Gregory H. Bauer : Citation Profile

University of Guelph

9

H index

9

i10 index

499

Citations

RESEARCH PRODUCTION:

8

Articles

14

Papers

RESEARCH ACTIVITY:

   14 years (2004 - 2018). See details.
   Cites by year: 35
   Journals where Gregory H. Bauer has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 11 (2.16 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba468
   Updated: 2025-12-27    RAS profile: 2023-03-16    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Gregory H. Bauer.

Is cited by:

Tille, Cédric (19)

van Wincoop, Eric (17)

Asai, Manabu (13)

Rey, Helene (13)

Albuquerque, Rui (13)

Ülkü, Numan (12)

Wongswan, Jon (11)

Bacchetta, Philippe (10)

Coeurdacier, Nicolas (10)

Warnock, Francis (9)

Fratzscher, Marcel (9)

Cites to:

Diebold, Francis (33)

Campbell, John (29)

Bollerslev, Tim (25)

Harvey, Campbell (23)

Andersen, Torben (23)

Hamao, Yasushi (16)

Piazzesi, Monika (16)

Bekaert, Geert (15)

Rudebusch, Glenn (14)

Zhou, Guofu (12)

Schwert, G. (11)

Main data

Where Gregory H. Bauer has published?

Journals with more than one article published# docs
Bank of Canada Review2

Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada8
International Finance / University Library of Munich, Germany3

Recent works citing Gregory H. Bauer (2025 and 2024)

YearTitle of citing document
2025A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2024Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517.

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2024The capital market consequences of stock market liberalisation: Evidence from Mainland‐Hong Kong Stock Connect Programs in China. (2024). Gao, Fang ; Fu, Renhui ; Zhao, YI. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:4:p:3275-3299.

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2024Does geographic or market proximity matter? Evidence from institutional investor monitoring on earnings attributes in US cross‐listed stocks. (2024). Kang, Sanggyu ; Chung, Chune Young ; Fard, Amirhossein. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:76:y:2024:i:2:p:443-469.

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2024Investor horizon, experience, and the disposition effect. (2024). Neupane, Suman ; Fan, Zhebin. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:44:y:2024:i:c:s2214635024001187.

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2024Institutional monitoring on corporate earnings: Evidence from U.S. Cross-listed Firms. (2024). Kim, Hye Seok ; Chung, Chune Young ; Liu, Chang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001845.

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2024Financial cycle comovement with monetary and macroprudential policy and global factors: Evidence from India. (2024). Mundra, Sruti ; Bicchal, Motilal. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000457.

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2025Is anyone surprised? The high-frequency impact of U.S. and domestic macro data announcements on Canadian asset prices. (2025). Zhang, XU ; Stern, Henry ; Sekkel, Rodrigo ; Martos, Blake Debruin. In: Economics Letters. RePEc:eee:ecolet:v:248:y:2025:i:c:s0165176525000692.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2024Information acquisition and processing skills of institutions and retail investors around information shocks. (2024). Tsai, Shih-Chuan ; Fung, Scott ; Obaid, Khaled. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000306.

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2024The value of information in China’s connected market. (2024). Wang, Yuehan ; Chen, Keqi ; Zhu, Xiaoquan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000616.

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2025Heterogeneous housing bubbles and monetary policy. (2025). Duan, Kun ; Zhang, Liya ; Chen, Shuyun ; Urquhart, Andrew. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925001668.

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2024Country-level heterogeneity in foreign institutional investment horizons and firm value. (2024). Mian, Rehman U ; Rahim, Imad. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000127.

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2024Cross-exchange crypto risk: A high-frequency dynamic network perspective. (2024). Wang, Yifu ; Hardle, Wolfgang Karl ; Lu, Wanbo ; Ren, Rui ; Lin, Min-Bin. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001789.

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2024Impact of bank-affiliation on liquidity seeking of foreign mutual funds during adverse shocks: Evidence from China. (2024). Xu, Yimin ; Du, Anna Min ; Goodell, John W ; Mao, Rui ; Zhang, Jinhua. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006112.

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2024Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Li, Dan ; Drovandi, Christopher. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408.

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2025Global volatility and firm-level capital flows. (2025). Kacperczyk, Marcin ; Wang, Tianyu ; Nosal, Jaromir. In: Journal of Financial Economics. RePEc:eee:jfinec:v:169:y:2025:i:c:s0304405x25000868.

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2024How supply and demand affect national house prices: The case of Ireland. (2024). O'Toole, Conor ; McQuinn, Kieran ; Egan, Paul. In: Journal of Housing Economics. RePEc:eee:jhouse:v:65:y:2024:i:c:s1051137724000251.

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2025Market participants trading behavior toward anomalies: Evidence from the Korean market. (2025). Kang, Jangkoo ; Kim, Donghoon ; Roh, Soohyun. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x24003743.

