0.85
Impact Factor
1.26
5-Years IF
50
5-Years H index
Journal of Empirical Finance / Elsevier
[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [
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Main indicators
Raw data
| IF | AIF | IF5 | DOC | CDO | CCU | CIF | CIT | D2Y | C2Y | D5Y | C5Y | %SC | CiY | II | AII | |
| 1990 | 0.1 | 0 | 1 | 0 | 0 | (%) | 0.04 | |||||||||
| 1991 | 0.09 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1992 | 0.1 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1993 | 0.11 | 6 | 6 | 2 | 0.33 | 1142 | 0 | 0 | 38 (3.3%) | 0.05 | ||||||
| 1994 |  0.5 | 0.12 | 0.5 | 10 | 16 | 7 | 0.44 | 276 | 6 | 3 | 6 | 3 | 12 (4.3%) | 2 | 0.2 | 0.05 |
| 1995 | 0.56 | 0.19 | 0.56 | 14 | 30 | 14 | 0.47 | 215 | 16 | 9 | 16 | 9 | 9 (4.2%) | 3 | 0.21 | 0.07 |
| 1996 | 0.83 | 0.22 | 1.27 | 18 | 48 | 54 | 1.13 | 944 | 24 | 20 | 30 | 38 | 19 (2%) | 5 | 0.28 | 0.09 |
| 1997 | 0.47 | 0.27 | 0.75 | 13 | 61 | 43 | 0.7 | 850 | 32 | 15 | 48 | 36 | 31 (3.6%) | 4 | 0.31 | 0.09 |
| 1998 | 1.1 | 0.27 | 0.93 | 17 | 78 | 66 | 0.85 | 505 | 31 | 34 | 61 | 57 | 11 (2.2%) | 1 | 0.06 | 0.1 |
| 1999 | 1.13 | 0.31 | 1.15 | 23 | 101 | 139 | 1.38 | 506 | 30 | 34 | 72 | 83 | 17 (3.4%) | 6 | 0.26 | 0.13 |
| 2000 | 0.8 | 0.4 | 1.28 | 19 | 120 | 177 | 1.48 | 604 | 40 | 32 | 85 | 109 | 23 (3.8%) | 3 | 0.16 | 0.15 |
| 2001 | 1.1 | 0.4 | 1.69 | 25 | 145 | 247 | 1.7 | 420 | 42 | 46 | 90 | 152 | 19 (4.5%) | 8 | 0.32 | 0.15 |
| 2002 | 0.7 | 0.42 | 1.13 | 26 | 171 | 250 | 1.46 | 482 | 44 | 31 | 97 | 110 | 16 (3.3%) | 8 | 0.31 | 0.18 |
| 2003 | 0.86 | 0.44 | 1.3 | 26 | 197 | 393 | 1.99 | 1159 | 51 | 44 | 110 | 143 | 37 (3.2%) | 24 | 0.92 | 0.18 |
| 2004 | 1.58 | 0.49 | 1.51 | 32 | 229 | 458 | 2 | 837 | 52 | 82 | 119 | 180 | 42 (5%) | 12 | 0.38 | 0.2 |
| 2005 | 1.62 | 0.53 | 1.35 | 30 | 259 | 476 | 1.84 | 632 | 58 | 94 | 128 | 173 | 23 (3.6%) | 12 | 0.4 | 0.21 |
| 2006 | 1.39 | 0.51 | 1.81 | 24 | 283 | 647 | 2.29 | 534 | 62 | 86 | 139 | 251 | 25 (4.7%) | 19 | 0.79 | 0.2 |
| 2007 | 1.13 | 0.44 | 1.61 | 35 | 318 | 600 | 1.89 | 653 | 54 | 61 | 138 | 222 | 16 (2.5%) | 16 | 0.46 | 0.18 |
| 2008 | 1.54 | 0.47 | 1.76 | 49 | 367 | 662 | 1.8 | 664 | 59 | 91 | 147 | 258 | 32 (4.8%) | 13 | 0.27 | 0.2 |
| 2009 | 1.38 | 0.47 | 1.42 | 60 | 427 | 709 | 1.66 | 714 | 84 | 116 | 170 | 241 | 28 (3.9%) | 15 | 0.25 | 0.19 |
| 2010 | 1.09 | 0.44 | 1.35 | 62 | 489 | 755 | 1.54 | 488 | 109 | 119 | 198 | 267 | 26 (5.3%) | 8 | 0.13 | 0.16 |
| 2011 | 0.78 | 0.51 | 1.12 | 62 | 551 | 855 | 1.55 | 445 | 122 | 95 | 230 | 258 | 25 (5.6%) | 17 | 0.27 | 0.2 |
| 2012 | 0.93 | 0.56 | 1.38 | 50 | 601 | 1061 | 1.77 | 230 | 124 | 115 | 268 | 371 | 11 (4.8%) | 12 | 0.24 | 0.21 |
| 2013 | 1.13 | 0.66 | 1.45 | 50 | 651 | 1284 | 1.97 | 123 | 112 | 126 | 283 | 410 | (%) | 5 | 0.1 | 0.23 |
| 2014 | 0.8 | 0.67 | 1.35 | 67 | 718 | 1412 | 1.97 | 145 | 100 | 80 | 284 | 384 | 13 (9%) | 12 | 0.18 | 0.22 |
| 2015 | 0.85 | 0.82 | 1.26 | 64 | 782 | 1391 | 1.78 | 73 | 117 | 100 | 291 | 368 | 5 (6.8%) | 16 | 0.25 | 0.27 |
| IF: | Impact Factor: C2Y / D2Y |
| AIF: | Average Impact Factor for series in RePEc in year y |
| IF5: | Impact Factor: C5Y / D5Y |
| DOC: | Number of documents published in year y |
| CDO: | Cumulative number of documents published until year y |
| CCU: | Cumulative number of citations to papers published until year y |
| CIF: | Cumulative impact factor |
| CIT: | Number of citations to papers published in year y |
| D2Y: | Number of articles published in y-1 plus y-2 |
| C2Y: | Cites in y to articles published in y-1 plus y-2 |
| D5Y: | Number of articles published in y-1 until y-5 |
| C5Y: | Cites in y to articles published in y-1 until y-5 |
| %SC: | Percentage of selft citations in y to articles published in y-1 plus y-2 |
| CiY: | Cites in year y to documents published in year y |
| II: | Immediacy Index: CiY / Documents. |
| AII: | Average Immediacy Index for series in RePEc in year y |
50 most cited documents in this series:
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 1993 | A long memory property of stock market returns and a new model. (1993). Granger, Clive ; Engle, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106. Full description at Econpapers || Download paper | 901 |
| 2 | 1996 | The forward discount anomaly and the risk premium: A survey of recent evidence. (1996). Engel, Charles. In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:2:p:123-192. Full description at Econpapers || Download paper | 503 |
| 3 | 1997 | Intraday periodicity and volatility persistence in financial markets. (1997). Bollerslev, Tim ; Andersen, Torben. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:115-158. Full description at Econpapers || Download paper | 364 |
| 4 | 2000 | Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach. (2000). McNeil, Alexander J. ; Frey, Rudiger . In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:271-300. Full description at Econpapers || Download paper | 250 |
| 5 | 1996 | The econometrics of financial markets. (1996). pagan, adrian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102. Full description at Econpapers || Download paper | 249 |
| 6 | 2007 | Measuring financial contagion: A Copula approach. (2007). RodrÃÂguez, Juan ; Rodriguez, Juan Carlos . In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:3:p:401-423. Full description at Econpapers || Download paper | 198 |
| 7 | 2003 | Emerging markets finance. (2003). Harvey, Campbell ; Bekaert, Geert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:3-56. Full description at Econpapers || Download paper | 198 |
| 8 | 2003 | Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. (2003). Wolf, Michael ; Ledoit, Olivier. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:5:p:603-621. Full description at Econpapers || Download paper | 194 |
| 9 | 1998 | Volatility and cross correlation across major stock markets. (1998). Ramchand, Latha ; Susmel, Raul . In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:4:p:397-416. Full description at Econpapers || Download paper | 184 |
| 10 | 2004 | Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. (2004). Granger, Clive ; Hyung, Namwon . In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:3:p:399-421. Full description at Econpapers || Download paper | 173 |
| 11 | 2004 | Investor sentiment and the near-term stock market. (2004). Brown, Gregory W. ; CLIFF, MICHAEL T.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:1:p:1-27. Full description at Econpapers || Download paper | 148 |
| 12 | 1997 | Volatilities of different time resolutions -- Analyzing the dynamics of market components. (1997). von Weizsäcker, Jakob ; Olsen, Richard ; Dacorogna, Michel ; von Weizsacker, Jacob E. ; Muller, Ulrich A. ; Dave, Rakhal D. ; Pictet, Olivier V.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:213-239. Full description at Econpapers || Download paper | 142 |
| 13 | 1993 | Common stock offerings across the business cycle : Theory and evidence. (1993). nanda, vikram ; masulis, ronald ; Choe, Hyuk . In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:3-31. Full description at Econpapers || Download paper | 137 |
| 14 | 2003 | A simple measure of the intensity of capital controls. (2003). Warnock, Francis ; Edison, Hali. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:81-103. Full description at Econpapers || Download paper | 130 |
| 15 | 2004 | Modelling daily Value-at-Risk using realized volatility and ARCH type models. (2004). Laurent, Sébastien ; Giot, Pierre. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:3:p:379-398. Full description at Econpapers || Download paper | 129 |
| 16 | 2003 | Univariate and multivariate stochastic volatility models: estimation and diagnostics. (2003). Richard, Jean-Francois ; Liesenfeld, Roman . In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:4:p:505-531. Full description at Econpapers || Download paper | 122 |
| 17 | 2009 | International comovement of stock market returns: A wavelet analysis. (2009). Rua, António ; Nunes, Luis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:4:p:632-639. Full description at Econpapers || Download paper | 119 |
