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Citation Profile [Updated: 2022-01-09 21:43:50]
5 Years H
69
Impact Factor
1.52
5 Years IF
1.55
Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.09 0 0 0 0 0 1 0 0 0 0 0.04
1991 0 0.08 0 0 0 0 0 1 0 0 0 0 0.04
1992 0 0.09 0 0 0 0 0 1 0 0 0 0 0.04
1993 0 0.11 0.5 0 6 6 1762 1 4 0 0 0 1 0.17 0.05
1994 0.5 0.12 0.5 0.5 10 16 385 6 12 6 3 6 3 0 3 0.3 0.06
1995 1 0.19 0.7 1 14 30 282 20 33 16 16 16 16 2 10 2 0.14 0.08
1996 0.92 0.22 1.25 1.37 18 48 1254 52 93 24 22 30 41 7 13.5 6 0.33 0.1
1997 0.47 0.22 0.84 0.88 13 61 1221 49 144 32 15 48 42 7 14.3 4 0.31 0.09
1998 1.39 0.26 1.08 1.15 17 78 696 79 228 31 43 61 70 2 2.5 2 0.12 0.12
1999 1.23 0.27 1.43 1.22 23 101 676 137 372 30 37 72 88 6 4.4 5 0.22 0.13
2000 0.88 0.32 1.68 1.34 19 120 1014 197 573 40 35 85 114 15 7.6 4 0.21 0.14
2001 1.02 0.35 1.72 1.53 25 145 598 243 823 42 43 90 138 6 2.5 8 0.32 0.15
2002 0.7 0.37 1.61 1.08 26 171 705 267 1098 44 31 97 105 14 5.2 12 0.46 0.19
2003 0.92 0.4 2.14 1.25 26 197 1832 414 1520 51 47 110 138 17 4.1 34 1.31 0.19
2004 1.63 0.44 2.23 1.5 32 229 1587 486 2031 52 85 119 178 23 4.7 16 0.5 0.2
2005 1.66 0.45 2.12 1.42 30 259 1070 538 2579 58 96 128 182 17 3.2 13 0.43 0.21
2006 1.55 0.46 2.6 1.89 24 283 951 719 3314 62 96 139 263 14 1.9 19 0.79 0.2
2007 1.2 0.42 2.24 1.73 35 318 1200 705 4025 54 65 138 239 21 3 17 0.49 0.18
2008 1.64 0.44 2.19 1.96 49 367 1321 789 4830 59 97 147 288 29 3.7 16 0.33 0.2
2009 1.56 0.43 2.02 1.65 60 427 1575 856 5693 84 131 170 280 32 3.7 17 0.28 0.21
2010 1.15 0.43 1.88 1.51 62 489 1140 912 6612 109 125 198 298 49 5.4 10 0.16 0.18
2011 0.84 0.45 1.7 1.15 62 551 1200 935 7550 122 102 230 264 31 3.3 22 0.35 0.2
2012 0.94 0.45 1.94 1.37 50 601 661 1160 8713 124 116 268 367 51 4.4 11 0.22 0.19
2013 1.29 0.5 2.26 1.58 63 664 460 1498 10212 112 144 283 448 35 2.3 6 0.1 0.21
2014 0.87 0.51 2.41 1.51 67 731 652 1755 11972 113 98 297 449 59 3.4 13 0.19 0.2
2015 0.85 0.5 2.13 1.36 64 795 578 1692 13666 130 111 304 412 73 4.3 18 0.28 0.19
2016 1.22 0.5 2.09 1.34 102 897 790 1876 15544 131 160 306 411 71 3.8 45 0.44 0.18
2017 1.1 0.5 2 1.15 64 961 386 1923 17467 166 182 346 397 47 2.4 21 0.33 0.18
2018 1.15 0.54 1.79 1.13 79 1040 399 1858 19329 166 191 360 405 79 4.3 26 0.33 0.21
2019 1.07 0.58 1.67 1.14 61 1101 229 1839 21169 143 153 376 428 43 2.3 21 0.34 0.21
2020 1.52 0.75 1.9 1.55 60 1161 63 2211 23380 140 213 370 574 64 2.9 16 0.27 0.29
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until 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: selft citations in y to articles published in y-1 plus y-2
%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
#YearTitleCited
11993A long memory property of stock market returns and a new model. (1993). Granger, Clive ; Engle, Robert ; Ding, Zhuanxin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106.

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1411
21996The 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

652
31997Intraday 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

546
42000Estimation 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.

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476
52003Improved 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.

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407
62007Measuring financial contagion: A Copula approach. (2007). Rodríguez, Juan ; Rodriguez, Juan Carlos. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:3:p:401-423.

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345
72004Investor 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.

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335
81996The econometrics of financial markets. (1996). pagan, adrian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102.

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322
92004Occasional 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.

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315
102003Emerging 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.

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299
112009International 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

293
122008Robust 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.

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258
131998Volatility 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.

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246
141997Volatilities 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.

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225
152009Investor 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

220
162005Forecasting 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.

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219
171993Common 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.

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216
182004Modelling 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.

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193
192006Instability 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.

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168
202004Market 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.

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165
212003A 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.

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165
222009Understanding 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.

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154
232005Testing 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.

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151
242003Univariate 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.

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148
251997The 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.

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146
261994Testing 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.

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143
272007Firm-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.

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140
282002Market 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.

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131
292001The specification of conditional expectations. (2001). Harvey, Campbell. In: Journal of Empirical Finance. RePEc:eee:empfin:v:8:y:2001:i:5:p:573-637.

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128
301999Forecasting 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.

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127
312003Predicting 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.

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115
322000Sensitivity 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.

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113
332011Stock 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.

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111
341998International 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.

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106
352004The 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.

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103
361999Economic 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.

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102
37CAPM 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.

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100
381994Alternative 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.

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100
392005Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects. (2005). Schlag, Christian ; Melvin, Michael ; Grammig, Joachim. In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:1:p:139-164.

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99
401997Forecasting 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.

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98
412008Are 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.

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98
422006In-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.

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96
432010Local 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.

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92
442008Does 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.

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91
452005The 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.

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90
462007Predictable behavior, profits, and attention. (2007). Wu, Guojun ; Seasholes, Mark S.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:5:p:590-610.

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89
471997High 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.

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87
482010A 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.

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87
492004Analysis of intraday herding behavior among the sector ETFs. (2004). Mathur, Ike ; Peterson, Mark A. ; Gleason, Kimberly C.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:5:p:681-694.

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85
501999A 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.

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85
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
11993A long memory property of stock market returns and a new model. (1993). Granger, Clive ; Engle, Robert ; Ding, Zhuanxin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106.

Full description at Econpapers || Download paper

182
22003Improved 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

106
32000Estimation 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

103
42004Investor 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

98
52008Robust 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

86
62009Investor 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

81
72009International 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

77
81997Intraday 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

67
92007Measuring financial contagion: A Copula approach. (2007). Rodríguez, 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

65
102004Occasional 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

53
112019Conditional tail-risk in cryptocurrency markets. (2019). Borri, Nicola. In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:1-19.

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50
122014Political uncertainty and bank loan contracting. (2014). HASAN, IFTEKHAR ; Francis, Bill B. ; Zhu, Yun. In: Journal of Empirical Finance. RePEc:eee:empfin:v:29:y:2014:i:c:p:281-286.

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49
132009Understanding 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

48
142005Forecasting 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

48
151997Volatilities 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

48
162004Market 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

46
171996The 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

43
182006Instability 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

41
192010Local 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

39
202018CRIX an Index for cryptocurrencies. (2018). Trimborn, Simon ; Hardle, Wolfgang Karl. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:107-122.

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35
212014On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets. (2014). Conrad, Christian ; Loch, Karin ; Rittler, Daniel . In: Journal of Empirical Finance. RePEc:eee:empfin:v:29:y:2014:i:c:p:26-40.

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35
222010A 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

34
232017Can investor sentiment be a momentum time-series predictor? Evidence from China. (2017). Li, Youwei ; Han, Xing . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:212-239.

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33
242007Firm-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

33
252007Predictable behavior, profits, and attention. (2007). Wu, Guojun ; Seasholes, Mark S.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:5:p:590-610.

Full description at Econpapers || Download paper

33
262011Stock 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.

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31
272018Oil and the short-term predictability of stock return volatility. (2018). Yin, Libo ; Wang, Yudong ; Wu, Chongfeng ; Wei, YU. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:90-104.

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30
282017Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model. (2017). Yin, Libo ; Wu, Chongfeng ; Wang, Yudong ; Pan, Zhiyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:130-142.

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292012When does investor sentiment predict stock returns?. (2012). Hung, Chi-Hsiou ; Chung, San-Lin ; Yeh, Chung-Ying . In: Journal of Empirical Finance. RePEc:eee:empfin:v:19:y:2012:i:2:p:217-240.

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302010Trading 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.

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312016A network approach to portfolio selection. (2016). Zareei, Abalfazl ; Peralta, Gustavo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:157-180.

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322011Nonparametric rank tests for event studies. (2011). Kolari, James W. ; Pynnonen, Seppo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:5:p:953-971.

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342012Stock 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.

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352019Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks. (2019). Cao, Yang ; Zhang, Yaojie ; Liao, Yin ; Ma, Feng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:52:y:2019:i:c:p:40-55.

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361993Common 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.

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372012Asymmetric capital structure adjustments: New evidence from dynamic panel threshold models. (2012). shin, yongcheol ; Dang, Viet ; Kim, Minjoo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:19:y:2012:i:4:p:465-482.

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382013What do price discovery metrics really measure?. (2013). Putni, Tlis J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:23:y:2013:i:c:p:68-83.

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391996The econometrics of financial markets. (1996). pagan, adrian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102.

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402016Tests for explosive financial bubbles in the presence of non-stationary volatility. (2016). Taylor, Robert ; Leybourne, Stephen ; Harvey, David ; Robert, AM ; Sollis, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:548-574.

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412008Regression 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.

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422018Forecasting stock market returns by summing the frequency-decomposed parts. (2018). Verona, Fabio ; Faria, Gonalo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:228-242.

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432011When 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.

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442015Market sentiment in commodity futures returns. (2015). Gao, Lin ; Suss, Stephan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:33:y:2015:i:c:p:84-103.

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452011Regulatory underpricing: Determinants of Chinese extreme IPO returns. (2011). Tian, Lihui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:1:p:78-90.

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462008Does 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.

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472006In-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.

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481997The 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.

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492016Exchange rates and commodity prices: Measuring causality at multiple horizons. (2016). Dufour, Jean-Marie ; Galbraith, John W ; Zhang, Hui Jun . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:100-120.

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502017Determinants of price discovery in the VIX futures market. (2017). Chen, Yu-Lun ; Tsai, Wei-Che. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:59-73.

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Citing documents used to compute impact factor: 213
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2020Equity premium prediction and optimal portfolio decision with Bagging. (2020). Yin, Anwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301686.

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2020Volatility interdependence on foreign exchange markets: The contribution of cross-rates. (2020). Kinkyo, Takuji. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301807.

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2020Beta dispersion and market timing. (2020). Kuntz, Laura-Chloe. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:235-256.

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2020Co-opted directors, gender diversity, and crash risk: evidence from China. (2020). Kao, Erin H ; Liu, Xiaojian ; Fung, Hung-Gay ; Huang, Ho-Chuan. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:2:d:10.1007_s11156-019-00850-3.

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2020The comparative and interactive effects of political, academic and financial directors. (2020). Liu, YU. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:546-565.

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2020Site visit information content and return predictability: Evidence from China. (2020). Cao, Jiawei ; Yue, Sishi ; Dong, Dayong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304280.

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2020Stock return predictability from a mixed model perspective. (2020). Zhu, Huan ; Dai, Zhifeng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:60:y:2020:i:c:s0927538x1930633x.

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2020Forecasting stock market returns: New technical indicators and two-step economic constraint method. (2020). Hong, Lianying ; Kang, Jie ; Dong, Xiaodi ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301133.

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2020Idiosyncratic momentum and the cross‐section of stock returns: Further evidence. (2020). Lin, QI. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:579-627.

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2020Profitability of momentum strategies in Latin America. (2020). Lizarzaburu, Edmundo ; Cardona, Emilio ; Berggrun, Luis. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301460.

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2020The idiosyncratic momentum anomaly. (2020). Vidojevic, Milan ; Hanauer, Matthias X ; Blitz, David. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:932-957.

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2020Fear of Hazards in Commodity Futures Markets. (2020). Miffre, Joelle ; Gonzalez-Fernandez, Marcos ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: MPRA Paper. RePEc:pra:mprapa:100528.

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2020Fear of Hazards in Commodity Futures Markets. (2020). Miffre, Joelle ; Gonzalez-Fernandez, Marcos ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: Post-Print. RePEc:hal:journl:hal-02931680.

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2020.

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2020Media attention and the volatility effect. (2020). van Vliet, Pim ; Swinkels, Laurens ; Huisman, Rob ; Blitz, David. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s154461231930409x.

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2020Asymmetry of retail investors’ attention and asymmetric volatility: Evidence from China. (2020). Xiong, Xiong ; Feng, XU ; Zhang, Wei ; Chen, Shuning. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612319309353.

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2020Fear of hazards in commodity futures markets. (2020). Miffre, Joelle ; Gonzalez-Fernandez, Marcos ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620301680.

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2020European equity markets: Who is the truly representative investor?. (2020). Alonso, Ana Belen ; Suarez, Javier Rojo ; Pozo, Ricardo Ferrero. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:325-346.

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2020Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activity. (2020). Nave, Juan ; Gonzalez-Sanchez, Mariano ; Rubio, Gonzalo. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919310876.

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2020PREDICTING SYSTEMATIC RISK WITH MACROECONOMIC AND FINANCIAL VARIABLES. (2020). Ibrushi, Denada ; Cenesizoglu, Tolga. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:649-673.

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2020Are Kuwaiti Stock Returns Affected by Fluctuations in Oil Prices?. (2020). Alshammari, Nayef ; Alshihab, Salem. In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:11:y:2020:i:6:p:1-9.

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2020Economic momentum and currency returns. (2020). Hasseltoft, Henrik ; Dahlquist, Magnus. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:152-167.

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2020Chinese Exchange Rate Policy: Lessons for Global Investors. (2020). Westermann, Frank ; Melvin, Michael . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8493.

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2020Unemployment Fluctuations and Currency Returns in the United Kingdom: Evidence from Over One and a Half Century of Data. (2020). GUPTA, RANGAN ; Demirer, Riza ; Kotze, Kevin ; Bathia, Deven. In: Working Papers. RePEc:pre:wpaper:202083.

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2020Business cycles and currency returns. (2020). Sarno, Lucio ; Riddiough, Steven J ; Colacito, Riccardo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:3:p:659-678.

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2020Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios. (2020). Unal, Gazanfer ; Demirel, Mustafa. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00203-3.

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2020Corporate governance and life cycles in emerging markets. (2020). Esqueda, Omar A ; Oconnor, Thomas. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919306968.

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2020Short selling and corporate tax avoidance: Insights from a financial constraint view. (2020). Ni, Xiaoran ; Luo, Jinbo ; Tian, Gary Gang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x20300019.

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2020The unintended real effects of short selling in an emerging market. (2020). Yin, Sirui ; Ni, Xiaoran. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920301036.

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2020Deregulation of short-selling constraints and cost of bank loans: Evidence from a quasi-natural experiment. (2020). Wu, Yuhui ; Liu, Xiaoling ; Chou, Robin K ; Chen, Shenglan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:64:y:2020:i:c:s0927538x20306727.

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2020Trade clustering and power laws in financial markets. (2020). Nirei, Makoto ; Watanabe, Tsutomu ; Stachurski, John. In: Theoretical Economics. RePEc:the:publsh:3523.

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2020Oil price assumptions for macroeconomic policy. (2020). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:100705.

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2020.

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2020Bank risk, competition and bank connectedness with firms: A literature review. (2020). Lapteacru, Ion ; Badarau, Cristina. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919301291.

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2020Labor and finance: the effect of bank relationships. (2020). Oliveira, Raquel ; Norden, Lars ; Behr, Patrick. In: Working Papers Series. RePEc:bcb:wpaper:534.

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2020Air pollution, individual investors, and stock pricing in China. (2020). Lu, Jing ; Wu, Qinin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:67:y:2020:i:c:p:267-287.

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2020Corporate Bond Market in Poland—Prospects for Development. (2020). Kubiczek, Jakub. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:12:p:306-:d:455213.

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2020How does air pollution-induced fund-manager mood affect stock markets in China?. (2020). Lu, Jing ; Chou, Robin K ; Wu, Qinqin. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303269.

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2020Consumer finance/household finance: the definition and scope. (2020). Tao, Chunsheng ; Xiao, Jing Jian. In: China Finance Review International. RePEc:eme:cfripp:cfri-04-2020-0032.

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2020What drives the market for exchange-traded notes?. (2020). Rakowski, David ; Shirley, Sara. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302766.

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2020Do natural disasters and geopolitical risks matter for cross-border country exchange-traded fund returns?. (2020). Lee, Chien-Chiang ; Chen, Mei-Ping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819303183.

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2020Happiness sentiments and the prediction of cross-border country exchange-traded fund returns. (2020). Lee, Chien-Chiang ; Chen, Mei-Ping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301510.

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2020Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China. (2020). Li, Steven ; Hou, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:166-188.

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2020The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry. (2020). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302040.

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2020Sustainable Portfolio Optimization with Higher-Order Moments of Risk. (2020). Waqar, Syed M ; Imdad, Rana Shahid ; Khan, Kanwal Iqbal ; Ghafoor, Muhammad Mudassar. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:5:p:2006-:d:328913.

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2020Modeling asset returns under time-varying semi-nonparametric distributions. (2020). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301369.

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2020Co-opted directors, covenant intensity, and covenant violations. (2020). Vu, Tram ; Do, Viet ; Lim, Jesslyn. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920300729.

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2020A comparison of non-Gaussian VaR estimation and portfolio construction techniques. (2020). Lizieri, Colin ; Satchell, Stephen ; Allen, David. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:356-368.

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2020Pitfalls in long memory research. (2020). , Chandrashekhar ; Madhavan, Vinodh ; Saha, Kunal ; McMillan, David ; Shekhar, Chandra. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:8:y:2020:i:1:p:1733280.

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2020Seasonality in the Cross-Section of Cryptocurrency Returns. (2020). Demir, Ender ; Long, Huaigang ; Vasenin, Mikhail ; Szczygielski, Jan Jakub ; Zaremba, Adam. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s154461232030235x.

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2020Eastern Halloween effect: A stochastic dominance approach. (2020). Li, YA ; Ali, Y ; Chow, Sheung Chi ; Cheng, Wui Wing ; Chui, David. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:68:y:2020:i:c:s1042443120301256.

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2020The devil in the style: Mutual fund style drift, performance and common risk factors. (2020). Sha, Yezhou. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:264-273.

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2020Can foreign equity funds outperform their benchmarks? New evidence from fund-holding data for China. (2020). Yan, Cheng ; Wang, Guipu ; Zhang, Jinhua. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:11-20.

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2020The macroeconomic drivers in hedge fund beta management. (2020). Platania, Federico ; Lambert, Marie. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:65-80.

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2020Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies. (2020). Reule, Raphael ; Hardle, Wolfgang Karl ; Raphael, ; Petukhina, Alla A. In: Papers. RePEc:arx:papers:2009.04200.

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2020Editorial: Understanding Cryptocurrencies. (2020). Reule, Raphael ; Raphael, ; Harvey, Campbell R ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2007.14702.

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2020Deep learning-based cryptocurrency sentiment construction. (2020). Nasekin, Sergey ; Chen, Cathy Yi-Hsuan. In: Digital Finance. RePEc:spr:digfin:v:2:y:2020:i:1:d:10.1007_s42521-020-00018-y.

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2020Crypto assets: the role of ICO tokens within a well-diversified portfolio. (2020). Adhami, Saman ; Guegan, Dominique. In: Economia e Politica Industriale: Journal of Industrial and Business Economics. RePEc:spr:epolin:v:47:y:2020:i:2:d:10.1007_s40812-019-00141-x.

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2020Should investors include Bitcoin in their portfolios? A portfolio theory approach. (2020). Urquhart, Andrew ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:52:y:2020:i:4:s0890838919300605.

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2020The prevalence of price overreactions in the cryptocurrency market. (2020). Czudaj, Robert ; Borgards, Oliver. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:65:y:2020:i:c:s1042443120300780.

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2020Economic fundamentals or investor perceptions? The role of uncertainty in predicting long-term cryptocurrency volatility. (2020). Su, Zhi ; Fang, Tong ; Yin, Libo. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920302106.

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2020Weekly dynamic conditional correlations among cryptocurrencies and traditional assets. (2020). Fernandez Bariviera, Aurelio ; Savva, Christos S ; Aslanidis, Nektarios. In: Working Papers. RePEc:urv:wpaper:2072/417680.

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2020CRYPTOCURRENCIES BETWEEN UTOPIA AND REALITY. (2020). Socol, Adela. In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2020:v:5:p:200-207.

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2020Exploring the dependencies among main cryptocurrency log-returns: A hidden Markov model. (2020). Bartolucci, Francesco ; Ametrano, Ferdinando ; Forte, Gianfranco ; Pennoni, Fulvia. In: MPRA Paper. RePEc:pra:mprapa:106150.

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2020Blockchain mechanism and distributional characteristics of cryptos. (2020). Khowaja, Kainat ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan ; Lin, Min-Bin. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2020027.

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2020Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market. (2020). Gil-Alana, Luis ; Martin-Valmayor, Miguel ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8171.

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2020Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing. (2020). Wang, Weining ; Hou, Ai Jun ; Christiansen, Charlotte ; Asgharian, Hossein. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2020020.

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2020Estimation of conditional asset pricing models with integrated variables in the beta specification. (2020). Kourogenis, Nikolaos ; Caporale, Guglielmo Maria ; Pittis, Nikitas ; Antypas, Antonios. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531918303490.

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2020Raising short-term debt for long-term investment and stock price crash risk: Evidence from China. (2020). Yao, Shouyu ; Wang, Chunfeng ; Fang, Zhenming ; Chiao, Chaoshin ; Cheng, Feiyang. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319300972.

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2020Follow the smart money: Factor forecasting in China. (2020). Qiao, Xiao ; Chi, Yeguang ; Chen, Qinhua. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x1930753x.

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2020Multifractal analysis of Indian public sector enterprises. (2020). Manimaran, P ; Krishna, Gopal M ; Charutha, S. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:557:y:2020:i:c:s0378437120304568.

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2020Asymmetric information and daily stock prices in Brazil. (2020). Ichimura, Denis ; Videira, Raphael ; Ripamonti, Alexandre. In: Estudios Gerenciales. RePEc:col:000129:019082.

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2020Resiliency: Cross-venue dynamics with Hawkes processes. (2020). Pelizzon, Loriana ; Vozian, Katia ; Sagade, Satchit. In: SAFE Working Paper Series. RePEc:zbw:safewp:291.

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2020The paradoxical effects of market fragmentation on adverse selection risk and market efficiency. (2020). Mare, Davide Salvatore ; Sun, Yuxin ; Ibikunle, Gbenga. In: The European Journal of Finance. RePEc:taf:eurjfi:v:26:y:2020:i:14:p:1439-1461.

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2020Why does stock-market investor sentiment influence corporate investment?. (2020). Du, Ding ; Hu, OU. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:4:d:10.1007_s11156-019-00823-6.

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2020Stock market reactions to domestic sentiment: Panel CS-ARDL evidence. (2020). , Walid. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919303873.

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2020Mutual fund selection for realistically short samples. (2020). Christiansen, Charlotte ; Nielsen, Ole L ; Gronborg, Niels S. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:218-240.

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2020Incorporating time‐varying jump intensities in the mean‐variance portfolio decisions. (2020). Wu, Chongfeng ; Zhou, Chunyang ; Xu, Weidong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:460-478.

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2020Bond Lending and the Law of One Price in Chinas Treasury Markets. (2020). Wang, Yabin ; Magnani, Jacopo. In: MPRA Paper. RePEc:pra:mprapa:105027.

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2020A nonparametric approach to portfolio shrinkage. (2020). Han, Chulwoo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:120:y:2020:i:c:s0378426620302156.

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2020Governance by depositors, bank runs and ambiguity aversion. (2020). Guillemin, François. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919304878.

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2020Volatility dynamics of crypto-currencies’ returns: Evidence from asymmetric and long memory GARCH models. (2020). Fakhfekh, Mohamed ; Jeribi, Ahmed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s027553191930056x.

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2020Technical trading rules in the cryptocurrency market. (2020). Sapkota, Niranjan ; Ahmed, Shaker ; Grobys, Klaus. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612319308852.

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2020Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches. (2020). Tiwari, Aviral ; Raheem, Ibrahim ; Trabelsi, Nader ; Alqahtani, Faisal. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304438.

