Soosung Hwang : Citation Profile

Are you Soosung Hwang?

Sungkyunkwan University

11

H index

12

i10 index

631

Citations

RESEARCH PRODUCTION:

28

Articles

17

Papers

RESEARCH ACTIVITY:

   21 years (1997 - 2018). See details.
   Cites by year: 30
   Journals where Soosung Hwang has often published
   Relations with other researchers
   Recent citing documents: 76.    Total self citations: 13 (2.02 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phw8
   Updated: 2023-11-04    RAS profile: 2020-02-21    
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Relations with other researchers

Works with:

Rubesam, Alexandre (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Soosung Hwang.

Is cited by:

Galagedera, Don (12)

Brooks, Robert (11)

GUPTA, RANGAN (9)

Nautz, Dieter (8)

Balcilar, Mehmet (7)

Dufrénot, Gilles (6)

Iqbal, Javed (6)

Demirer, Riza (6)

Fantazzini, Dean (6)

Hatemi-J, Abdulnasser (6)

GUEGAN, Dominique (5)

Cites to:

Thaler, Richard (12)

Fama, Eugene (12)

Campbell, John (11)

Harvey, Campbell (11)

French, Kenneth (10)

Jagannathan, Ravi (9)

Kahneman, Daniel (9)

Harvey, Andrew (9)

Hamilton, James (8)

Shleifer, Andrei (7)

Ang, Andrew (7)

Main data

Where Soosung Hwang has published?

Journals with more than one article published# docs
Journal of Banking & Finance6
The European Journal of Finance4
Real Estate Economics3
Applied Economics3
The Journal of Real Estate Finance and Economics2

Working Papers Series with more than one paper published# docs
ERES / European Real Estate Society (ERES)4
Working Papers / IESEG School of Management2
CEPR Discussion Papers / C.E.P.R. Discussion Papers2

Recent works citing Soosung Hwang (2023 and 2022)

YearTitle of citing document
2022Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352.

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2022Vulnerability-CoVaR: Investigating the Crypto-market. (2022). Okhrin, Ostap ; Singh, Abhay Kumar ; Waltz, Martin. In: Papers. RePEc:arx:papers:2203.10777.

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2022Does limited liability reduce leveraged risk?: The case of loan portfolio management. (2022). Chakrabarty, Siddhartha P ; Barik, Deb Narayan. In: Papers. RePEc:arx:papers:2209.12636.

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2022Covid-19 and herding in global equity markets. (2022). de Souza, Gerson ; Rubesam, Alexandre. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:35:y:2022:i:c:s2214635022000284.

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2023Intentional and spurious herding behavior: A sentiment driven analysis. (2023). Pochea, Maria Miruna ; Filip, Angela Maria. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000242.

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2022Herding behaviour heterogeneity under economic and political risks: Evidence from GCC. (2022). Molyneux, Philip ; Albaity, Mohamed ; Mallek, Ray Saadaoui. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:75:y:2022:i:c:p:345-361.

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2022The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis. (2022). Lopez, Raquel ; Esparcia, Carlos ; Diaz, Antonio. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:75:y:2022:i:c:p:39-60.

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2022Financial contagion drivers during recent global crises. (2022). Perote, Javier ; Cortes, Lina M ; Pineda, Julian. In: Economic Modelling. RePEc:eee:ecmode:v:117:y:2022:i:c:s0264999322003042.

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2022Central bank policy announcements and changes in trading behavior: Evidence from bond futures high frequency price data. (2022). Kamada, Koichiro ; Yamada, Tetsuya ; Miura, KO ; Kurosaki, Tetsuo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001753.

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2022Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic. (2022). Jareño, Francisco ; Umar, Zaghum ; Jareo, Francisco ; Esparcia, Carlos. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000328.

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2022Herding behavior in the cryptocurrency market during COVID-19 pandemic: The role of media coverage. (2022). Waked, Sami Sobhi ; Youssef, Mouna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000997.

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2022Hedging the extreme risk of cryptocurrency. (2022). Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001486.

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2022Looking for a safe haven against American stocks during COVID-19 pandemic. (2022). Kliber, Agata. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001607.

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2023Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios. (2023). Huelamo, Diego ; Esparcia, Carlos ; Diaz, Antonio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001735.

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2023Stablecoins as diversifiers, hedges and safe havens: A quantile coherency approach. (2023). Koodziejczyk, Hanna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000359.

