Niklas F Wagner : Citation Profile

Are you Niklas F Wagner?

Universität Passau

14

H index

20

i10 index

549

Citations

RESEARCH PRODUCTION:

43

Articles

12

Papers

5

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   23 years (2000 - 2023). See details.
   Cites by year: 23
   Journals where Niklas F Wagner has often published
   Relations with other researchers
   Recent citing documents: 63.    Total self citations: 14 (2.49 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwa75
   Updated: 2024-01-16    RAS profile: 2023-11-07    
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Relations with other researchers

Works with:

Batten, Jonathan (4)

Szilagyi, Peter (3)

Wong, Wing-Keung (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Niklas F Wagner.

Is cited by:

Shen, Dehua (8)

Shahbaz, Muhammad (5)

Bollerslev, Tim (5)

Iglesias, Emma (5)

Bouri, Elie (5)

Masih, Abul (5)

Creel, Jerome (4)

Papavassiliou, Vassilios (4)

Miller, Stephen (4)

GUPTA, RANGAN (4)

Voia, Marcel (4)

Cites to:

Bekaert, Geert (27)

Narayan, Paresh (26)

Nguyen, Duc Khuong (18)

GUPTA, RANGAN (17)

Bollerslev, Tim (17)

Harvey, Campbell (15)

Engle, Robert (15)

Jagannathan, Ravi (15)

Campbell, John (14)

Batten, Jonathan (14)

French, Kenneth (14)

Main data

Where Niklas F Wagner has published?

Journals with more than one article published# docs
Finance Research Letters6
International Review of Financial Analysis4
Energy Economics4
Emerging Markets Review3
Journal of Banking & Finance2
Journal of Empirical Finance2
Research in International Business and Finance2
Journal of Risk Finance2
Journal of International Financial Markets, Institutions and Money2

Working Papers Series with more than one paper published# docs
Post-Print / HAL3
Econometrics / University Library of Munich, Germany3
CEFS Working Paper Series / Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS)2
Research Program in Finance Working Papers / University of California at Berkeley2

Recent works citing Niklas F Wagner (2024 and 2023)

YearTitle of citing document
2023An enquiry into extreme price movements of the cryptocurrencies in the backdrop of COVID-19. (2023). Kumar, Anoop S ; Rao, Balaga Mohana ; Anandarao, Suvvari. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(635):y:2023:i:2(635):p:231-238.

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2023Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets. (2023). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2303.11030.

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2023Modelling Determinants of Cryptocurrency Prices: A Bayesian Network Approach. (2023). Ee, Mong Shan ; Thiruvady, Dhananjay ; Nazari, Asef ; Amirzadeh, Rasoul. In: Papers. RePEc:arx:papers:2303.16148.

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2023Copula-Based Modelling of Relationship Between Dollar/Rouble Exchange Rate and Oil Prices. (2023). Polbin, Andrey ; Kulikov, Alexander ; Bedin, Andrey. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:82:y:2023:i:3:p:87-109.

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2023The Impact of Covid-19 on Oil Market Returns: Has Market Efficiency Being Violated?. (2023). Phiri, Andrew ; Anyikwa, Izunna ; Moyo, Clement. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-01-16.

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2023A systematic literature review of investor behavior in the cryptocurrency markets. (2023). Gonçalves, Tiago ; Gonalves, Tiago Cruz ; Almeida, Jose. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001071.

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2023Impacts of trading restrictions on price volatilities and speculative activities: Evidence from CSI 300 futures. (2023). Zhang, QI ; Chang, Chiu-Lan ; Fang, Ming. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:184-204.

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2023Comovement and spillover among energy markets: A Comparison across different crisis periods. (2023). Zeitun, Rami ; Vo, Xuan Vinh ; Ghardallou, Wafa ; Nautiyal, Neeraj ; Ur, Mobeen. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:277-302.

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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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2023Testing factor models when asset bubbles occur: A time-varying perspective. (2023). Li, Yanglin ; Yu, LU. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001232.

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2023Do geographical appellations provide useful quality signals? The case of Scotch single malt whiskies. (2023). Moroz, David ; Pecchioli, Bruno. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001438.