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2020Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets. (2020). Pedio, Manuela ; Guidolin, Massimo ; Bianchi, Daniele. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20143.

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2020Exploring the short-term momentum effect in the cryptocurrency market. (2020). Nguyen, HA ; Parikh, Nirav Y ; Liu, Bin. In: Evolutionary and Institutional Economics Review. RePEc:spr:eaiere:v:17:y:2020:i:2:d:10.1007_s40844-020-00176-z.

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2020Asymmetric effects of monetary policy easing and tightening. (2020). Gambetti, Luca ; Forni, Mario ; Oliveras, Ester ; Pianese, Fabio ; Ramos, Simona. In: Economics Working Papers. RePEc:upf:upfgen:1742.

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2020What drives Bitcoin’s price crash risk?. (2020). Urquhart, Andrew ; Sakkas, Athanasios ; Papakyriakou, Panayiotis ; Kalyvas, Antonios. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519303908.

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2020Tail Risk Measurement In Crypto-Asset Markets. (2020). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Mojtahedi, Fatemeh. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0186.

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2020Re-evaluating cryptocurrencies contribution to portfolio diversification -- A portfolio analysis with special focus on German investors. (2020). Hoffmann, Ingo ; Schmitz, Tim. In: Papers. RePEc:arx:papers:2006.06237.

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2020Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Kang, Woo-Young. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8324.

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2020The relationship between the economic policy uncertainty and the cryptocurrency market. (2020). Yen, Kuang-Chieh ; Cheng, Hui-Pei. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319309596.

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2020Profitability of technical trading rules among cryptocurrencies with privacy function. (2020). Grobys, Klaus ; Ahmed, Shaker ; Sapkota, Niranjan. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612320300829.

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2020Intelligent forecasting with machine learning trading systems in chaotic intraday Bitcoin market. (2020). Bekiros, Stelios ; Lahmiri, Salim. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:133:y:2020:i:c:s0960077920300400.

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2020Is Downside Risk Priced In Cryptocurrency Market?. (2020). Dobrynskaya, Victoria. In: HSE Working papers. RePEc:hig:wpaper:79/fe/2020.

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2020Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach. (2020). Yao, Kai ; Chevapatrakul, Thanaset ; Nguyen, Linh Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:333-355.

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2020Regulation spillovers across cryptocurrency markets. (2020). Borri, Nicola ; Shakhnov, Kirill . In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612319307470.

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2020Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis. (2020). Zhu, Huiming ; Qiao, Xingzhi ; Hau, Liya. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s105752192030185x.

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2020A novel two-stage approach for cryptocurrency analysis. (2020). Sun, Yuying ; Yang, Boyu ; Wang, Shouyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302118.

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2020Portfolio optimization in the era of digital financialization using cryptocurrencies. (2020). Wang, Zi Long ; Liu, Miao ; Ahmad, Ferhana. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:161:y:2020:i:c:s004016252031091x.

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2020.

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2020Joint analysis of semicontinuous data with latent variables. (2020). Feng, Xiangnan ; Wang, Xiaoqing ; Song, Xinyuan. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:151:y:2020:i:c:s0167947320300967.

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2020The Investment Performance of Ethical Equity Funds in Malaysia. (2020). Rahman, Shafiqur ; Bhatti, Ishaq M ; Mansor, Fadillah ; Do, Hung Quang. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:219-:d:416594.

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2020Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin. (2020). Širaňová, Mária ; Molnár, Peter ; Lyócsa, Štefan ; Iraova, Maria ; Plihal, Toma ; Molnar, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301482.

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2020Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models. (2020). Ma, Feng ; Mei, Dexiang ; Wang, LU ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304219.

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2020Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets. (2020). Smyth, Russell ; Bissoondoyal-Bheenick, Emawtee ; Brooks, Robert. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300281.

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2020On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks. (2020). Zhang, Dayong ; Klein, Tony ; Ji, Qiang ; Luo, Jiawen ; Todorova, Neda. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301213.

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2020The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic. (2020). Wang, Jiqian ; Ma, Feng ; Liang, Chao. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612320308515.

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2020Fisher Effect: An Empirical Re-examination in Case of India. (2020). Kamaiah, Bandi ; Bhat, Sajad Ahmad ; Danish, Shadab ; Adil, Masudul Hasan. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00590.

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2020Fundamental strength strategy: The role of investor sentiment versus limits to arbitrage. (2020). Sun, Licheng ; Zhu, Zhaobo ; Yung, Kenneth. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521919304284.

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2020Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting. (2020). Valls Pereira, Pedro ; Hallin, Marc ; Trucios, Carlos Cesar ; Hotta, Luiz Koodi. In: Textos para discussão. RePEc:fgv:eesptd:521.

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2020Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983.

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2020Jump probability using volatility periodicity filters in US Dollar/Euro exchange rates. (2020). Yi, Chae-Deug. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300814.

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2020Real effects of lending-based crowdfunding platforms on the SMEs. (2020). Mahdavi Ardekani, Aref ; Havrylchk, Olena. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:20024.

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2020Real effects of lending-based crowdfunding platforms on the SMEs. (2020). , Olenahavrylchyk ; Mahdavi-Ardekani, Aref ; Havrylchyk, Olena. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-02994903.

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2020Real effects of lending-based crowdfunding platforms on the SMEs. (2020). , Olenahavrylchyk ; Mahdavi-Ardekani, Aref ; Havrylchyk, Olena. In: Post-Print. RePEc:hal:journl:halshs-02994903.

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2020Is there an employee-based gender gap in informal financial markets? International evidence. (2020). An, Jiafu. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301814.

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2020Redistribution beyond equality and status quo - heterogeneous societies in the lab. (2021). Hausfeld, Jan ; Renerte, Baiba ; Twardawski, Torsten . In: TWI Research Paper Series. RePEc:twi:respas:0121.

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2020Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models. (2020). Leonardos, Stefanos ; Koki, Constandina ; Piliouras, Georgios. In: Papers. RePEc:arx:papers:2011.03741.

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2020Comparison of Forex Market Forecasting Tools Based on Evolino Ensemble and Technical Analysis Indicators. (2020). Stankeviien, Jelena ; Maknickien, Nijol ; Maknickas, Algirdas. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2020:i:3:p:134-148.

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2020Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation. (2020). Lapshin, Victor ; Makushkin, Mikhail. In: Applied Econometrics. RePEc:ris:apltrx:0386.

