K. Geert Rouwenhorst : Citation Profile

Are you K. Geert Rouwenhorst?

Yale University

19

H index

20

i10 index

2371

Citations

RESEARCH PRODUCTION:

18

Articles

22

Papers

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   31 years (1990 - 2021). See details.
   Cites by year: 76
   Journals where K. Geert Rouwenhorst has often published
   Relations with other researchers
   Recent citing documents: 164.    Total self citations: 7 (0.29 %)

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   Permalink: http://citec.repec.org/pro146
   Updated: 2024-11-04    RAS profile: 2021-11-27    
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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 K. Geert Rouwenhorst.

Is cited by:

Szafarz, Ariane (20)

Zaremba, Adam (18)

Prokopczuk, Marcel (17)

Swinkels, Laurens (12)

Leung, Tim (12)

Del Negro, Marco (11)

faff, robert (11)

cotter, john (10)

Flavin, Thomas (10)

Kose, Ayhan (9)

De Moor, Lieven (9)

Cites to:

French, Kenneth (10)

Harvey, Campbell (10)

Fama, Eugene (9)

Bessembinder, Hendrik (5)

Brown, Stephen (5)

Shanken, Jay (5)

Goetzmann, William (5)

Hamao, Yasushi (5)

Veld, Chris (4)

Shleifer, Andrei (4)

Bekaert, Geert (4)

Main data

Where K. Geert Rouwenhorst has published?

Journals with more than one article published# docs
Journal of Finance2
Journal of Financial Economics2
The Review of Financial Studies2
Journal of Monetary Economics2

Working Papers Series with more than one paper published# docs
Yale School of Management Working Papers / Yale School of Management13
NBER Working Papers / National Bureau of Economic Research, Inc8

Recent works citing K. Geert Rouwenhorst (2024 and 2023)

YearTitle of citing document
2024What Determines Equity Returns in Emerging Markets?. (2024). Foye, James. In: CAFE Working Papers. RePEc:akf:cafewp:29.

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2023Excursion Risk. (2020). Cont, Rama ; Ananova, Anna ; Xu, Renyuan. In: Papers. RePEc:arx:papers:2011.02870.

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2024Introduction of the Market-Based Price Autocorrelation. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323.

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2024Detecting data-driven robust statistical arbitrage strategies with deep neural networks. (2022). Neufeld, Ariel ; Yin, Daiying ; Sester, Julian. In: Papers. RePEc:arx:papers:2203.03179.

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2024Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2023). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095.

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2023Select and Trade: Towards Unified Pair Trading with Hierarchical Reinforcement Learning. (2023). Huang, Jimin ; Lai, Yanzhao ; Peng, Min ; Xie, Qianqian ; Zhang, Boyi. In: Papers. RePEc:arx:papers:2301.10724.

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2023Real-time Trading System based on Selections of Potentially Profitable, Uncorrelated, and Balanced Stocks by NP-hard Combinatorial Optimization. (2023). Yamasaki, Masaya ; Kashimata, Tomoya ; Nakayama, Jun ; Hidaka, Ryo ; Tatsumura, Kosuke. In: Papers. RePEc:arx:papers:2307.06339.

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2023Pairs Trading: An Optimal Selling Rule with Constraints. (2023). Zhang, Qing ; Wu, Zhen ; Tie, Jingzhi ; Liu, Ruyi. In: Papers. RePEc:arx:papers:2307.15300.

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2024A hidden Markov model for statistical arbitrage in international crude oil futures markets. (2023). Rotondi, Francesco ; Fontana, Claudio ; Fanelli, Viviana. In: Papers. RePEc:arx:papers:2309.00875.

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2023C++ Design Patterns for Low-latency Applications Including High-frequency Trading. (2023). Gunduz, Burak ; Bilokon, Paul. In: Papers. RePEc:arx:papers:2309.04259.

