ROBERTO PASCUAL : Citation Profile

Universitat de les Illes Balears

11

H index

11

i10 index

310

Citations

RESEARCH PRODUCTION:

19

Articles

14

Papers

1

Chapters

RESEARCH ACTIVITY:

   24 years (1999 - 2023). See details.
   Cites by year: 12
   Journals where ROBERTO PASCUAL has often published
   Relations with other researchers
   Recent citing documents: 27.    Total self citations: 17 (5.2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppa726
   Updated: 2025-05-17    RAS profile: 2023-09-08    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Frijns, Bart (3)

Bjønnes, Geir (2)

Mihet, Roxana (2)

Hjalmarsson, Erik (2)

Zhang, S. Sarah (2)

Patel, Vinay (2)

Xia, Shuo (2)

Kassner, Bernhard (2)

Söderlind, Paul (2)

Gorbenko, Arseny (2)

Ødegaard, Bernt (2)

Dreber, Anna (2)

Vogel, Sebastian (2)

Kearney, Fearghal (2)

Regis, Luca (2)

Roy, Saurabh (2)

Xiu, Dacheng (2)

Verousis, Thanos (2)

Korajczyk, Robert (2)

Jurkatis, Simon (2)

Stefanova, Denitsa (2)

Deev, Oleg (2)

Pasquariello, Paolo (2)

Scaillet, Olivier (2)

Colliard, Jean-Edouard (2)

Zhou, Chen (2)

Liew, Chee (2)

Alexeev, Vitali (2)

Jalkh, Naji (2)

Harris, Jeffrey (2)

Johannesson, Magnus (2)

Ferrara, Gerardo (2)

Chernov, Mikhail (2)

Gehrig, Thomas (2)

CAPELLE-BLANCARD, Gunther (2)

Horenstein, Alex (2)

Bouri, Elie (2)

Hautsch, Nikolaus (2)

Lajaunie, Quentin (2)

Ait-Sahalia, Yacine (2)

Bohorquez Correa, Santiago (2)

Vilkov, Grigory (2)

Theissen, Erik (2)

Füllbrunn, Sascha (2)

He, Xuezhong (Tony) (2)

Wilhelmsson, Anders (2)

Moinas, Sophie (2)

Sarno, Lucio (2)

Pelizzon, Loriana (2)

Shachar, Or (2)

Huang, Wenqian (2)

Rinne, Kalle (2)

Lof, Matthijs (2)

Adrian, Tobias (2)

Gerritsen, Dirk (2)

Lopez-Lira, Alejandro (2)

Palan, Stefan (2)

Brownlees, Christian (2)

Prokopczuk, Marcel (2)

Deku, Solomon (2)

Schuerhoff, Norman (2)

Park, Andreas (2)

Rakowski, David (2)

Holzmeister, Felix (2)

Reitz, Stefan (2)

Walther, Thomas (2)

Schwarz, Marco (2)

Putnins, Talis (2)

Foucault, Thierry (2)

Heath, Davidson (2)

Schenk-Hoppé, Klaus (2)

Ranaldo, Angelo (2)

Patton, Andrew (2)

Tonks, Ian (2)

van Kervel, Vincent (2)

Talavera, Oleksandr (2)

Renault, Thomas (2)

Sojli, Elvira (2)

Degryse, Hans (2)

Dumitrescu, Ariadna (2)

Menkveld, Albert (2)

Frömmel, Michael (2)

Nielsson, Ulf (2)

Taylor, Nick (2)

Abudy, Menachem (2)

Hurlin, Christophe (2)

Bos, Charles (2)

LINTON, OLIVER (2)

Voigt, Stefan (2)

Roy, Saurabh (2)

Wolff, Christian (2)

FERROUHI, EL MEHDI (2)

Wong, Wing-Keung (2)

Smales, Lee (2)

Caporin, Massimiliano (2)

Dimpfl, Thomas (2)

Davies, Ryan (2)

Pastor, Lubos (2)