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2020How safe are european safe bonds? An analysis from the perspective of modern credit risk models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620302016.

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2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

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2020Drivers of Bank Default Risk: Bank Business Models, the Sovereign and Monetary Policy. (2020). Vander Vennet, Rudi ; Soenen, Nicolas. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:20/997.

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2020Dominance of hybrid contratum strategies over momentum and contrarian strategies: half a century of evidence. (2020). Otchere, Isaac ; Abukari, Kobana. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:4:d:10.1007_s11408-020-00363-3.

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2020Forecasting Oil Price by Hierarchical Shrinkage in Dynamic Parameter Models. (2020). Wei, YU ; Liu, Yuntong. In: Discrete Dynamics in Nature and Society. RePEc:hin:jnddns:6640180.

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2020Prioritizing driving factors of household carbon emissions: An application of the LASSO model with survey data. (2020). Shi, Xunpeng ; Zhang, Hongwu ; Se, Tsun ; Wang, Keying. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302826.

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2020Asset mispricing in peer-to-peer loan secondary markets. (2020). Talavera, Oleksandr ; Pham, Tho ; Caglayan, Mustafa ; Xiong, Xiong. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920302133.

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2020Liquidity, implied volatility and tail risk: A comparison of liquidity measures. (2020). Righi, Marcelo Brutti ; Ramos, Henrique Pinto. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301071.

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2020Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root. (2020). Tu, Yundong ; Lin, Yingqian. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:52-65.

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2020A Review of the Post-Earnings-Announcement Drift. (2020). Fink, Josef. In: Working Paper Series, Social and Economic Sciences. RePEc:grz:wpsses:2020-04.

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2020Robust Inference in the Capital Asset Pricing Model Using the Multivariate t -distribution. (2020). Molina, Alonso ; Curci, Roberto ; Cademartori, David ; Galea, Manuel. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:123-:d:370994.

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2020Time-varying beta in functional factor models: Evidence from China. (2020). Horvath, Lajos ; Liu, Zhenya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301753.

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2020How does economic policy uncertainty affect the bitcoin market?. (2020). Li, Xiao ; Wang, Pengfei ; Zhang, Wei ; Shen, Dehua. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919308037.

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2020Understanding risk of bubbles in cryptocurrencies. (2020). Molnár, Peter ; Molnar, P ; Luivjanska, K ; Landsnes, Ch J ; Enoksen, F A. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:176:y:2020:i:c:p:129-144.

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2020Forecasting Volatility of Energy Commodities: Comparison of GARCH Models with Support Vector Regression. (2020). Fiszeder, Piotr ; Faldzinski, Marcin ; Orzeszko, Witold ; Fadziski, Marcin. In: Energies. RePEc:gam:jeners:v:14:y:2020:i:1:p:6-:d:466264.

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2020Catching Gazelles with a Lasso: Big data techniques for the prediction of high-growth firms. (2020). Srhoj, Stjepan ; Coad, Alex. In: Small Business Economics. RePEc:kap:sbusec:v:55:y:2020:i:3:d:10.1007_s11187-019-00203-3.

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2020Reliable factors of Capital structure: Stability selection approach. (2020). Movaghari, Hadi ; Sohrabi, Narges. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:296-310.

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2020A multi-granularity heterogeneous combination approach to crude oil price forecasting. (2020). Zhou, Hao ; Wang, Jue ; Li, Xiang ; Hong, Tao. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320301304.

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2020Using a Text Mining Approach to Hear Voices of Customers from Social Media toward the Fast-Food Restaurant Industry. (2020). Chen, Long-Sheng ; Riantama, Dalianus. In: Sustainability. RePEc:gam:jsusta:v:13:y:2020:i:1:p:268-:d:470496.

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2020Are Growth Led Financing Decisions Causing Insolvency in Listed Firms of Pakistan?. (2020). Hussain, Rana Yassir. In: Zagreb International Review of Economics and Business. RePEc:zag:zirebs:v:23:y:2020:i:2:p:89-115.

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2020A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978.

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Recent citations
Recent citations received in 2020

YearCiting document
2020The Uncertain Shape of Grey Swans: Extreme Value Theory with Uncertain Threshold. (2020). Poorvasei, Hossein ; Arian, Hamidreza ; Zamani, Shiva ; Sharifi, Azin. In: Papers. RePEc:arx:papers:2011.06693.

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2020Trading on Long-term Information. (2020). Garriott, Corey ; Riordan, Ryan. In: Staff Working Papers. RePEc:bca:bocawp:20-20.

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2020National culture and (dis)trust in banks: Cross‐country evidence. (2020). Ahunov, Muzaffarjon ; van Hove, Leo. In: Economic Notes. RePEc:bla:ecnote:v:49:y:2020:i:3:n:e12165.

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2020Industry equi-correlation: A powerful predictor of stock returns. (2020). Wu, Wenfeng ; Pan, Zhiyuan ; Wang, Yudong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:1-24.

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2020Do political connections shield from negative shocks? Evidence from rating changes in advanced emerging economies. (2020). Winkler-Drews, Tadeusz ; Podgorski, Baej ; Kozowski, Ukasz ; Jackowicz, Krzysztof. In: Journal of Financial Stability. RePEc:eee:finsta:v:51:y:2020:i:c:s1572308920300851.

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2020Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns. (2020). Maydybura, Alina ; Umutlu, Mehmet ; Zaremba, Adam. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:121:y:2020:i:c:s0378426620302284.

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2020The dynamics of energy prices and the Norwegian economy: A common trends and common cycles analysis. (2020). Basnet, Hem C ; Vatsa, Puneet. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720302920.

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2020Stock market reactions to domestic sentiment: Panel CS-ARDL evidence. (2020). , Walid. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919303873.

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2020Professional Ethics in Accounting as Assessed by Managers of Economic Units. (2020). Voss, Grazyna ; Huterski, Robert ; Huterska, Agnieszka. In: European Research Studies Journal. RePEc:ers:journl:v:xxiii:y:2020:i:special1:p:720-731.

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2020.

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2020.

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2020Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market. (2020). Plastun, Alex ; GUPTA, RANGAN ; Sibande, Xolani ; Wohar, Mark E. In: Working Papers. RePEc:pre:wpaper:202016.

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2020Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic. (2020). Ali, Shoaib ; Yousaf, Imran. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00213-1.

