8
H index
7
i10 index
445
Citations
Lunds Universitet | 8 H index 7 i10 index 445 Citations RESEARCH PRODUCTION: 20 Articles 19 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Hossein Asgharian. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Financial Econometrics | 2 |
The European Journal of Finance | 2 |
Journal of International Money and Finance | 2 |
Journal of Banking & Finance | 2 |
Journal of International Financial Markets, Institutions and Money | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers / Lund University, Department of Economics | 8 |
Knut Wicksell Working Paper Series / Lund University, Knut Wicksell Centre for Financial Studies | 5 |
Year | Title of citing document |
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2024 | Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592. Full description at Econpapers || Download paper |
2024 | The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model. (2024). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2404.01641. Full description at Econpapers || Download paper |
2024 | Effects of higher education subsidies on equity and efficiency across developmental stages. (2024). Getachew, Yoseph. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s026499932400110x. Full description at Econpapers || Download paper |
2024 | The spillover and contagion effects of sovereign risk on stock markets. (2024). Simo-Kengne, Beatrice Desiree ; Gnagne, Pascal Xavier ; Manguzvane, Mathias Mandla. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002785. Full description at Econpapers || Download paper |
2024 | Contagion effects of external monetary shocks on systemic financial risk in China: Evidence from the Euro area and Japan. (2024). Ruan, Jia ; Ni, Jianhui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300178x. Full description at Econpapers || Download paper |
2024 | Green bond and green stock in China: The role of economic and climate policy uncertainty. (2024). Cheung, Adrian (Wai-Kong) ; Wang, YU ; Yan, Wanlin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001530. Full description at Econpapers || Download paper |
2024 | Dynamic patterns and the latent community structure of sectoral volatility and jump risk contagion. (2024). Gao, Yang ; Zhao, Wandi. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014124000050. Full description at Econpapers || Download paper |
2024 | Volatility forecasting of Chinese energy market: Which uncertainty have better performance?. (2024). Zou, Yang ; Xiang, Yitian ; Zhang, Jiaming ; Guo, Songlin. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004684. Full description at Econpapers || Download paper |
2024 | Volatility prediction for the energy sector with economic determinants: Evidence from a hybrid model. (2024). Liu, Xiaoquan ; Jiang, Ying ; Ye, Wuyi ; Wang, Yuejing. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000267. Full description at Econpapers || Download paper |
2024 | Forecasting US Stock Market Volatility: Evidence from ESG and CPU indices. (2024). Qin, Quande ; Zhu, BO ; Ghani, Usman. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011832. Full description at Econpapers || Download paper |
2024 | Tail risk network of Chinese green-related stocks market. (2024). Ye, Wuyi ; Guo, Ranran ; Hu, Chenglong. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008328. Full description at Econpapers || Download paper |
2024 | Deep learning enhanced volatility modeling with covariates. (2024). Nguyen, Hoang ; Tran, Minh-Ngoc. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324011747. Full description at Econpapers || Download paper |
2024 | A state-dependent international CAPM for partially integrated markets: Using local and US risk factors. (2024). Tajaddini, Reza ; Hematizadeh, Roksana. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000954. Full description at Econpapers || Download paper |
2024 | Not all words are equal: Sentiment and jumps in the cryptocurrency market. (2024). Cepni, Oguzhan ; Caporin, Massimiliano ; Aysan, Ahmet Faruk. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001889. Full description at Econpapers || Download paper |
2024 | International crash risk premium. (2024). Chen, Steven Shu-Hsiu. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000805. Full description at Econpapers || Download paper |
2024 | Airlines and climate policy uncertainty: Are the sectors stocks soaring or stalling?. (2024). Kansheba, Jonathan Mukiza ; Marobhe, Mutaju Isaack. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:115:y:2024:i:c:s0969699724000012. Full description at Econpapers || Download paper |
2024 | The wisdom of the madness of crowds: Investor herding, anti-herding, and stock-bond return correlation. (2024). Gebka, Bartosz ; Kallinterakis, Vasileios ; Radi, Sherrihan. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:224:y:2024:i:c:p:966-995. Full description at Econpapers || Download paper |
2024 | Quantile coherency across bonds, commodities, currencies, and equities. (2024). Stenvall, David ; Rahman, Md Lutfur ; Lucey, Brian ; Uddin, Gazi Salah. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000697. Full description at Econpapers || Download paper |
2024 | Does mixed frequency variables help to forecast value at risk in the crude oil market?. (2024). Ke, Rui ; Qin, Fanshu ; Lyu, Yongjian ; Kong, Mengzhen ; Wei, YU. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011376. Full description at Econpapers || Download paper |
2024 | Asymmetric nexus between economic policy uncertainty and the Indian stock market: Evidence using NARDL approach. (2024). Sharma, Anil Kumar. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:91-101. Full description at Econpapers || Download paper |
2024 | Measuring spatial impacts and tracking cross-border risk. (2024). Xiao, Yang ; Wang, BO. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:50-84. Full description at Econpapers || Download paper |
2024 | Over-expected shocks and financial market security: Evidence from Chinas markets. (2024). Sensoy, Ahmet ; Chen, Shoudong ; Li, Yueshan ; Wang, LU. In: Research in International Business and Finance. RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923003203. Full description at Econpapers || Download paper |
2024 | Exploring the nexus between ESG risk variations and investment preferences: Insights from sustainable ETFs during the COVID-19 era. (2024). Ricciardi, Irene ; Muto, Valerio ; Turriziani, Lorenzo ; Landi, Giovanni Catello. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124002386. Full description at Econpapers || Download paper |
2024 | Economic Policy Uncertainty and Emerging Stock Market Volatility. (2024). Ghani, Usman. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:1:d:10.1007_s10690-023-09410-1. Full description at Econpapers || Download paper |
