Citation profile for Marius Matei

Marius Matei : Citation Profile

Academia Romana (47% share)
Banca Nationala a Romaniei (47% share)
Macquarie University (6% share)

H index

i10 index

Citations

RESEARCH PRODUCTION:

Articles

Papers

RESEARCH ACTIVITY:

   10 years (2009 - 2019). See details.
   Cites by year: 5
   Journals where Marius Matei has often published
   Relations with other researchers
   Recent citing documents: 8.    Total self citations: 2 (3.64 %)

MORE DETAILS IN:

EconPapers Author's homepage

ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma1184
   Updated: 2024-11-04    RAS profile: 2019-11-28
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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 Marius Matei.

Is cited by:

Baumohl, Eduard (3)

Yang, Xiye (3)

Shahzad, Syed Jawad Hussain (3)

Výrost, Tomáš (3)

Luciani, Matteo (2)

Neely, Christopher (2)

Scheule, Harald (2)

Ozbekler, Ali Gencay (1)

Drachal, Krzysztof (1)

Bouri, Elie (1)

Clements, Adam (1)

Cites to:

Bollerslev, Tim (44)

Andersen, Torben (32)

Diebold, Francis (29)

Engle, Robert (13)

Hansen, Peter (10)

Shephard, Neil (10)

Tauchen, George (9)

Ait-Sahalia, Yacine (8)

Lunde, Asger (8)

Meddahi, Nour (6)

Patton, Andrew (5)

Main data

Where Marius Matei has published?

Journals with more than one article published	# docs
Journal for Economic Forecasting	4

Working Papers Series with more than one paper published	# docs
Working Papers / University of Tasmania, Tasmanian School of Business and Economics	2

Recent works citing Marius Matei (2024 and 2023)

Year	Title of citing document
2023	Quantifying Long-Term Volatility for Developed Stock Markets: An Empirical Case Study Using PGARCH Model on Toronto Stock Exchange (TSX). (2023). Manohar, Singh ; Abhishek, Anand ; Simion, Mircea Laurentiu ; Birau, Ramona ; Bharat, Meher Kumar ; Santosh, Kumar. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2023:i:2:p:61-68. Full description at Econpapers \|\| Download paper
2023	Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns. (2023). Peng, Zhe ; Xu, Mengyu ; Zhang, Zhengjun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003613. Full description at Econpapers \|\| Download paper
2023	The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns. (2023). Kwok, Simon ; Leong, Minhao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000786. Full description at Econpapers \|\| Download paper
2023	Shot-noise cojumps: exact simulation and option pricing. (2023). Zhao, Hongbiao ; Dassios, Angelos ; Qu, Yan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:111537. Full description at Econpapers \|\| Download paper
2024	Mind Your Language: Market Responses to Central Bank Speeches. (2023). Yang, Xiye ; Neely, Christopher J ; McMahon, Michael ; Erdemlioglu, Deniz ; Ahrens, Maximilian. In: Working Papers. RePEc:fip:fedlwp:96270. Full description at Econpapers \|\| Download paper
2023	Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490. Full description at Econpapers \|\| Download paper
2023	Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes. (2023). Clements, Adam ; Volkov, V ; Lindsay, K A ; Hurn, A S. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:5:p:1759-1790.*. Full description at Econpapers \|\| Download paper
2023	Shot-noise cojumps: Exact simulation and option pricing. (2023). Zhao, Hongbiao ; Dassios, Angelos ; Qu, Yan. In: Journal of the Operational Research Society. RePEc:taf:tjorxx:v:74:y:2023:i:3:p:647-665. Full description at Econpapers \|\| Download paper

Works by Marius Matei:

Year	Title	Type	Cited
2018	Testing for mutually exciting jumps and financial flights in high frequency data In: Journal of Econometrics. [Full Text][Citation analysis]	article	17
2019	Bivariate Volatility Modeling with High-Frequency Data In: Econometrics. [Full Text][Citation analysis]	article	2
2009	Assessing Volatility Forecasting Models: Why GARCH Models Take the Lead In: Journal for Economic Forecasting. [Full Text][Citation analysis]	article	12
2011	Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data In: Journal for Economic Forecasting. [Full Text][Citation analysis]	article	0
2012	Perspectives on risk measurement: a critical assessment of PC-GARCH against the main volatility forecasting models In: Journal for Economic Forecasting. [Full Text][Citation analysis]	article	1
2012	Price Volatility Forecast for Agricultural Commodity Futures? The Role of High Frequency Data In: Journal for Economic Forecasting. [Full Text][Citation analysis]	article	4
2010	Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes In: Working Papers of Institute for Economic Forecasting. [Full Text][Citation analysis]	paper	0
2009	Analiza riscului în evaluarea oportunitatilor internationale de investitii. Perspective în modelarea si previzionarea volatilitatii utilizate în estimarea riscului In: Working Papers of Macroeconomic Modelling Seminar. [Full Text][Citation analysis]	paper	0
2014	Identifying periods of financial stress in Asian currencies: the role of high frequency financial market data In: Working Papers. [Full Text][Citation analysis]	paper	2
2015	Surfing through the GFC: systemic risk in Australia In: Working Papers. [Full Text][Citation analysis]	paper	15