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2020Increasing systemic risk during the Covid-19 pandemic: A cross-quantilogram analysis of the banking sector. (2020). Výrost, Tomᚠ; Baumohl, Eduard ; Vrost, Toma ; Hussain, Syed Jawad ; Hoang, Thi-Hong-Van, ; Bouri, Elie. In: EconStor Preprints. RePEc:zbw:esprep:222580.

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Recent citations received in 2019

YearCiting document
2019A Robust Transferable Deep Learning Framework for Cross-sectional Investment Strategy. (2019). Komiyama, Junpei ; Abe, Masaya ; Nakagawa, Kei. In: Papers. RePEc:arx:papers:1910.01491.

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2019Systemic Risk: Fire-Walling Financial Systems Using Network-Based Approaches. (2019). Bertschinger, Nils ; Sasidevan, V. In: Papers. RePEc:arx:papers:1912.05273.

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2019Liquidity and tail-risk interdependencies in the euro area sovereign bond market. (2019). Clancy, Daragh ; Filiani, Pasquale ; Dunne, Peter G. In: Research Technical Papers. RePEc:cbi:wpaper:11/rt/19.

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2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios-Maza, Carlos Cesar. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066.

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2019On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting. (2019). Hallin, Marc ; Valls, Pedro L ; Hotta, Luis K ; Trucios-Maza, Carlos Cesar. In: Working Papers ECARES. RePEc:eca:wpaper:2013/298201.

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2019Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches. (2019). Ma, Feng ; Zhang, Yaojie ; Wei, YU. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1109-1120.

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2019Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets. (2019). Ma, Feng ; Chen, Yixiang ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:52-62.

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2019Geopolitical risk and oil volatility: A new insight. (2019). Liu, Jing ; Zhang, Yaojie ; Tang, Yingkai ; Ma, Feng. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303433.

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2019Analyzing the economic sources of oil price volatility: An out-of-sample perspective. (2019). Liu, LI ; Meng, Fanyi . In: Energy. RePEc:eee:energy:v:177:y:2019:i:c:p:476-486.

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2019Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks. (2019). Wang, Yudong ; Meng, Fanyi ; Geng, Qianjie. In: Energy. RePEc:eee:energy:v:181:y:2019:i:c:p:815-826.

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2019Measuring the connectedness of European electricity markets using the network topology of variance decompositions. (2019). Fang, Libing ; Peng, Xuerong ; Yang, YE ; Xiao, Binqing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119313172.

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2019Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios, Carlos. In: Textos para discussão. RePEc:fgv:eesptd:505.

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2019Positive Liquidity Spillovers from Sovereign Bond-Backed Securities. (2019). Dunne, Peter. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:58-:d:221149.

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2019A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings. (2019). Gherghina, Åžtefan ; PANAIT, Iulian ; Armeanu, Daniel Tefan ; Badea, Leonardo . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:5:p:1325-:d:210534.

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2019Modeling Investor Behavior Using Machine Learning: Mean-Reversion and Momentum Trading Strategies. (2019). Tabak, Benjamin ; Silva, Thiago ; Ferreira, Idamar Magalhes. In: Complexity. RePEc:hin:complx:4325125.

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2019Common Risk Factors in Cryptocurrency. (2019). Wu, XI ; Tsyvinski, Aleh ; Liu, Yukun. In: NBER Working Papers. RePEc:nbr:nberwo:25882.

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2019Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets. (2019). He, Zhiguo ; Chen, Hui ; Xie, Rengming ; Liu, Jinyu . In: NBER Working Papers. RePEc:nbr:nberwo:26520.

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2019Liquidity and tail-risk interdependencies in the euro area sovereign bond market. (2019). Filiani, Pasquale ; Dunne, Peter G ; Clancy, Daragh. In: Working Papers. RePEc:stm:wpaper:41.

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2019Lévy processes on the cryptocurrency market. (2019). Ziba, Damian. In: Working Papers. RePEc:war:wpaper:2019-15.

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2019Phenotypic convergence of cryptocurrencies. (2019). Yatracos, Yannis ; Kolossiatis, Michalis ; Hardle, Wolfgang Karl ; Wesselhofft, Niels ; Pele, Daniel Traian. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2019018.

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Recent citations received in 2018

YearCiting document
2018Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds Alphas?. (2018). Guidolin, Massimo ; Pedio, Manuela ; Berglund, Alexander. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1884.

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2018The equity risk premium and the low frequency of the term spread. (2018). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_007.

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2018Quantitative easing and sovereign bond yields: a global perspective. (2018). Migiakis, Petros ; Malliaropulos, Dimitrios. In: Working Papers. RePEc:bog:wpaper:253.

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2018Trade Clustering and Power Laws in Financial Markets. (2018). Nirei, Makoto ; Watanabe, Tsutomu ; Stachurski, John. In: CARF F-Series. RePEc:cfi:fseres:cf450.

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2018Volatility Risk Pass-Through. (2018). Colacito, Riccardo ; Shaliastovich, Ivan ; Liu, Yang ; Croce, Mariano Massimiliano. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13325.

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2018Oil prices and news-based uncertainty: Novel evidence. (2018). Yin, Libo ; Su, Zhi ; Lu, Man. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:331-340.

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2018Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409.

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2018Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets. (2018). Mishra, Anil ; Ahmad, Wasim ; Daly, Kevin. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:117-133.

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2018What makes the bonding stick? A natural experiment testing the legal bonding hypothesis. (2018). Licht, Amir N ; Siegel, Jordan I ; Poliquin, Christopher . In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:2:p:329-356.

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2018Equity market momentum: A synthesis of the literature and suggestions for future work. (2018). Subrahmanyam, Avanidhar. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:51:y:2018:i:c:p:291-296.

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2018Volatility forecasting: Global economic policy uncertainty and regime switching. (2018). Yu, Miao ; Song, Jinguo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:511:y:2018:i:c:p:316-323.

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2018Simple Market Timing with Moving Averages. (2018). McAleer, Michael ; Laurila, H ; Ilomaki, J. In: Econometric Institute Research Papers. RePEc:ems:eureir:107290.

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2018Market Timing with Moving Averages. (2018). McAleer, Michael ; Laurila, H ; Ilomaki, J. In: Econometric Institute Research Papers. RePEc:ems:eureir:110015.

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2018Predicting Currency Crises: A Novel Approach Combining Random Forests and Wavelet Transform. (2018). Hamori, Shigeyuki ; Kinkyo, Takuji ; Xu, Lei. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:86-:d:187697.

