7
H index
6
i10 index
174
Citations
University of Technology Sydney (80% share) | 7 H index 6 i10 index 174 Citations RESEARCH PRODUCTION: 16 Articles 19 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Vitali Alexeev. | Is cited by: | Cites to: |
| Journals with more than one article published | # docs |
|---|---|
| Journal of Empirical Finance | 2 |
| Studies in Nonlinear Dynamics & Econometrics | 2 |
| Year | Title of citing document |
|---|---|
| 2025 | Jump detection in high-frequency order prices. (2024). Hautsch, Nikolaus ; Bibinger, Markus ; Ristig, Alexander. In: Papers. RePEc:arx:papers:2403.00819. Full description at Econpapers || Download paper |
| 2024 | Bounded Rationality in Central Bank Communication. (2024). Lee, Choong Lyol ; Kim, Wonseong. In: Papers. RePEc:arx:papers:2411.04286. Full description at Econpapers || Download paper |
| 2024 | Higher‐order moments and asset pricing in the Australian stock market. (2024). Ahadzie, Richard Mawulawoe ; Jeyasreedharan, Nagaratnam. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:75-128. Full description at Econpapers || Download paper |
| 2025 | The Theoretical Properties of Novel Risk-Based Asset Allocation Strategies using Portfolio Volatility and Kurtosis. (2025). Riso, Luigi ; Braga, Maria Debora ; Zoia, Maria Grazia. In: DISCE - Working Papers del Dipartimento di Politica Economica. RePEc:ctc:serie5:dipe0044. Full description at Econpapers || Download paper |
| 2024 | A comparison of bitcoin futures return and return volatility based on news sentiment contemporaneously or lead-lag. (2024). Kao, Yu-Sheng ; Day, Min-Yuh ; Chou, Ke-Hsin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000846. Full description at Econpapers || Download paper |
| 2024 | Unlocking portfolio resilient and persistent risk: A holistic approach to unveiling potential grounds. (2024). Reis, Pedro Nogueira ; Soares, Antonio Pedro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001232. Full description at Econpapers || Download paper |
| 2025 | Asymmetric impact of social media sentiments and stock market uncertainty on Indian sectoral returns: A quantile-on-quantile approach. (2025). Kaur, Rishman Jot ; Khan, Hera Asif. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000968. Full description at Econpapers || Download paper |
| 2024 | Non-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 |
| 2024 | Short-term contrarian in the carbon emission market. (2024). Xin, Ling. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s014098832400611x. Full description at Econpapers || Download paper |
| 2025 | What triggers intraday price jumps and co-jumps in gold?. (2025). Sobti, Neharika. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004673. Full description at Econpapers || Download paper |
| 2024 | Non-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 |
| 2024 | Donald Trumps tweets, political value judgment, and the Renminbi exchange rate. (2024). ZHANG, QISI ; Frömmel, Michael ; Frommel, Michael ; Baidoo, Edwin. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000917. Full description at Econpapers || Download paper |
| 2024 | Local media sentiment towards pollution and its effect on corporate green innovation. (2024). Wang, Shixuan ; Lu, Shanglin ; He, YU ; Wei, Ran. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002643. Full description at Econpapers || Download paper |
| 2024 | Spillover between investor sentiment and volatility: The role of social media. (2024). Indriawan, Ivan ; Fernandez-Perez, Adrian ; Yang, NI. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005751. Full description at Econpapers || Download paper |
| 2025 | Media attention, internal control quality, and legal litigation. (2025). Tang, Maolin. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324016763. Full description at Econpapers || Download paper |
| 2025 | Correlation aversion in foreign direct investment. (2025). Jinji, Naoto ; Khotamov, Navruz. In: Finance Research Letters. RePEc:eee:finlet:v:74:y:2025:i:c:s1544612324017574. Full description at Econpapers || Download paper |
| 2025 | Investor sentiment and stock returns: Wisdom of crowds or power of words? Evidence from Seeking Alpha and Wall Street Journal. (2025). Schröder, David ; Lachana, Ioanna ; Schrder, David. In: Journal of Financial Markets. RePEc:eee:finmar:v:74:y:2025:i:c:s1386418125000102. Full description at Econpapers || Download paper |
| 2024 | Behavioral 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 |
| 2025 | Evolution of investor sentiment: A systematic literature review and bibliometric analysis. (2025). Li, Kai ; de Mello, Lurion ; Huynh, Nhan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:100:y:2025:i:c:s1059056025002783. Full description at Econpapers || Download paper |
| 2025 | News sentiment indicators and the cross-section of stock returns in the European stock market. (2025). Gambarelli, Luca ; Muzzioli, Silvia. In: International Review of Economics & Finance. RePEc:eee:reveco:v:101:y:2025:i:c:s1059056025003703. Full description at Econpapers || Download paper |
| 2025 | Analyzing and forecasting P/E ratios using investor sentiment in panel data regression and LSTM models. (2025). Rysz, Maciej ; Beliaeva, Uliana ; Dolaeva, Aishat ; Semenov, Alexander ; Grigoriev, Dmitry. In: International Review of Economics & Finance. RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025000036. Full description at Econpapers || Download paper |
| 2025 | Investor sentiment and market returns: A multi-horizon analysis. (2025). Ngo, Vu Minh ; Nguyen, Huan Huu ; van Nguyen, Phuc ; Pham, Luan Minh. In: Research in International Business and Finance. RePEc:eee:riibaf:v:74:y:2025:i:c:s027553192400494x. Full description at Econpapers || Download paper |
| 2025 | Quantile connectedness among climate policy uncertainty, news sentiment, oil and renewables in China. (2025). Cheung, Adrian ; Yan, Wan-Lin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:76:y:2025:i:c:s0275531925000704. Full description at Econpapers || Download paper |
| 2024 | Enhancing Portfolio Optimization: A Two-Stage Approach with Deep Learning and Portfolio Optimization. (2024). Huang, Shiguo ; Liu, Shuangzhe ; Ma, Tiefeng ; Sun, Ruili ; Cao, Linyu. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:21:p:3376-:d:1508612. Full description at Econpapers || Download paper |
