Robert Jung : Citation Profile

Are you Robert Jung?

Universität Hohenheim

12

H index

14

i10 index

556

Citations

RESEARCH PRODUCTION:

16

Articles

8

Papers

RESEARCH ACTIVITY:

   29 years (1993 - 2022). See details.
   Cites by year: 19
   Journals where Robert Jung has often published
   Relations with other researchers
   Recent citing documents: 102.    Total self citations: 11 (1.94 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pju3
   Updated: 2023-08-19    RAS profile: 2022-10-13    
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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 Robert Jung.

Is cited by:

Asai, Manabu (11)

Dimpfl, Thomas (11)

McCabe, Brendan (6)

Snyder, Ralph (6)

Lee, Chien-Chiang (6)

Koopman, Siem Jan (6)

Martin, Gael (6)

Raddant, Matthias (5)

Veiga, Helena (5)

Ruiz, Esther (5)

Chen, Mei-Ping (5)

Cites to:

Bollerslev, Tim (16)

Engle, Robert (15)

Andersen, Torben (13)

Shephard, Neil (12)

Tremayne, Andrew (11)

Diebold, Francis (10)

Harvey, Andrew (7)

Richard, Jean-Francois (7)

Koopman, Siem Jan (7)

Pesaran, Mohammad (6)

Heinen, Andréas (6)

Main data

Where Robert Jung has published?

Journals with more than one article published# docs
Econometrics2

Working Papers Series with more than one paper published# docs
Tübinger Diskussionsbeiträge / University of Tübingen, School of Business and Economics3
Global Financial Markets Working Paper Series / Friedrich-Schiller-University Jena2
Economics Working Papers / Christian-Albrechts-University of Kiel, Department of Economics2

Recent works citing Robert Jung (2022 and 2021)

YearTitle of citing document
2022Could Exist a Causality Between the Most Traded Commodities and Futures Commodity Prices in the Agricultural Market?. (2022). Ligocka, Marie ; Ermak, Michal. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:330101.

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2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2023Futures markets and price stabilisation: An analysis of soybeans markets in North America. (2023). Goetz, Cole ; Miljkovic, Dragan. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:67:y:2023:i:1:p:104-117.

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2021Financial crises and the asymmetric relation between returns on banks, risk factors, and other industry portfolio returns. (2021). Koutmos, Gregory ; Knif, Johan ; Hogholm, Kenneth ; Pynnonen, Seppo. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:1:p:179-198.

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2022A semi?parametric integer?valued autoregressive model with covariates. (2022). McCabe, Brendan ; Harris, David ; Rao, Yao. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:71:y:2022:i:3:p:495-516.

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2023Flexible bivariate INGARCH process with a broad range of contemporaneous correlation. (2023). Ombao, Hernando ; Barretosouza, Wagner. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:206-222.

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2021The predictive distributions of thinning?based count processes. (2021). Lu, Yang. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:1:p:42-67.

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2022Carbon Default Swap - Disentangling the Exposure to Carbon Risk through CDS. (2022). Taschini, Luca ; Kiesel, Rudiger ; Blasberg, Alexander. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10016.

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2022Investigating the Efficiency of Bitcoin Futures in Price Discovery. (2022). Agarwal, Gaurav ; Sharma, Dinesh Kumar ; Gupta, Prashant. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-03-12.

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2021Advanced forecasting and disturbance modelling for model predictive control of smart energy systems. (2021). Jorgensen, John Bagterp ; Madsen, Henrik ; Thilker, Christian Ankerstjerne. In: Applied Energy. RePEc:eee:appene:v:292:y:2021:i:c:s0306261921003755.

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2023Interest rate changes and the cross-section of global equity returns. (2023). Long, Huaigang ; Bianchi, Robert J ; Cakici, Nusret ; Zaremba, Adam. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188923000027.

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2021What drives dynamic connectedness of the U.S equity sectors during different business cycles?. (2021). Ngene, Geoffrey M. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001133.