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2023Animal Behavior in Capital markets: Herding formation dynamics, trading volume, and the role of COVID-19 pandemic. (2023). Eleftheriou, Konstantinos ; Grose, Christos ; Economou, Fotini ; Chantziaras, Antonios ; Alexakis, Christos. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000694.

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2022How should parameter estimation be tailored to the objective?. (2022). Dumitrescu, Elena-Ivona ; Hansen, Peter Reinhard. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:535-558.

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2022Novel utility-based life cycle models to optimise income in retirement. (2022). Wang, Yunxiao ; Pantelous, Athanasios A ; Koo, Bonsoo. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:1:p:346-361.

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2022Machine learning portfolios with equal risk contributions: Evidence from the Brazilian market. (2022). Rubesam, Alexandre. In: Emerging Markets Review. RePEc:eee:ememar:v:51:y:2022:i:pb:s1566014122000085.

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2023Overlapping momentum portfolios. (2023). Remesal, Alvaro ; de Jesus, Miguel ; Blanco, Ivan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:1-22.

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2022Network herding of energy funds in the post-Carbon-Peak Policy era: Does it benefit profitability and stability?. (2022). Yang, Wenke ; Zhou, Wei ; Li, Shouwei ; Lu, Shuai. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001256.

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2022Multivariate stochastic volatility for herding detection: Evidence from the energy sector. (2022). Philippas, Nikolaos ; Tsionas, Mike G. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001402.

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2023Herding in the Chinese renewable energy market: Evidence from a bootstrapping time-varying coefficient autoregressive model. (2023). Lucey, Brian ; Ren, Boru. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000245.

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2022Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19. (2022). Jamasb, Tooraj ; Nepal, Rabindra ; Farid, Saqib ; Naeem, Muhammad Abubakr ; Arif, Muhammad. In: Energy Policy. RePEc:eee:enepol:v:168:y:2022:i:c:s0301421522003275.

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2022Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets. (2022). Drakos, Konstantinos ; Ballis, Antonis ; Anastasiou, Dimitris. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000795.

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2022Investment dynamics of fund managers under evolutionary games. (2022). Lai, Chong. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001247.

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2022Beyond the blockchain announcement: Signaling credibility and market reaction. (2022). Chen, Ka-Hin ; Lai, Tze Leung ; Liu, Qingfu ; Wang, Chuanjie. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001703.

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2022Fund trading divergence and performance contribution. (2022). Sarto, Jose Luis ; Andreu, Laura ; Gimeno, Ruth. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s105752192200182x.

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2022Industry herding in crypto assets. (2022). Li, Wanpeng ; Liu, Nan ; Zhao, Yuan. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922002848.

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2023A conditional higher-moment CAPM. (2023). Tucker, Jon ; Guermat, Cherif ; Vendrame, Vasco. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000406.

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2023Characteristics and mechanisms of the U.S. stock market spillover effects on the Chinese A-share market: Evidence from 6 A-share broad-based and 31 sector indices. (2023). Shen, Weibing ; Tian, Huiting ; Huang, Junbo. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001606.

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2022Herding intensity and volatility in cryptocurrency markets during the COVID-19. (2022). Cagli, Efe Caglar ; Mandaci, Pinar Evrim. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003846.

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2022On the time-varying dynamics of stock and commodity momentum returns. (2022). Schuhmacher, Frank ; Auer, Benjamin R ; Stadtmuller, Immo. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s154461232100386x.

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2022Modeling and forecasting firm-specific volatility: The role of asymmetry and long-memory. (2022). Gonzalez-Pla, Francisco ; Lovreta, Lidija. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001933.

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2023Can average skewness really predict financial returns? The euro area case. (2023). van Cappellen, Jef ; de Ceuster, Marc ; Annaert, Jan. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005529.

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2022Conventional and downside CAPM: The case of London stock exchange. (2022). Pyke, Christopher ; Markowski, Lesaw ; Rutkowska-Ziarko, Anna ; Amin, Saqib. In: Global Finance Journal. RePEc:eee:glofin:v:54:y:2022:i:c:s1044028322000618.

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2023Portfolio choice with illiquid asset for a loss-averse pension fund investor. (2023). Zeng, Yan ; Li, Zhongfei ; Chen, Zheng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:60-83.

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2022Do birds of a feather flock together? Evidence from time-varying herding behaviour of bitcoin and foreign exchange majors during Covid-19. (2022). Mohamad, Azhar ; Stavroyiannis, Stavros. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001184.

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2023Which COVID-19 information really impacts stock markets?. (2023). Brzeszczynski, Janusz ; Brzeszczyski, Janusz ; Bwanya, Princess Rutendo ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:84:y:2023:i:c:s1042443122000749.