| 18 | 1994 | Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets. (1994). Phillips, Peter ; Loretan, Mico. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1994:i:2:p:211-248. Full description at Econpapers || Download paper | 104 |
| 19 | 2005 | Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements. (2005). Koopman, Siem Jan ; Jungbacker, Borus ; Hol, Eugenie . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:445-475. Full description at Econpapers || Download paper | 103 |
| 20 | 2005 | Testing for contagion: a conditional correlation analysis. (2005). Spagnolo, Nicola ; cipollini, andrea ; Caporale, Guglielmo Maria. In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:476-489. Full description at Econpapers || Download paper | 100 |
| 21 | 2002 | Market timing and return prediction under model instability. (2002). Timmermann, Allan ; Pesaran, M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:9:y:2002:i:5:p:495-510. Full description at Econpapers || Download paper | 96 |
| 22 | 1997 | The incremental volatility information in one million foreign exchange quotations. (1997). xu, xinzhong ; Taylor, Stephen J.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:4:p:317-340. Full description at Econpapers || Download paper | 91 |
| 23 | 1997 | High frequency data in financial markets: Issues and applications. (1997). Goodhart, Charles A. E., ; O'Hara, Maureen . In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:73-114. Full description at Econpapers || Download paper | 88 |
| 24 | 2008 | Robust performance hypothesis testing with the Sharpe ratio. (2008). Wolf, Michael ; Ledoit, Olivier. In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:5:p:850-859. Full description at Econpapers || Download paper | 85 |
| 25 | 2006 | Instability of return prediction models. (2006). Timmermann, Allan ; Paye, Bradley S.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:3:p:274-315. Full description at Econpapers || Download paper | 84 |
| 26 | 2003 | Predicting emerging market currency crashes. (2003). Perraudin, William ; Kumar, Mohan ; Moorthy, Uma. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:4:p:427-454. Full description at Econpapers || Download paper | 84 |
| 27 | 2001 | The specification of conditional expectations. (2001). Harvey, Campbell. In: Journal of Empirical Finance. RePEc:eee:empfin:v:8:y:2001:i:5:p:573-637. Full description at Econpapers || Download paper | 82 |
| 28 | 1999 | Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon. (1999). Bollerslev, Tim ; Andersen, Torben ; Lange, Steve. In: Journal of Empirical Finance. RePEc:eee:empfin:v:6:y:1999:i:5:p:457-477. Full description at Econpapers || Download paper | 82 |
| 29 | 2007 | Firm-level implications of early stage venture capital investment -- An empirical investigation. (2007). Keilbach, Max ; Engel, Dirk. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:2:p:150-167. Full description at Econpapers || Download paper | 78 |
| 30 | 1997 | Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model. (1997). Engle, Robert ; Russell, Jeffrey R.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:187-212. Full description at Econpapers || Download paper | 76 |
| 31 | 2000 | Sensitivity analysis of Values at Risk. (2000). Scaillet, Olivier ; gourieroux, christian ; Laurent, J. P.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:225-245. Full description at Econpapers || Download paper | 75 |
| 32 | 1999 | A primer on hedge funds. (1999). Hsieh, David A. ; Fung, William . In: Journal of Empirical Finance. RePEc:eee:empfin:v:6:y:1999:i:3:p:309-331. Full description at Econpapers || Download paper | 73 |
| 33 | 1999 | Economic determinants of evolution in international stock market integration. (1999). Docking, Diane Scott ; Koch, Paul D. ; Bracker, Kevin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:6:y:1999:i:1:p:1-27. Full description at Econpapers || Download paper | 69 |
| 34 | 2009 | Investor sentiment and stock returns: Some international evidence. (2009). Schmeling, Maik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:3:p:394-408. Full description at Econpapers || Download paper | 68 |
| 35 | 1998 | International evidence on the stock market and aggregate economic activity. (1998). Cheung, Yin-Wong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:3:p:281-296. Full description at Econpapers || Download paper | 66 |
| 36 | 2004 | Market stress and herding. (2004). Salmon, Mark ; Hwang, Soosung. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:4:p:585-616. Full description at Econpapers || Download paper | 66 |
| 37 | 1997 | Public information releases, private information arrival and volatility in the foreign exchange market. (1997). Shrieves, Ronald ; Degennaro, Ramon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:4:p:295-315. Full description at Econpapers || Download paper | 65 |
| 38 | 1994 | Alternative constructions of Tobins q: An empirical comparison. (1994). Wiles, Kenneth W. ; Perfect, Steven B.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1994:i:3-4:p:313-341. Full description at Econpapers || Download paper | 62 |
| 39 | 1998 | Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1. (1998). Startz, Richard ; Nelson, Charles ; Kim, Chang-Jin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:2:p:131-154. Full description at Econpapers || Download paper | 59 |
| 40 | CAPM over the long run: 1926-2001. (2007). Ang, Andrew ; Chen, Joseph. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:1:p:1-40. Full description at Econpapers || Download paper | 56 | |
| 41 | 2005 | Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects. (2005). Melvin, Michael ; Grammig, Joachim ; Schlag, Christian . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:1:p:139-164. Full description at Econpapers || Download paper | 55 |
| 42 | 2009 | Understanding the relationship between founder-CEOs and firm performance. (2009). Adams, Renee ; Almeida, Heitor ; Ferreira, Daniel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:1:p:136-150. Full description at Econpapers || Download paper | 54 |
| 43 | 2006 | In-sample vs. out-of-sample tests of stock return predictability in the context of data mining. (2006). Wohar, Mark ; Rapach, David E.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:2:p:231-247. Full description at Econpapers || Download paper | 54 |
| 44 | 2001 | Testing and comparing Value-at-Risk measures. (2001). Inoue, Atsushi ; Christoffersen, Peter ; Hahn, Jinyong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:8:y:2001:i:3:p:325-342. Full description at Econpapers || Download paper | 53 |
| 45 | 2003 | Diversification benefits of emerging markets subject to portfolio constraints. (2003). Wang, Zhenyu ; Sarkar, Asani ; Li, Kai. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:57-80. Full description at Econpapers || Download paper | 52 |
| 46 | 2004 | The rise in comovement across national stock markets: market integration or IT bubble?. (2004). Del Negro, Marco ; Brooks, Robin . In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:5:p:659-680. Full description at Econpapers || Download paper | 52 |
| 47 | 2001 | Testing for mean-variance spanning: a survey. (2001). Nijman, Theo ; de Roon, Frans A.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:8:y:2001:i:2:p:111-155. Full description at Econpapers || Download paper | 51 |
| 48 | 2002 | Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?. (2002). Melvin, Michael ; Covrig, Vicentiu . In: Journal of Empirical Finance. RePEc:eee:empfin:v:9:y:2002:i:3:p:271-285. Full description at Econpapers || Download paper | 51 |
| 49 | 1997 | The analysis of foreign exchange data using waveform dictionaries. (1997). Ramsey, James B. ; Zhang, Zhifeng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:4:p:341-372. Full description at Econpapers || Download paper | 50 |
| 50 | 2008 | Does risk aversion drive financial crises? Testing the predictive power of empirical indicators. (2008). Gex, Mathieu ; Coudert, Virginie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:2:p:167-184. Full description at Econpapers || Download paper | 50 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 1993 | A long memory property of stock market returns and a new model. (1993). Granger, Clive ; Engle, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106. Full description at Econpapers || Download paper | 216 |
