Robert Jung : Citation Profile

Are you Robert Jung?

Universität Hohenheim

13

H index

15

i10 index

611

Citations

RESEARCH PRODUCTION:

16

Articles

8

Papers

RESEARCH ACTIVITY:

   29 years (1993 - 2022). See details.
   Cites by year: 21
   Journals where Robert Jung has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 11 (1.77 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pju3
   Updated: 2024-11-04    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 (12)

Dimpfl, Thomas (11)

Caporin, Massimiliano (7)

Koopman, Siem Jan (6)

Snyder, Ralph (6)

McCabe, Brendan (6)

Martin, Gael (6)

Lee, Chien-Chiang (6)

Baruník, Jozef (6)

Chen, Mei-Ping (5)

Ruiz, Esther (5)

Cites to:

Bollerslev, Tim (16)

Engle, Robert (15)

Andersen, Torben (13)

Shephard, Neil (12)

Tremayne, Andrew (11)

Diebold, Francis (10)

Richard, Jean-Francois (7)

Harvey, Andrew (7)

Koopman, Siem Jan (7)

Heinen, Andréas (6)

Pesaran, Mohammad (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 (2024 and 2023)

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

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2024Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series. (2023). Pipiras, Vladas ; Fisher, Zachary F ; Kim, Younghoon. In: Papers. RePEc:arx:papers:2307.10454.

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2023.

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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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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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2023Bayesian inference for a mixture double autoregressive model. (2023). Dong, Xiaogang ; Yu, Xinyang ; Zhang, Qingqing ; Yang, Kai. In: Statistica Neerlandica. RePEc:bla:stanee:v:77:y:2023:i:2:p:188-207.

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2023Herd behavior and contagion effects of the COVID-19. (2023). Ferreira, Roberto T. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-01078.

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2023Bayesian modeling of spatial integer-valued time series. (2023). Hsiung, Mo-Hua ; Chen, Chun-Shu. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:188:y:2023:i:c:s016794732300138x.

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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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2023The increased interest in Bitcoin and the immediate and long-term impact of Bitcoin volatility on global stock markets. (2023). Bazan-Palomino, Walter. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:1080-1095.

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2023Extreme risk contagion between international crude oil and Chinas energy-intensive sectors: New evidence from quantile Granger causality and spillover methods. (2023). Sun, Yan-Lin ; Chen, Bin-Xia. In: Energy. RePEc:eee:energy:v:285:y:2023:i:c:s0360544223028621.

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2023Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence. (2023). Obojska, Lidia ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521922002587.

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2024Asymmetric and high-order risk transmission across VIX and Chinese futures markets. (2024). Luo, Jiawen ; Zhang, Zhendong. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000462.

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2024Impact of media hype and fake news on commodity futures prices: A deep learning approach over the COVID-19 period. (2024). Sensoy, Ahmet ; Banerjee, Ameet Kumar ; Mahapatra, Biplab ; Goodell, John W. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323010309.

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2023Determinants of financial stability and risk transmission in dual financial system: Evidence from the COVID pandemic. (2023). Elsayed, Ahmed ; Helmi, Mohamad Husam ; Ahmed, Habib. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000525.

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2023Fan tokens: Sports and speculation on the blockchain. (2023). Zimmermann, Lukas ; Scharnowski, Stefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001488.

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2024Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001543.

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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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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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2023Bayesian predictive distributions of oil returns using mixed data sampling volatility models. (2023). Virbickaite, Audrone ; Nguyen, Hoang ; Tran, Minh-Ngoc. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723008784.

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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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2024Geopolitical risk and the predictability of spillovers between exchange, commodity and stock markets. (2024). Pan, Dongtao ; Ma, Yong ; Hao, Xinlei. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:73:y:2024:i:c:s1042444x24000082.

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2024Switching spillovers and connectedness between Sukuk and international Islamic stock markets. (2024). Yoon, Seong-Min ; Al-Kharusi, Sami ; Lee, Yeonjeong ; Mensi, Walid. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000696.

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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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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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2023Research on Price Discovery in Financial Securities: Trends and Directions for Future Research. (2023). Chotia, Varun ; Sharma, Dinesh Kumar ; Arora, Geetika ; Agrawal, Gaurav. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:9:p:416-:d:1243355.

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2023.

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2023.

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2023.

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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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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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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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2023Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2023). Zhao, Ran ; Zhang, Zehua ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:118459.

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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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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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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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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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2023Are futures markets functioning well for agricultural perishables? Evidence from Chinas apple futures market. (2023). Ren, Yanjun ; Glauben, Thomas ; Loy, Jens-Peter ; Mao, Qianqian. In: EconStor Open Access Articles and Book Chapters. RePEc:zbw:espost:283070.

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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]		article19
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 nother version. Agregated cites: 19		paper
2003Testing for serial dependence in time series models of counts In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article12
2006Time series of count data: modeling, estimation and diagnostics In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article53
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]		article28
2014Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article66
2006Return and volatility linkages between the US and the German stock market In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article74
2017Price discovery in agricultural commodity markets in the presence of futures speculation In: Journal of Commodity Markets.
[Full Text][Citation analysis]		article46
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]		paper23
2000Stochastic volatility models: conditional normality versus heavy-tailed distributions In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article80
1997Stochastic volatility models: Conditional normality versus heavy tailed distributions.(1997) In: Tübinger Diskussionsbeiträge.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 80		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]		paper99

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