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2022Herding and Chinas market-wide circuit breaker. (2022). Suardi, Sandy ; Kim, Maria H ; Wang, Xinru. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:141:y:2022:i:c:s0378426622001273.

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2023Firms’ responses to the COVID-19 pandemic. (2023). Swink, Morgan ; Wagner, Stephan M ; Schmidt, Christoph G ; Klockner, Maximilian. In: Journal of Business Research. RePEc:eee:jbrese:v:158:y:2023:i:c:s014829632300022x.

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2023Do oil, gold and metallic price volatilities prove gold as a safe haven during COVID-19 pandemic? Novel evidence from COVID-19 data. (2023). Wong, Wing-Keung ; Wisetsri, Worakamol ; Cui, Moyang ; Hassan, Marria ; Li, Zeyun ; Muda, Iskandar ; Mabrouk, Fatma. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005761.

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2022The influence of mobile trading on return dispersion and herding behavior. (2022). Wu, Chongfeng ; Diao, Xundi ; Li, Zhuolei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:73:y:2022:i:c:s0927538x22000622.

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2022Investors herding behavior in Asian equity markets during COVID-19 period. (2022). Cui, YU ; Zhang, Ruonan ; Wen, Conghua ; Jiang, Rui. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:73:y:2022:i:c:s0927538x2200066x.

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2022An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective. (2022). Yao, Wenying ; Xing, Shuo ; Cheng, Tingting. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:74:y:2022:i:c:s0927538x22001159.

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2023Herding in Chinese stock markets: Evidence from the dual-investor-group. (2023). Lu, Yang ; Zheng, Suyan ; Liu, Tengdong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000586.

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2023Asset pricing models in the presence of higher moments: Theory and evidence from the U.S. and China stock market. (2023). Zhou, Qiyao ; Xiang, George ; Li, Xin ; Hu, Debao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23001191.

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2022Deep learning in predicting cryptocurrency volatility. (2022). Piscopo, Gabriella ; Levantesi, Susanna ; Damato, Valeria. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:596:y:2022:i:c:s0378437122001704.

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2022On the benefits of active stock selection strategies for diversified investors. (2022). Auer, Benjamin R ; Stadtmuller, Immo ; Schuhmacher, Frank. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:85:y:2022:i:c:p:342-354.

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2023Firm-level business uncertainty and the predictability of the aggregate U.S. stock market volatility during the COVID-19 pandemic. (2023). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza ; van Eyden, Renee. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:295-302.

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2022Herding in the Chinese and US stock markets: Evidence from a micro-founded approach. (2022). Chen, Zhenxi ; Zheng, Huanhuan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:78:y:2022:i:c:p:597-604.

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2022Does Limited Liability Reduce Leveraged Risk?: The Case of Loan Portfolio Management. (2022). Barik, Deb Narayan ; Chakrabarty, Siddhartha P. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:11:p:519-:d:965316.

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2023Hurst Exponent Analysis: Evidence from Volatility Indices and the Volatility of Volatility Indices. (2023). Floros, Christos ; Zournatzidou, Georgia. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:5:p:272-:d:1147387.

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2022Incentive Fees with a Moving Benchmark and Portfolio Selection under Loss Aversion. (2022). Lai, Anh Ngoc ; Mellios, Constantin. In: Post-Print. RePEc:hal:journl:hal-03708926.

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2023Testing of Herd Behavior In african Stock Markets During COVID-19 Pandemic. (2023). Benboubker, Mounir ; Gohou, Jude ; Es-Sanoun, Mohamed. In: Post-Print. RePEc:hal:journl:hal-04144289.

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2022Trading Behaviour of Foreign Institutional Investors: Evidence from Indian Stock Markets. (2022). Tiwari, Sweta ; Mukherjee, Paramita. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:29:y:2022:i:4:d:10.1007_s10690-022-09361-z.

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2022Empirical analysis of the illiquidity premia of German real estate securities. (2022). Walther, Thomas ; Kuster-Simic, Andre ; Paul, Thomas. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:36:y:2022:i:2:d:10.1007_s11408-021-00398-0.

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2022Simplifying the interpretation of continuous time models for spatio-temporal networks. (2022). Suchak, Keiran ; Gilthorpe, Mark S ; Comber, Alexis ; Gadd, Sarah C ; Heppenstall, Alison J. In: Journal of Geographical Systems. RePEc:kap:jgeosy:v:24:y:2022:i:2:d:10.1007_s10109-020-00345-z.