| 2 | 2003 | Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. (2003). Wolf, Michael ; Ledoit, Olivier. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:5:p:603-621. Full description at Econpapers || Download paper | 86 |
| 3 | 2007 | Measuring financial contagion: A Copula approach. (2007). RodrÃÂguez, Juan ; Rodriguez, Juan Carlos . In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:3:p:401-423. Full description at Econpapers || Download paper | 86 |
| 4 | 2004 | Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. (2004). Granger, Clive ; Hyung, Namwon . In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:3:p:399-421. Full description at Econpapers || Download paper | 84 |
| 5 | 2009 | International comovement of stock market returns: A wavelet analysis. (2009). Rua, António ; Nunes, Luis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:4:p:632-639. Full description at Econpapers || Download paper | 83 |
| 6 | 2004 | Investor sentiment and the near-term stock market. (2004). Brown, Gregory W. ; CLIFF, MICHAEL T.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:1:p:1-27. Full description at Econpapers || Download paper | 76 |
| 7 | 1997 | Intraday periodicity and volatility persistence in financial markets. (1997). Bollerslev, Tim ; Andersen, Torben. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:115-158. Full description at Econpapers || Download paper | 69 |
| 8 | 1996 | The forward discount anomaly and the risk premium: A survey of recent evidence. (1996). Engel, Charles. In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:2:p:123-192. Full description at Econpapers || Download paper | 65 |
| 9 | 2000 | Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach. (2000). McNeil, Alexander J. ; Frey, Rudiger . In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:271-300. Full description at Econpapers || Download paper | 65 |
| 10 | 2005 | Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements. (2005). Koopman, Siem Jan ; Jungbacker, Borus ; Hol, Eugenie . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:445-475. Full description at Econpapers || Download paper | 51 |
| 11 | 2008 | Robust performance hypothesis testing with the Sharpe ratio. (2008). Wolf, Michael ; Ledoit, Olivier. In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:5:p:850-859. Full description at Econpapers || Download paper | 49 |
| 12 | 1997 | Volatilities of different time resolutions -- Analyzing the dynamics of market components. (1997). von Weizsäcker, Jakob ; Olsen, Richard ; Dacorogna, Michel ; von Weizsacker, Jacob E. ; Muller, Ulrich A. ; Dave, Rakhal D. ; Pictet, Olivier V.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:213-239. Full description at Econpapers || Download paper | 41 |
| 13 | 1996 | The econometrics of financial markets. (1996). pagan, adrian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102. Full description at Econpapers || Download paper | 41 |
| 14 | 2009 | Investor sentiment and stock returns: Some international evidence. (2009). Schmeling, Maik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:3:p:394-408. Full description at Econpapers || Download paper | 38 |
| 15 | 2004 | Modelling daily Value-at-Risk using realized volatility and ARCH type models. (2004). Laurent, Sébastien ; Giot, Pierre. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:3:p:379-398. Full description at Econpapers || Download paper | 38 |
| 16 | 2003 | Emerging markets finance. (2003). Harvey, Campbell ; Bekaert, Geert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:3-56. Full description at Econpapers || Download paper | 37 |
| 17 | 2005 | Testing for contagion: a conditional correlation analysis. (2005). Spagnolo, Nicola ; cipollini, andrea ; Caporale, Guglielmo Maria. In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:476-489. Full description at Econpapers || Download paper | 36 |
| 18 | 2004 | Market stress and herding. (2004). Salmon, Mark ; Hwang, Soosung. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:4:p:585-616. Full description at Econpapers || Download paper | 32 |
| 19 | 2006 | Instability of return prediction models. (2006). Timmermann, Allan ; Paye, Bradley S.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:3:p:274-315. Full description at Econpapers || Download paper | 31 |
| 20 | 2007 | Firm-level implications of early stage venture capital investment -- An empirical investigation. (2007). Keilbach, Max ; Engel, Dirk. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:2:p:150-167. Full description at Econpapers || Download paper | 30 |
| 21 | 1998 | Volatility and cross correlation across major stock markets. (1998). Ramchand, Latha ; Susmel, Raul . In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:4:p:397-416. Full description at Econpapers || Download paper | 30 |
| 22 | 2011 | Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data. (2011). Lim, Kian-Ping ; Kim, Jae ; Shamsuddin, Abul . In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:5:p:868-879. Full description at Econpapers || Download paper | 30 |
| 23 | 2011 | When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions. (2011). Hautsch, Nikolaus ; Gro-Klumann, Axel . In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:2:p:321-340. Full description at Econpapers || Download paper | 28 |
| 24 | 2003 | Univariate and multivariate stochastic volatility models: estimation and diagnostics. (2003). Richard, Jean-Francois ; Liesenfeld, Roman . In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:4:p:505-531. Full description at Econpapers || Download paper | 28 |
| 25 | 2002 | Market timing and return prediction under model instability. (2002). Timmermann, Allan ; Pesaran, M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:9:y:2002:i:5:p:495-510. Full description at Econpapers || Download paper | 28 |
| 26 | 2009 | Understanding the relationship between founder-CEOs and firm performance. (2009). Adams, Renee ; Almeida, Heitor ; Ferreira, Daniel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:1:p:136-150. Full description at Econpapers || Download paper | 26 |
| 27 | 2011 | Robust estimation of intraweek periodicity in volatility and jump detection. (2011). Laurent, Sébastien ; Croux, Christophe ; Boudt, Kris . In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:2:p:353-367. Full description at Econpapers || Download paper | 25 |
| 28 | 2005 | The relationship between stock returns and inflation: new evidence from wavelet analysis. (2005). In, Francis ; Kim, Sangbae . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:435-444. Full description at Econpapers || Download paper | 25 |
| 29 | 2008 | Are Asian stock markets efficient? Evidence from new multiple variance ratio tests. (2008). Kim, Jae ; Shamsuddin, Abul . In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:3:p:518-532. Full description at Econpapers || Download paper | 24 |
| 30 | 2008 | Regression analysis of proportions in finance with self selection. (2008). McCullough, B ; Cook, Douglas O. ; Kieschnick, Robert . In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:5:p:860-867. Full description at Econpapers || Download paper | 24 |
| 31 | 2008 | UK mutual fund performance: Skill or luck?. (2008). O'Sullivan, Niall ; Nitzsche, Dirk ; Cuthbertson, Keith . In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:4:p:613-634. Full description at Econpapers || Download paper | 23 |
| 32 | 2007 | CAPM over the long run: 1926-2001. (2007). Ang, Andrew ; Chen, Joseph. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:1:p:1-40. Full description at Econpapers || Download paper | 23 |
| 33 | 2008 | Quantile forecasts of daily exchange rate returns from forecasts of realized volatility. (2008). Kim, Jae ; Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz . In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:4:p:729-750. Full description at Econpapers || Download paper | 23 |