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2024Monte Carlo Simulation for Trading Under a L\evy-Driven Mean-Reverting Framework. (2023). Lu, Kevin W ; Leung, Tim. In: Papers. RePEc:arx:papers:2309.05512.

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2024Optimal Entry and Exit with Signature in Statistical Arbitrage. (2023). Lee, Kiseop ; Chakraborty, Prakash ; Ning, Boming. In: Papers. RePEc:arx:papers:2309.16008.

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2023Copula-based deviation measure of cointegrated financial assets. (2023). Shulzhenko, Alexander. In: Papers. RePEc:arx:papers:2312.02081.

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2024Pairs Trading Using a Novel Graphical Matching Approach. (2024). Zaman, Tauhid ; Qureshi, Khizar. In: Papers. RePEc:arx:papers:2403.07998.

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2024Advanced Statistical Arbitrage with Reinforcement Learning. (2024). Lee, Kiseop ; Ning, Boming. In: Papers. RePEc:arx:papers:2403.12180.

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2024The Democratization of Wealth Management: Hedged Mutual Fund Blockchain Protocol. (2024). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2405.02302.

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2023The Financialization of Coffee, Cocoa and Cotton Value Chains: The Role of Physical Actors. (2023). Gunter, Ulrich ; Troster, Bernhard. In: Development and Change. RePEc:bla:devchg:v:54:y:2023:i:6:p:1550-1574.

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2023Ride the trend: Is there spread momentum profit in the US commodity markets?. (2023). Garcia, Philip ; Serra, Teresa ; Shang, Quanbiao. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:74:y:2023:i:1:p:24-47.

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2023Do investors care about carbon risk? The impact of the Paris agreement on the inflation hedging performance of commodities. (2023). Selmi, Refk. In: Economics Bulletin. RePEc:ebl:ecbull:eb-22-00030.

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2024Investigation of multivariate pairs trading under copula approach with mixture distribution. (2024). Soleymani, Fazlollah ; Yarahmadi, Ali ; He, Fuli. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:472:y:2024:i:c:s0096300324001073.

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2023Predictability of crypto returns: The impact of trading behavior. (2023). Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000266.

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2023Hedging pressure momentum and the predictability of oil futures returns. (2023). Zhang, Yaojie ; Wang, Yudong ; Chen, Chuang ; Yu, Dan. In: Economic Modelling. RePEc:eee:ecmode:v:121:y:2023:i:c:s0264999323000263.

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2024Low interest rates and the predictive content of the yield curve. (2024). Haubrich, Joseph G ; Bordo, Michael D. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000056.

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2023Agricultural commodity markets in the wake of the black sea grain initiative. (2023). Steinbach, Sandro ; Goyal, Raghav. In: Economics Letters. RePEc:eee:ecolet:v:231:y:2023:i:c:s0165176523003221.

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2023Pairs trading via unsupervised learning. (2023). Wei, Alenson Jun ; He, Zhaodong ; Han, Chulwoo. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:2:p:929-947.

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2023Machine learning and the cross-section of emerging market stock returns. (2023). Kalsbach, Tobias ; Hanauer, Matthias X. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000274.

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2023Futures contract collateralization and its implications. (2023). Jarrow, Robert ; Kwok, Simon S. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000890.

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2023The commodity risk premium and neural networks. (2023). faff, robert ; Yew, Rand Kwong ; Rad, Hossein ; Miffre, Joelle. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001007.

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2024Expensive anomalies. (2024). Seyhun, Nejat H ; Ray, Sugata ; Anginer, Deniz ; Xu, Luqi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s092753982300107x.

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2024Enhancing betting against beta with stochastic dominance. (2024). Xu, Xia ; Kolokolova, Olga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:76:y:2024:i:c:s0927539823001329.

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2023Higher-order moments and co-moments contribution to spillover analysis and portfolio risk management. (2023). Bouri, Elie ; Nekhili, Ramzi. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000944.