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2023Social Network Matters: Capital Structure Risk Control on REITs. (2023). Qin, Zhenjiang ; Lai, Rose Neng ; Meng, Stanley Iat. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:66:y:2023:i:3:d:10.1007_s11146-021-09833-5.

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2023The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis. (2023). Guidolin, Massimo ; Petrova, Milena T ; Pedio, Manuela. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:67:y:2023:i:1:d:10.1007_s11146-020-09769-2.

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2022Evolution of infrastructure as an asset class: a systematic literature review and thematic analysis. (2022). Sharma, Anil Kumar ; Gupta, Surbhi. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:3:d:10.1057_s41260-022-00255-3.

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2022Herding in different states and terms: evidence from the cryptocurrency market. (2022). Mahmood, Syed Riaz. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:4:d:10.1057_s41260-022-00265-1.

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2023Downside risk matters once the lottery effect is controlled: explaining risk–return relationship in the Indian equity market. (2023). Badhani, K N ; Ali, Asgar. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:1:d:10.1057_s41260-022-00290-0.

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2022Crypto Coins and Credit Risk: Modelling and Forecasting their Probability of Death. (2022). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:113744.

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2023Linex and double-linex regression for parameter estimation and forecasting. (2023). Tsionas, Mike G. In: Annals of Operations Research. RePEc:spr:annopr:v:323:y:2023:i:1:d:10.1007_s10479-022-05131-2.

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2022COVID-19 and the volatility interlinkage between bitcoin and financial assets. (2022). Maghyereh, Aktham ; Abdoh, Hussein. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:6:d:10.1007_s00181-022-02223-7.

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2022Cryptocurrency trading: a comprehensive survey. (2022). Kanthan, Leslie ; Basios, Michail ; Ventre, Carmine ; Fang, Fan ; Li, Lingbo ; Wu, Fan ; Martinez-Rego, David. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00321-6.

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2022Speculative bubbles and herding in cryptocurrencies. (2022). Yagli, Ibrahim ; Haykir, Ozkan. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00383-0.

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2022Herd behaviour in foreign exchange market. (2022). Javaid, Yasir ; Safdar, Umar ; Yasir, Anam. In: Journal of Economic Structures. RePEc:spr:jecstr:v:11:y:2022:i:1:d:10.1186_s40008-022-00270-y.

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2022Herding behaviour in the capital market: What do we know and what is next?. (2022). Asri, Marwan ; Purwanto, Bernardinus M ; Setiyono, Bowo ; Komalasari, Puput Tri. In: Management Review Quarterly. RePEc:spr:manrev:v:72:y:2022:i:3:d:10.1007_s11301-021-00212-1.

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2022Mapping the field of behavioural biases: a literature review using bibliometric analysis. (2022). Jain, Jinesh ; Walia, Nidhi ; Singh, Simarjeet. In: Management Review Quarterly. RePEc:spr:manrev:v:72:y:2022:i:3:d:10.1007_s11301-021-00215-y.

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2023The time-varying correlation between popular narratives and TRY/USD FX rate: Evidence from a DCC-GARCH model. (2023). Ulusoy, Veysel ; Kklerli, Kazam Berk. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:4:f:13_4_3.

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2022Herding Behavior: Intensification and Flow in the Indonesian Stock Market. (2022). Winarno, Winarno ; Muniya, Alteza ; Nur, Hidayati Lina. In: Economic and Regional Studies / Studia Ekonomiczne i Regionalne. RePEc:vrs:ecoreg:v:15:y:2022:i:3:p:351-367:n:1.

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2023Herding Behavior in Frontier Nordic Countries. (2023). Arina, Ivasiuc. In: Studia Universitatis Babe?-Bolyai Oeconomica. RePEc:vrs:subboe:v:68:y:2023:i:1:p:21-41:n:1.

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2022Investment momentum: A two?dimensional behavioural strategy. (2022). Zheng, Liyi ; Zhao, Huainan ; Xu, Fangming. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1191-1207.

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2023International journal of finance and economics: A bibliometric overview. (2023). Gupta, Prashant ; Goyal, Kirti ; Kumar, Satish ; Baker, Kent H. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:9-46.