| 34 | 2006 | In-sample vs. out-of-sample tests of stock return predictability in the context of data mining. (2006). Wohar, Mark ; Rapach, David E.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:2:p:231-247. Full description at Econpapers || Download paper | 20 |
| 35 | 2012 | Stock return autocorrelations revisited: A quantile regression approach. (2012). Baur, Dirk ; Dimpfl, Thomas ; Jung, Robert C.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:19:y:2012:i:2:p:254-265. Full description at Econpapers || Download paper | 20 |
| 36 | 2010 | Modeling and forecasting stock return volatility using a random level shift model. (2010). Perron, Pierre ; Lu, Yang K.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:17:y:2010:i:1:p:138-156. Full description at Econpapers || Download paper | 20 |
| 37 | 2011 | Market discipline and too-big-to-fail in the CDS market: Does banks size reduce market discipline?. (2011). Wedow, Michael ; Volz, Manja . In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:2:p:195-210. Full description at Econpapers || Download paper | 19 |
| 38 | 2006 | Are investors moonstruck? Lunar phases and stock returns. (2006). Zheng, Lu ; Yuan, Kathy. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:1:p:1-23. Full description at Econpapers || Download paper | 18 |
| 39 | 2010 | A network perspective of the stock market. (2010). Tse, Chi ; Lau, Francis C. M., ; Liu, Jing . In: Journal of Empirical Finance. RePEc:eee:empfin:v:17:y:2010:i:4:p:659-667. Full description at Econpapers || Download paper | 18 |
| 40 | 2009 | Applying the method of simulated moments to estimate a small agent-based asset pricing model. (2009). Franke, Reiner . In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:5:p:804-815. Full description at Econpapers || Download paper | 18 |
| 41 | 1993 | Common stock offerings across the business cycle : Theory and evidence. (1993). nanda, vikram ; masulis, ronald ; Choe, Hyuk . In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:3-31. Full description at Econpapers || Download paper | 18 |
| 42 | 2004 | Structural change and long-range dependence in volatility of exchange rates: either, neither or both?. (2004). MORANA, CLAUDIO ; Beltratti, Andrea . In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:5:p:629-658. Full description at Econpapers || Download paper | 17 |
| 43 | 1999 | Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon. (1999). Bollerslev, Tim ; Andersen, Torben ; Lange, Steve. In: Journal of Empirical Finance. RePEc:eee:empfin:v:6:y:1999:i:5:p:457-477. Full description at Econpapers || Download paper | 16 |
| 44 | 2011 | Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study. (2011). Zeng, Ning ; Conrad, Christian ; Karanasos, Menelaos . In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:1:p:147-159. Full description at Econpapers || Download paper | 16 |
| 45 | 1998 | International evidence on the stock market and aggregate economic activity. (1998). Cheung, Yin-Wong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:3:p:281-296. Full description at Econpapers || Download paper | 16 |
| 46 | 2010 | Local bias in venture capital investments. (2010). Dai, Na ; Cumming, Douglas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:17:y:2010:i:3:p:362-380. Full description at Econpapers || Download paper | 16 |
| 47 | 2010 | Trading activity, realized volatility and jumps. (2010). PETITJEAN, Mikael ; Laurent, Sébastien ; Giot, Pierre. In: Journal of Empirical Finance. RePEc:eee:empfin:v:17:y:2010:i:1:p:168-175. Full description at Econpapers || Download paper | 16 |
| 48 | 2009 | Time-varying Integration and International diversification strategies. (2009). Inghelbrecht, Koen ; Baele, Lieven. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:3:p:368-387. Full description at Econpapers || Download paper | 16 |
| 49 | 2000 | Sensitivity analysis of Values at Risk. (2000). Scaillet, Olivier ; gourieroux, christian ; Laurent, J. P.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:225-245. Full description at Econpapers || Download paper | 15 |
| 50 | 2005 | Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects. (2005). Melvin, Michael ; Grammig, Joachim ; Schlag, Christian . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:1:p:139-164. Full description at Econpapers || Download paper | 15 |
Citing documents used to compute impact factor 100:
| Year | Title | |
|---|---|---|
| 2015 | The frequency of regime switching in financial market volatility. (2015). BenSaïda, Ahmed ; Bensaida, Ahmed . In: Journal of Empirical Finance. RePEc:eee:empfin:v:32:y:2015:i:c:p:63-79. Full description at Econpapers || Download paper | |
| 2015 | Significance testing in empirical finance: A critical review and assessment. (2015). Kim, Jae ; Ji, Philip Inyeob . In: Journal of Empirical Finance. RePEc:eee:empfin:v:34:y:2015:i:c:p:1-14. Full description at Econpapers || Download paper | |
| 2015 | Learning Financial Shocks and the Great Recession. (2015). Suda, Jacek ; Pintus, Patrick. In: 2015 Meeting Papers. RePEc:red:sed015:577. Full description at Econpapers || Download paper | |
| 2015 | Explosive bubbles in house prices? Evidence from the OECD countries. (2015). Pedersen, Thomas ; Engsted, Tom ; Hviid, Simon J.. In: CREATES Research Papers. RePEc:aah:create:2015-01. Full description at Econpapers || Download paper | |
| 2015 | Housing demands, savings gluts and current account dynamics. (2015). Gete, Pedro. In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:221. Full description at Econpapers || Download paper | |
| 2015 | Explaining the boom-bust cycle in the U.S. housing market: a reverse-engineering approach. (2015). Natvik, Gisle ; Lansing, Kevin ; Gelain, Paolo. In: Working Paper Series. RePEc:fip:fedfwp:2015-02. Full description at Econpapers || Download paper | |
| 2015 | Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries. (2015). Pedersen, Thomas ; Engsted, Tom. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:53:y:2015:i:c:p:257-275. Full description at Econpapers || Download paper | |
| 2015 | Credit Conditions and Consumption, House Prices and Debt: What Makes Canada Different?. (2015). Williams, David ; St-Amant, Pierre ; muellbauer, john. In: Staff Working Papers. RePEc:bca:bocawp:15-40. Full description at Econpapers || Download paper | |
| 2015 | House price dynamics: Fundamentals and expectations. (2015). Granziera, Eleonora ; Kozicki, Sharon . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:60:y:2015:i:c:p:152-165. Full description at Econpapers || Download paper | |
| 2015 | Housing Bubbles. (2015). Nathanson, Charles G ; Glaeser, Edward L. In: Handbook of Regional and Urban Economics. RePEc:eee:regchp:5-701. Full description at Econpapers || Download paper | |
| 2015 | Ownership, Taxes and Default. (2015). Nicodano, Giovanna ; Regis, Luca . In: Working Papers. RePEc:ial:wpaper:7/2015. Full description at Econpapers || Download paper | |
| 2015 | Price linkage between the US and Japanese futures across different time zones: An analysis of the minute-by-minute data. (2015). Kao, Erin H. ; Ho, Tsung-Wu ; Fung, Hung-Gay . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:34:y:2015:i:c:p:321-336. Full description at Econpapers || Download paper | |
| 2015 | Misspeciï¬cation Testing in GARCH-MIDAS Models. (2015). Schienle, Melanie ; Conrad, Christian. In: Working Papers. RePEc:awi:wpaper:0597. Full description at Econpapers || Download paper | |
| 2015 | Change Detection and the Casual Impact of the Yield Curve. (2015). Shi, Shu-Ping ; Phillips, Peter ; Hurn, Stan ; PEter, . In: NCER Working Paper Series. RePEc:qut:auncer:2015_05. Full description at Econpapers || Download paper | |
| 2015 | Uncovered interest parity in Central and Eastern Europe : expectations and structural breaks. (2015). Staehr, Karsten ; Filipozzi, Fabio ; Cuestas, Juan. In: Bank of Estonia Working Papers. RePEc:eea:boewps:wp2015-4. Full description at Econpapers || Download paper | |
| 2015 | The role of covered interest parity in explaining the forward premium anomaly within a nonlinear panel framework. (2015). Cho, Dooyeon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:34:y:2015:i:c:p:229-238. Full description at Econpapers || Download paper | |