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2023Convenience yield risk. (2023). Wichmann, Robert ; Simen, Chardin Wese ; Symeonidis, Lazaros ; Prokopczuk, Marcel. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000348.

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2023A weekly structural VAR model of the US crude oil market. (2023). Manera, Matteo ; Bastianin, Andrea ; Valenti, Daniele. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001548.

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2023Forecasting commodity prices returns: The role of partial least squares approach. (2023). Dai, Zhifeng ; Zhu, Haoyang ; Wen, Chufu. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003237.

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2023Financial stress and commodity price volatility. (2023). Verousis, Thanos ; Zhou, Zhiping ; Wang, Kai ; Chen, Louisa. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003729.

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2024Sustainability of renewable energy in China: Enhanced strategic investment and displaced R&D expenditure. (2024). Lin, Boqiang ; Wang, Siquan. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000203.

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2024Forecasting the volatility of crude oil basis: Univariate models versus multivariate models. (2024). Wang, Yudong ; Geng, Qianjie. In: Energy. RePEc:eee:energy:v:295:y:2024:i:c:s0360544224007412.

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2023Dissecting hedge funds strategies. (2023). Noori, Mohammad ; Hitaj, Asmerilda. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004033.

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2023Are commodity futures a hedge against inflation? A Markov-switching approach. (2023). Zhou, Zhiping ; Zhang, Xuan ; Liu, Chunbo. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s105752192300008x.

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2023Co-movement between commodity and equity markets revisited—An application of the Thick Pen method. (2023). Lee, Seungho ; Durand, Robert B ; Gronwald, Marc ; Wadud, Sania. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000844.

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2023Oil supply expectations and corporate social responsibility. (2023). Miao, Xiao ; Zhang, Yun ; Wen, Fenghua ; Chen, Lin. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001540.

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2023Possibility versus feasibility: International portfolio diversification under financial liberalization. (2023). Yao, Shujie ; Wan, Hong ; Chen, Yiqing. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001680.

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2023Financialization and speculators risk premia in commodity futures markets. (2023). Revoredo-Giha, Cesar ; Carter, Colin A. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002077.

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2023Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach. (2023). Zhang, Dalu ; Yan, Meilan ; Xiao, Qin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002594.

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2023International high-frequency arbitrage for cross-listed stocks. (2023). Dionne, Georges ; Yergeau, Gabriel ; Poutre, Cedric. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002934.

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2024Financial market integration: A complex and controversial journey. (2024). Paradiso, A ; Gufler, I ; Donadelli, M. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000322.

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2024Revisiting the residual momentum in Japan. (2024). Iwanaga, Yasuhiro. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001224.

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2024An analysis of the market efficiency of the Chinese copper futures based on intertemporal and intermarket arbitrages. (2024). Ma, Zhen ; Qian, Siji ; Zhang, Huiming. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001753.

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2023COVID-19 and commodity pricing premium: Evidence from the Chinese market. (2023). Chen, Haiqiang ; Hsieh, Pei-Lin ; Zhang, LU. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323002714.

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2023Nonlinear relationships in soybean commodities Pairs trading-test by deep reinforcement learning. (2023). Zong, Xiangyu ; Lu, Luze ; Liu, Jianhe ; Xie, Baao. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008498.

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2023Do commodity factors work as inflation hedges and safe havens?. (2023). Sakemoto, Ryuta ; Nakagawa, Kei. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323009571.

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2024Bitcoin attention and economic policy uncertainty. (2024). Ordoez, Javier ; Monfort, Mercedes ; Lafuente, Juan A ; Gill-De, Belen. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012114.

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2024Dynamic graph reinforcement learning algorithm for portfolio management: A novel time–frequency correlated model. (2024). Nan, Shijing ; Ma, Cong. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324004033.

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2023Tracking speculative trading. (2023). Grob, Linus ; Boos, Dominik. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000635.

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2024Hedging inflation expectations in the cryptocurrency futures market. (2024). Valcarcel, Victor J ; Liu, Jinan. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923001055.

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2023Credit growth, the yield curve and financial crisis prediction: Evidence from a machine learning approach. (2023). Bluwstein, Kristina ; Buckmann, Marcus ; Imek, Ozgur ; Kapadia, Sujit ; Joseph, Andreas. In: Journal of International Economics. RePEc:eee:inecon:v:145:y:2023:i:c:s0022199623000594.

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2023What explains the benefits of international portfolio diversification?. (2023). Sy, Oumar ; Nazaire, Gregory ; Guedhami, Omrane ; Attig, Najah. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443122002013.

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2023Recency bias and the cross-section of international stock returns. (2023). Zaremba, Adam ; Cakici, Nusret. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:84:y:2023:i:c:s1042443123000069.

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2024Diversification with globally integrated US stocks. (2024). Conlon, Thomas ; cotter, john ; Ropotos, Ioannis. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001579.

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2024ESG investing in good and bad times: An international study. (2024). Bilgin, Mehmet Huseyin ; Zaremba, Adam ; Cakici, Nusret ; Chiah, Mardy ; Long, Huaigang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001841.

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2024Macroeconomic momentum and cross-sectional equity market indices. (2024). Urquhart, Andrew ; Kappou, Konstantina ; Zhang, YU. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:92:y:2024:i:c:s1042443124000404.

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2023Technical analysis, spread trading, and data snooping control. (2023). Sermpinis, Georgios ; Pantelous, Athanasios A ; Laws, Jason ; Psaradellis, Ioannis. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:178-191.

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2023Option Returns, Risk Premiums, and Demand Pressure in Energy Markets. (2023). Li, Bingxin ; Jacobs, Kris. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002679.

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2023Misery on Main Street, victory on Wall Street: Economic discomfort and the cross-section of global stock returns. (2023). Zaremba, Adam ; Cakici, Nusret. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000043.

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2023Cross-asset time-series momentum: Crude oil volatility and global stock markets. (2023). Xu, Yahua ; Tse, Yiuman ; Indriawan, Ivan ; Fernandez-Perez, Adrian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426622002849.

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2023Exploiting the dynamics of commodity futures curves. (2023). Zhang, Tingxi ; Miffre, Joelle ; Fan, John Hua ; Bianchi, Robert J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001632.

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2023Information, market power and welfare. (2023). Rahi, Rohit ; Lou, Youcheng. In: Journal of Economic Theory. RePEc:eee:jetheo:v:214:y:2023:i:c:s0022053123001527.

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2023Reaching for yield and the housing market: Evidence from 18th-century Amsterdam. (2023). Korevaar, Matthijs. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:3:p:273-296.

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2023What matters in a characteristic?. (2023). Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:1:p:52-72.

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2024Why did shareholder liability disappear?. (2024). Coyle, Christopher ; Campbell, Gareth ; Bogle, David A ; Turner, John D. In: Journal of Financial Economics. RePEc:eee:jfinec:v:152:y:2024:i:c:s0304405x23002015.

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2023Do prime brokers intermediate capital?. (2023). Sinclair, Andrew J. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:53:y:2023:i:c:s1042957322000572.

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2024The puzzling persistence of financial crises: A selective review of 2000 years of evidence. (2024). Jaremski, Matthew ; Calomiris, Charles W. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:58:y:2024:i:c:s1042957324000184.

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2023Equity market connectedness across regimes of geopolitical risks: Historical evidence and theory. (2023). Miescu, Mirela ; Jalloul, Maya. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001110.

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2023Commodity momentum: A tale of countries and sectors. (2023). Qiao, Xiao ; Fan, John Hua. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851323000053.

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2023Revisiting the Silver Crisis. (2023). Salvador, Enrique ; Poti, Valerio ; Bredin, Don. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000459.

