Gregory H. Bauer : Citation Profile

Are you Gregory H. Bauer?

University of Guelph

9

H index

9

i10 index

478

Citations

RESEARCH PRODUCTION:

8

Articles

14

Papers

RESEARCH ACTIVITY:

   14 years (2004 - 2018). See details.
   Cites by year: 34
   Journals where Gregory H. Bauer has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 11 (2.25 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba468
   Updated: 2024-11-04    RAS profile: 2023-03-16    
   Missing citations? Add them    Incorrect content? Let us know

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)

Rey, Helene (13)

Albuquerque, Rui (13)

Asai, Manabu (13)

Ülkü, Numan (12)

Wongswan, Jon (11)

Coeurdacier, Nicolas (10)

Bacchetta, Philippe (10)

Fratzscher, Marcel (9)

Warnock, Francis (9)

Cites to:

Diebold, Francis (33)

Campbell, John (29)

Bollerslev, Tim (25)

Andersen, Torben (23)

Harvey, Campbell (23)

Hamao, Yasushi (16)

Piazzesi, Monika (16)

Bekaert, Geert (15)

Rudebusch, Glenn (14)

Zhou, Guofu (12)

Hodrick, Robert (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 (2024 and 2023)

YearTitle of citing document
2024A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

Full description at Econpapers || Download paper

2023Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage. (2023). Ribeiro, Ruy M ; Medeiros, Marcelo C ; de Brito, Diego S ; Alves, Rafael. In: Papers. RePEc:arx:papers:2303.16151.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1.

Full description at Econpapers || Download paper

2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Co-volatility and asymmetric transmission of risks between the global oil and Chinas futures markets. (2023). Klein, Tony ; Ji, Qiang ; Marfatia, Hardik A ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005953.

Full description at Econpapers || Download paper

2023A weekly structural VAR model of the US crude oil market. (2023). Manera, Matteo ; Bastianin, Andrea ; Valenti, Daniele. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001548.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Cross-border equity flows and information transmission: Evidence from Chinese stock markets. (2023). Shi, Donghui ; Han, Bing ; Chan, Kalok ; Bian, Jiangze. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:84:y:2023:i:c:s1042443123000239.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023The information in joint term structures of bond yields. (2023). Spencer, Peter ; Raczko, Marek ; Meldrum, Andrew. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:134:y:2023:i:c:s0261560623000293.

Full description at Econpapers || Download paper

2023Theory of storage implications in the European natural gas market. (2023). Torro, Hipolit ; Martinez, Beatriz. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000678.

Full description at Econpapers || Download paper

2023The impact of government spending on Ireland’s housing and residential market – Targeted vs economy-wide stimulus. (2023). Egan, Paul ; Bergin, Adele. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:45:y:2023:i:3:p:552-569.

Full description at Econpapers || Download paper

2023Do institutional investors perform better in emerging markets?. (2023). Kumar, Ashish ; Badhani, K N ; Tayde, Mangesh ; Vo, Xuan Vinh. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:1041-1056.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Monetary tightening in the Euro Area: Implications for residential investment. (2023). McQuinn, Kieran ; Egan, Paul. In: Papers. RePEc:esr:wpaper:wp767.

Full description at Econpapers || Download paper

2023When Does Monetary Policy Sway House Prices? A Meta-Analysis. (2023). Havranek, Tomas ; Bajzik, Josef ; Ehrenbergerova, Dominika. In: IMF Economic Review. RePEc:pal:imfecr:v:71:y:2023:i:2:d:10.1057_s41308-022-00185-5.

Full description at Econpapers || Download paper

2023Modeling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India. (2023). Ledwani, Sanket ; Iyer, Vishwanathan ; Chakraborty, Suman. In: MPRA Paper. RePEc:pra:mprapa:117067.

Full description at Econpapers || Download paper

2023Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1.

Full description at Econpapers || Download paper

2023Liquidity and realized covariance forecasting: a hybrid method with model uncertainty. (2023). Li, Weiping ; Ma, Feng ; Cao, Yangli ; Qiao, Gaoxiu. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02248-y.

Full description at Econpapers || Download paper

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]		article8
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]		paper31
2014What Does the Convenience Yield Curve Tell Us about the Crude Oil Market? In: Staff Working Papers.
[Full Text][Citation analysis]		paper17
2014International House Price Cycles, Monetary Policy and Risk Premiums In: Staff Working Papers.
[Full Text][Citation analysis]		paper18
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]		paper46
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: 46		article
2011Forecasting multivariate realized stock market volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article99
2009Global private information in international equity markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article92
2017International house price cycles, monetary policy and credit In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article5
2007International Equity Flows and Returns: A Quantitative Equilibrium Approach -super-1 In: The Review of Economic Studies.
[Full Text][Citation analysis]		article61
2004Characterizing Asymmetric Information in International Equity Markets In: International Finance.
[Full Text][Citation analysis]		paper4

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team