| 2015 | Uncovered Interest Parity in Central and Eastern Europe: Sample, Expectations and Structural Breaks. (2015). Staehr, Karsten ; Filipozzi, Fabio ; Cuestas, Juan. In: Working Papers. RePEc:shf:wpaper:2015014. Full description at Econpapers || Download paper | |
| 2015 | Heterogeneity and Clustering of Defaults. (2015). Karlis, Alexandros ; Turner, Matthew ; Terovitis, Spyridon ; Galanis, Giorgos . In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1083. Full description at Econpapers || Download paper | |
| 2015 | New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels. (2015). Lucas, André ; Opschoor, and Anne ; Janus, Pawel ; André Lucas, . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140073. Full description at Econpapers || Download paper | |
| 2015 | Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting. (2015). Zhang, Xin ; Lucas, André ; André Lucas, . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140092. Full description at Econpapers || Download paper | |
| 2015 | Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting. (2015). Zhang, Xin ; Lucas, André. In: Working Paper Series. RePEc:hhs:rbnkwp:0309. Full description at Econpapers || Download paper | |
| 2015 | Correlated Defaults of UK Banks: Dynamics and Asymmetries. (2015). Zhao, Yang ; cerrato, mario ; Kim, Minjoo ; Crosby, John . In: Working Papers. RePEc:gla:glaewp:2015_24. Full description at Econpapers || Download paper | |
| 2015 | Generalized Autoregressive Method of Moments. (2015). Lucas, André ; Koopman, Siem Jan ; Creal, Drew ; Zamojski, Marcin . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150138. Full description at Econpapers || Download paper | |
| 2015 | Shifts in volatility driven by large stock market shocks. (2015). Tzavalis, Elias ; Dendramis, Yiannis ; Kapetanios, George . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:55:y:2015:i:c:p:130-147. Full description at Econpapers || Download paper | |
| 2015 | Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approach. (2015). Liu, Shouwei ; Tse, Yiu-Kuen . In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:2:p:437-446. Full description at Econpapers || Download paper | |
| 2015 | Endogenous crisis dating and contagion using smooth transition structural GARCH. (2015). Thorp, Susan ; Dungey, Mardi ; Milunovich, George ; Yang, Minxian . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:58:y:2015:i:c:p:71-79. Full description at Econpapers || Download paper | |
| 2015 | A modified test against spurious long memory. (2015). Kruse, Robinson. In: Economics Letters. RePEc:eee:ecolet:v:135:y:2015:i:c:p:34-38. Full description at Econpapers || Download paper | |
| 2015 | Contingent Liabilities from Banks; How to Track Them?. (2015). Liao, Yin ; Arslanalp, Serkan . In: IMF Working Papers. RePEc:imf:imfwpa:15/255. Full description at Econpapers || Download paper | |
| 2015 | Why risk is so hard to measure. (2015). Zhou, Chen ; Danielsson, Jon. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:62002. Full description at Econpapers || Download paper | |
| 2015 | A mean-variance approach to forecasting with the consumer confidence index. (2015). Crain, W. ; BRUESTLE, STEPHEN . In: Applied Economics. RePEc:taf:applec:v:47:y:2015:i:23:p:2430-2444. Full description at Econpapers || Download paper | |
| 2015 | The financial econometrics of price discovery and predictability. (2015). Smyth, Russell ; Narayan, Seema . In: International Review of Financial Analysis. RePEc:eee:finana:v:42:y:2015:i:c:p:380-393. Full description at Econpapers || Download paper | |
| 2015 | The effect of political uncertainty on the cost of corporate debt. (2015). Waisman, Maya ; Zhu, Yun ; Ye, Pengfei . In: Journal of Financial Stability. RePEc:eee:finsta:v:16:y:2015:i:c:p:106-117. Full description at Econpapers || Download paper | |
| 2015 | Economic policy uncertainty and capital structure choice: Evidence from China. (2015). Zhang, Guangli ; Huang, Haozhi . In: Economic Systems. RePEc:eee:ecosys:v:39:y:2015:i:3:p:439-457. Full description at Econpapers || Download paper | |
| 2015 | Political uncertainty and non-pricing terms of financial contract. (2015). Zhu, Yun . In: Eurasian Economic Review. RePEc:spr:eurase:v:5:y:2015:i:1:p:77-109. Full description at Econpapers || Download paper | |
| 2015 | Misspecification Testing in GARCH-MIDAS Models. (2015). Schienle, Melanie ; Conrad, Christian. In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. RePEc:zbw:vfsc15:112919. Full description at Econpapers || Download paper | |
| 2015 | Public news flow in intraday component models for trading activity and volatility. (2015). Clements, Adam ; Papalexiou, Vasilios ; Fuller, Joanne . In: NCER Working Paper Series. RePEc:qut:auncer:2015_04. Full description at Econpapers || Download paper | |
| 2015 | Asymmetric volatility of the Thai stock market: evidence from high-frequency data. (2015). Sethapramote, Yuthana ; Jiranyakul, Komain ; Thakolsri, Supachok . In: MPRA Paper. RePEc:pra:mprapa:67181. Full description at Econpapers || Download paper | |
| 2015 | Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity. (2015). Ishida, Isao ; Kvedaras, Virmantas . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:2-54:d:44835. Full description at Econpapers || Download paper | |
| 2015 | Testing constancy of unconditional variance in volatility models by misspecification and specification tests. (2015). Teräsvirta, Timo ; Silvennoinen, Annastiina. In: CREATES Research Papers. RePEc:aah:create:2015-47. Full description at Econpapers || Download paper | |
| 2015 | Macro-Driven VaR Forecasts: From Very High to Very Low Frequency Data. (2015). Vander Elst, Harry. In: Working Papers ECARES. RePEc:eca:wpaper:2013/220550. Full description at Econpapers || Download paper | |
| 2015 | Modeling high-frequency volatility with three-state FIGARCH models. (2015). Shi, Yanlin ; Ho, Kin-Yip . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:473-483. Full description at Econpapers || Download paper | |
| 2015 | Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility. (2015). Kruse, Robinson ; Hanck, Christoph ; Demetrescu, Matei . In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. RePEc:zbw:vfsc15:112916. Full description at Econpapers || Download paper | |
| 2015 | Testing heteroskedastic time series for normality. (2015). Kruse, Robinson ; Demetrescu, Matei . In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. RePEc:zbw:vfsc15:113221. Full description at Econpapers || Download paper | |
| 2015 | Testing constancy of unconditional variance in volatility models by misspecification and specification tests. (2015). Teräsvirta, Timo ; Silvennoinen, Annastiina. In: NCER Working Paper Series. RePEc:qut:auncer:2015_06. Full description at Econpapers || Download paper | |
| 2015 | Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions. (2015). Baillie, Richard T ; Ho, Kun . In: Journal of Empirical Finance. RePEc:eee:empfin:v:34:y:2015:i:c:p:99-111. Full description at Econpapers || Download paper | |
| 2015 | La mesure du risque systémique après la crise financière. (2015). DE BANDT, OLIVIER ; Tavolaro, Santiago ; Labonne, Claire ; Heam, Jean-Cyprien . In: Revue économique. RePEc:cai:recosp:reco_663_0481. Full description at Econpapers || Download paper | |
| 2015 | The Information in Systemic Risk Rankings. (2015). Schwaab, Bernd ; Nucera, Federico ; Lucas, André ; Koopman, Siem Jan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150070. Full description at Econpapers || Download paper | |
| 2015 | Trends in Stock-Bond Correlations. (2015). Okimoto, Tatsuyoshi ; Tatsuyoshi, Okimoto ; Harumi, Ohmi . In: Discussion papers. RePEc:eti:dpaper:15115. Full description at Econpapers || Download paper | |
| 2015 | On the integration of Chinas main stock exchange with the international financial market. (2015). Kiviet, Jan ; Huang, Wei Hong . In: Economic Growth Centre Working Paper Series. RePEc:nan:wpaper:1505. Full description at Econpapers || Download paper | |