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

Is cited by:

Hautsch, Nikolaus (25)

Veredas, David (10)

Frijns, Bart (8)

Tourani-Rad, Alireza (8)

battiston, stefano (6)

Huber, Christoph (6)

Mandel, Antoine (6)

Rannou, Yves (5)

Quemin, Simon (5)

Baudry, marc (5)

Hall, Anthony (5)

Cites to:

Foucault, Thierry (40)

Easley, David (27)

Madhavan, Ananth (21)

Subrahmanyam, Avanidhar (19)

Engle, Robert (18)

Biais, Bruno (16)

Lee, Charles (16)

Menkveld, Albert (16)

Ready, Mark (15)

Brogaard, Jonathan (15)

Bollerslev, Tim (13)

Main data

Where ROBERTO PASCUAL has published?

Journals with more than one article published# docs
Journal of Banking & Finance3
Journal of Financial Markets3
Journal of Empirical Finance2
The European Journal of Finance2

Working Papers Series with more than one paper published# docs
DEE - Working Papers. Business Economics. WB / Universidad Carlos III de Madrid. Departamento de Economía de la Empresa3
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía2
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles2

Recent works citing ROBERTO PASCUAL (2025 and 2024)

YearTitle of citing document
2024The test of investors behavioral bias through the price discovery process in cryptoasset exchange Transactional-level evidence from Thailand. (2024). Nakavachara, Voraprapa ; Amonthumniyom, Thitiphong ; Ratanabanchuen, Roongkiat ; Parinyavuttichai, Pongsathon ; Vinaibodee, Polpatt ; Saengchote, Kanis. In: Papers. RePEc:arx:papers:2406.02878.

Full description at Econpapers || Download paper

2024Herding Unmasked: Insights into Cryptocurrencies, Stocks and US ETFs. (2024). Conlon, Thomas ; Crane, Martin ; Bezbradica, Marija ; Ngoc, An Pham. In: Papers. RePEc:arx:papers:2407.08069.

Full description at Econpapers || Download paper

2024Price clustering on cryptocurrency order books at a US-based exchange. (2024). Han, Seungoh. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s221463502400008x.

Full description at Econpapers || Download paper

2024Non-standard errors in asset pricing: Mind your sorts. (2024). Verwijmeren, Patrick ; van Vliet, Bart ; Soebhag, Amar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000525.

Full description at Econpapers || Download paper

2024Firm productivity in the Energy-electricity sector over the last two decades with crisis: The role of cross-listing. (2024). Balli, Hatice ; Dang, Tam Hoang-Nhat ; Nguyen, Hannah. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000173.

Full description at Econpapers || Download paper

2024The environmental-financial performance nexus of EU ETS firms: A quantile regression approach. (2024). Marin, Giovanni ; Borghesi, Simone ; Flori, Andrea. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000367.

Full description at Econpapers || Download paper

2024Stock liquidity effect on leverage: The role of debt security, financial constraint, and risk around the global financial crisis and Covid-19 pandemic. (2024). Zhao, Ruoyun ; Armanious, Amir. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000255.

Full description at Econpapers || Download paper

2024Non-standard errors in the cryptocurrency world. (2024). Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

Full description at Econpapers || Download paper

2024When one domino falls, others follow: A machine learning analysis of extreme risk spillovers in developed stock markets. (2024). Shafiullah, Muhammad ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001340.

Full description at Econpapers || Download paper

2024Unveiling the Nexus: Carbon finance and climate technology advancements. (2024). Treku, Daniel N ; Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005908.

Full description at Econpapers || Download paper

2024A bibliometric review of Market Microstructure literature: Current status, development, and future directions. (2024). Thomas, Sony ; Chalissery, Meera Davi ; Krishnan, Anand. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324011164.

Full description at Econpapers || Download paper

2024The profitability of lead–lag arbitrage at high frequency. (2024). Dionne, Georges ; Yergeau, Gabriel ; Poutre, Cedric. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:1002-1021.

