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Citation Profile [Updated: 2021-07-01 06:51:03]
5 Years H
68
Impact Factor
1.48
5 Years IF
1.52
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 1733 1 4 0 0 0 1 0.17 0.05
1994 0.5 0.12 0.5 0.5 10 16 379 6 12 6 3 6 3 0 3 0.3 0.06
1995 1 0.19 0.7 1 14 30 277 20 33 16 16 16 16 2 10 2 0.14 0.08
1996 0.92 0.22 1.25 1.37 18 48 1238 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 1195 49 144 32 15 48 42 7 14.3 4 0.31 0.1
1998 1.39 0.26 1.08 1.15 17 78 689 79 228 31 43 61 70 2 2.5 2 0.12 0.12
1999 1.23 0.28 1.43 1.22 23 101 665 137 372 30 37 72 88 6 4.4 5 0.22 0.13
2000 0.88 0.32 1.68 1.34 19 120 994 197 573 40 35 85 114 15 7.6 4 0.21 0.14
2001 1.02 0.35 1.72 1.53 25 145 592 243 823 42 43 90 138 6 2.5 8 0.32 0.15
2002 0.73 0.37 1.61 1.09 26 171 693 268 1099 44 32 97 106 14 5.2 12 0.46 0.19
2003 0.92 0.4 2.14 1.25 26 197 1789 414 1521 51 47 110 138 17 4.1 34 1.31 0.19
2004 1.63 0.45 2.23 1.5 32 229 1529 486 2032 52 85 119 178 23 4.7 16 0.5 0.2
2005 1.66 0.46 2.12 1.42 30 259 1044 538 2580 58 96 128 182 17 3.2 13 0.43 0.21
2006 1.55 0.46 2.6 1.89 24 283 917 719 3315 62 96 139 263 14 1.9 19 0.79 0.21
2007 1.2 0.42 2.24 1.73 35 318 1158 705 4026 54 65 138 239 21 3 17 0.49 0.18
2008 1.64 0.44 2.19 1.96 49 367 1258 789 4831 59 97 147 288 29 3.7 16 0.33 0.2
2009 1.56 0.43 2.02 1.64 60 427 1501 855 5693 84 131 170 278 32 3.7 17 0.28 0.21
2010 1.15 0.43 1.87 1.49 62 489 1091 909 6609 109 125 198 296 49 5.4 10 0.16 0.18
2011 0.84 0.45 1.71 1.15 62 551 1136 941 7552 122 102 230 264 31 3.3 21 0.34 0.2
2012 0.94 0.45 1.95 1.37 50 601 622 1166 8721 124 116 268 366 51 4.4 13 0.26 0.19
2013 1.29 0.51 2.26 1.58 63 664 420 1501 10223 112 144 283 448 35 2.3 6 0.1 0.21
2014 0.88 0.52 2.4 1.52 67 731 587 1753 11981 113 99 297 451 59 3.4 13 0.19 0.2
2015 0.85 0.52 2.12 1.34 64 795 521 1681 13664 130 111 304 408 73 4.3 18 0.28 0.2
2016 1.22 0.51 2.09 1.35 102 897 712 1869 15535 131 160 306 413 71 3.8 45 0.44 0.18
2017 1.09 0.52 1.98 1.14 64 961 326 1903 17438 166 181 346 393 47 2.5 21 0.33 0.19
2018 1.16 0.57 1.77 1.11 79 1040 319 1834 19275 166 192 360 401 79 4.3 27 0.34 0.22
2019 1.04 0.63 1.67 1.12 61 1101 162 1833 21109 143 149 376 422 43 2.3 22 0.36 0.23
2020 1.48 0.88 1.88 1.52 60 1161 24 2185 23294 140 207 370 564 64 2.9 12 0.2 0.35
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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1386
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

644
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

535
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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467
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.

Full description at Econpapers || Download paper

391
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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332
71996The 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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320
82004Investor 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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316
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.

Full description at Econpapers || Download paper

309
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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295
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

272
121998Volatility 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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241
132008Robust 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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231
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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222
152005Forecasting 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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213
161993Common 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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212
172009Investor 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.

