Dennis F.M. Bams : Citation Profile

Maastricht University (50% share)
Maastricht University (50% share)

8

H index

8

i10 index

360

Citations

RESEARCH PRODUCTION:

14

Articles

14

Papers

RESEARCH ACTIVITY:

   23 years (1998 - 2021). See details.
   Cites by year: 15
   Journals where Dennis F.M. Bams has often published
   Relations with other researchers
   Recent citing documents: 34.    Total self citations: 8 (2.17 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba780
   Updated: 2025-12-27    RAS profile: 2025-07-08    
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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 Dennis F.M. Bams.

Is cited by:

Lehnert, Thorsten (10)

Juselius, John (9)

BABALOS, VASSILIOS (8)

Caporale, Guglielmo Maria (5)

Wolff, Christian (5)

Yin, Libo (4)

Frijns, Bart (4)

PHILIPPAS, NIKOLAOS (4)

Zwinkels, Remco (4)

Menkhoff, Lukas (4)

Lean, Hooi Hooi (4)

Cites to:

Wolff, Christian (16)

Campbell, John (13)

Vayanos, Dimitri (8)

Bekaert, Geert (8)

Bollerslev, Tim (8)

Lehnert, Thorsten (7)

Fama, Eugene (7)

Jorion, Philippe (6)

Engle, Robert (6)

Hodrick, Robert (6)

Wu, Liuren (6)

Main data

Where Dennis F.M. Bams has published?

Journals with more than one article published# docs
Journal of International Money and Finance2
Journal of Empirical Finance2
European Financial Management2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers8
LSF Research Working Paper Series / Luxembourg School of Finance, University of Luxembourg3

Recent works citing Dennis F.M. Bams (2025 and 2024)

YearTitle of citing document
2025Exploring Tail Risk Transmission between Volatility Indices and Cryptocurrencies: Evidence from Quantile Connectedness. (2025). Imane, Ennadifi ; Ghizlane, Kadil. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:29:y:2025:i:3:p:119-157.

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2024CAESar: Conditional Autoregressive Expected Shortfall. (2024). Mazzarisi, Piero ; Gatta, Federico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.06619.

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2024The Effect of Global Economic Policy Uncertainty on Selected Islamic Stock Market Returns. (2024). Yacob, Norzahidah ; Mohd, Siti Musliha ; Yussof, Khairunnisa ; Wan, Wan Rasyidah ; Adam, Norashikin. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:8:y:2024:i:10:p:195-210.

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2025Predictability of Korean mutual fund performance. (2025). Vidal-Garca, Javier ; Trinidad-Segovia, Juan E ; Gonzlez, Laura Molero. In: Economics Bulletin. RePEc:ebl:ecbull:eb-24-00447.

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2024Credit risk contagion in complex companies network–Empirical research based on listed agricultural companies. (2024). Zhang, Wanjuan ; Wang, Jing. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:938-953.

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2024Does oil price uncertainty affect IPO underpricing? Evidence from China. (2024). He, XU ; Xiang, Xin ; Han, Yajie. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:84:y:2024:i:c:p:240-259.

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2024The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets. (2024). Ghouli, Jihene ; Sharif, Taimur ; Abedin, Mohammad Zoynul ; Bouteska, Ahmed. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:84:y:2024:i:c:p:25-41.

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2025Regime dependence in the oil-stock market relationship: The role of oil price uncertainty. (2025). Mahadeo, Scott ; Heinlein, Reinhold. In: Economics Letters. RePEc:eee:ecolet:v:251:y:2025:i:c:s0165176525001284.

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2024Market volatilities vs oil shocks: Which dominate the relative performance of green bonds?. (2024). Wei, YU ; Liu, Yuntong ; Wang, Yizhi ; Zhou, Chunyan ; Shi, Chunpei. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004171.

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2024Shock transmission between climate policy uncertainty, financial stress indicators, oil price uncertainty and industrial metal volatility: Identifying moderators, hedgers and shock transmitters. (2024). Shahbaz, Muhammad ; Jiao, Zhilun ; Sheikh, Umaid A ; Tabash, Mosab I. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004407.

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2025Dynamic risk spillover in green financial markets: A wavelet frequency analysis from China. (2025). Shang, Junyan ; Zhao, Xiaojun ; Wang, Yiding. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325001240.

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2024US dollar and oil market uncertainty: New evidence from explainable machine learning. (2024). Kocaarslan, Baris. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004057.

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2025The role of associated risk in predicting financial distress: A case study of listed agricultural companies in China. (2025). Wang, Jing ; Zhang, Wanjuan. In: Finance Research Letters. RePEc:eee:finlet:v:77:y:2025:i:c:s1544612325003885.

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2025Systemic risk and oil price volatility shocks. (2025). Filis, George ; Filippidis, Michail ; Colak, Gonul ; Chatziantoniou, Ioannis ; Tzouvanas, Panagiotis. In: Journal of Financial Stability. RePEc:eee:finsta:v:79:y:2025:i:c:s1572308925000610.

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2025Automated machine learning in insurance. (2025). Quan, Zhiyu ; Dong, Panyi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:17-41.

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2024Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301.

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2024Metal and energy price uncertainties and the global economy. (2024). Sheen, Jeffrey ; Ponomareva, Natalia ; Wang, Ben Zhe. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000317.

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2025Learning about tail risk: Machine learning and combination with regularization in market risk management. (2025). Wang, Jianzhou ; Lu, Helen ; Zhang, Dongxue ; Xing, Qianyi. In: Omega. RePEc:eee:jomega:v:133:y:2025:i:c:s0305048324002135.

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2024Interconnections and contagion among cryptocurrencies, DeFi, NFT and traditional financial assets: Some new evidence from tail risk driven network. (2024). Zhang, Yuanyuan ; Liao, Xin ; Chan, Stephen ; Chu, Jeffrey. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:647:y:2024:i:c:s0378437124004011.

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2024How does oil market volatility impact mutual fund performance?. (2024). Calice, Giovanni ; Alsubaiei, Bader Jawid ; Vivian, Andrew. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1601-1621.

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2024Bond market spillover networks of ASEAN-4 markets: Is the global pandemic different?. (2024). Uddin, Gazi ; PARK, DONGHYUN ; Tian, Shu ; Yahya, Muhammad ; Hedstrom, Axel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:1028-1044.

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2024Flight-to-safety across time and market conditions. (2024). Jalkh, Naji ; Bouri, Elie. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s105905602400340x.

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2025Oil price uncertainty shock and Korean sectoral stock market: The role of common factor and asymmetry. (2025). Kim, Young Min ; Lee, Geonhee. In: Research in International Business and Finance. RePEc:eee:riibaf:v:78:y:2025:i:c:s0275531925002454.

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2024Changes in Gross Nuclear Electricity Production in the European Union. (2024). Rokicki, Tomasz ; Borawski, Piotr ; Holden, Lisa ; Klepacki, Bogdan ; Bedycka-Borawska, Aneta ; Parzonko, Andrzej. In: Energies. RePEc:gam:jeners:v:17:y:2024:i:14:p:3554-:d:1438689.

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2025Uncertainty, Risk, and Opaque Stock Markets. (2025). Astaíza-Gómez, José Gabriel ; Astaza-Gmez, Jos Gabriel. In: IJFS. RePEc:gam:jijfss:v:13:y:2025:i:1:p:35-:d:1603949.

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2025Competitive Potential of Stable Biomass in Poland Compared to the European Union in the Aspect of Sustainability. (2025). Bedycka-Brawska, Aneta ; Holden, Lisa ; Brawski, Piotr ; Wyszomierski, Rafa ; Rokicki, Tomasz ; Parzonko, Andrzej. In: Resources. RePEc:gam:jresou:v:14:y:2025:i:2:p:19-:d:1572255.

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2024Informative Transparency on Entrepreneurship by Spanish Local Governments. (2024). Abelaira, Triana Arias ; Nevado, Maria Teresa ; Duran, Maria Pache ; Miron, Angel Sabino. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:6:p:2314-:d:1355028.

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2024Fund Characteristics, Managerial Skills and Performance Persistence: Evidence from India. (2024). Majumdar, Sudipta ; Mishra, Rohan Kumar ; Chandra, Abhijeet. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:2:d:10.1007_s10690-023-09417-8.