Full description at Econpapers || Download paper

2024Behavioral risk profiling: Measuring loss aversion of individual investors. (2024). van Dolder, Dennie ; Vandenbroucke, Jurgen. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002073.

Full description at Econpapers || Download paper

2024Government reporting credibility as immunity: Evidence from a public health event. (2024). Zhang, Xiaori ; Jiang, Christine ; Hu, Bill. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:73:y:2024:i:c:s1042444x24000124.

Full description at Econpapers || Download paper

2024Price limits, informed trading, and information consumption. (2024). Luo, Yan ; Yang, Hao ; Ren, Haohan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002095.

Full description at Econpapers || Download paper

2024Risk-adjusted performance of new economy indices and thematic sectors. (2024). Rubio, Gonzalo ; Grau-Vera, David. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002319.

Full description at Econpapers || Download paper

2024Has the EU Emissions Trading System Worked Properly?. (2024). Chang, Chia-Lin ; Ilomaki, Jukka ; Laurila, Hannu. In: Energies. RePEc:gam:jeners:v:17:y:2024:i:15:p:3651-:d:1442151.

Full description at Econpapers || Download paper

2024Reproducibility in Management Science. (2024). Ozkes, Ali ; Merkle, Christoph ; Huber, Christoph ; Greiner, Ben ; Fišar, Miloš ; Fiar, Milo ; Katok, Elena. In: Post-Print. RePEc:hal:journl:hal-04370984.

Full description at Econpapers || Download paper

2024Experimenting with Financial Professionals. (2024). Marini, Matteo M. ; Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07.

Full description at Econpapers || Download paper

2025The Sources of Researcher Variation in Economics. (2025). Huntington-Klein, Nick ; Gallegos, Sebastian ; Portner, Claus C. In: IZA Discussion Papers. RePEc:iza:izadps:dp17744.

Full description at Econpapers || Download paper

2024High-Frequency Trading in Bond Returns: A Comparison Across Alternative Methods and Fixed-Income Markets. (2024). Fernndez-Gmez, Manuel A ; Salas, Mara Beln ; Alaminos, David. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:4:d:10.1007_s10614-023-10502-3.

Full description at Econpapers || Download paper

2024The impact of designated market-makers on liquidity in frontier markets: Evidence from Zagreb and Ljubljana Stock Exchanges. (2024). Matek, Petar ; Galia, Maa. In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics. RePEc:rfe:zbefri:v:42:y:2024:i:1:p:95-121.

Full description at Econpapers || Download paper

2024Do social media sentiments drive cryptocurrency intraday price volatility? New evidence from asymmetric TVP-VAR frequency connectedness measures. (2024). lucey, brian ; Gabauer, David ; Chatziantoniou, Ioannis ; Long, Suwan. In: The European Journal of Finance. RePEc:taf:eurjfi:v:30:y:2024:i:13:p:1470-1489.

Full description at Econpapers || Download paper

2025Is liquidity provision informative? Evidence from agricultural futures markets. (2025). Ma, Richie R ; Serra, Teresa. In: American Journal of Agricultural Economics. RePEc:wly:ajagec:v:107:y:2025:i:1:p:125-151.

Full description at Econpapers || Download paper

2024Heterogeneity in Effect Size Estimates: Empirical Evidence and Practical Implications. (2024). Johannesson, Magnus ; Holzmeister, Felix ; Dreber, Anna ; Böhm, Robert ; Bohm, Robert ; Kirchler, Michael ; Huber, Jurgen. In: I4R Discussion Paper Series. RePEc:zbw:i4rdps:102.