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2023Searching hedging instruments against diverse global risks and uncertainties. (2023). Rafia, Humaira Tahsin ; Gider, Zeynullah ; Hassan, Kabir M ; Hasan, Md Bokhtiar ; Rashid, Mamunur. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000165.

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2023Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications. (2023). Wang, Bin ; Kim, Jihyun ; Bu, Ruijun. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1934-1954.

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2023A global monetary policy factor in sovereign bond yields. (2023). Migiakis, Petros ; Malliaropulos, Dimitris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:445-465.

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2023The nexus between oil and airline stock returns: Does time frequency matter?. (2023). Brooks, Robert ; Do, Hung Xuan ; Pham, Son D ; Asadi, Mehrad. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005734.

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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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2023Natural gas and the utility sector nexus in the U.S.: Quantile connectedness and portfolio implications. (2023). Do, Hung ; Thanh, Thao Thac ; Pham, Son Duy. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001305.

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2023Uncovering risk transmission between socially responsible investments, alternative energy investments and the implied volatility of major commodities. (2023). Aun, Syed ; Islam, Muhammad Umar ; Ali, Mohsin ; Azmi, Wajahat ; Shahid, Muhammad Naeem. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001329.

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2023Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2023). Virbickait, Audron ; Nguyen, Hoang. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002360.

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2023Insights of energy and its trade networking impacts on sustainable economic development. (2023). Maqbool, Rashid ; Tang, Yong ; Ashfaq, Saleha. In: Energy. RePEc:eee:energy:v:265:y:2023:i:c:s0360544222032054.

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2023The impact of oil price shocks on energy stocks from the perspective of investor attention. (2023). Hongyu, Wei ; Yiran, Zhao ; Xiaotian, Sun ; Anjian, Wang ; Jinsheng, Zhou ; Xiangyun, Gao ; Jingjian, SI. In: Energy. RePEc:eee:energy:v:278:y:2023:i:pb:s0360544223013816.

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2023From dusk till dawn (and vice versa): Overnight-versus-daytime reversals and feedback trading. (2023). Karaa, Rabaa ; Kallinterakis, Vasileios. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922003933.

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2023The European Central Bank and green finance: How would the green quantitative easing affect the investors behavior during times of crisis?. (2023). Vigne, Samuel ; Guesmi, Khaled ; Benkraiem, Ramzi ; Aloui, Donia. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004148.

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2023State transformation of information spillover in asset markets and effective dynamic hedging strategies. (2023). Tsai, I-Chun ; Lin, Che-Chun ; Wang, Yu-Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002880.

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2023Does the realized distribution-based measure dominate particular moments? Evidence from cryptocurrency markets. (2023). Yen, Kuang-Chieh ; Chiu, Shih-Yung ; Yang, Jen-Wei. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005736.

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2023Safe havens for Bitcoin. (2023). Krištoufek, Ladislav ; Nedved, Martin. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006134.

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2023The effects of personality and IQ on portfolio outcomes. (2023). Leake, David ; Antoniou, Constantinos ; Stewart, Neil ; Firth, Chris. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006407.

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2023Where prices are not lazy: Evidence from REITs and the financial sector. (2023). Wagner, Dominik ; Kolmeder, Severin ; Fromel, Pascal. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007772.

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2023Fresh evidence on the oil-stock interactions under heterogeneous market conditions. (2023). Garg, Bhavesh ; Chowdhury, Kushal Banik. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001009.

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2023Dynamic co-movement in major commodity markets during crisis periods: A wavelet local multiple correlation analysis. (2023). Todorova, Neda ; Nekhili, Ramzi ; Bouri, Elie. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003689.

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2023Time-varying market efficiency of safe-haven assets. (2023). Leirvik, Thomas ; Okoroafor, Ugochi C. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323003963.

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2023Did the collapse of Silicon Valley Bank catalyze financial contagion?. (2023). Goodell, John W ; Boubaker, Sabri ; Akhtaruzzaman, MD. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004543.

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2023The effect of asymmetric information disappears: Evidence in share repurchases and market efficiency. (2023). Wang, Chih-Wei ; Park, Bokyung ; Lee, Chien-Chiang. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004634.

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2023Do NFTs act as a good hedge and safe haven against Cryptocurrency fluctuations?. (2023). S Kumar, Anoop ; Padakandla, Steven Raj. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005032.