| 2025 | Dynamic Portfolio Optimization with Diversification Analysis and Asset Selection Amidst High Correlation Using Cryptocurrencies and Bank Equities. (2025). Muteba, John Weirstrass ; Ntare, Hamdan Bukenya ; Adekambi, Franck. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:6:p:113-:d:1680148. Full description at Econpapers || Download paper |
| 2024 | Reproducibility 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 |
| 2024 | Experimenting 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 |
| 2025 | The 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 |
| 2024 | Data selection and collection for constructing investor sentiment from social media. (2024). Liu, Qing ; Son, Hosung. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03316-7. Full description at Econpapers || Download paper |
| 2024 | Methods for aggregating investor sentiment from social media. (2024). Liu, Qing ; Son, Hosung. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03434-2. Full description at Econpapers || Download paper |
| 2024 | Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints. (2024). Sensoy, Ahmet ; Mahapatra, Biplab ; Banerjee, Ameet Kumar ; Fabozzi, Frank ; Pradhan, H K. In: Annals of Operations Research. RePEc:spr:annopr:v:337:y:2024:i:1:d:10.1007_s10479-024-05865-1. Full description at Econpapers || Download paper |
| 2025 | Social media and capital markets: an interdisciplinary bibliometric analysis. (2025). Long, Wen ; Guo, Man. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00731-2. Full description at Econpapers || Download paper |
| 2024 | Public Opinion and Chinese Exports: Evidence from Twitter Sentiment Analysis. (2024). Wu, Yanrui ; Wang, Haicheng ; Deng, Yuping. In: Economics Discussion / Working Papers. RePEc:uwa:wpaper:24-03. Full description at Econpapers || Download paper |
| 2024 | Heterogeneity 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 |
| 2025 | The 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 |
| 2024 | A 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 |
| Year | Title | Type | Cited |
|---|---|---|---|
| 2020 | Modelling Financial Contagion Using High Frequency Data In: The Economic Record. [Full Text][Citation analysis] | article | 1 |
| 2021 | Biases in variance of decomposed portfolio returns In: International Review of Finance. [Full Text][Citation analysis] | article | 1 |
| 2024 | Nonstandard Errors In: Journal of Finance. [Full Text][Citation analysis] | article | 14 |
| 2024 | Nonstandard errors.(2024) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2024 | Nonstandard Errors.(2024) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2021 | Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2024 | Nonstandard Errors.(2024) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2024 | Nonstandard Errors.(2024) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2021 | Non-Standard Errors.(2021) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2021 | Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2023 | Integrated variance of irregularly spaced high-frequency data: A state space approach based on pre-averaging In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2012 | Localized level crossing random walk test robust to the presence of structural breaks In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 1 |
| 2010 | Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks..(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2011 | Testing weak form efficiency on the Toronto Stock Exchange In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 29 |
| 2010 | Testing Weak Form Efficiency on the Toronto Stock Exchange..(2010) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
| 2017 | Time-varying continuous and jump betas: The role of firm characteristics and periods of stress In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 18 |
| 2020 | Sensitivity to sentiment: News vs social media In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 43 |
| 2025 | Managing cryptocurrency risk exposures in equity portfolios: Evidence from high-frequency data In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 1 |
| 2019 | Predictive blends: Fundamental Indexing meets Markowitz In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
| 2019 | Asymmetric jump beta estimation with implications for portfolio risk management In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 7 |
| 2016 | Continuous and Jump Betas: Implications for Portfolio Diversification In: Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 5 |
| 2016 | Concurrent momentum and contrarian strategies in the Australian stock market In: Australian Journal of Management. [Full Text][Citation analysis] | article | 10 |
| 2014 | Concurrent momentum and contrarian strategies in the Australian stock market.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2017 | Exchange rate risk exposure and the value of European firms In: The European Journal of Finance. [Full Text][Citation analysis] | article | 17 |
| 2012 | Exchange Rate Risk Exposure and the Value of European Firms.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2015 | Equity portfolio diversification with high frequency data In: Quantitative Finance. [Full Text][Citation analysis] | article | 9 |
| 2013 | Equity portfolio diversification with high frequency data.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2013 | Equity Portfolio Diversification: How Many Stocks are Enough? Evidence from Five Developed Markets In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2013 | What Australian investors need to know to diversity their portfolios In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | How many stocks are enough for diversifying Canadian institutional portfolios? In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2014 | Diversification, Canadian Style: How many stocks are enough for diversifying Canadian institutional portfolios? In: Published Paper Series. [Citation analysis] | paper | 2 |
| 2014 | The number of stocks in your portfolio should be larger than you think: diversification evidence from five developed markets In: Published Paper Series. [Full Text][Citation analysis] | paper | 1 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team