Full description at Econpapers || Download paper

2025The Sources of Researcher Variation in Economics. (2025). Williams, Kevin ; Ward, Zachary ; Tagat, Anirudh ; Szczygielski, Krzysztof ; Spantig, Lisa ; Salamanca, Nicolas ; Samahita, Margaret ; Roy, Jayjit ; Reuter, Anna ; Reimão, Maira ; Rayamajhee, Veeshan ; Pugatch, Todd ; Putman, Daniel ; Pörtner, Claus ; Porcher, Simon ; McCarthy, Ian ; Marcus, Jan ; Long, Dede ; LaFave, Daniel ; Klotzbücher, Valentin ; Kim, Sie Won ; Huntington-Klein, Nick ; Holzmeister, Felix ; Henningsen, Arne ; Henderson, Daniel ; Gay, Victor ; Gallegos, Sebastian ; Gamino, Aaron ; Fumarco, Luca ; Fitzpatrick, Anne ; Feld, Jan ; de Gendre, Alexandra ; Crawfurd, Lee ; Buisson, Florent ; Brehm, Margaret ; Bhai, Moiz ; Bech-Wysocka, Katarzyna ; Berniell, Inés ; Avdeev, Stanislav ; Angenendt, David ; Antón, José Ignacio ; Akbulut-Yuksel, Mevlude ; Deer, Lachlan ; Najam, Rafiuddin ; Wang, Yue ; Prtner, Claus C ; Ropovik, Ivan ; Baker, Bradley J ; Fradkin, Andrey ; Andresen, Martin Eckhoff ; Pitknen, Visa ; Smith, Brock ; Cullinan, John ; Ozer, Gorkem Turgut ; Hill, Andrew J ; Waters, Tom ; Adamkovic, Matus ; Gazeaud, Jules ; Mogge, Lukas ; Bandara, Imesh Nuwan ; Kronenberg, Christoph ; Naumann, Elias ; Sorensen, Lucy C ; Petroulakis, Filippos ; Herns, Ystein ; Weber, Ellerie ; Acharya, Yubraj ; Gayaker, Savas ; Merkus, Erik ; Bansal, Avijit ; Fiala, Nathan ; Klotzbcher, Valentin ; Miller, Klaus M ; Brun, Martn ; Paudel, Jayash ; Herman, Clment ; Weinberg, Stephen E ; Collins, Matthew ; Ahmad, Imtiaz ; Meinzen-Dick, Laura ; Bartram, David ; Feyman, Yevgeniy ; Huysmans, Martijn ; Burli, Pralhad ; Peukert, Christian ; Henry, Junita ; Weissmller, Kristina S ; Clement, Jeffrey ; Adema, Joop ; Gauriot, Romain ; Samudra, Aparna ; Karney, Daniel H ; Camp, Andrew M ; Prakash, Manab ; Westheide, Christian ; Reimao, Maira Emy ; Chen, Weiwei ; Mari, Gabriele ; Sanogo, Vassiki ; Bennett, Christopher Troy ; Farquharson, Christine ; Kameshwara, Kalyan Kumar ; Berha, Andu ; Tastan, Huseyin ; Cerutti, Nicola ; Heller, Blake H ; Arenas, Andreu ; Galrraga, Julio ; Sariyev, Orkhan ; Falken, Grace ; Kaire, Jos ; Agasa, Lameck Ondieki ; Trombetta, Martin ; Harris, Mark N ; Ricks, Michael David ; Antn, Jos-Ignacio ; Schaak, Henning ; Bhattacharya, Shreya ; Fages, Diego Marino ; Jakobsson, Niklas ; Venkatesan, Madhavi ; Goldhaber, Dan ; Rios-Avila, Fernando ; Aslim, Erkmen Giray ; Ligey, Maxime ; Segel, Joel E ; Duquette, Nicolas J ; Jain, Anil K ; Vernet, Antoine ; Girardi, Daniele ; Zahid, Muhammad Umer ; Rodriguez, Abel ; Lee, Ryan ; Wagner, Gary A ; Sievertsen, Hans Henrik ; Bjoerkheim, Markus ; Dorsey-Palmateer, Reid ; Nmadu, Job Nda ; Imtiaz, Saad M ; Volkov, Eden ; Woahid, S M ; Gilpin, Gregory ; Zanoli, Raffaele ; Roeckert, Julian ; Bacher-Hicks, Andrew ; French, Evaewero ; Lang, David ; Smet, Mike ; Bloem, Jeffrey R. In: I4R Discussion Paper Series. RePEc:zbw:i4rdps:209.