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2024Spillovers and Portfolio Management Between the Uncertainty Indices of Oil and Gold and G7 Stock Markets. (2024). Kang, Sang Hoon ; Vo, Xuan Vinh ; Ziadat, Salem Adel ; Mensi, Walid. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:4:d:10.1007_s10614-023-10488-y.

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2024Performance and investment styles of international multi-asset funds during market crises. (2024). Leite, Paulo. In: Empirica. RePEc:kap:empiri:v:51:y:2024:i:3:d:10.1007_s10663-024-09614-2.

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2024Superannuation fees, asset allocation and fund performance. (2024). Walter, Terry ; Akhtar, Shumi ; Ainsworth, Andrew ; Lee, Adrian ; Corbett, Adam. In: Australian Journal of Management. RePEc:sae:ausman:v:49:y:2024:i:3:p:340-365.

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2025Comparison of sectorial and financial data for ESG scoring of mutual funds with machine learning. (2025). Hernandez-Perlines, Felipe ; Martin-Melero, Inigo ; Gomez-Martinez, Raul ; Medrano-Garcia, Maria Luisa. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00719-y.

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2025How do the reserve currency and uncertainties in major markets affect the uncertainty of oil prices over time?. (2025). Soytas, Ugur ; Kocaarslan, Baris. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:2:p:2016-2041.

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2025Forecasting Gold Volatility in an Uncertain Environment: The Roles of Large and Small Shock Sizes. (2025). Zhang, LI ; Pan, Zhigang ; Ji, YU ; Wang, LU. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1478-1500.

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Works by Dennis F.M. Bams:

YearTitleTypeCited
2004How to measure mutual fund performance: economic versus statistical relevance In: Accounting and Finance.
[Full Text][Citation analysis]		article25
2007The Performance of Local versus Foreign Mutual Fund Managers In: European Financial Management.
[Full Text][Citation analysis]		article20
2002European Mutual Fund Performance In: European Financial Management.
[Full Text][Citation analysis]		article150
2015Credit risk characteristics of US small business portfolios In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2015Ripple effects from industry defaults In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper3
1998Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1
2000Risk Premia In The Term Structure Of Interest Rates: A Panel Data Approach In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper7
2003Risk premia in the term structure of interest rates: a panel data approach.(2003) In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
1998Risk Premia in Term Structure of Interest Rates: A Panel Data Approach..(1998) In: Southern California - School of Business Administration.
[Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2002An Evaluation Framework for Alternative VaR Models In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper27
2005An evaluation framework for alternative VaR-models.(2005) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		article
2003More Evidence on the Dollar Risk Premium in the Foreign Exchange Market In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper15
2004More evidence on the dollar risk premium in the foreign exchange market.(2004) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2005Loss Functions in Option Valuation: A Framework for Model Selection In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper3
2012Modeling default correlation in a US retail loan portfolio In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper7
2012Modeling default correlation in a US retail loan portfolio.(2012) In: LSF Research Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2008Loss Functions in Option Valuation: A Framework for Selection In: LSF Research Working Paper Series.
[Full Text][Citation analysis]		paper11
2009Loss Functions in Option Valuation: A Framework for Selection.(2009) In: Management Science.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2014Evaluating Option Pricing Model Performance Using Model Uncertainty In: LSF Research Working Paper Series.
[Full Text][Citation analysis]		paper0
2001Empirical Issues in Value-at-Risk* In: ASTIN Bulletin.
[Full Text][Citation analysis]		article0
2003Direct estimation of the risk neutral factor dynamics of Gaussian term structure models In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2017Does oil and gold price uncertainty matter for the stock market? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article56
2019Are capital requirements on small business loans flawed? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article4
2021VIX and liquidity premium In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article5
2017Volatility measures and Value-at-Risk In: International Journal of Forecasting.
[Full Text][Citation analysis]		article13
2021Spillovers to small business credit risk In: Small Business Economics.
[Full Text][Citation analysis]		article2
2012Modeling default correlation in a US retail loan portfolio In: DEM Discussion Paper Series.
[Full Text][Citation analysis]		paper4
2016Trade credit: Elusive insurance of firm growth In: Research Memorandum.
[Full Text][Citation analysis]		paper0

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