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2018Market Timing with Moving Averages. (2018). McAleer, Michael ; Laurila, Hannu ; Ilomaki, Jukka. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:7:p:2125-:d:153797.

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2018Volatility Risk Pass-through. (2018). Croce, Mariano ; Shaliastovich, Ivan ; Liu, Yang ; Colacito, Riccardo. In: NBER Working Papers. RePEc:nbr:nberwo:25276.

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2018The Role of Monetary Policy Uncertainty in Predicting Equity Market Volatility of the United Kingdom: Evidence from over 150 Years of Data. (2018). Wohar, Mark ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201851.

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2018On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics. (2018). GUPTA, RANGAN ; Gabauer, David ; Subramaniam, Sowmya. In: Working Papers. RePEc:pre:wpaper:201864.

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2018Asymmetric Information, Predictability and Momentum in the Corporate Bond Market. (2018). Galvani, Valentina ; Li, Lifang. In: Working Papers. RePEc:ris:albaec:2018_017.

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2018Volatility of ruble exchange rate: Oil and sanctions. (2018). Peresetsky, Anatoly ; Aganin, Artem. In: Applied Econometrics. RePEc:ris:apltrx:0353.

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2018Price-Based Investment Strategies. (2018). Shemer, Jacob Koby ; Zaremba, Adam. In: Springer Books. RePEc:spr:sprbok:978-3-319-91530-2.

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2018Regulating the doom loop. (2018). Langfield, Sam ; Alogoskoufis, Spyros. In: ESRB Working Paper Series. RePEc:srk:srkwps:201874.

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2018Simple Market Timing with Moving Averages. (2018). McAleer, Michael ; Laurila, Hannu ; Ilomaki, Jukka. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180048.

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2018Sovereign to Corporate Risk Spillovers. (2018). Breckenfelder, Johannes ; Augustin, Patrick ; Schnitzler, Jan ; Boustanifar, Hamid. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:50:y:2018:i:5:p:857-891.

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2018How Sensitive are Tail-related Risk Measures in a Contamination Neighbourhood?. (2018). Ling, Chengxiu ; Hardle, Wolfgang Karl. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2018010.

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2018Deep learning-based cryptocurrency sentiment construction. (2018). Chen, Cathy Yi-Hsuan ; Nasekin, Sergey. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2018066.

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Recent citations received in 2017

YearCiting document
2017Robust estimation of cost efficiency in non-parametric frontier models. (2017). Golovan, Sergei ; Simm, Jaak ; Besstremyannaya, Galina. In: Working Papers. RePEc:abo:neswpt:w0244.

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2017Measuring Price Discovery between Nearby and Deferred Contracts in Storable and Non-Storable Commodity Futures Markets. (2017). serra, teresa ; Garcia, Philip ; Mallory, Mindy ; Hu, Zhepeng. In: Papers. RePEc:arx:papers:1711.03506.

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2017Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?. (2017). Guidolin, Massimo ; Caloiero, Elvira. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1763.

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2017Successive short‐selling ban lifts and gradual price efficiency: evidence from China. (2017). Xiong, Xiong ; Feng, XU ; Gao, YA. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:5:p:1557-1604.

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2017MARKETING STRATEGY AFTER MEETING WALL STREET: THE ROLE OF INFORMATION ASYMMETRY. (2017). Ma, Minghui ; Huang, Jian ; Dewally, Michael. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:3:p:369-400.

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2017Forecasting Stock Returns: A Predictor-Constrained Approach. (2017). Wang, Yudong ; Pettenuzzo, Davide. In: Working Papers. RePEc:brd:wpaper:116.

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2017A multi-factor predictive model for oil-US stock nexus with persistence, endogeneity and conditional heteroscedasticity effects. (2017). Salisu, Afees ; Oloko, Tirimisiyu ; Swaray, Raymond. In: Working Papers. RePEc:cui:wpaper:0024.

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2017Generalized financial ratios to predict the equity premium. (2017). Algaba, Andres ; Boudt, Kris. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:244-257.

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2017Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks. (2017). Xyngis, Georgios. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:43-65.

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2017Do institutional investors reinforce or reduce agency problems? Earnings management and the post-IPO performance. (2017). Lo, Huai-Chun ; Kweh, Qian Long ; Wu, Ruei-Shian . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:62-76.

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2017Does the removal of the IPO lockup matter in IPO pricing?. (2017). Liu, Jinzhao ; Chan, Kam C ; Gao, Shenghao. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:246-252.

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2017Can economic policy uncertainty and investors sentiment predict commodities returns and volatility?. (2017). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Balcilar, Mehmet ; Hussain, Syed Jawad ; Raza, Naveed ; Ali, Sajid. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:208-218.

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2017Jump risk premia across major international equity markets. (2017). AROURI, Mohamed ; Pukthuanthong, Kuntara ; Msaddek, Oussama. In: Post-Print. RePEc:hal:journl:hal-02083723.

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2017The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry. In: Working Papers. RePEc:otg:wpaper:1710.

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2017Fund Performance and Equity Lending: Why Lend What You Can Sell?. (2017). Ferreira, Miguel ; Prado, Melissa Porras ; Evans, Richard . In: Review of Finance. RePEc:oup:revfin:v:21:y:2017:i:3:p:1093-1121..

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2017Structural change in non-stationary AR(1) models. (2017). CHONG, Terence Tai Leung ; Liang, Yanling ; Zhang, Danna ; Pang, Tianxiao . In: MPRA Paper. RePEc:pra:mprapa:80510.

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2017The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry. In: MPRA Paper. RePEc:pra:mprapa:81638.

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2017The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility. (2017). Wohar, Mark ; Suleman, Tahir ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201770.

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2017Testing time series for the bubbles (with application to Russian data). (2017). Skrobotov, Anton ; Sinelnikova-Muryleva, Elena. In: Applied Econometrics. RePEc:ris:apltrx:0319.

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2017Tests for an end-of-sample bubble in financial time series. (2017). Taylor, Robert ; Leybourne, Stephen ; Harvey, David ; Astill, Sam. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:6-9:p:651-666.

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2017Quantile relationships between standard, diffusion and jump betas across Japanese banks. (2017). Dungey, Mardi ; Jeyasreedharan, Nagaratnam ; Chowdhury, Biplob. In: Working Papers. RePEc:tas:wpaper:23638.

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