Journal of Finance.
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