K. Geert Rouwenhorst : Citation Profile

Yale University

19

H index

20

i10 index

2495

Citations

RESEARCH PRODUCTION:

19

Articles

22

Papers

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   31 years (1990 - 2021). See details.
   Cites by year: 80
   Journals where K. Geert Rouwenhorst has often published
   Relations with other researchers
   Recent citing documents: 170.    Total self citations: 7 (0.28 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pro146
   Updated: 2025-12-13    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)

faff, robert (13)

Leung, Tim (12)

Swinkels, Laurens (12)

cotter, john (11)

Del Negro, Marco (11)

Flavin, Thomas (10)

Turner, John (10)

Sensier, Marianne (9)

Cites to:

French, Kenneth (10)

Harvey, Campbell (10)

Fama, Eugene (9)

Goetzmann, William (5)

Hamao, Yasushi (5)

Bessembinder, Hendrik (5)

Shanken, Jay (5)

Brown, Stephen (5)

Veld, Chris (4)

Bekaert, Geert (4)

Shleifer, Andrei (4)

Main data

Where K. Geert Rouwenhorst has published?

Journals with more than one article published# docs
Journal of Monetary Economics2
Journal of Finance2
The Review of Financial Studies2
Journal of Financial 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 (2025 and 2024)

YearTitle of citing document
2024Grain Futures Market Response to the Black Sea Grain Initiative. (2024). Steinbach, Sandro ; Yildirim, Yasin. In: German Journal of Agricultural Economics. RePEc:ags:gjagec:356239.

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

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2025Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy. (2022). Hol, Vladim'Ir ; Tomanov, Petra. In: Papers. RePEc:arx:papers:1811.09312.

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2025Model-free Analysis of Dynamic Trading Strategies. (2025). Xu, Renyuan ; Cont, Rama ; Ananova, Anna. In: Papers. RePEc:arx:papers:2011.02870.

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

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

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

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

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

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

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2024MTRGL:Effective Temporal Correlation Discerning through Multi-modal Temporal Relational Graph Learning. (2024). Wu, Shan ; Su, Junwei ; Li, Jinhui. In: Papers. RePEc:arx:papers:2401.14199.

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2024Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization. (2024). Schmelzer, Thomas ; Boyd, Stephen ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2402.08108.

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2024End-to-End Policy Learning of a Statistical Arbitrage Autoencoder Architecture. (2024). Calliess, Jan-Peter ; Krause, Fabian. In: Papers. RePEc:arx:papers:2402.08233.

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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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2024Optimal market-neutral currency trading on the cryptocurrency platform. (2024). Yang, Hongshen ; Malik, Avinash. In: Papers. RePEc:arx:papers:2405.15461.

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2024Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market. (2024). Ślepaczuk, Robert ; Korniejczuk, Adam. In: Papers. RePEc:arx:papers:2406.10695.

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2024Temporal Representation Learning for Stock Similarities and Its Applications in Investment Management. (2024). Hwang, Yoontae ; Lee, