21
H index
38
i10 index
1380
Citations
Université Catholique de Louvain | 21 H index 38 i10 index 1380 Citations RESEARCH PRODUCTION: 68 Articles 184 Papers RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Christian Matthias Hafner. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2022 | Modelling the Relationship Between Trading Volume and Stock Returns Volatility for Islamic and Conventional Banks: The Case of Saudi Arabia ????? ??????? ??? ??? ??????? ????? ????? ?????? ?????? ????. (2022). Saci, Karima. In: Journal of King Abdulaziz University: Islamic Economics. RePEc:abd:kauiea:v:35:y:2022:i:1:no:3:p:41-55. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2022 | DAI Digital Art Index : a robust price index for heterogeneous digital assets. (2022). Härdle, Wolfgang ; Hardle, Wolfgang K ; Hafner, Christian M ; Wang, Bingling ; Lin, Min-Bin. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022036. Full description at Econpapers || Download paper | |
2022 | Asymmetric volatility impulse response functions. (2022). Herwartz, Helmut ; Hafner, Christian. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022037. Full description at Econpapers || Download paper | |
2023 | Detecting and dating possibly distinct structural breaks in the covariance structure of financial assets. (2023). Mugrabi, Farah Daniela. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023001. Full description at Econpapers || Download paper | |
2023 | Rational Bubbles: Too Many to be True?. (2023). Sola, Martin. In: Working Papers. RePEc:aoz:wpaper:240. Full description at Econpapers || Download paper | |
2022 | High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584. Full description at Econpapers || Download paper | |
2022 | Predicting Value at Risk for Cryptocurrencies Using Generalized Random Forests. (2022). Gorgen, Konstantin ; Schienle, Melanie ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224. Full description at Econpapers || Download paper | |
2022 | Predicting the Bubble of Non-Fungible Tokens (NFTs): An Empirical Investigation. (2022). Mogi, Gento ; Shibano, Kyohei ; Ito, Kensuke. In: Papers. RePEc:arx:papers:2203.12587. Full description at Econpapers || Download paper | |
2022 | Cryptocurrency Bubble Detection: A New Stock Market Dataset, Financial Task & Hyperbolic Models. (2022). Chava, Sudheer ; Nanda, Vikram ; Rosso, Paolo ; Mittal, Vivek ; Agarwal, Shivam ; Sawhney, Ramit. In: Papers. RePEc:arx:papers:2206.06320. Full description at Econpapers || Download paper | |
2023 | Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828. Full description at Econpapers || Download paper | |
2023 | Efficient variational approximations for state space models. (2022). Nibbering, Didier ; Loaiza-Maya, Rub'En. In: Papers. RePEc:arx:papers:2210.11010. Full description at Econpapers || Download paper | |
2023 | Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471. Full description at Econpapers || Download paper | |
2023 | Cryptocurrency co-investment network: token returns reflect investment patterns. (2023). Alessandretti, Laura ; Bartolucci, Silvia ; Mungo, Luca. In: Papers. RePEc:arx:papers:2301.02027. Full description at Econpapers || Download paper | |
2023 | The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349. Full description at Econpapers || Download paper | |
2023 | Copula Variational LSTM for High-dimensional Cross-market Multivariate Dependence Modeling. (2023). Cao, Longbing ; Xu, Jia. In: Papers. RePEc:arx:papers:2305.08778. Full description at Econpapers || Download paper | |
2023 | Matrix GARCH Model: Inference and Application. (2023). Zhu, KE ; Jiang, Feiyu ; Li, Dong ; Yu, Cheng. In: Papers. RePEc:arx:papers:2306.05169. Full description at Econpapers || Download paper | |
2023 | Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309. Full description at Econpapers || Download paper | |
2022 | Regularized estimation of high?dimensional vector autoregressions with weakly dependent innovations. (2022). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:532-557. Full description at Econpapers || Download paper | |
2022 | Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets. (2022). Tsang, Andrew ; Funke, Michael ; Loermann, Julius. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:2:p:606-628. Full description at Econpapers || Download paper | |
2022 | Semiparametric estimation and model selection for conditional mixture copula models. (2022). Cai, Zongwu ; Yang, Bingduo ; Long, Wei ; Liu, Guannan. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:1:p:287-330. Full description at Econpapers || Download paper | |
2023 | Realized 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 | |
2023 | The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets. (2023). Bachmair, K. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2303. Full description at Econpapers || Download paper | |
2022 | Monetary Policy and the Financial Cycle: International Evidence. (2022). Žáček, Jan ; Baxa, Jaromir. In: Working Papers. RePEc:cnb:wpaper:2022/4. Full description at Econpapers || Download paper | |
2023 | Financial Sector Troubles and Energy Markets. (2023). Soytas, Ugur ; Gormus, Alper. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-02-40. Full description at Econpapers || Download paper | |
2022 | Directed acyclic graph based information shares for price discovery. (2022). Zema, Sebastiano Michele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001397. Full description at Econpapers || Download paper | |
2023 | Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles. (2023). Wang, Shu ; Herwartz, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000362. Full description at Econpapers || Download paper | |
2023 | Rational bubbles: Too many to be true?. (2023). Sola, Martin ; Psaradakis, Zacharias ; Caravello, Tomas E. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000726. Full description at Econpapers || Download paper | |
2022 | Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?. (2022). Ye, Wuyi ; Jiang, Kunliang. In: Economic Modelling. RePEc:eee:ecmode:v:117:y:2022:i:c:s0264999322002838. Full description at Econpapers || Download paper | |
2023 | Sequential Bayesian analysis for semiparametric stochastic volatility model with applications. (2023). Lou, Zhusheng ; Wang, Nianling. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000998. Full description at Econpapers || Download paper | |
2022 | Risk spillover analysis of China’s financial sectors based on a new GARCH copula quantile regression model. (2022). Niu, Rong ; Guo, Fei ; Tian, Maoxi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001528. Full description at Econpapers || Download paper | |
2023 | Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach. (2023). Iitsuka, Yoshitaka ; Motegi, Kaiji. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001759. Full description at Econpapers || Download paper | |
2023 | Asymmetric volatility impulse response functions. (2023). Herwartz, Helmut ; Hafner, Christian M. In: Economics Letters. RePEc:eee:ecolet:v:222:y:2023:i:c:s0165176522004426. Full description at Econpapers || Download paper | |
2022 | Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (2022). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:285-304. Full description at Econpapers || Download paper | |
2022 | Maximum likelihood estimation for score-driven models. (2022). Lucas, Andre ; Koopman, Siem Jan ; van Brummelen, Janneke ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:325-346. Full description at Econpapers || Download paper | |
2022 | Functional time series approach to analyzing asset returns co-movements. (2022). Xia, Yingcun ; Saart, Patrick W. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:127-151. Full description at Econpapers || Download paper | |
2023 | Nonparametric comparison of epidemic time trends: The case of COVID-19. (2023). Vogt, Michael ; Khismatullina, Marina. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:87-108. Full description at Econpapers || Download paper | |
2023 | A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543. Full description at Econpapers || Download paper | |
2023 | Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data. (2023). Xia, Yin ; Xu, Yan ; Yang, Dan ; Chen, Xin ; Shen, Haipeng ; Wang, Dong. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:544-564. Full description at Econpapers || Download paper | |
2022 | Knitting Multi-Annual High-Frequency Google Trends to Predict Inflation and Consumption.. (2022). Dimpfl, Thomas ; Bleher, Johannes. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:1-26. Full description at Econpapers || Download paper | |
2023 | Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application. (2023). Asai, Manabu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:25:y:2023:i:c:p:23-38. Full description at Econpapers || Download paper | |
2023 | Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074. Full description at Econpapers || Download paper | |
2022 | Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model. (2022). Hambuckers, J ; Ulm, M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:125-148. Full description at Econpapers || Download paper | |
2022 | Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence. (2022). Zhai, Pengxiang ; Liu, Zhen Hua ; Ma, Rufei. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000354. Full description at Econpapers || Download paper | |
2022 | Dynamic risk spillovers from oil to stock markets: Fresh evidence from GARCH copula quantile regression-based CoVaR model. (2022). Yoon, Seong-Min ; Alshater, Muneer M ; Tian, Maoxi. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322004704. Full description at Econpapers || Download paper | |
2022 | Risk transmission from the oil market to Islamic and conventional banks in oil-exporting and oil-importing countries. (2022). Brooks, Robert ; Mohsen, Mohammed Sharaf ; Hasanov, Akram Shavkatovich ; Tanin, Tauhidul Islam. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005187. Full description at Econpapers || Download paper | |
2023 | The US-China trade war and the volatility linkages between energy and agricultural commodities. (2023). Poon, Wai-Ching ; Bouri, Elie ; Hasanov, Akram Shavkatovich ; Ling, Natalie Fang. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001032. Full description at Econpapers || Download paper | |
2023 | Structural sources of oil market volatility and correlation dynamics. (2023). Stewart, Shamar ; Liu, Xiaochun ; Harrison, Andre. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001561. Full description at Econpapers || Download paper | |
2022 | Should investors include green bonds in their portfolios? Evidence for the USA and Europe. (2022). Li, Jie ; Han, Yingwei. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521921003136. Full description at Econpapers || Download paper | |
2022 | Risk transmissions between bitcoin and traditional financial assets during the COVID-19 era: The role of global uncertainties. (2022). Gözgör, Giray ; Marco, Chi Keung ; Elsayed, Ahmed H. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000436. Full description at Econpapers || Download paper | |
2022 | VIX term structure forecasting: New evidence based on the realized semi-variances. (2022). Qiao, Gaoxiu ; Yang, Jiyu ; Jiang, Gongyue. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001600. Full description at Econpapers || Download paper | |
2022 | Interest in cryptocurrencies predicts conditional correlation dynamics. (2022). Chuffart, Thomas. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321002956. Full description at Econpapers || Download paper | |
2022 | Bubbles in Ethereum. (2022). Figuerola-Ferretti, Isabel ; Bellon, Carlos . In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003871. Full description at Econpapers || Download paper | |
2022 | Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model. (2022). Roestel, Jan ; Herwartz, Helmut. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000531. Full description at Econpapers || Download paper | |
2022 | High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis. (2022). Ziba, Damian ; Yarovaya, Larisa ; Katsiampa, Paraskevi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000610. Full description at Econpapers || Download paper | |
2022 | Sentiment and trading decisions in an ambiguous environment: A study on cryptocurrency traders. (2022). Bowden, James ; Gemayel, Roland. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122000981. Full description at Econpapers || Download paper | |
2023 | The role of interpersonal trust in cryptocurrency adoption. (2023). Yarovaya, Larisa ; Urquhart, Andrew ; Matkovskyy, Roman ; Jalan, Akanksha. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443122001871. Full description at Econpapers || Download paper | |
2022 | Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph | |
2023 | Forecasting Bitcoin with technical analysis: A not-so-random forest?. (2023). Djakovic, Vladimir ; Adcock, Robert ; Kukolj, Dragan ; Gradojevic, Nikola. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:1-17. Full description at Econpapers || Download paper | |
2022 | Modeling and forecasting realized portfolio weights. (2022). Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000048. Full description at Econpapers || Download paper | |
2022 | Do collective emotions drive bitcoin volatility? A triple regime-switching vector approach. (2022). JAWADI, Fredj ; Rozin, Philippe ; Bourghelle, David. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:196:y:2022:i:c:p:294-306. Full description at Econpapers || Download paper | |
2022 | Technical efficiency and technological gaps correcting for selectivity bias: Insights from a value chain project in Nepal. (2022). Bravo-Ureta, Boris E ; Kamiche-Zegarra, Joanna ; Songsermsawas, Tisorn ; Neubauer, Florian. In: Food Policy. RePEc:eee:jfpoli:v:112:y:2022:i:c:s0306919222001336. Full description at Econpapers || Download paper | |
2022 | Estimation of multivariate asymmetric power GARCH models. (2022). Saussereau, B ; Kadmiri, O ; Mainassara, Boubacar Y. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:192:y:2022:i:c:s0047259x2200077x. Full description at Econpapers || Download paper | |
2022 | How far is too far for volatility transmission?. (2022). Karali, Berna ; Yang, Yao. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:26:y:2022:i:c:s2405851321000313. Full description at Econpapers || Download paper | |
2022 | Impact of the COVID-19 pandemic on return and risk transmission between oil and precious metals: Evidence from DCC-GARCH model. (2022). Ertugrul, Hasan ; Erturul, Hasan Murat ; Esen, Omer ; Yildirim, Durmu Ari. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s030142072200383x. Full description at Econpapers || Download paper | |
2022 | Impacts of COVID-19 local spread and Google search trend on the US stock market. (2022). Panovska, Irina ; Das, Kumer P ; Toufiqul, G M ; Dey, Asim K. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121006968. Full description at Econpapers || Download paper | |
2022 | Sentiment spillover and price dynamics: Information flow in the cryptocurrency and stock market. (2022). Caferra, Rocco. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:593:y:2022:i:c:s0378437122000747. Full description at Econpapers || Download paper | |
2022 | Effects of COVID-19 on cryptocurrency and emerging market connectedness: Empirical evidence from quantile, frequency, and lasso networks. (2022). Agan, Busra ; Ozdemir, Huseyin ; Balcilar, Mehmet. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:604:y:2022:i:c:s0378437122005696. Full description at Econpapers || Download paper | |
2022 | Gold, silver, and the US dollar as harbingers of financial calm and distress. (2022). Gillman, Max ; Cevik, Emrah I ; Dibooglu, Sel. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:86:y:2022:i:c:p:200-210. Full description at Econpapers || Download paper | |
2023 | Comovement and instability in cryptocurrency markets. (2023). De Pace, Pierangelo ; Rao, Jayant. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:173-200. Full description at Econpapers || Download paper | |
2022 | Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models. (2022). Piliouras, Georgios ; Leonardos, Stefanos ; Koki, Constandina. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001756. Full description at Econpapers || Download paper | |
2022 | An examination of whether gold-backed Islamic cryptocurrencies are safe havens for international Islamic equity markets. (2022). Hussain, Syed Jawad ; Naifar, Nader ; Bouri, Elie ; Ali, Fahad ; Alahmad, Mohammad. In: Research in International Business and Finance. RePEc:eee:riibaf:v:63:y:2022:i:c:s0275531922001544. Full description at Econpapers || Download paper | |
2022 | Testing for Granger causality in quantiles between the wage share in income and productive capacity utilization. (2022). Lima, Gilberto Tadeu ; Marques, Andre M. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:62:y:2022:i:c:p:290-312. Full description at Econpapers || Download paper | |
2022 | Cryptocurrency: Not far from equilibrium. (2022). Choi, M Y ; Ahn, Kwangwon ; Yi, Eojin. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:177:y:2022:i:c:s0040162521008556. Full description at Econpapers || Download paper | |
2022 | Predictive power of investor sentiment for Bitcoin returns: Evidence from COVID-19 pandemic. (2022). Dang, Trung ; Mefteh-Wali, Salma ; Bouteska, Ahmed. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:184:y:2022:i:c:s0040162522005200. Full description at Econpapers || Download paper | |
2022 | Monitoring network changes in social media. (2022). Wang, Tengyao ; Okhrin, Yarema ; Chen, Cathy Yi-Hsuan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:113742. Full description at Econpapers || Download paper | |
2022 | Changes in the Structure of the Apartments Rental Segment in Poland During the COVID-19 Pandemic. (2022). Derkacz, Arkadiusz J ; Gajda, Artur. In: European Research Studies Journal. RePEc:ers:journl:v:xxv:y:2022:i:special3:p:156-166. Full description at Econpapers || Download paper | |
2022 | Dynamic Factor Copula Models with Estimated Cluster Assignments. (2021). Patton, Andrew ; Oh, Dong Hwan. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2021-29. Full description at Econpapers || Download paper | |
2022 | Sustainable Cryptocurrency Growth Impossible? Impact of Network Power Demand on Bitcoin Price. (2022). Mikhaylov, Alexey ; Baboshkin, Pavel ; Shaikh, Zaffar Ahmed. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:220308:p:116-130. Full description at Econpapers || Download paper | |
2022 | Consequences of Ignoring Dependent Error Components and Heterogeneity in a Stochastic Frontier Model: An Application to Rice Producers in Northern Thailand. (2022). Xue, Yuting ; Liu, Jianxu ; Sriboonchitta, Songsak ; Rahman, Sanzidur. In: Agriculture. RePEc:gam:jagris:v:12:y:2022:i:8:p:1078-:d:869332. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2023 | Are Bitcoin and Gold a Safe Haven during COVID-19 and the 2022 Russia–Ukraine War?. (2023). Loukil, Sahar ; Jeribi, Ahmed ; Kayral, Ihsan Erdem. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:4:p:222-:d:1114375. Full description at Econpapers || Download paper | |
2023 | Environmental, Social, and Governance Considerations in WTI Financialization through Energy Funds. (2023). Beach, Steven ; Nazlioglu, Saban ; Gormus, Alper. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:4:p:231-:d:1117640. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2022 | Are Sustainability Indices Infected by the Volatility of Stock Indices? Analysis before and after the COVID-19 Pandemic. (2022). Madaleno, Mara ; Nogueira, Manuel Carlos. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:22:p:15434-:d:978652. Full description at Econpapers || Download paper | |
2022 | On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market. (2022). de Peretti, Christian ; Sabkha, Saker. In: Post-Print. RePEc:hal:journl:hal-01710398. Full description at Econpapers || Download paper | |
2022 | Modeling the volatility of Bitcoin returns using Nonparametric GARCH models. (2022). Mestiri, Sami. In: Journal of Academic Finance. RePEc:jaf:journl:v:13:y:2022:i:1:n:373. Full description at Econpapers || Download paper | |
2022 | Dependence and Systemic Risk Analysis Between S&P 500 Index and Sector Indexes: A Conditional Value-at-Risk Approach. (2022). Ye, Wuyi ; Jiao, Shoukun. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10125-6. Full description at Econpapers || Download paper | |
2023 | CO2 Emission Allowances Risk Prediction with GAS and GARCH Models. (2023). Tiwari, Aviral ; Trabelsi, Nader. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10231-5. Full description at Econpapers || Download paper | |
2022 | Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components. (2022). Theodossiou, Panayiotis ; Savva, Christos S ; Ellina, Polina. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:59:y:2022:i:2:d:10.1007_s11156-022-01055-x. Full description at Econpapers || Download paper | |
2023 | Bayesian Forecasting in the 21st Century: A Modern Review. (2023). Maheu, John ; Panagiotelis, Anastasios ; Nibbering, Didier ; Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Frazier, David T ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-1. Full description at Econpapers || Download paper | |
2022 | The Impact of the Global Pandemic Crisis on East and Central EU Stock Markets. (2022). Pepi, Mitica. In: Ovidius University Annals, Economic Sciences Series. RePEc:ovi:oviste:v:xxii:y:2022:i:1:p:963-968. Full description at Econpapers || Download paper | |
2022 | Analysis of Nonlinear Comovement of Benchmark Thai Government Bond Yields. (2022). Khanthaporn, Rewat. In: PIER Discussion Papers. RePEc:pui:dpaper:183. Full description at Econpapers || Download paper | |
2022 | Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow. (2022). Rashid, Abdul ; Jabeen, Munazza. In: Global Journal of Emerging Market Economies. RePEc:sae:emeeco:v:14:y:2022:i:2:p:222-245. Full description at Econpapers || Download paper | |
2022 | Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs. (2022). Mirza, Nawazish ; Naqvi, Bushra ; Abbas, Syed Kumail. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04367-8. Full description at Econpapers || Download paper | |
2023 | Time-varying higher moments in Bitcoin. (2023). Laurini, Marcio Poletti ; Vieira, Leonardo Ieracitano. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-022-00072-8. Full description at Econpapers || Download paper | |
2022 | Local projection variance impulse response. (2022). Kawakatsu, Hiroyuki. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:3:d:10.1007_s00181-021-02063-x. Full description at Econpapers || Download paper | |
2023 | The noise error component in stochastic frontier analysis. (2023). Papadopoulos, Alecos. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02339-w. Full description at Econpapers || Download paper | |
2023 | An alternative corrected ordinary least squares estimator for the stochastic frontier model. (2023). Zhao, Shirong ; Parmeter, Christopher F. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-023-02401-1. Full description at Econpapers || Download paper | |
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2018 | Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility In: LIDAM Reprints ISBA. [Citation analysis] | paper | 73 |
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2020 | Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility.(2020) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 73 | article | |
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2021 | Exponential-Type GARCH Models With Linear-in-Variance Risk Premium.(2021) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
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2020 | Identification of structural multivariate GARCH models In: LIDAM Reprints ISBA. [Citation analysis] | paper | 10 |
2018 | Identification of structural multivariate GARCH models.(2018) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2022 | Identification of structural multivariate GARCH models.(2022) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
2022 | Time-Varying Mixture Copula Models with Copula Selection In: LIDAM Reprints ISBA. [Citation analysis] | paper | 1 |
2021 | Time-Varying Mixture Copula Models with Copula Selection.(2021) In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2019 | Time-Varying Mixture Copula Models with Copula Selection.(2019) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2022 | Panel stochastic frontier analysis with dependent error terms In: LIDAM Reprints ISBA. [Citation analysis] | paper | 0 |
2022 | Semiparametric estimation and variable selection for single-index copula models In: LIDAM Reprints ISBA. [Citation analysis] | paper | 2 |
2021 | Semiparametric estimation and variable selection for single?index copula models.(2021) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2019 | Semiparametric Estimation and Variable Selection for Single-index Copula Models.(2019) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2018 | Semiparametric Estimation and Variable Selection for Single-index Copula Models.(2018) In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2022 | A dynamic conditional score model for the log correlation matrix In: LIDAM Reprints ISBA. [Citation analysis] | paper | 0 |
2022 | A dynamic conditional score model for the log correlation matrix.(2022) In: LIDAM Reprints LFIN. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2019 | A dynamic conditional score model for the log correlation matrix.(2019) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2022 | Reconciling negative return skewness with positive time-varying risk premia In: LIDAM Reprints ISBA. [Citation analysis] | paper | 0 |
2022 | Reconciling negative return skewness with positive time-varying risk premia.(2022) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2022 | Investing in superheroes? Comic art as a new alternative investment In: LIDAM Reprints ISBA. [Citation analysis] | paper | 0 |
2019 | Investing in superheroes? Comic art as a new alternative investment.(2019) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2022 | Analysis of cryptocurrency connectedness based on network to transaction volume ratios In: LIDAM Reprints ISBA. [Citation analysis] | paper | 0 |
2022 | Analysis of cryptocurrency connectedness based on network to transaction volume ratios.(2022) In: Digital Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2006 | Comment In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 0 |
2008 | Statistics of Financial Markets: An Introduction, 2nd Edition by Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner In: International Statistical Review. [Full Text][Citation analysis] | article | 0 |
2004 | Nonparametric multistep?ahead prediction in time series analysis In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 12 |
2004 | Nonparametric multistep-ahead prediction in time series analysis.(2004) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2017 | On Asymptotic Theory for ARCH (?) Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 3 |
1998 | Structural analysis of portfolio risk using beta impulse response functions In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 4 |
2005 | Ridge regression revisited In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 1 |
2005 | Ridge regression revisited.(2005) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2009 | Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 33 |
2016 | Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
2016 | Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case.(2016) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2016 | Estimation of a multiplicative covariance structure in the large dimensional case.(2016) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2014 | A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 17 |
2014 | A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2009 | Efficient Estimation of a Multivariate Multiplicative Volatility Model In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 40 |
2010 | Efficient estimation of a multivariate multiplicative volatility model.(2010) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | article | |
2010 | Efficient estimation of a multivariate multiplicative volatility model.(2010) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
1997 | Discrete time option pricing with flexible volatility estimation In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 20 |
2000 | Discrete time option pricing with flexible volatility estimation.(2000) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
2000 | Discrete time option pricing with flexible volatility estimation.(2000) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | article | |
1997 | Discrete time option pricing with flexible volatility estimation.(1997) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
1998 | Volatility impulse response functions for multivariate GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 8 |
2001 | Volatility impulse response functions for multivariate GARCH models.(2001) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2001 | Fourth moments of multivariate GARCH processes In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
2000 | Fourth moments of multivariate GARCH processes.(2000) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2003 | Semiparametric multivariate GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
2003 | Estimation of temporally aggregated multivariate GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 5 |
2004 | Estimation of temporally aggregated multivariate GARCH models.(2004) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2006 | Multivariate mixed normal conditional heteroskedasticity In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 39 |
2007 | Multivariate mixed normal conditional heteroskedasticity.(2007) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | paper | |
2006 | Multivariate mixed normal conditional heteroskedasticity.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | paper | |
2007 | Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | article | |
2006 | Asymptotic theory for a factor GARCH model In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 19 |
2009 | ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL.(2009) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | article | |
2015 | The “wrong skewness” problem in stochastic frontier models: a new approach In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 10 |
2018 | The wrong skewness problem in stochastic frontier models: A new approach.(2018) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2018 | The “wrong skewness” problem in stochastic frontier models: A new approach.(2018) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
2015 | The wrong skewness problem in stochastic frontier models: A new approach.(2015) In: VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2005 | Durations, volume and the prediction of financial returns in transaction time In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 11 |
2000 | Durations, Volume and the Prediction of Financial Returns in Transaction Time.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2005 | Durations, volume and the prediction of financial returns in transaction time.(2005) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2007 | SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 36 |
2004 | Semiparametric multivariate volatility models.(2004) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
2004 | Semiparametric multivariate volatility models.(2004) In: Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
2004 | Temporal aggregation of multivariate GARCH processes In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] | paper | 23 |
2008 | Temporal aggregation of multivariate GARCH processes.(2008) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | article | |
2004 | Temporal aggregation of multivariate GARCH processes.(2004) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2009 | Causality and forecasting in temporally aggregated multivariate GARCH processes In: Econometrics Journal. [Full Text][Citation analysis] | article | 7 |
2000 | Testing for linear autoregressive dynamics under heteroskedasticity In: Econometrics Journal. [Citation analysis] | article | 10 |
1998 | Testing for linear autoregressive dynamics under heteroskedasticity.(1998) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2006 | A Lagrange multiplier test for causality in variance In: Economics Letters. [Full Text][Citation analysis] | article | 82 |
2001 | Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 19 |
1999 | Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis.(1999) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2006 | Volatility impulse responses for multivariate GARCH models: An exchange rate illustration In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 92 |
2009 | On asymptotic theory for multivariate GARCH models In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 59 |
2003 | A generalized dynamic conditional correlation model for many asset returns In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 27 |
2003 | Simple approximations for option pricing under mean reversion and stochastic volatility In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
2003 | Simple approximations for option pricing under mean reversion and stochastic volatility.(2003) In: Computational Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2003 | Analytical quasi maximum likelihood inference in multivariate volatility models In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 35 |
2008 | Analytical quasi maximum likelihood inference in multivariate volatility models.(2008) In: Metrika: International Journal for Theoretical and Applied Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | article | |
2002 | Testing for vector autoregressive dynamics under heteroskedasticity In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
2002 | Testing for vector autoregressive dynamics under heteroskedasticity.(2002) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2005 | Semi-Parametric Modelling of Correlation Dynamics In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 7 |
2021 | A Starting Note: Panel Stochastic Frontier Analysis with Dependent Error Terms In: International Econometric Review (IER). [Full Text][Citation analysis] | article | 0 |
2009 | Information Spillover, Volatility and the Currency Markets for the Binary Choice Model In: International Econometric Review (IER). [Full Text][Citation analysis] | article | 3 |
2020 | Alternative Assets and Cryptocurrencies In: JRFM. [Full Text][Citation analysis] | article | 0 |
2016 | Estimation of a Multiplicative Covariance Structure In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Trending Mixture Copula Models with Copula Selection In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. [Full Text][Citation analysis] | paper | 0 |
2018 | Trending Mixture Copula Models with Copula Selection.(2018) In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2003 | Fourth Moment Structure of Multivariate GARCH Models In: The Journal of Financial Econometrics. [Citation analysis] | article | 37 |
2011 | The euro introduction and noneuro currencies In: Applied Financial Economics. [Full Text][Citation analysis] | article | 23 |
2009 | A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets In: Econometric Reviews. [Full Text][Citation analysis] | article | 55 |
2014 | THE IMPACT OF ACQUISITIONS ON NEW TECHNOLOGY STOCKS: THE GOOGLE–MOTOROLA CASE In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] | article | 0 |
1995 | A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series In: SFB 373 Discussion Papers. [Citation analysis] | paper | 4 |
1996 | Foreign Exchange Rates Have Surprising Volatility In: SFB 373 Discussion Papers. [Citation analysis] | paper | 10 |
1997 | Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models In: SFB 373 Discussion Papers. [Citation analysis] | paper | 2 |
1998 | Flexible stochastic volatility structures for high frequency financial data In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
1999 | Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
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