| 2015 | Financial Frictions, Product Quality, and International Trade. (2015). Crino, Rosario ; Ogliari, Laura . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def030. Full description at Econpapers || Download paper | |
| 2015 | An empirical analysis of the global input-output network and its evolution. (2015). Grazzini, Jakob ; Spelta, Alessandro . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def031. Full description at Econpapers || Download paper | |
| 2015 | Expected returns and idiosyncratic risk: Industry-level evidence from Russia. (2015). . In: BOFIT Discussion Papers. RePEc:bof:bofitp:urn:nbn:fi:bof-201511231444. Full description at Econpapers || Download paper | |
| 2015 | Expected returns and idiosyncratic risk: Industry-level evidence from Russia. (2015). . In: BOFIT Discussion Papers. RePEc:hhs:bofitp:2015_030. Full description at Econpapers || Download paper | |
| 2015 | Expected returns and idiosyncratic risk: Industry-level evidence from Russia. (2015). Kinnunen, Jyri. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2015_030. Full description at Econpapers || Download paper | |
| 2015 | Modeling oil priceâUS stock nexus: A VARMAâBEKKâAGARCH approach. (2015). Salisu, Afees. In: Energy Economics. RePEc:eee:eneeco:v:50:y:2015:i:c:p:1-12. Full description at Econpapers || Download paper | |
| 2015 | Identifying the multiscale impacts of crude oil price shocks on the stock market in China at the sector level. (2015). Huang, Shupei ; Gao, Xiangyun . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:434:y:2015:i:c:p:13-24. Full description at Econpapers || Download paper | |
| 2015 | Adverse selection and the presence of informed trading. (2015). Chang, Sanders ; Wang, Albert F. In: Journal of Empirical Finance. RePEc:eee:empfin:v:33:y:2015:i:c:p:19-33. Full description at Econpapers || Download paper | |
| 2015 | Real term structure forecasts of consumption growth. (2015). Tzavalis, Elias ; Argyropoulos, Efthymios . In: Journal of Empirical Finance. RePEc:eee:empfin:v:33:y:2015:i:c:p:208-222. Full description at Econpapers || Download paper | |
| 2015 | Insolvency and contagion in the Brazilian interbank market. (2015). Tabak, Benjamin ; Silva, Thiago ; Guerra, Solange ; Souza, Sergio R. S., . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:431:y:2015:i:c:p:140-151. Full description at Econpapers || Download paper | |
| 2015 | The economic value of flexible dynamic correlation models. (2015). Louzis, Dimitrios. In: Economics Bulletin. RePEc:ebl:ecbull:eb-15-00194. Full description at Econpapers || Download paper | |
| 2015 | Evaluating the performance of futures hedging using multivariate realized volatility. (2015). Ubukata, Masato ; Watanabe, Toshiaki . In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:38:y:2015:i:c:p:148-171. Full description at Econpapers || Download paper | |
| 2015 | Many a little makes a mickle: Macro portfolio stress test for small and medium-sized German banks. (2015). Koziol, Philipp ; Mitrovic, Marc ; Busch, Ramona . In: Discussion Papers. RePEc:zbw:bubdps:232015. Full description at Econpapers || Download paper | |
| 2015 | On the stock market liquidity and the business cycle: A multi country approach. (2015). Galariotis, Emilios ; Giouvris, Evangelos . In: International Review of Financial Analysis. RePEc:eee:finana:v:38:y:2015:i:c:p:44-69. Full description at Econpapers || Download paper | |
| 2015 | All share price and inflation volatility in Nigeria. An application of the EGARCH model. (2015). Adedoyin, Lawal Isola ; Oloye, Martins I ; Awonusi, Frank . In: EuroEconomica. RePEc:dug:journl:y:2015:i:1:p:75-82. Full description at Econpapers || Download paper | |
| 2015 | Are the KOSPI 200 implied volatilities useful in value-at-risk models?. (2015). Ryu, Doojin ; Kim, Jun Sik . In: Emerging Markets Review. RePEc:eee:ememar:v:22:y:2015:i:c:p:43-64. Full description at Econpapers || Download paper | |
| 2015 | Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?. (2015). Guidolin, Massimo ; Bernales, Alejandro . In: Working Papers. RePEc:igi:igierp:565. Full description at Econpapers || Download paper | |
| 2015 | Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?. (2015). Guidolin, Massimo ; Bernales, Alejandro . In: Journal of Financial Markets. RePEc:eee:finmar:v:26:y:2015:i:c:p:1-37. Full description at Econpapers || Download paper | |
| 2015 | The performance of diversified emerging market equity funds. (2015). Basu, Anup K. ; Huang-Jones, Jason . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:35:y:2015:i:c:p:116-131. Full description at Econpapers || Download paper | |
| 2015 | Asymmetric dynamics in the correlations of hedge fund strategy indices: what lessons about financial contagion ?. (2015). Martin, Franck ; Nguyen, Mai Lan . In: Economics Bulletin. RePEc:ebl:ecbull:eb-14-00993. Full description at Econpapers || Download paper | |
| 2015 | Forecasting the daily outbreak of topic-level political risk from social media using hidden Markov model-based techniques. (2015). Suh, Jong Hwan . In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:94:y:2015:i:c:p:115-132. Full description at Econpapers || Download paper | |
| 2015 | Asymmetric dynamics in the correlations of hedge fund strategy indices: what lessons about financial contagion ?. (2015). Martin, Franck ; Nguyen, Mai Lan . In: Post-Print. RePEc:hal:journl:halshs-01184072. Full description at Econpapers || Download paper | |
| 2015 | Estimating DSGE models across time and frequency. (2015). Caraiani, Petre. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:44:y:2015:i:c:p:33-49. Full description at Econpapers || Download paper | |
| 2015 | On the compensation for illiquidity in sovereign credit markets. (2015). Lafuente, Juan Angel ; Serrano, Pedro . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:30:y:2015:i:c:p:83-100. Full description at Econpapers || Download paper | |
| 2015 | The impact of personal attributes on corporate insider trading. (2015). Korczak, Adriana ; Hillier, David . In: Journal of Corporate Finance. RePEc:eee:corfin:v:30:y:2015:i:c:p:150-167. Full description at Econpapers || Download paper | |
| 2015 | Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach. (2015). Grassi, Stefano ; Delle Monache, Davide. In: CREATES Research Papers. RePEc:aah:create:2015-30. Full description at Econpapers || Download paper | |
| 2015 | Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach. (2015). Grassi, Stefano ; Delle Monache, Davide ; Santucci, Paolo . In: Studies in Economics. RePEc:ukc:ukcedp:1511. Full description at Econpapers || Download paper | |
| 2015 | Out-of-sample evaluation of macro announcements, linearity, long memory, heterogeneity and jumps in mini-futures markets. (2015). . In: Review of Financial Economics. RePEc:eee:revfin:v:27:y:2015:i:c:p:58-67. Full description at Econpapers || Download paper | |
| 2015 | Testing the mixture of distributions hypothesis on target stocks. (2015). Kearney, Colm ; Carroll, Rachael . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:39:y:2015:i:c:p:1-14. Full description at Econpapers || Download paper | |
| 2015 | Do sophisticated investors interpret earnings conference call tone differently than investors at large? Evidence from short sales. (2015). Blau, Benjamin ; Price, McKay S. ; DeLisle, Jared R.. In: Journal of Corporate Finance. RePEc:eee:corfin:v:31:y:2015:i:c:p:203-219. Full description at Econpapers || Download paper | |
| 2015 | Do social factors influence investment behavior and performance? Evidence from mutual fund holdings. (2015). Koedijk, Kees ; Derwall, Jeroen ; Horst, Jenke Ter ; Borgers, Arian . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:60:y:2015:i:c:p:112-126. Full description at Econpapers || Download paper | |
| 2015 | Do Social Factors Influence Investment Behaviour and Performance? Evidence from Mutual Fund Holdings.. (2015). Borgers, Arian ; Horst, Jenke Ter ; Koedijk, Kees ; Derwall, Jeroen . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10740. Full description at Econpapers || Download paper | |
| 2015 | Business sustainability performance and cost of equity capital. (2015). Ng, Anthony C ; Rezaee, Zabihollah . In: Journal of Corporate Finance. RePEc:eee:corfin:v:34:y:2015:i:c:p:128-149. Full description at Econpapers || Download paper | |