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2023Forecasting Bitcoin with technical analysis: A not-so-random forest?. (2023). Djakovic, Vladimir ; Adcock, Robert ; Kukolj, Dragan ; Gradojevic, Nikola. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:1-17.

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2023Macroeconomic influences on M&A deal outcomes: An analysis of domestic and cross-border M&As in developed and emerging economies. (2023). Bhattacharya, Mousumi ; Sengupta, Keya ; Kumar, Deepak. In: Journal of Business Research. RePEc:eee:jbrese:v:161:y:2023:i:c:s0148296323001893.

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2023Diversification, hedge, and safe-haven properties of gold and bitcoin with portfolio implications during the Russia–Ukraine war. (2023). Ustaoglu, Erkan. In: Resources Policy. RePEc:eee:jrpoli:v:84:y:2023:i:c:s0301420723005020.

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2023Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets. (2023). Sosvilla-Rivero, Simon ; Pieterse-Bloem, Mary ; Gomez-Puig, Marta. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:68:y:2023:i:c:s1042444x23000191.

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2023The extreme return connectedness between Sukuk and green bonds and their determinants and consequences for investors. (2023). Ben Amar, Amine ; Balli, Faruk ; Billah, Mabruk. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x23000021.

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2023Stock markets and economic uncertainty: Roles of legislative sessions and coalition strength. (2023). Sensarma, Rudra ; Kakani, Ram Kumar ; Chakraborty, Sandip ; Ghalke, Avinash. In: European Journal of Political Economy. RePEc:eee:poleco:v:78:y:2023:i:c:s0176268022001562.

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2023Dynamic integration and transmission channels among interest rates and oil price shocks. (2023). Dagher, Leila ; Abid, Ilyes ; Guesmi, Khaled ; Urom, Christian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:87:y:2023:i:c:p:296-317.

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2023The impact of share repurchases on equity finance and performance. (2023). Liu, Chi-Chun ; Chen, Ni-Yun. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:198-212.

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2023Dependency of Islamic bank rates on conventional rates in a dual banking system: A trade-off between religious and economic fundamentals. (2023). Hassan, M. Kabir ; Saeed, Shifa Mohamed ; Rashid, Mamunur ; Abdeljawad, Islam. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:1003-1021.

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2023Impact of fiscal stimulus on volatility: A cross-country analysis. (2023). Erath, Marc ; Venkateswaran, Anand ; Gu, Tiantian. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000818.

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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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2023Hedging Strategies in Carbon Emission Price Dynamics: Implications for Shipping Markets. (2023). SYRIOPOULOS, THEODOROS ; Tsatsaronis, Michael ; Roumpis, Efthymios. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:17:p:6396-:d:1232518.

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2023Unveiling Market Connectedness: Dynamic Returns Spillovers in Asian Emerging Stock Markets. (2023). Mumtaz, Roohi ; Mughal, Khurrum Shahzad ; Kayani, Umar Nawaz ; Khan, Mrestyal. In: IJFS. RePEc:gam:jijfss:v:11:y:2023:i:3:p:112-:d:1238452.

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2023.

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2023Is Cross-Hedging Effective for Mitigating Equity Investment Risks in the Indian Banking Sector?. (2023). Jose, Nithin. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:1:d:10.1007_s10690-022-09383-7.

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2023Risk Connectedness Between Green and Conventional Assets with Portfolio Implications. (2023). Tiwari, Aviral Kumar ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10296-w.

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2023Fundamentals, real-time uncertainty and CDS index spreads. (2023). Wang, XU ; Audzeyeva, Alena. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01127-6.

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2023The impact of venture capital on Chinese SMEs’ sustainable development: a focus on early-stage and professional characteristics. (2023). Zhang, Yonglin ; Jiang, Heng ; Liu, Lili. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-01893-7.

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2023Empirical Literature on Economic Growth, 1991–2020: Uncovering Extant Gaps and Avenues for Future Research. (2023). , Aurora ; Dor, Natalia I. In: Global Journal of Emerging Market Economies. RePEc:sae:emeeco:v:15:y:2023:i:1:p:7-37.