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2022The impact of VIX on China’s financial market: A new perspective based on high-dimensional and time-varying methods. (2022). Sun, Yan-Lin ; Chen, Bin-Xia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001668.

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2021Price discovery in US money market benchmarks: LIBOR vs. SOFR. (2021). Fassas, Athanasios P. In: Economics Letters. RePEc:eee:ecolet:v:204:y:2021:i:c:s0165176521001592.

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2021Hierarchical Markov-switching models for multivariate integer-valued time-series. (2021). di Mari, Roberto ; Catania, Leopoldo. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:118-137.

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2022Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity. (2022). Pelenis, Justinas ; Norets, Andriy. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:62-82.

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2021Trading activity and price discovery in Bitcoin futures markets. (2021). Yang, Jimmy J ; Liu, Hung-Chun ; Hung, Jui-Cheng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:107-120.

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2021The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns. (2021). Uddin, Gazi ; Makkonen, Adam ; Cardia, Michel Ferreira ; Rahman, Md Lutfur ; Vallstrom, Daniel. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002802.

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2021An analysis of investor behaviour and information flows surrounding the negative WTI oil price futures event. (2021). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004576.

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2021Crude oil market autocorrelation: Evidence from multiscale quantile regression analysis. (2021). Xu, Chao ; Zhao, Xiaojun ; Sun, Jie. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001444.

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2021Stock returns, quantile autocorrelation, and volatility forecasting. (2021). Cai, Yuzhi ; Upreti, Vineet ; Zhao, Yixiu. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302428.

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2021Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis. (2021). Tsagkanos, Athanasios ; Floros, Christos ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000491.

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2021Investor sentiment and the dispersion of stock returns: Evidence based on the social network of investors. (2021). Tucker, Allan ; Ali, Faek Menla ; Al-Nasseri, Alya. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002362.

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2022Stock returns, trading volume, and volatility: The case of African stock markets. (2022). Ngene, Geoffrey M ; Mungai, Ann Nduati. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001399.

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2021A note on the behavior of Chinese commodity markets. (2021). Todorova, Neda ; Fan, John Hua. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319311626.

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2022Market reaction, COVID-19 pandemic and return distribution. (2022). Zhang, Yihan ; Lu, Xingyu ; Jin, Chenglu. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000290.

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2021Measurement of common risks in tails: A panel quantile regression model for financial returns. (2021). Baruník, Jozef ; Ech, Frantiek ; Barunik, Jozef. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s1386418120300318.

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2021Nothing but noise? Price discovery across cryptocurrency exchanges. (2021). Peter, Franziska J ; Dimpfl, Thomas. In: Journal of Financial Markets. RePEc:eee:finmar:v:54:y:2021:i:c:s1386418120300537.

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2022Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns. (2022). Bouri, Elie ; Zhou, Wenyu ; Zaremba, Adam ; Long, Huaigang. In: Journal of Financial Markets. RePEc:eee:finmar:v:61:y:2022:i:c:s1386418122000295.

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2021Two decades of contagion effect on stock markets: Which events are more contagious?. (2021). Smaga, Pawe ; Kurowski, Ukasz ; Rogowicz, Karol ; Iwanicz-Drozdowska, Magorzata. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s157230892100067x.

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2022Quantifying the asymmetric spillovers in sustainable investments. (2022). Suleman, Muhammed Tahir ; Naeem, Muhammad Abubakr ; Iqbal, Najaf. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443121001864.

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2022Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic. (2022). Marco, Chi Keung ; Lucey, Brian ; Goodell, John W ; Brzeszczyski, Janusz ; Yarovaya, Larisa. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000725.

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2021Semiparametric time series models driven by latent factor. (2021). Ombao, Hernando ; de Souza, Fernando ; Barreto-Souza, Wagner ; de Oliveira, Gisele. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1463-1479.

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2022Forecasting: 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
2023Price discovery in equity markets: A state-dependent analysis of spot and futures markets. (2023). Schweikert, Karsten ; Kuck, Konstantin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s037842662300033x.