| 2015 | Volatility forecast of country ETF: The sequential information arrival hypothesis. (2015). Lee, Chien-Chiang ; Tseng, Tseng-Chan ; Chen, Mei-Ping . In: Economic Modelling. RePEc:eee:ecmode:v:47:y:2015:i:c:p:228-234. Full description at Econpapers || Download paper | |
| 2015 | Are Female CEOs and Chairwomen More Conservative and Risk Averse? Evidence from the Banking Industry During the Financial Crisis. (2015). Vähämaa, Sami ; Palvia, Ajay ; Vahamaa, Sami . In: Journal of Business Ethics. RePEc:kap:jbuset:v:131:y:2015:i:3:p:577-594. Full description at Econpapers || Download paper | |
| 2015 | The world market risk premium and U.S. macroeconomic announcements. (2015). Du, Ding ; Hu, Ou. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:58:y:2015:i:c:p:75-97. Full description at Econpapers || Download paper | |
| 2015 | Gender, style diversity, and their effect on fund performance. (2015). Caporale, Guglielmo Maria ; BABALOS, VASSILIOS ; Philippas, Nikolaos . In: Research in International Business and Finance. RePEc:eee:riibaf:v:35:y:2015:i:c:p:57-74. Full description at Econpapers || Download paper | |
| 2015 | Does bank competition alleviate credit constraints in developing countries?. (2015). LEON, Florian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:57:y:2015:i:c:p:130-142. Full description at Econpapers || Download paper | |
| 2015 | Gender bias and credit access. (2015). Popov, Alexander ; Ongena, Steven. In: Working Paper Series. RePEc:ecb:ecbwps:20151822. Full description at Econpapers || Download paper | |
| 2015 | Copula-Based Factor Model for Credit Risk Analysis. (2015). Lu, Meng-Jou ; Hardle, Karl Wolfgang ; Chen, Cathy Yi-Hsuan . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2015-042. Full description at Econpapers || Download paper | |
| 2015 | A retrospective evaluation of The North American Journal of Economics and Finance (1990â2014). (2015). Chan, Kam C. ; Zhou, Mingshan . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:32:y:2015:i:c:p:1-11. Full description at Econpapers || Download paper | |
| 2015 | The network effects of publishing in finance. (2015). Chan, Kam C ; Chang, Yuanchen . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:33:y:2015:i:c:p:305-316. Full description at Econpapers || Download paper | |
| 2015 | R&D intensity, cross-border strategic alliances, and valuation effects. (2015). Owen, Sian ; Yawson, Alfred . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:35:y:2015:i:c:p:1-17. Full description at Econpapers || Download paper | |
| 2015 | Energy balance analysis of the Brazilian alcohol for flex fuel production. (2015). Quintero, Anamari Irizarry ; Brown, Scott ; Mandaloufas, Melissa ; Lamas, Wendell de Queiroz, . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:43:y:2015:i:c:p:403-414. Full description at Econpapers || Download paper | |
| 2015 | Safe, or not safe? Covered bonds and Bank Fragility. (2015). Anand, Kartik ; Ahnert, Toni ; Chapman, James ; Gai, Prasanna . In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. RePEc:zbw:vfsc15:112875. Full description at Econpapers || Download paper | |
| 2015 | A variance spillover analysis without covariances: What do we miss?. (2015). Fengler, Matthias ; Gisler, Katja I. M., . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:51:y:2015:i:c:p:174-195. Full description at Econpapers || Download paper | |
| 2015 | Global Equity Market Volatility Spillovers: A Broader Role for the United States. (2015). Buncic, Daniel ; Gisler, Katja I. M., . In: Economics Working Paper Series. RePEc:usg:econwp:2015:08. Full description at Econpapers || Download paper | |
| 2015 | Long-run international diversification. (2015). cotter, john ; Conlon, Thomas ; Genay, Ramazan . In: Working Papers. RePEc:ucd:wpaper:201502. Full description at Econpapers || Download paper | |
| 2015 | Financial Market Liquidity: Who Is Acting Strategically?. (2015). Le Fol, Gaelle ; darolles, serge ; Mero, Gulten . In: THEMA Working Papers. RePEc:ema:worpap:2015-14. Full description at Econpapers || Download paper | |
| 2015 | Dark trading and price discovery. (2015). Putnins, Talis ; Comerton-Forde, Carole . In: Journal of Financial Economics. RePEc:eee:jfinec:v:118:y:2015:i:1:p:70-92. Full description at Econpapers || Download paper | |
| 2015 | Information transmission between stock markets in Hong Kong, Europe and the US: New evidence on time- and state-dependence. (2015). Maderitsch, R. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:35:y:2015:i:pa:p:13-36. Full description at Econpapers || Download paper |
Recent citations (cites in year: CiY)
Recent citations received in 2015
| Year | Citing document | |
|---|---|---|
| 2015 | Is Switzerland an Interest Rate Island after all? Time Series and Non-Linear Switching Regime Evidence. (2015). Köhler, Ekkehard ; Feld, Lars ; Kohler, Ekkehard A. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5628. Full description at Econpapers || Download paper | |
| 2015 | Forecasting. (2015). Galuscak, Kamil ; Babecký, Jan ; Tonner, Jaromir ; Rusnak, Marek ; Polansky, Jiri ; Kopriva, Frantisek ; Humplova, Zuzana ; Holub, Tomas ; Hledik, Tibor ; Havrlant, David ; Bruha, Jan ; Brazdik, Frantisek . In: Occasional Publications - Edited Volumes. RePEc:cnb:ocpubv:rb13/1. Full description at Econpapers || Download paper | |
| 2015 | Monetary Policy Challenges in a Low-Inflation Environment. (2015). Babecký, Jan ; Andrle, Michal ; Solmaz, Serhat ; Plasil, Miroslav ; Mateju, Jakub ; Filacek, Jan ; Claeys, Peter ; Bruha, Jan ; Baxa, Jaromir ; Kucharcukova, Oxana Babecka . In: Occasional Publications - Edited Volumes. RePEc:cnb:ocpubv:rb13/2. Full description at Econpapers || Download paper | |
| 2015 | Business sustainability performance and cost of equity capital. (2015). Ng, Anthony C ; Rezaee, Zabihollah . In: Journal of Corporate Finance. RePEc:eee:corfin:v:34:y:2015:i:c:p:128-149. Full description at Econpapers || Download paper | |
| 2015 | The role of macroeconomic news in sovereign CDS markets: Domestic and spillover news effects from the U.S., the Eurozone and China. (2015). Wu, Eliza ; Kim, Suk-Joong ; Salem, Leith . In: Journal of Financial Stability. RePEc:eee:finsta:v:18:y:2015:i:c:p:208-224. Full description at Econpapers || Download paper | |
| 2015 | The determinants of price discovery: Evidence from US-Canadian cross-listed shares. (2015). Tourani-Rad, Alireza ; Frijns, Bart ; Gilbert, Aaron . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:59:y:2015:i:c:p:457-468. Full description at Econpapers || Download paper | |
| 2015 | Volatility Forecast in Crises and Expansions. (2015). Pypko, Sergii. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:8:y:2015:i:3:p:311-336:d:53754. Full description at Econpapers || Download paper | |
| 2015 | Correlated Defaults of UK Banks: Dynamics and Asymmetries. (2015). Zhao, Yang ; cerrato, mario ; Kim, Minjoo ; Crosby, John . In: Working Papers. RePEc:gla:glaewp:2015_24. Full description at Econpapers || Download paper | |
| 2015 | On Consistency of Approximate Bayesian Computation. (2015). Frazier, David T ; Robert, Christian P ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2015-19. Full description at Econpapers || Download paper | |
| 2015 | Can Oil Prices Help Predict US Stock Market Returns: An Evidence Using a DMA Approach. (2015). Naser, Hanan ; Alaali, Fatema . In: MPRA Paper. RePEc:pra:mprapa:65295. Full description at Econpapers || Download paper | |
| 2015 | How to Choose the Level of Significance: A Pedagogical Note. (2015). Kim, Jae. In: MPRA Paper. RePEc:pra:mprapa:66373. Full description at Econpapers || Download paper | |
| 2015 | Inflation forecasts: Are market-based and survey-based measures informative?. (2015). Meyler, Aidan ; Grothe, Magdalena . In: MPRA Paper. RePEc:pra:mprapa:66982. Full description at Econpapers || Download paper | |
| 2015 | Unit Roots in Economic and Financial Time Series: A Re-Evaluation based on Enlightened Judgement. (2015). Kim, Jae ; Choi, In. In: MPRA Paper. RePEc:pra:mprapa:68411. Full description at Econpapers || Download paper | |
