ROBERTO PASCUAL : Citation Profile


Are you ROBERTO PASCUAL?

Universitat de les Illes Balears

10

H index

10

i10 index

297

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: 25.    Total self citations: 17 (5.41 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppa726
   Updated: 2024-11-04    RAS profile: 2023-09-08    
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Relations with other researchers


Works with:

Frijns, Bart (3)

Davies, Ryan (2)

Deku, Solomon (2)

Kearney, Fearghal (2)

Palan, Stefan (2)

He, Xuezhong (Tony) (2)

Alexeev, Vitali (2)

Verousis, Thanos (2)

Renault, Thomas (2)

Vogel, Sebastian (2)

Harris, Jeffrey (2)

Deev, Oleg (2)

Putnins, Talis (2)

CAPELLE-BLANCARD, Gunther (2)

Horenstein, Alex (2)

Regis, Luca (2)

Bouri, Elie (2)

Stefanova, Denitsa (2)

Wolff, Christian (2)

Heath, Davidson (2)

Jalkh, Naji (2)

FERROUHI, EL MEHDI (2)

Park, Andreas (2)

Chernov, Mikhail (2)

Pasquariello, Paolo (2)

Füllbrunn, Sascha (2)

Menkveld, Albert (2)

Rinne, Kalle (2)

Colliard, Jean-Edouard (2)

Tonks, Ian (2)

Sojli, Elvira (2)

Korajczyk, Robert (2)

Dumitrescu, Ariadna (2)

Vilkov, Grigory (2)

Talavera, Oleksandr (2)

Bohorquez Correa, Santiago (2)

Wilhelmsson, Anders (2)

Wong, Wing-Keung (2)

Schuerhoff, Norman (2)

Söderlind, Paul (2)

Pastor, Lubos (2)

Holzmeister, Felix (2)

Zhang, S. Sarah (2)

Dimpfl, Thomas (2)

Theissen, Erik (2)

Patel, Vinay (2)

Liew, Chee (2)

Chow, Nikolai Sheung-Chi (2)

Reitz, Stefan (2)

Bjønnes, Geir (2)

Taylor, Nick (2)

Lof, Matthijs (2)

Ferrara, Gerardo (2)

Walther, Thomas (2)

Ranaldo, Angelo (2)

Xiu, Dacheng (2)

Pelizzon, Loriana (2)

Abudy, Menachem (2)

Ait-Sahalia, Yacine (2)

Caporin, Massimiliano (2)

Adrian, Tobias (2)

Gorbenko, Arseny (2)

Xia, Shuo (2)

Moinas, Sophie (2)

Gerritsen, Dirk (2)

Roy, Saurabh (2)

Huang, Wenqian (2)

Prokopczuk, Marcel (2)

Gehrig, Thomas (2)

Brownlees, Christian (2)

Hurlin, Christophe (2)

Scaillet, Olivier (2)

LINTON, OLIVER (2)

Smales, Lee (2)

Kassner, Bernhard (2)

Jurkatis, Simon (2)

Mihet, Roxana (2)

Schwarz, Marco (2)

Lajaunie, Quentin (2)

Rakowski, David (2)

Nielsson, Ulf (2)

Degryse, Hans (2)

Hjalmarsson, Erik (2)

Ødegaard, Bernt (2)

Schenk-Hoppé, Klaus (2)

Shachar, Or (2)

Patton, Andrew (2)

Voigt, Stefan (2)

Roy, Saurabh (2)

Sarno, Lucio (2)

Frömmel, Michael (2)

Dreber, Anna (2)

Zhou, Chen (2)

Bos, Charles (2)

van Kervel, Vincent (2)

Hautsch, Nikolaus (2)

Johannesson, Magnus (2)

Foucault, Thierry (2)

Lopez-Lira, Alejandro (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)

Tourani-Rad, Alireza (8)

Frijns, Bart (8)

Mandel, Antoine (6)

battiston, stefano (6)

Hall, Anthony (5)

Quemin, Simon (5)

Huber, Christoph (5)

Rannou, Yves (5)

Baudry, marc (5)

Cites to:

Foucault, Thierry (40)

Easley, David (27)

Madhavan, Ananth (21)

Subrahmanyam, Avanidhar (19)

Engle, Robert (18)

Menkveld, Albert (16)

Biais, Bruno (16)

Lee, Charles (16)

Brogaard, Jonathan (15)

Ready, Mark (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
The European Journal of Finance2
Journal of Empirical 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
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles2
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía2

Recent works citing ROBERTO PASCUAL (2024 and 2023)


YearTitle of citing document
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.

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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.

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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.

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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.

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

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

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2023Price limit change and magnet effect: The role of investor attention. (2023). Li, Peigong ; Hao, Jing ; Zhang, Xiaotao. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s154461232200753x.

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

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2023The Impact of Carbon Emission Trading Policy on Enterprise ESG Performance: Evidence from China. (2023). Sun, Zuoren ; Zhang, Yiteng. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:10:p:8279-:d:1150826.

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

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2023Competition and moral behavior: A meta-analysis of forty-five crowd-sourced experimental designs. (2023). Urbig, Diemo ; Spantig, Lisa ; Soraperra, Ivan ; Schmitz, Jan ; Schudy, Simeon ; Schram, Arthur ; Saral, Ali Seyhun ; Nieken, Petra ; Nesterov, Alexander ; Khadjavi, Menusch ; Johannesson, Magnus ; Huber, Christoph ; Holzmeister, Felix ; Glogowsky, Ulrich ; Freddi, Eleonora ; Fiala, Lenka ; Dreber, Anna ; Dold, Malte ; Demiral, Elif ; Bulutay, Muhammed ; Brütt, Katharina ; Barron, Kai ; Pirrone, Angelo ; Theodoropoulou, Andriana ; Cornelissen, Gert ; Mak, Vincent ; Weitzel, Utz ; Htter, Mandy ; Gasiorowska, Agata ; Peters, Kim ; Suetens, Sigrid ; Claassen, Maria Almudena ; Lucas, Brian ; Kirchler, Michael ; Hudja, Stanton ; Schneider, Florian ; Fries, Tilman ; Palumbo, Helena ; Steinme
2023Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Greiner, Ben ; Fišar, Miloš ; Reproducibility, Management Science ; Katok, Elena ; Fiar, Milo. In: OSF Preprints. RePEc:osf:osfxxx:mydzv.

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2023Alternative risk premium: specification noise. (2023). Fabozzi, Frank J ; Gorman, Stephen A. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00327-y.

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2023Relationship between carbon emission trading schemes and companies’ total factor productivity: evidence from listed companies in China. (2023). Cheng, Silu ; Tang, Maogang ; Hu, Fengxia ; Ma, Weibiao ; Guo, Wenqing. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:25:y:2023:i:10:d:10.1007_s10668-022-02552-8.

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2023Cryptocurrency factor momentum. (2023). Zaremba, Adam ; Metko, Daniel ; Liedtke, Gerrit ; Fieberg, Christian. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:12:p:1853-1869.

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2023Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Reproducibility, Management Science ; Katok, Elena ; Greiner, Ben ; Fiar, Milo. In: Department for Strategy and Innovation Working Paper Series. RePEc:wiw:wus055:57814527.

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2024.

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2024A note on the use of syndicated loan data. (2022). Tonzer, Lena ; Noth, Felix ; Muller, Isabella. In: IWH Discussion Papers. RePEc:zbw:iwhdps:172022.

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Works by ROBERTO PASCUAL:


YearTitleTypeCited
2007On the Magnet Effect of Price Limits In: European Financial Management.
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article21
2010SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY In: Journal of Financial Research.
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article17
2007Switching to a temporary call auction in times of high uncertainty.(2007) In: CNMV Working Papers.
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This paper has nother version. Agregated cites: 17
paper
2004What pieces of limit order book information are informative ? In: LIDAM Discussion Papers CORE.
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paper13
2006Does the open limit order book matter in explaining long run volatility ? In: LIDAM Discussion Papers CORE.
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paper4
1999How does liquidity behave? A multidimensional analysis of NYSE stocks In: DEE - Working Papers. Business Economics. WB.
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paper0
2000BLM: bidimensional approach to measure liquidity In: DEE - Working Papers. Business Economics. WB.
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paper1
2001Cross-listing, price discovery and the informativeness of the trading process In: DEE - Working Papers. Business Economics. WB.
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paper52
2006Cross-listing, price discovery and the informativeness of the trading process.(2006) In: Journal of Financial Markets.
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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.
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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.
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paper1
2000Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context In: UC3M Working papers. Economics.
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paper0
2013Carbon Credits: Who is the Leader of the Pack? In: International Journal of Energy Economics and Policy.
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article3
2017Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation In: Journal of Empirical Finance.
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article2
2023US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks In: Journal of Empirical Finance.
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article0
2014The timeline of trading frictions in the European carbon market In: Energy Economics.
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article39
2012The timeline of trading fricions in the European Carbon Market.(2012) In: Working Papers. Serie AD.
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This paper has nother version. Agregated cites: 39
paper
2023Market-wide illiquidity and the distribution of non-parametric stochastic discount factors In: International Review of Financial Analysis.
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article0
2014The relative contribution of ask and bid quotes to price discovery In: Journal of Financial Markets.
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article7
2015Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm In: Journal of Financial Markets.
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article22
2023Stock liquidity and algorithmic market making during the COVID-19 crisis In: Journal of Banking & Finance.
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article5
2004Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis In: Journal of Banking & Finance.
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article5
2018Evaluating VPIN as a trigger for single-stock circuit breakers In: Journal of Banking & Finance.
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article5
2015The friction-free weighted price contribution In: International Review of Economics & Finance.
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article1
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
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paper5
2021Non-Standard Errors In: Working Papers.
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paper9
2010Does the Open Limit Order Book Matter in Explaining Informational Volatility? In: Journal of Financial Econometrics.
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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.
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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.
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article3
2012On the hidden side of liquidity In: The European Journal of Finance.
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article29
2009What pieces of limit order book information matter in explaining order choice by patient and impatient traders? In: Quantitative Finance.
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article19
2009What pieces of LOB information are informative? An empirical analysis of a pure order driven market In: ULB Institutional Repository.
[Citation analysis]
paper0

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