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2021Interconnectedness in the global financial market. (2021). Raddant, Matthias ; Kenett, Dror Y. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302369.

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2021Robust estimation for Binomial conditionally nonlinear autoregressive time series based on multivariate conditional frequencies. (2021). Voloshko, Valeriy ; Kharin, Yuriy. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:185:y:2021:i:c:s0047259x21000555.

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2022Statistical analysis of multivariate discrete-valued time series. (2022). Voloshko, Valeriy ; Kharin, Yuriy ; Fried, Roland ; Fokianos, Konstantinos. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:188:y:2022:i:c:s0047259x2100083x.

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2021The impact of the change in USDA announcement release procedures on agricultural commodity futures. (2021). Tse, Yiuman ; Martinez, Valeria ; Indriawan, Ivan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:23:y:2021:i:c:s240585132030026x.

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2022Asymmetric risk transfer in global equity markets: An extended sample that includes the COVID pandemic period. (2022). Abdoh, Hussein ; Awartani, Basel ; Maghyereh, Aktham. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:25:y:2022:i:c:s170349492100044x.

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2021Attention-return relation in the gold market and market states. (2021). de Castro, Jessica ; Piccoli, Pedro. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003421.

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2022Oil price explosivity and stock return: Do sector and firm size matter?. (2022). Budak, Hilal ; Aktekin, Emine Dilara ; Yagli, Ibrahim ; Haykir, Ozkan. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003373.

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2022Spillover effects between commodity and stock markets: A SDSES approach. (2022). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722003701.

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2023A flexible INAR(1) time series model with dependent zero-inflated count series and medical contagious cases. (2023). Mohammadpour, M ; Bakouch, Hassan S ; Shirozhan, M. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:206:y:2023:i:c:p:216-230.

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2022Predicting tail events in a RIA-EVT-Copula framework. (2022). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:600:y:2022:i:c:s0378437122003703.

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2021The effects of investor attention and policy uncertainties on cross-border country exchange-traded fund returns. (2021). Lee, Chien-Chiang ; Chen, Mei-Ping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:830-852.

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2021Predictive role of online investor sentiment for cryptocurrency market: Evidence from happiness and fears. (2021). Hussain, Syed Jawad ; Mbarki, Imen ; Naeem, Muhammad Abubakr. In: International Review of Economics & Finance. RePEc:eee:reveco:v:73:y:2021:i:c:p:496-514.

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2022Linkage dynamics of sovereign credit risk and financial markets: A bibliometric analysis. (2022). Singh, Vipul Kumar ; Kumar, Pawan ; Bajaj, Vimmy. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001872.

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2022Correlation structure analysis of the global agricultural futures market. (2022). Zhou, Wei-Xing ; Zheng, Qing-Huan ; Anh, Ngoc Quang ; Dai, Yun-Shi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:61:y:2022:i:c:s0275531922000654.

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2022Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis. (2022). Mefteh-Wali, Salma ; ben Jabeur, Sami ; Aloui, Riadh . In: Research in International Business and Finance. RePEc:eee:riibaf:v:62:y:2022:i:c:s0275531922000976.

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2022Bias-correction of some estimators in the INAR(1) process. (2022). Kakizawa, Yoshihide ; Zeng, Xiaoqiang. In: Statistics & Probability Letters. RePEc:eee:stapro:v:187:y:2022:i:c:s0167715222000839.

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2023The heterogeneous role of broadband access on establishment entry and exit by sector and urban and rural markets. (2023). Orazem, Peter F ; Ma, Liyuan ; Chen, Yulong. In: Telecommunications Policy. RePEc:eee:telpol:v:47:y:2023:i:3:s0308596123000150.

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2023A first order binomial mixed poisson integer-valued autoregressive model with serially dependent innovations. (2021). Chen, Zezhun Chen ; Tzougas, George ; Dassios, Angelos. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:112222.

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2022The multivariate Poisson-Generalized Inverse Gaussian claim count regression model with varying dispersion and shape parameters. (2022). Makariou, Despoina ; Tzougas, George. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:117197.

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2023Carbon default swap – disentangling the exposure to carbon risk through CDS. (2023). Taschini, Luca ; Kiesel, Rudiger ; Blasberg, Alexander. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:118092.

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2023Carbon default swap – disentangling the exposure to carbon risk through CDS. (2023). Taschini, Luca ; Kiesel, Rudiger ; Blasberg, Alexander. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:118096.

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2021Is Futurization the Culprit for the Violent Fluctuation in China’s Apple Spot Price?. (2021). Chen, Haiting ; Liao, Jiahua ; Xie, Lin ; Hu, Xinyan ; Yan, Xuefei. In: Agriculture. RePEc:gam:jagris:v:11:y:2021:i:4:p:342-:d:534240.

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2021Modelling Stock Returns and Risk Management in the Shipping Industry. (2021). Westgaard, Sjur ; Aadland, Roar ; Mohanty, Sunil K ; Kristensen, Cecilie ; Lillienskiold, Hilde ; Frydenberg, Stein. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:4:p:171-:d:533190.

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2021Analysis and Forecasting of Risk in Count Processes. (2021). Frahm, Gabriel ; Weiss, Christian H ; Homburg, Annika ; Gob, Rainer ; Alwan, Layth C. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:4:p:182-:d:537533.

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2021Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets. (2021). Mohammed, Walid Abass. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:270-:d:575902.

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2023Do spot market auction data help price discovery?. (2023). Scott, Ayesha ; Schoen, Tilman ; Miffre, Joelle ; Fernandez-Perez, Adrian. In: Post-Print. RePEc:hal:journl:hal-04121327.

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2021Analysis of lead-lag relationship and volatility spillover: evidence from Indian agriculture commodity markets. (2021). Singh, Gurmeet ; Lanka, Abhiram Kartik ; Shaik, Muneer. In: International Journal of Bonds and Derivatives. RePEc:ids:ijbder:v:4:y:2021:i:3:p:258-279.

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2021Exploring Option Pricing and Hedging via Volatility Asymmetry. (2021). Veiga, Helena ; Casas, Isabel. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:4:d:10.1007_s10614-020-10005-5.

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2023Sectoral volatility spillovers and their determinants in Vietnam. (2023). Vo, Duc Hong ; Nguyen, Nhan Thien ; Dang, Tam Hoang-Nhat. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09446-9.

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2022Food Prices, Ethics and Forms of Speculation. (2022). Bredin, Don ; Salvador, Enrique ; Poti, Valerio. In: Journal of Business Ethics. RePEc:kap:jbuset:v:179:y:2022:i:2:d:10.1007_s10551-021-04842-z.

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2021Revisiting disposition effect and momentum: a quantile regression perspective. (2021). Ahmed, Mohamed ; Doukas, John A. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:3:d:10.1007_s11156-020-00919-4.

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2023Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72..

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2022Systematic extreme potential gain and loss spillover across countries. (2022). Moutanabbir, Khouzeima ; Bouaddi, Mohammed. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:4:d:10.1057_s41283-022-00097-8.

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2021Performance Evaluation of Islamic and Non-Islamic Equity and Bonds Indices: Evidence from selected Emerging and Developed Countries. (2021). Audi, Marc ; Ali, Amjad ; Sadiq, Azhar. In: MPRA Paper. RePEc:pra:mprapa:109866.

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2021What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?. (2021). Rano, Shehu Usman. In: MPRA Paper. RePEc:pra:mprapa:110382.

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2021The Arrival of Information and Price Adjustment Across Extreme Quantiles: Global Evidence. (2021). Tripathi, Abhinava. In: IIM Kozhikode Society & Management Review. RePEc:sae:iimkoz:v:10:y:2021:i:1:p:7-19.

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2021Tourism development and happiness: International evidence. (2021). Lee, Chien-Chiang ; Peng, Yi-Ting ; Chen, Mei-Ping. In: Tourism Economics. RePEc:sae:toueco:v:27:y:2021:i:5:p:1101-1136.

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2022The impact of COVID-19 on the travel and leisure industry returns: Some international evidence. (2022). Chen, Mei-Ping ; Lee, Chien-Chiang. In: Tourism Economics. RePEc:sae:toueco:v:28:y:2022:i:2:p:451-472.

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2022Multi-feature evaluation of financial contagion. (2022). Syrek, Robert ; Gurgul, Henryk ; Duda, Jarosaw. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:30:y:2022:i:4:d:10.1007_s10100-021-00756-3.

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2022Sector connectedness in the Chinese stock markets. (2022). Wang, Gang-Jin ; Zhou, Wei-Xing ; Ma, Jun-Chao ; Jiang, Zhi-Qiang ; Shen, Ying-Ying. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:2:d:10.1007_s00181-021-02036-0.

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2022On asymmetric volatility effects in currency markets. (2022). Cho, Dooyeon ; Rho, Seunghwa. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:5:d:10.1007_s00181-021-02091-7.

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2021Cryptocurrencies, gold, and WTI crude oil market efficiency: a dynamic analysis based on the adaptive market hypothesis. (2021). Jafari, Mohammad Ali ; Ghazani, Majid Mirzaee. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00246-0.

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2023The transaction behavior of cryptocurrency and electricity consumption. (2023). Chang, Chun-Ping ; Zhao, Xinxin ; Feng, Gen-Fu ; Zheng, Mingbo. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00449-7.

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2022Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields?. (2022). Hemrit, Wael ; Benlagha, Noureddine. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:46:y:2022:i:1:d:10.1007_s12197-021-09554-8.

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2021Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach. (2021). Yang, Kai ; Wang, Dehui. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:84:y:2021:i:5:d:10.1007_s00184-020-00799-7.

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2022Wavelet coherence analysis and exchange rate movements. (2022). Bilgili, Faik ; Kukaya, Sevda ; Tou, Nurhan. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:56:y:2022:i:6:d:10.1007_s11135-022-01327-7.

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2023World pandemic uncertainty and German stock market: evidence from Markov regime-switching and Fourier based approaches. (2023). Kirikkaleli, Dervis ; Adebayo, Tomiwa Sunday ; Athari, Seyed Alireza. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:2:d:10.1007_s11135-022-01435-4.

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2023Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities. (2023). Liu, Liyu ; Kang, Hanwen ; Yan, BO ; Chen, Zhuo. In: Review of Economic Design. RePEc:spr:reecde:v:27:y:2023:i:1:d:10.1007_s10058-021-00276-1.

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2022Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019). (2022). Vogl, Markus. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:12:d:10.1007_s43546-022-00359-3.

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2023Semiparametric estimation of INAR models using roughness penalization. (2023). Aleksandrov, Boris ; Weiss, Christian H ; Jentsch, Carsten ; Faymonville, Maxime. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:32:y:2023:i:2:d:10.1007_s10260-022-00655-0.

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2022Portmanteau tests for generalized integer-valued autoregressive time series models. (2022). Zamani, Atefeh ; Shishebor, Zohreh ; Forughi, Masoomeh. In: Statistical Papers. RePEc:spr:stpapr:v:63:y:2022:i:4:d:10.1007_s00362-021-01274-9.

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2021Dimension reduction for longitudinal multivariate data by optimizing class separation of projected latent Markov models. (2021). Farcomeni, Alessio ; Viviani, Sara ; Ranalli, Monia. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:30:y:2021:i:2:d:10.1007_s11749-020-00727-x.

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2023Testing Granger Non-Causality in Expectiles. (2023). Taamouti, Abderrahim ; Doukali, Mohamed ; Bouezmarni, Taoufik. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2023-02.

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2022Futures–spot price transmission in EU corn markets. (2022). Trestini, Samuele ; Giampietri, Elisa ; Penone, Carlotta. In: Agribusiness. RePEc:wly:agribz:v:38:y:2022:i:3:p:679-709.

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2021The contagion phenomena of the Brexit process on main stock markets. (2021). Iiguez, Cristina ; Escribano, Ana. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4462-4481.