| 2015 | The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30. (2015). Li, Youwei ; He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:364. Full description at Econpapers || Download paper | |
| 2015 | Volatility Clustering: A Nonlinear Theoretical Approach. (2015). Li, Kai ; He, Xuezhong ; Wan, Chuncheng . In: Research Paper Series. RePEc:uts:rpaper:365. Full description at Econpapers || Download paper | |
| 2015 | Is Switzerland an interest rate island after all? Time series and non-linear switching regime evidence. (2015). Köhler, Ekkehard ; Feld, Lars ; Kohler, Ekkehard A. In: Freiburg Discussion Papers on Constitutional Economics. RePEc:zbw:aluord:1508. Full description at Econpapers || Download paper |
Recent citations received in 2014
| Year | Citing document | |
|---|---|---|
| 2014 | Heteroskedasticity-and-Autocorrelation-Consistent Bootstrapping. (2014). Monticini, Andrea ; Davidson, Russell. In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def012. Full description at Econpapers || Download paper | |
| 2014 | Economic crisis and fiscal federalism in Italy. (2014). bordignon, massimo ; Balduzzi, Paolo ; Ambrosanio, Maria . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def016. Full description at Econpapers || Download paper | |
| 2014 | Labor mobility and fiscal policy in a currency union. (2014). Boitani, Andrea ; bordignon, massimo ; Baglioni, Angelo. In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def020. Full description at Econpapers || Download paper | |
| 2014 | Heteroskedasticity-and-Autocorrelation-Consistent Bootstrapping. (2014). Monticini, Andrea . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def12. Full description at Econpapers || Download paper | |
| 2014 | Economic crisis and fiscal federalism in Italy. (2014). Ambrosanio, Maria ; Balduzzi, Paolo ; Bordignon, Massimo . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def16. Full description at Econpapers || Download paper | |
| 2014 | Labor mobility and fi?scal policy in a currency union. (2014). Boitani, Andrea ; Bordignon, Massimo . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def20. Full description at Econpapers || Download paper | |
| 2014 | Are regime-shift sources of risk priced in the market?. (2014). Tzavalis, Elias ; Chourdakis, Kyriakos ; Dendramis, Yiannis . In: Journal of Empirical Finance. RePEc:eee:empfin:v:28:y:2014:i:c:p:151-170. Full description at Econpapers || Download paper | |
| 2014 | Options-implied variance and future stock returns. (2014). Qiu, Buhui ; Guo, Hui . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:44:y:2014:i:c:p:93-113. Full description at Econpapers || Download paper | |
| 2014 | Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations. (2014). Lansing, Kevin ; Ma, Jun ; KevinJ. Lansing, . In: Working Paper Series. RePEc:fip:fedfwp:2014-22. Full description at Econpapers || Download paper | |
| 2014 | Does the presence of institutional investors in family banks affect profitability and risk? Evidence from an emerging market. (2014). TARAZI, Amine ; Setiyono, Bowo . In: Working Papers. RePEc:hal:wpaper:hal-01077118. Full description at Econpapers || Download paper | |
| 2014 | Exponential Smoothing, Long Memory and Volatility Prediction. (2014). Proietti, Tommaso. In: MPRA Paper. RePEc:pra:mprapa:57230. Full description at Econpapers || Download paper | |
| 2014 | Exponential Smoothing, Long Memory and Volatility Prediction. (2014). Proietti, Tommaso. In: CEIS Research Paper. RePEc:rtv:ceisrp:319. Full description at Econpapers || Download paper |
Recent citations received in 2013
| Year | Citing document | |
|---|---|---|
| 2013 | Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from the 2007-2009 Financial Crisis. (2013). Kontonikas, Alexandros ; KOSTAKIS, ALEXANDROS ; Florackis, Chris . In: SIRE Discussion Papers. RePEc:edn:sirdps:485. Full description at Econpapers || Download paper | |
| 2013 | Are extreme returns priced in the stock market? European evidence. (2013). Annaert, Jan ; DE CEUSTER, Marc ; Verstegen, Kurt . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:9:p:3401-3411. Full description at Econpapers || Download paper | |
| 2013 | Stock market liquidity and macro-liquidity shocks: Evidence from the 2007-2009 financial crisis. (2013). Kontonikas, Alexandros ; KOSTAKIS, ALEXANDROS ; Florackis, Chris . In: Working Papers. RePEc:gla:glaewp:2013_13. Full description at Econpapers || Download paper | |
| 2013 | Testing of Dependencies between Stock Returns and Trading Volume by High Frequency Data. (2013). Gurgul, Piotr ; Syrek, Robert . In: Managing Global Transitions. RePEc:mgt:youmgt:v:11:y:2013:i:4:p:353-373. Full description at Econpapers || Download paper | |
| 2013 | Does purchasing power parity hold sometimes? Regime switching in real exchange rates. (2013). Yoon, Gawon ; Lee, Hwa-Taek. In: Applied Economics. RePEc:taf:applec:45:y:2013:i:16:p:2279-2294. Full description at Econpapers || Download paper |
Recent citations received in 2012
| Year | Citing document | |
|---|---|---|
| 2012 | Does it take volume to move fx rates? Evidence from quantile regressions. (2012). BieÅ-Barkowska, Katarzyna ; Bien-Barkowska, Katarzyna . In: Dynamic Econometric Models. RePEc:cpn:umkdem:v:12:y:2012:p:35-52. Full description at Econpapers || Download paper | |
| 2012 | Quantiles autocorrelation in stock markets returns. (2012). Da costa, Alexandre Silva ; Ceretta, Paulo Sergio ; Righi, Marcelo Brutti ; Muller, Fernanda Maria . In: Economics Bulletin. RePEc:ebl:ecbull:eb-12-00469. Full description at Econpapers || Download paper | |
| 2012 | An improved estimation to make Markowitzâs portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment. (2012). Wong, Wing-Keung ; Leung, Pui-Lam . In: European Journal of Operational Research. RePEc:eee:ejores:v:222:y:2012:i:1:p:85-95. Full description at Econpapers || Download paper | |
| 2012 | Corporate governance, agency problems and international cross-listings: A defense of the bonding hypothesis. (2012). Karolyi, G.. In: Emerging Markets Review. RePEc:eee:ememar:v:13:y:2012:i:4:p:516-547. Full description at Econpapers || Download paper | |
| 2012 | Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand. (2012). Loretan, Mico ; Gyntelberg, Jacob ; Tientip, Subhanij . In: IMF Working Papers. RePEc:imf:imfwpa:12/214. Full description at Econpapers || Download paper | |
| 2012 | Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China. (2012). Wong, Wing-Keung ; McAleer, Michael ; Li, Hua ; Bai, Zhidong . In: KIER Working Papers. RePEc:kyo:wpaper:820. Full description at Econpapers || Download paper | |
| 2012 | Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle. (2012). Yuan, Yu ; Stambaugh, Robert. In: NBER Working Papers. RePEc:nbr:nberwo:18560. Full description at Econpapers || Download paper | |
| 2012 | On detection of volatility spillovers in simultaneously open stock markets. (2012). Kohonen, Anssi. In: MPRA Paper. RePEc:pra:mprapa:37504. Full description at Econpapers || Download paper | |
| 2012 | A New Pseudo-Bayesian Model of Investors Behavior in Financial Crises. (2012). Zhu, Lixing ; Wong, Wing-Keung. In: MPRA Paper. RePEc:pra:mprapa:42535. Full description at Econpapers || Download paper | |
| 2012 | Robust Estimation and Forecasting of the Capital Asset Pricing Model. (2012). Wong, Wing-Keung ; McAleer, Michael ; Bian, Guorui . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1209. Full description at Econpapers || Download paper | |
| 2012 | Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China. (2012). Wong, Wing-Keung ; McAleer, Michael ; Li, Hua ; Bai, Zhidong . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1213. Full description at Econpapers || Download paper | |
| 2012 | State-dependent Momentum in International Stock Markets. (2012). Baur, Dirk ; Dimpfl, Thomas . In: Working Paper Series. RePEc:uts:wpaper:169. Full description at Econpapers || Download paper |
10 most frequent citing series
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Source data used to compute the impact factor of RePEc series.
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 1 2016. Contact: CitEc Team