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2023Financialization of commodity markets ten years later. (2023). Wang, Ningli ; Tang, KE ; Kang, Wenjin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s240585132300003x.

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2023Microstructure and high-frequency price discovery in the soybean complex. (2023). Debie, Philippe ; Gohin, Alexandre ; Bagnarosa, Guillaume ; Zhou, Xinquan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000041.

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2023Commodity futures return predictability and intertemporal asset pricing. (2023). Poti, Valerio ; Eyiah-Donkor, Emmanuel ; Cotter, John. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851322000460.

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2023The impact of financialization on the efficiency of commodity futures markets. (2023). Sulewski, Christoph ; Putz, Alexander ; Irwin, Scott H ; Bohl, Martin T. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s240585132300020x.

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2023Do spot market auction data help price discovery?. (2023). Scott, Ayesha ; Schoen, Tilman ; Miffre, Joelle ; Fernandez-Perez, Adrian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000259.

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2023ETP tracking of U.S. agricultural and energy markets. (2023). Stewart, Shamar ; de Leon, Maximo ; Hassman, Colburn ; Massa, Olga Isengildina. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s240585132300034x.

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2023The Fortune and crash of common risk factors in Chinese commodity markets. (2023). Zhao, Yuqian ; Liu, Zhenya. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000521.

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2024Forecasting the price of oil: A cautionary note. (2024). Eyiah-Donkor, Emmanuel ; Cotter, John ; Conlon, Thomas. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000685.

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2024Does public information facilitate price consensus? Characterizing USDA announcement effects using realized volatility. (2024). Janzen, Joseph P ; Bunek, Gabriel D. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851324000011.

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2024Exploring crisis-driven return spillovers in APEC stock markets: A frequency dynamics analysis. (2024). Sidhu, Arpit ; Bajaj, Parminder Kaur ; Kumari, Vineeta ; Kakran, Shubham. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494923000543.

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2023Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle. (2023). Labeaga, Jose ; Martin-Garcia, Rodrigo ; Galan-Gutierrez, Juan Antonio. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723001216.

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2023Shock transmission between crude oil prices and stock markets. (2023). Esparcia, Carlos ; Jareo, Francisco ; Koczar, Monika W ; Escribano, Ana. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723004658.

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2023Momentum, reversals and liquidity: Indian evidence. (2023). Rohit, Abhishek ; Ranganathan, Kavitha ; Chui, Andy ; Veeraraghavan, Madhu. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002640.

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2024Dynamics of market states and risk assessment. (2024). Sadhukhan, Suchetana ; Seligman, Eduard ; Pharasi, Hirdesh K ; Majari, Parisa. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:633:y:2024:i:c:s0378437123009512.

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2024Does bank-tax-interaction benefit small and medium manufacturer? An intertemporal signaling game. (2024). Zhao, Ruiqing ; Li, Lin ; Jiao, Bing. In: International Journal of Production Economics. RePEc:eee:proeco:v:271:y:2024:i:c:s092552732400077x.

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2023A pairs trading strategy based on mixed copulas. (2023). Caldeira, Joo F ; Ziegelmann, Flavio A. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:87:y:2023:i:c:p:16-34.

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2024Mechanisms of overpricing: An investigation on momentum crashes. (2024). Huang, Alex Yihou. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:118-142.

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2024Price limit hits in the Chinese fund market: Determinants and post-hit performance. (2024). Wang, Chengsi ; Zheng, Xinwei ; Xiao, Yuewen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:70-82.