2024 | Global and domestic economic policy uncertainties and tourism stock market: Evidence from China. (2024). Song, Haiyan ; Yang, Peng ; Liu, Han ; Wu, Doris Chenguang. In: Tourism Economics. RePEc:sae:toueco:v:30:y:2024:i:3:p:567-591. Full description at Econpapers || Download paper |
2024 | Modelling foreign exchange rate co-movement and its spatial dependence in emerging markets: a spatial econometrics approach. (2024). Eita, Joel ; Tchuinkam, Charles Raoul. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:3:d:10.1007_s00181-023-02482-y. Full description at Econpapers || Download paper |
2024 | Testing the correct specification of a system of spatial dependence models for stock returns. (2024). Wied, Dominik ; Kutzker, Tim. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:5:d:10.1007_s00181-023-02518-3. Full description at Econpapers || Download paper |
2024 | An innovative machine learning workflow to research China’s systemic financial crisis with SHAP value and Shapley regression. (2024). Zhou, Yingxue ; Wang, DA. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00574-3. Full description at Econpapers || Download paper |
2024 | It Is Not Your Risk but It Is Your Problem: A Spatial Analysis of Emerging Market Credit Default Swap Premia. (2024). Ozturk, Huseyin ; Yilmaz, Muhammed Hasan ; Korkmaz, Sumeyra ; Colak, Mehmet Selman. In: CBT Research Notes in Economics. RePEc:tcb:econot:2406. Full description at Econpapers || Download paper |
2024 | . Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2014 | Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 31 |
2014 | Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
2016 | Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification.(2016) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | article | |
2015 | Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 41 |
2015 | Effects of macroeconomic uncertainty on the stock and bond markets.(2015) In: Finance Research Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | article | |
2016 | Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
2017 | Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2017 | Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2000 | Cross‐sectional analysis of Swedish stock returns with time‐varying beta: the Swedish stock market 1983–96 In: European Financial Management. [Full Text][Citation analysis] | article | 7 |
2013 | Financial and Economic Integrations Impact on Asian Equity Markets’ Sensitivity to External Shocks In: The Financial Review. [Full Text][Citation analysis] | article | 4 |
2005 | Evaluating the importance of missing risk factors using the optimal orthogonal portfolio approach In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
2008 | Evaluating a non-linear asset pricing model on international data In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 1 |
2006 | Evaluating a nonlinear asset pricing model on international data.(2006) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2003 | The explanatory role of factor portfolios for industries exposed to foreign competition: evidence from the Swedish stock market In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 2 |
2006 | Home bias among European investors from a Bayesian perspective In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 12 |
2011 | A conditional asset-pricing model with the optimal orthogonal portfolio In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 3 |
2013 | A spatial analysis of international stock market linkages In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 85 |
2013 | A spatial analysis of international stock market linkages.(2013) In: Knut Wicksell Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 85 | paper | |
2011 | Risk contagion among international stock markets In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 56 |
2018 | Cross-border asset holdings and comovements in sovereign bond markets In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 3 |
2015 | Cross-Border Asset Holdings and Comovements in Sovereign Bond Markets.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2002 | Cross Sectional Analysis of the Swedish Stock Market In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2004 | A Comparative Analysis of Ability of Mimicking Portfolios in Representing the Background Factors In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Predicting Stock Price Volatility by Analyzing Semantic Content in Media In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2013 | Predicting Stock Price Volatility by Analyzing Semantic Content in Media.(2013) In: Knut Wicksell Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2014 | Institutional Quality, Trust and Stock-Market Participation: Learning to Forget In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2014 | Institutional Quality, Trust and Stock Market Participation: Learning to Forget.(2014) In: Knut Wicksell Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2019 | Systemic Risk and Centrality Revisited: The Role of Interactions In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | Systemic Risk and Centrality Revisited:The Role of Interactions.(2019) In: Knut Wicksell Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2013 | Importance of the macroeconomic variables for variance prediction A GARCH-MIDAS approach In: Knut Wicksell Working Paper Series. [Full Text][Citation analysis] | paper | 8 |
2001 | Equity Risk Factors for a Small Open Economy: A Risk Management Perspective In: Multinational Finance Journal. [Full Text][Citation analysis] | article | 0 |
2006 | Jump Spillover in International Equity Markets In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 28 |
2016 | Credit Constraints, Growth and Inequality Dynamics In: Working Papers. [Citation analysis] | paper | 6 |
2009 | An analysis of momentum and contrarian anomalies using an orthogonal portfolio approach In: Applied Economics Letters. [Full Text][Citation analysis] | article | 0 |
2005 | A critical investigation of the explanatory role of factor mimicking portfolios in multifactor asset pricing models In: Applied Financial Economics. [Full Text][Citation analysis] | article | 3 |
2010 | Book-to-market and size effects: compensations for risks or outcomes of market inefficiencies? In: The European Journal of Finance. [Full Text][Citation analysis] | article | 1 |
2003 | Are highly leveraged firms more sensitive to an economic downturn? In: The European Journal of Finance. [Full Text][Citation analysis] | article | 8 |
2011 | An event study of price movements following realized jumps In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
2013 | The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH‐MIDAS Approach In: Journal of Forecasting. [Full Text][Citation analysis] | article | 132 |
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