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Works by Soosung Hwang:

YearTitleTypeCited
2004Liquidity Risk and Real Estate: A Quantitative Approach to Assessing Risk In: ERES.
[Full Text][Citation analysis]		paper8
2004Smoothing, Non-synchronous Appraisal and Cross-Sectional Aggregation in Real Estate Price In: ERES.
[Full Text][Citation analysis]		paper0
2007Asset Allocatorsí Attitude Towards Real Estate and Alternative Investment Classes In: ERES.
[Full Text][Citation analysis]		paper0
2007Will Private Equity and Hedge Funds Replace Real Estate in Mixed-Asset Portfolios? In: ERES.
[Full Text][Citation analysis]		paper8
2003A Measure of Fundamental Volatility in the Commercial Property Market In: Real Estate Economics.
[Full Text][Citation analysis]		article9
2012Commercial Real Estate Returns: An Anatomy of Smoothing in Asset and Index Returns In: Real Estate Economics.
[Full Text][Citation analysis]		article6
2014The Dynamics of Appraisal Smoothing In: Real Estate Economics.
[Full Text][Citation analysis]		article4
1997Market Risk and the Concept of Fundamental Volatility In: Accounting and Finance Discussion Papers.
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1998Implied Volatility Forecasting: A Comparison of Different Procedures In: Accounting and Finance Discussion Papers.
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1997An Integrated Risk Measure with Application to UK Asset Allocation In: Cambridge Working Papers in Economics.
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1998Modelling Emerging Market Risk Premia using Higher Moments In: Cambridge Working Papers in Economics.
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1999Modelling Emerging Market Risk Premia Using Higher Moments..(1999) In: International Journal of Finance & Economics.
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2004Market Stress and Herding In: CEPR Discussion Papers.
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2004Market stress and herding.(2004) In: Journal of Empirical Finance.
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2005Performance Measurement with Loss Aversion In: CEPR Discussion Papers.
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2001Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions In: Annals of Economics and Finance.
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2000THE EFFECTS OF SYSTEMATIC SAMPLING AND TEMPORAL AGGREGATION ON DISCRETE TIME LONG MEMORY PROCESSES AND THEIR FINITE SAMPLE PROPERTIES In: Econometric Theory.
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2004How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations In: Econometric Society 2004 Latin American Meetings.
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2000Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models In: Econometric Society World Congress 2000 Contributed Papers.
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2002Using Bayesian variable selection methods to choose style factors in global stock return models.(2002) In: Journal of Banking & Finance.
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2000Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models.(2000) In: Research Paper Series.
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2004Asymmetric risk measures when modelling emerging markets equities: evidence for regional and timing effects In: Emerging Markets Review.
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2000Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets In: Journal of Banking & Finance.
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2008Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits In: Journal of Banking & Finance.
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2010How loss averse are investors in financial markets? In: Journal of Banking & Finance.
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2013A behavioral explanation of the value anomaly based on time-varying return reversals In: Journal of Banking & Finance.
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2018Loss aversion around the world: Empirical evidence from pension funds In: Journal of Banking & Finance.
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2003Small Sample Properties of GARCH Estimates and Persistence In: Finance Lab Working Papers.
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2006Small sample properties of GARCH estimates and persistence.(2006) In: The European Journal of Finance.
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2018Searching the Factor Zoo In: Working Papers.
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2018Do Smart Beta ETFs Capture Factor Premiums? A Bayesian Perspective In: Working Papers.
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2007Marketing Period Risk in a Portfolio Context: Theory and Empirical Estimates from the UK Commercial Real Estate Market In: The Journal of Real Estate Finance and Economics.
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2012The Optimal Mortgage Loan Portfolio in UK Regional Residential Real Estate In: The Journal of Real Estate Finance and Economics.
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2006An Analysis of Commercial Real Estate Returns: Is there a Smoothing Puzzle? In: Real Estate & Planning Working Papers.
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2002Calculating the misspecification in beta from using a proxy for the market portfolio In: Applied Financial Economics.
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2005GARCH model with cross-sectional volatility: GARCHX models In: Applied Financial Economics.
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2007Does downside beta matter in asset pricing? In: Applied Financial Economics.
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2007The disappearance of style in the US equity market In: Applied Financial Economics.
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2000Exponential risk measure with application to UK asset allocation In: Applied Mathematical Finance.
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2008Irrational exuberance in the long-run UK stock market In: Applied Economics.
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2015Market overreaction and investment strategies In: Applied Economics.
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2017Does illiquidity matter in residential properties? In: Applied Economics.
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2005Valuing information using utility functions: how much should we pay for linear factor models? In: The European Journal of Finance.
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2014Testing linear factor models on individual stocks using the average F -test In: The European Journal of Finance.
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2015The disappearance of momentum In: The European Journal of Finance.
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