6
H index
4
i10 index
143
Citations
Vitali Alexeev : Citation Profile
University of Technology Sydney (80% share) | RESEARCH PRODUCTION: 14 Articles 15 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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13 years (2010 - 2023). Relations with other researchers
Main data
Where Vitali Alexeev has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Empirical Finance | 2 |
| Studies in Nonlinear Dynamics & Econometrics | 2 |
Recent works citing Vitali Alexeev (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | Jump detection in high-frequency order prices. (2024). Ristig, Alexander ; Hautsch, Nikolaus ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2403.00819. Full description at Econpapers || Download paper |
| 2023 | Short interest and the stock market relation with news sentiment from traditional and social media sources. (2023). Smales, Lee ; Liu, Zhangxin ; Chamberlain, Ben. In: Australian Economic Papers. RePEc:bla:ausecp:v:62:y:2023:i:2:p:321-334. Full description at Econpapers || Download paper |
| 2023 | Understanding Systematic Risk: A Highâ€Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220. Full description at Econpapers || Download paper |
| 2023 | Intentional and spurious herding behavior: A sentiment driven analysis. (2023). Pochea, Maria Miruna ; Filip, Angela Maria. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000242. Full description at Econpapers || Download paper |
| 2024 | A comparison of bitcoin futures return and return volatility based on news sentiment contemporaneously or lead-lag. (2024). Chou, Ke-Hsin ; Day, Min-Yuh ; Kao, Yu-Sheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000846. Full description at Econpapers || Download paper |
| 2023 | The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns. (2023). Kwok, Simon ; Leong, Minhao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000786. Full description at Econpapers || Download paper |
| 2024 | Non-standard errors in the cryptocurrency world. (2024). Zaremba, Adam ; Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383. Full description at Econpapers || Download paper |
| 2024 | Donald Trumps tweets, political value judgment, and the Renminbi exchange rate. (2024). Frömmel, Michael ; Baidoo, Edwin ; Frommel, Michael ; Zhang, Qisi. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000917. Full description at Econpapers || Download paper |
| 2024 | Local media sentiment towards pollution and its effect on corporate green innovation. (2024). Lu, Shanglin ; Wei, Ran ; He, YU ; Wang, Shixuan. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002643. Full description at Econpapers || Download paper |
| 2023 | Brazilian stock-market efficiency before and after COVID-19: The roles of fractality and predictability. (2023). Santos, Leandro Dos. In: Global Finance Journal. RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323000820. Full description at Econpapers || Download paper |
| 2023 | Does fake news impact stock returns? Evidence from US and EU stock markets. (2023). Russo, Ivan ; Gandolfi, Gino ; Arcuri, Maria Cristina. In: Journal of Economics and Business. RePEc:eee:jebusi:v:125-126:y:2023:i::s0148619523000231. Full description at Econpapers || Download paper |
| 2023 | Investor sentiment and stock market anomalies in Australia. (2023). Bissoondoyal-Bheenick, Emawtee ; Zhang, Xinyue ; Zhong, Angel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:284-303. Full description at Econpapers || Download paper |
| 2023 | Foreign exchange market efficiency during COVID-19 pandemic. (2023). El-Masry, Ahmed ; Azzam, Islam ; Yamani, Ehab. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:717-730. Full description at Econpapers || Download paper |
| 2023 | Do bitcoin news information flow and return volatility fit the sequential information arrival hypothesis and the mixture of distribution hypothesis?. (2023). Chiu, Chien-Liang ; Day, Min-Yuh ; Chou, Ke-Hsin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:88:y:2023:i:c:p:365-385. Full description at Econpapers || Download paper |
| 2023 | Evolution of short-term contrarian profits. (2023). Zhang, Huilan ; Yang, Xuebing. In: Studies in Economics and Finance. RePEc:eme:sefpps:sef-12-2022-0599. Full description at Econpapers || Download paper |
| 2023 | Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum. (2023). Sanhaji, Bilel ; Chevallier, Julien. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:3:p:19-:d:1214066. Full description at Econpapers || Download paper |
| 2023 | Market Manipulation in Stock and Power Markets: A Study of Indicator-Based Monitoring and Regulatory Challenges. (2023). Baldi, Simone ; Delgado, Benjamin Manrique ; Vand, Behrang ; Hao, Yuna. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:4:p:1894-:d:1068349. Full description at Econpapers || Download paper |
| 2024 | Experimenting with Financial Professionals. (2022). Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07. Full description at Econpapers || Download paper |
| 2023 | Exchange Rate Risk Management using Currency Derivatives: The Case of Exposures to Japanese Yen. (2023). Ho, Taek ; Bae, Sung C. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:3:d:10.1007_s10690-022-09391-7. Full description at Econpapers || Download paper |
| 2023 | Competition and moral behavior: A meta-analysis of forty-five crowd-sourced experimental designs. (2023). Urbig, Diemo ; Spantig, Lisa ; Soraperra, Ivan ; Schmitz, Jan ; Schudy, Simeon ; Schram, Arthur ; Saral, Ali Seyhun ; Nieken, Petra ; Nesterov, Alexander ; Khadjavi, Menusch ; Johannesson, Magnus ; Huber, Christoph ; Holzmeister, Felix ; Glogowsky, Ulrich ; Freddi, Eleonora ; Fiala, Lenka ; Dreber, Anna ; Dold, Malte ; Demiral, Elif ; Bulutay, Muhammed ; Brütt, Katharina ; Barron, Kai ; Pirrone, Angelo ; Theodoropoulou, Andriana ; Cornelissen, Gert ; Mak, Vincent ; Weitzel, Utz ; Htter, Mandy ; Gasiorowska, Agata ; Peters, Kim ; Suetens, Sigrid ; Claassen, Maria Almudena ; Lucas, Brian ; Kirchler, Michael ; Hudja, Stanton ; Schneider, Florian ; Fries, Tilman ; Palumbo, Helena ; Steinme |