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2024Institutional investors by nationality and long-term investor value appropriation. (2024). Song, Jun Myung ; Chung, Chune Young. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002799.

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2025The effects of portfolio rebalancing strategies on the performance of global mutual funds. (2025). Jimenez-Garcs, Sonia ; Tanos, Barbara Abou. In: Research in International Business and Finance. RePEc:eee:riibaf:v:76:y:2025:i:c:s0275531925000923.

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2024Functional Cointegration Test for Expectation Hypothesis of the Term Structure of Interest Rates in China. (2024). Lin, Aihua ; Su, Zhifang ; Fu, Yizheng. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:4:d:10.1007_s10690-023-09431-w.

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2024Scenario Generation for Financial Data with a Machine Learning Approach Based on Realized Volatility and Copulas. (2024). Valle, Cristiano Arbex ; Mesquita, Caio Mario ; Machado, Adriano Cesar. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:5:d:10.1007_s10614-023-10387-2.

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2025The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202501.

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2024Tourism development and urban housing prices: Evidence from China. (2024). Liu, Yijun ; Lyu, Qier ; Zhang, Jiayi ; Song, Changyao. In: Tourism Economics. RePEc:sae:toueco:v:30:y:2024:i:5:p:1115-1139.

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2024A mixed-frequency VAR application to studying joint dynamics of foreign investor trading and stock market returns. (2024). Ülkü, Numan ; Kizlerli, Deniz ; Erolu, Burak Alparslan. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:1:d:10.1007_s00181-023-02541-4.

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2025Characterizing public debt cycles: the non-negligible impact of financial cycles. (2025). Xu, Yingying ; Liu, Zhixin ; Zhou, Tianbao. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:4:d:10.1007_s00181-024-02685-x.

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2024Impact of COVID-19 and lockdown stringency on foreign institutional investment in India: evidence from wavelet coherence and spectral causality approaches. (2024). Ullah, Assad ; Kamal, Muhammad Abdul ; Syed, Aamir Aijaz. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:58:y:2024:i:3:d:10.1007_s11135-023-01754-0.

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2025Monetary policy transmission and household indebtedness in Australia. (2025). Javed, Naveed ; Groshenny, Nicolas ; Batsukh, Khuderchuluun. In: TEPP Working Paper. RePEc:tep:teppwp:wp25-02.

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Works by Gregory H. Bauer:

YearTitleTypeCited
2006A Summary of the Bank of Canada Conference on Fixed-Income Markets, 3-4 May 2006 In: Bank of Canada Review.
[Full Text][Citation analysis]		article2
2012Global Risk Premiums and the Transmission of Monetary Policy In: Bank of Canada Review.
[Full Text][Citation analysis]		article9
2004International Equity Flows and Returns: A Quantitative Equilibrium Approach In: Staff Working Papers.
[Full Text][Citation analysis]		paper50
2005International Equity Flows and Returns: A Quantitative Equilibrium Approach.(2005) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		paper
2004International equity flows and returns: a quantative equilibrium approach.(2004) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		paper
2004International Equity Flows and Returns: A Quantitative Equilibrium Approach.(2004) In: International Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		paper
2005International equity flows and returns: a quantitative equilibrium approach.(2005) In: International Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		paper
2004The Monetary Origins of Asymmetric Information in International Equity Markets In: Staff Working Papers.
[Full Text][Citation analysis]		paper7
2006The monetary origins of asymmetric information in international equity markets.(2006) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2007Multivariate Realized Stock Market Volatility In: Staff Working Papers.
[Full Text][Citation analysis]		paper29
2012An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks In: Staff Working Papers.
[Full Text][Citation analysis]		paper32
2014What Does the Convenience Yield Curve Tell Us about the Crude Oil Market? In: Staff Working Papers.
[Full Text][Citation analysis]		paper18
2014International House Price Cycles, Monetary Policy and Risk Premiums In: Staff Working Papers.
[Full Text][Citation analysis]		paper19
2016The Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open Economies In: Staff Working Papers.
[Full Text][Citation analysis]		paper9
2018The Global Financial Cycle, Monetary Policies, and Macroprudential Regulations in Small, Open Economies.(2018) In: Canadian Public Policy.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2016Monetary Policy, Private Debt and Financial Stability Risks In: Staff Working Papers.
[Full Text][Citation analysis]		paper47
2017Monetary Policy, Private Debt, and Financial Stability Risks.(2017) In: International Journal of Central Banking.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 47		article
2011Forecasting multivariate realized stock market volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article101
2009Global private information in international equity markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article101
2017International house price cycles, monetary policy and credit In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article9
2007International Equity Flows and Returns: A Quantitative Equilibrium Approach -super-1 In: The Review of Economic Studies.
[Full Text][Citation analysis]		article62
2004Characterizing Asymmetric Information in International Equity Markets In: International Finance.
[Full Text][Citation analysis]		paper4

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