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2023Evaluating the Safe-Haven Abilities of Bitcoin and Gold for Crude Oil Market: Evidence During the COVID-19 Pandemic. (2023). Liu, Yuntong ; Zhang, Yifeng ; Wei, YU ; Wang, Qian. In: Evaluation Review. RePEc:sae:evarev:v:47:y:2023:i:3:p:391-432.

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2023Hedging strategies among financial markets: the case of green and brown assets. (2023). Asl, Mahdi Ghaemi ; Yusuf, Agboola H ; Akinkugbe, Oluyele ; Raheem, Ibrahim D. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-023-02358-1.

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2023Policy uncertainty and corporate investment: public versus private firms. (2023). Schulz, Oliver ; Dreyer, Christian. In: Review of Managerial Science. RePEc:spr:rvmgts:v:17:y:2023:i:5:d:10.1007_s11846-022-00603-y.

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2023Forecasting the Volatility of Real Residential Property Prices in Malaysia: A Comparison of Garch Models. (2023). Abdullah, Husin ; Lawal, Kane Ibrahim ; Lazim, Abdullah Mohd ; Hanita, Daud ; Mahmod, Othman ; Abubakar, Suleiman Ahmad. In: Real Estate Management and Valuation. RePEc:vrs:remava:v:31:y:2023:i:3:p:20-31:n:2.

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2023Oil and US stock market shocks: Implications for Canadian equities. (2023). Mahadeo, Scott ; Heinlein, Reinhold. In: Canadian Journal of Economics/Revue canadienne d'économique. RePEc:wly:canjec:v:56:y:2023:i:1:p:247-287.

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2023Controlling shareholders influence on acquisition decisions and value creation: An empirical study from China. (2023). Yin, Yuming ; Opokumensah, Evans. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1965-1980.

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2023Are lower interest rates really associated with higher growth? New empirical evidence on the interest rate thesis from 19 countries. (2023). Werner, Richard A ; Lee, Kangsoek. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3960-3975.

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2023.

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Niklas F Wagner has edited the books:

YearTitleTypeCited

Works by Niklas F Wagner:

YearTitleTypeCited
2022Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity In: Abacus.
[Full Text][Citation analysis]		article6
2005Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds In: Economic Notes.
[Full Text][Citation analysis]		article3
2021Collectors: Personality between consumption and investment In: Journal of Behavioral and Experimental Finance.
[Full Text][Citation analysis]		article1
2021Time for gift giving: Abnormal share repurchase returns and uncertainty In: Journal of Corporate Finance.
[Full Text][Citation analysis]		article7
2020Pricing equity-bond covariance risk: Between flight-to-quality and fear-of-missing-out In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article1
2015Liquidity and conditional market returns: Evidence from German exchange traded funds In: Economic Modelling.
[Full Text][Citation analysis]		article4
2013Credit cycle dependent spread determinants in emerging sovereign debt markets In: Emerging Markets Review.
[Full Text][Citation analysis]		article13
2017Domestic mergers and acquisitions in BRICS countries: Acquirers and targets In: Emerging Markets Review.
[Full Text][Citation analysis]		article10
2020Linear and nonlinear growth determinants: The case of Mongolia and its connection to China In: Emerging Markets Review.
[Full Text][Citation analysis]		article4
2020Linear and Nonlinear Growth Determinants: The Case of Mongolia and its Connection to China.(2020) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2005Measuring tail thickness under GARCH and an application to extreme exchange rate changes In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article20
2004Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes.(2004) In: Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2013A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article7
2017Can stock market investors hedge energy risk? Evidence from Asia In: Energy Economics.
[Full Text][Citation analysis]		article35
2019Liquidity, surprise volume and return premia in the oil market In: Energy Economics.
[Full Text][Citation analysis]		article11
2019Time-varying energy and stock market integration in Asia In: Energy Economics.
[Full Text][Citation analysis]		article22
2021Hedging stocks with oil In: Energy Economics.
[Full Text][Citation analysis]		article40
2018Addressing COP21 using a stock and oil market integration index In: Energy Policy.
[Full Text][Citation analysis]		article14
2005Autoregressive conditional tail behavior and results on Government bond yield spreads In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article6
2010Government intervention in response to the subprime financial crisis: The good into the pot, the bad into the crop In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article24
2012Explaining aggregate credit default swap spreads In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article16
2012Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article10
2016Openness endangers your wealth: Noise trading and the big five In: Finance Research Letters.
[Full Text][Citation analysis]		article4
2016The betting against beta anomaly: Fact or fiction? In: Finance Research Letters.
[Full Text][Citation analysis]		article2
2017Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods? In: Finance Research Letters.
[Full Text][Citation analysis]		article5
2017How do bond, equity and commodity cycles interact? In: Finance Research Letters.
[Full Text][Citation analysis]		article11
2019Cryptocurrencies as financial bubbles: The case of Bitcoin In: Finance Research Letters.
[Full Text][Citation analysis]		article48
2020Rich men’s hobby or question of personality: Who considers collectibles as alternative investment? In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2015Is risk higher during non-trading periods? The risk trade-off for intraday versus overnight market returns In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article7
2019Are venture capital and buyout backed IPOs any different? In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article2
2006Nonlinear term structure dependence: Copula functions, empirics, and risk implications In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article46
2004Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications.(2004) In: Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 46		paper
2017Rewarding risk-taking or skill? The case of private equity fund managers In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article3
2023Volatility impacts on global banks: Insights from the GFC, COVID-19, and the Russia-Ukraine war In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article0
2014Multifractality and value-at-risk forecasting of exchange rates In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article18
2017Quantitative easing and the pricing of EMU sovereign debt In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article22
2004Time-varying moments, idiosyncratic risk, and an application to hot-issue IPO aftermarket returns In: Research in International Business and Finance.
[Full Text][Citation analysis]		article4
2004Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany In: Research in International Business and Finance.
[Full Text][Citation analysis]		article24
2012Derivatives Securities Pricing and Modelling In: Contemporary Studies in Economic and Financial Analysis.
[Full Text][Citation analysis]		chapter0
2012An Option-Pricing Framework for the Valuation of Fund Management Compensation In: Contemporary Studies in Economic and Financial Analysis.
[Full Text][Citation analysis]		chapter0
2014Multiple-period market risk prediction under long memory: when VaR is higher than expected In: Journal of Risk Finance.
[Full Text][Citation analysis]		article1
2014Multiple-period market risk prediction under long memory: when VaR is higher than expected In: Journal of Risk Finance.
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2015Extreme asymmetric volatility: Stress and aggregate asset prices In: Post-Print.
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2008Systematic credit risk: CDX index correlation and extreme dependence In: Post-Print.
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2009Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices In: Post-Print.
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2020The Low-Volatility Anomaly Revisited In: Credit and Capital Markets.
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2023What is an Optimal Allocation in Hong Kong Stock, Real Estate, and Money Markets: An Individual Asset, Efficient Frontier Portfolios, or a Naïve Portfolio? Is This a New Financial Anomaly? In: Emerging Markets Finance and Trade.
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2002On a model of portfolio selection with benchmark In: Journal of Asset Management.
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2020On the pricing of overnight market risk In: Empirical Economics.
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2011VaR Prediction under Long Memory in Volatility In: Operations Research Proceedings.
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2005Managing Investment Risks of Institutional Private Equity Investors — The Challenge of Illiquidity In: Springer Books.
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2004Tail index estimation in small smaples Simulation results for independent and ARCH-type financial return models In: Statistical Papers.
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2005Surprise volume and heteroskedasticity in equity market returns In: Quantitative Finance.
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2004Surprise Volume and Heteroskedasticity in Equity Market Returns.(2004) In: Econometrics.
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This paper has nother version. Agregated cites: 30		paper
2004Surprise volume and heteroskedasticity in equity market returns.(2004) In: CEFS Working Paper Series.
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This paper has nother version. Agregated cites: 30		paper
2000Return-Volume Dependence and Extremes in International Equity Markets. In: Research Program in Finance Working Papers.
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2004Return-Volume Dependence and Extremes in International Equity Markets.(2004) In: Finance.
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This paper has nother version. Agregated cites: 22		paper
2000On Adaptive Tail Index Estimation for Financial Return Models. In: Research Program in Finance Working Papers.
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2022Oil and Stock Market Returns: Direction, Volatility or Liquidity? In: World Scientific Book Chapters.
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2006Stochastic modeling of private equity: an equilibrium based approach to fund valuation In: CEFS Working Paper Series.
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