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2021Dynamic risk attributes in Malaysia stock markets: Behavioural finance insights. (2021). Ahmad, Zamri ; Tuyon, Jasman. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5793-5814.

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2022Financial contagion in real economy: The key role of policy uncertainty. (2022). Umar, Zaghum ; Kampouris, Elias ; Samitas, Aristeidis. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:1633-1682.

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2021Forecasting US stock market volatility: How to use international volatility information. (2021). Ma, Feng ; Wang, Yudong ; Zhang, Yaojie. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:733-768.

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2022Singular spectrum analysis for value at risk in stochastic volatility models. (2022). Arteche, Josu ; Garciaenriquez, Javier. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:1:p:3-16.

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2022Forecasting value at risk and expected shortfall using high?frequency data of domestic and international stock markets. (2022). Wang, Man ; Cheng, Yihan. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:8:p:1595-1607.

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2021Financialization, common stochastic trends, and commodity prices. (2021). Kupabado, Moses M ; Kaehler, Juergen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:12:p:1988-2008.

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2022Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets. (2022). Wu, Jianbin ; Sercu, Piet ; Dhaene, Geert. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:5:p:868-887.

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More than 100 citations found, this list is not complete...

Works by Robert Jung:

YearTitleTypeCited
2011Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article18
2008Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity.(2008) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18		paper
2003Testing for serial dependence in time series models of counts In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article11
2006Time series of count data: modeling, estimation and diagnostics In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article48
2008A common factor analysis for the US and the German stock markets during overlapping trading hours In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article11
2006Coherent forecasting in integer time series models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article27
2014Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article59
2006Return and volatility linkages between the US and the German stock market In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article73
2017Price discovery in agricultural commodity markets in the presence of futures speculation In: Journal of Commodity Markets.
[Full Text][Citation analysis]		article40
2022Modelling and Diagnostics of Spatially Autocorrelated Counts In: Econometrics.
[Full Text][Citation analysis]		article0
2020Maximum-Likelihood Estimation in a Special Integer Autoregressive Model In: Econometrics.
[Full Text][Citation analysis]		article0
2010Konstitutionelle Grundlagen globalisierter Finanzmärkte - Stabilität und Wandel. Stand und Perspektiven der Forschung In: Global Financial Markets Working Paper Series.
[Full Text][Citation analysis]		paper0
2011Financial market spillovers around the globe In: Global Financial Markets Working Paper Series.
[Full Text][Citation analysis]		paper2
2000Stochastic volatility models: conditional normality versus heavy-tailed distributions In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article76
1997Stochastic volatility models: Conditional normality versus heavy tailed distributions.(1997) In: Tübinger Diskussionsbeiträge.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 76		paper
2011Useful models for time series of counts or simply wrong ones? In: AStA Advances in Statistical Analysis.
[Full Text][Citation analysis]		article28
2020Gerd Ronning In: AStA Wirtschafts- und Sozialstatistisches Archiv.
[Full Text][Citation analysis]		article0
1993Two Aspects of Labor Mobility: A Bivariate Poisson Regression Approach. In: Empirical Economics.
[Citation analysis]		article21
2022Spatial panel count data: modeling and forecasting of urban crimes In: Journal of Spatial Econometrics.
[Full Text][Citation analysis]		article0
2005Estimation in conditional first order autoregression with discrete support In: Statistical Papers.
[Full Text][Citation analysis]		article28
2005Time Series of Count Data: Modelling and Estimation In: Economics Working Papers.
[Full Text][Citation analysis]		paper18
2001Testing serial dependence in time series models of counts against some INARMA alternatives In: Tübinger Diskussionsbeiträge.
[Full Text][Citation analysis]		paper5
1996Testing the bivariate mixture hypothesis using German stock market data In: Tübinger Diskussionsbeiträge.
[Full Text][Citation analysis]		paper0
2012Stock return autocorrelations revisited: A quantile regression approach In: University of Tübingen Working Papers in Business and Economics.
[Full Text][Citation analysis]		paper91

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