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

K. Geert Rouwenhorst has edited the books:

YearTitleTypeCited

Works by K. Geert Rouwenhorst:

YearTitleTypeCited
2012Commodity Investing In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article30
1990Solving the Stochastic Growth Model by a Discrete-State-Space, Euler-Equation Approach. In: Journal of Business & Economic Statistics.
[Citation analysis]		article13
1999The Role of Beta and Size in the Cross-Section of European Stock Returns In: European Financial Management.
[Full Text][Citation analysis]		article47
2008The Role of Beta and Size in the Cross-Section of European Stock Returns.(2008) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 47		paper
1999Local Return Factors and Turnover in Emerging Stock Markets In: Journal of Finance.
[Full Text][Citation analysis]		article348
2001Local Return Factors and Turnover in Emerging Stock Markets.(2001) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 348		paper
2020A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets In: Journal of Finance.
[Full Text][Citation analysis]		article58
2001Day Trading International Mutual Funds: Evidence and Policy Solutions In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article49
2001Day Trading International Mutual Funds: Evidence And Policy Solutions.(2001) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		paper
1995Evaluating the gains from international risksharing : A comment In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article0
1995The structure of international stock returns and the integration of capital markets In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article62
2013New evidence on the first financial bubble In: Journal of Financial Economics.
[Full Text][Citation analysis]		article48
2009New Evidence on the First Financial Bubble.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 48		paper
1994Does industrial structure explain the benefits of international diversification? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article286
2021The first commodity futures index of 1933 In: Journal of Commodity Markets.
[Full Text][Citation analysis]		article1
1991Time to build and aggregate fluctuations : A reconsideration In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article37
1994International term structures and real economic growth In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article191
1991Asset Returns and Business Cycles. In: Rochester, Business - Ph.D.,.
[Citation analysis]		paper4
2014Dutch Securities for American Land Speculation in the Late Eighteenth Century In: NBER Chapters.
[Full Text][Citation analysis]		chapter6
2004Facts and Fantasies about Commodity Futures In: NBER Working Papers.
[Full Text][Citation analysis]		paper57
2007The Fundamentals of Commodity Futures Returns In: NBER Working Papers.
[Full Text][Citation analysis]		paper276
2013The Fundamentals of Commodity Futures Returns.(2013) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 276		article
2008Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors In: NBER Working Papers.
[Full Text][Citation analysis]		paper19
2015Facts and Fantasies about Commodity Futures Ten Years Later In: NBER Working Papers.
[Full Text][Citation analysis]		paper70
1999Pairs Trading: Performance of a Relative Value Arbitrage Rule In: NBER Working Papers.
[Full Text][Citation analysis]		paper236
2006Pairs Trading: Performance of a Relative-Value Arbitrage Rule.(2006) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 236		article
1998Pairs Trading: Performance of a Relative Value Arbitrage Rule.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 236		paper
1998Pairs Trading: Performance of a Relative Value Arbitrage Rule.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 236		paper
1998Pairs Trading: Performance of a Relative Value Arbitrage Rule.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 236		paper
2000Global Real Estate Markets - Cycles and Fundamentals In: NBER Working Papers.
[Full Text][Citation analysis]		paper66
1999Global Real Estate Markets: Cycles And Fundamentals.(1999) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 66		paper
2001Global Real Estate Markets: Cycles And Fundamentals.(2001) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 66		paper
2001Long-Term Global Market Correlations In: NBER Working Papers.
[Full Text][Citation analysis]		paper336
2005Long-Term Global Market Correlations.(2005) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 336		article
2008Long-Term Global Market Correlations.(2008) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 336		paper
2014Editors Choice Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors In: The Review of Financial Studies.
[Full Text][Citation analysis]		article22
2019On commodity price limits In: Journal of Futures Markets.
[Full Text][Citation analysis]		article4
2000European Equity Markets and EMU: Are the Differences Between Countries Slowly Disappearing? In: Yale School of Management Working Papers.
[Full Text][Citation analysis]		paper8
2000Behavioral Factors in Mutual Fund Flows In: Yale School of Management Working Papers.
[Full Text][Citation analysis]		paper28
2001Behavioral Factors in Mutual Fund Flows.(2001) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		paper
2008International Momentum Strategies In: Yale School of Management Working Papers.
[Full Text][Citation analysis]		paper5

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