Full description at Econpapers || Download paper

2024A note on the use of syndicated loan data. (2024). Tonzer, Lena ; Muller, Isabella ; Noth, Felix. In: IWH Discussion Papers. RePEc:zbw:iwhdps:172022.

Full description at Econpapers || Download paper

Works by ROBERTO PASCUAL:

YearTitleTypeCited
2007On the Magnet Effect of Price Limits In: European Financial Management.
[Full Text][Citation analysis]		article22
2010SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY In: Journal of Financial Research.
[Full Text][Citation analysis]		article18
2007Switching to a temporary call auction in times of high uncertainty.(2007) In: CNMV Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		paper
2004What pieces of limit order book information are informative ? In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper13
2006Does the open limit order book matter in explaining long run volatility ? In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper4
1999How does liquidity behave? A multidimensional analysis of NYSE stocks In: DEE - Working Papers. Business Economics. WB.
[Full Text][Citation analysis]		paper0
2000BLM: bidimensional approach to measure liquidity In: DEE - Working Papers. Business Economics. WB.
[Full Text][Citation analysis]		paper1
2001Cross-listing, price discovery and the informativeness of the trading process In: DEE - Working Papers. Business Economics. WB.
[Full Text][Citation analysis]		paper52
2006Cross-listing, price discovery and the informativeness of the trading process.(2006) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 52		article
2003CROSS-LISTING, PRICE DISCOVERY AND THE INFORMATIVENESS OF THE TRADING PROCESS.(2003) In: Working Papers. Serie EC.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 52		paper
2000Dynamic asymmetries in bid-ask responses to innovations in the trading process In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper1
2000Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper0
2013Carbon Credits: Who is the Leader of the Pack? In: International Journal of Energy Economics and Policy.
[Full Text][Citation analysis]		article3
2017Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article2
2023US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article1
2014The timeline of trading frictions in the European carbon market In: Energy Economics.
[Full Text][Citation analysis]		article41
2012The timeline of trading fricions in the European Carbon Market.(2012) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 41		paper
2023Market-wide illiquidity and the distribution of non-parametric stochastic discount factors In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article1
2014The relative contribution of ask and bid quotes to price discovery In: Journal of Financial Markets.
[Full Text][Citation analysis]		article9
2015Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm In: Journal of Financial Markets.
[Full Text][Citation analysis]		article22
2023Stock liquidity and algorithmic market making during the COVID-19 crisis In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2004Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2018Evaluating VPIN as a trigger for single-stock circuit breakers In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2015The friction-free weighted price contribution In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article1
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper5
2021Non-Standard Errors In: Working Papers.
[Full Text][Citation analysis]		paper14
2010Does the Open Limit Order Book Matter in Explaining Informational Volatility? In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article16
2009Does the open limit order book matter in explaining informational volatility?.(2009) In: ULB Institutional Repository.
[Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2006Asymmetries in bid and ask responses to innovations in the trading process In: Empirical Economics.
[Full Text][Citation analysis]		article18
2008Asymmetries in bid and ask responses to innovations in the trading process.(2008) In: Studies in Empirical Economics.
[Citation analysis]
This paper has nother version. Agregated cites: 18		chapter
2004On the bi-dimensionality of liquidity In: The European Journal of Finance.
[Full Text][Citation analysis]		article3
2012On the hidden side of liquidity In: The European Journal of Finance.
[Full Text][Citation analysis]		article29
2009What pieces of limit order book information matter in explaining order choice by patient and impatient traders? In: Quantitative Finance.
[Full Text][Citation analysis]		article19
2009What pieces of LOB information are informative? An empirical analysis of a pure order driven market In: ULB Institutional Repository.
[Citation analysis]		paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated April, 14 2025. Contact: CitEc Team