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206
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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194
192003A 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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162
202006Instability 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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160
212004Market 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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154
222003Univariate 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
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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144
241997The 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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141
251994Testing 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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141
262009Understanding 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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140
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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135
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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128
291999Forecasting 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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126
302001The 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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125
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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112
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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112
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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105
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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104
351994Alternative 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
362004The 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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99
371999Economic 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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98
38CAPM 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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97
391997Forecasting 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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96
402005Internationally 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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94
412006In-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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93
422008Are 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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92
432005The 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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89
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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86
451997High 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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86
462010Local 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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86
471999A 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
482007Predictable 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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84
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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83
502010A 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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82
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

161
22000Estimation 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

91
32003Improved 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

88
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

82
52009Investor 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

69
62008Robust 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

65
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

58
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

56
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

55
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

47
111997Volatilities 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

43
122005Forecasting 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

39
131996The 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

37
142004Market 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

36
152019Conditional 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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35
162006Instability 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

34
172009Understanding 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

34
182010Local 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

33
192007Predictable 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

29
202010A 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

29
212007Firm-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

29
222014Political 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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29
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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27
242010Trading 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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26
252014On 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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26
262003Emerging 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

26
272018CRIX 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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26
282018Oil 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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292011Stock 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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302016A 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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312017Oil 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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322012Stock 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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331996The 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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342011Nonparametric 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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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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362018Forecasting 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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21
371993Common 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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382012When 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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392013What 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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402006In-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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412011Robust 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.

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422011When 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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18
432016Tests 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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442016Exchange 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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452017Determinants 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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462011Corporate governance and firm value: International evidence. (2011). Schmid, Markus ; Ammann, Manuel ; Oesch, David . In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:1:p:36-55.

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471997The 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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482003The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange. (2003). Cho, David D. ; Tsay, Ruey ; Russell, Jeffrey ; Tiao, George C.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:133-168.

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492011Regulatory 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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502017Does oil and gold price uncertainty matter for the stock market?. (2017). Bams, Dennis ; Lehnert, Thorsten ; Honarvar, Iman ; Blanchard, Gildas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:270-285.

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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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2020Hard markets, hard times: On the inefficiency of the CAT bond market. (2020). Gurtler, Marc ; Gotze, Tobias. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s092911991930937x.

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2020The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads. (2020). Jalles, Joao ; Afonso, Antonio ; Kazemi, Mina. In: International Review of Law and Economics. RePEc:eee:irlaec:v:63:y:2020:i:c:s014481882030137x.

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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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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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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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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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2020Blockchain mechanism and distributional characteristics of cryptos. (2020). Lin, Min-Bin ; Khowaja, Kainat ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan. In: Papers. RePEc:arx:papers:2011.13240.

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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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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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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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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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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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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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2020News sentiment, credit spreads, and information asymmetry. (2020). Wang, Xinjie ; Liu, Zhechen ; Yang, Shanxiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300760.

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2020Hedging geopolitical risk with precious metals. (2020). Smales, Lee ; Baur, Dirk G. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:117:y:2020:i:c:s037842662030090x.

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2020Magnitude and persistence of extreme risk spillovers in the global energy market: A high-dimensional left-tail interdependence perspective. (2020). Liu, Jiahao ; Lin, Renda ; Zhu, BO. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301018.

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2020Mining for Oil Forecasts. (2020). Calomiris, Charles ; CAKIR MELEK, NIDA ; Mamaysky, Harry. In: Research Working Paper. RePEc:fip:fedkrw:89532.

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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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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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2020The cross-section of industry equity returns and global tactical asset allocation across regions and industries. (2020). Bengitoz, Pelin ; Umutlu, Mehmet. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302180.

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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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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 Peek into the Unobservable: Hidden States and Bayesian Inference for the Bitcoin and Ether Price Series. (2019). Piliouras, Georgios ; Leonardos, Stefanos ; Koki, Constandina. In: Papers. RePEc:arx:papers:1909.10957.

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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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2019Thar she resurges: The case of assets that lack positive fundamental value. (2019). Leibbrandt, Andreas ; Bao, Zhengyang. In: Monash Economics Working Papers. RePEc:mos:moswps:2019-12.

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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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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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2018Asymmetric Risk Impacts of Chinese Tourists to Taiwan. (2018). McAleer, Michael ; Laurila, Hannu ; Ilomaki, Jukka. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1814.

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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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