| 2023 | Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Greiner, Ben ; Fišar, Miloš ; Reproducibility, Management Science ; Katok, Elena ; Fiar, Milo. In: OSF Preprints. RePEc:osf:osfxxx:mydzv. Full description at Econpapers || Download paper |
| 2023 | Alternative risk premium: specification noise. (2023). Fabozzi, Frank J ; Gorman, Stephen A. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00327-y. Full description at Econpapers || Download paper |
| 2023 | Factors Determining the Exchange Rate Exposure of Firms: Evidence from India. (2023). Gayathri, J ; Sayed, Zakiya Begum. In: Business Perspectives and Research. RePEc:sae:busper:v:11:y:2023:i:2:p:210-226. Full description at Econpapers || Download paper |
| 2023 | Upside and downside correlated jump risk premia of currency options and expected returns. (2023). Lin, Shih-Kuei ; Chen, Ting-Fu ; Chang, Hsing-Hua. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00493-3. Full description at Econpapers || Download paper |
| 2023 | Cryptocurrency factor momentum. (2023). Zaremba, Adam ; Metko, Daniel ; Liedtke, Gerrit ; Fieberg, Christian. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:12:p:1853-1869. Full description at Econpapers || Download paper |
| 2023 | Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Reproducibility, Management Science ; Katok, Elena ; Greiner, Ben ; Fiar, Milo. In: Department for Strategy and Innovation Working Paper Series. RePEc:wiw:wus055:57814527. Full description at Econpapers || Download paper |
| 2023 | Sentiment indices and stock returns: Evidence from China. (2023). Liang, Chao ; Chen, Zhonglu ; Wang, Jianqiong ; Xu, Yongan. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:1063-1080. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2024 | A note on the use of syndicated loan data. (2022). Tonzer, Lena ; Noth, Felix ; Muller, Isabella. In: IWH Discussion Papers. RePEc:zbw:iwhdps:172022. Full description at Econpapers || Download paper |
Works by Vitali Alexeev:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2020 | Modelling Financial Contagion Using High Frequency Data In: The Economic Record. [Full Text][Citation analysis] | article | 1 |
| 2021 | Biases in variance of decomposed portfolio returns In: International Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2021 | Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2023 | Integrated variance of irregularly spaced high-frequency data: A state space approach based on pre-averaging In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2012 | Localized level crossing random walk test robust to the presence of structural breaks In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 1 |
| 2010 | Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks..(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2011 | Testing weak form efficiency on the Toronto Stock Exchange In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 27 |
| 2010 | Testing Weak Form Efficiency on the Toronto Stock Exchange..(2010) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
| 2017 | Time-varying continuous and jump betas: The role of firm characteristics and periods of stress In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 18 |
| 2020 | Sensitivity to sentiment: News vs social media In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 28 |
| 2019 | Predictive blends: Fundamental Indexing meets Markowitz In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
| 2019 | Asymmetric jump beta estimation with implications for portfolio risk management In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 6 |
| 2016 | Continuous and Jump Betas: Implications for Portfolio Diversification In: Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 5 |
| 2021 | Non-Standard Errors In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 9 |
| 2021 | Non-Standard Errors.(2021) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2016 | Concurrent momentum and contrarian strategies in the Australian stock market In: Australian Journal of Management. [Full Text][Citation analysis] | article | 9 |
| 2014 | Concurrent momentum and contrarian strategies in the Australian stock market.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2017 | Exchange rate risk exposure and the value of European firms In: The European Journal of Finance. [Full Text][Citation analysis] | article | 17 |
| 2012 | Exchange Rate Risk Exposure and the Value of European Firms.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2015 | Equity portfolio diversification with high frequency data In: Quantitative Finance. [Full Text][Citation analysis] | article | 5 |
| 2013 | Equity portfolio diversification with high frequency data.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2013 | Equity Portfolio Diversification: How Many Stocks are Enough? Evidence from Five Developed Markets In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2013 | What Australian investors need to know to diversity their portfolios In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | How many stocks are enough for diversifying Canadian institutional portfolios? In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2014 | Diversification, Canadian Style: How many stocks are enough for diversifying Canadian institutional portfolios? In: Published Paper Series. [Citation analysis] | paper | 2 |
| 2014 | The number of stocks in your portfolio should be larger than you think: diversification evidence from five developed markets In: Published Paper Series. [Full Text][Citation analysis] | paper | 1 |
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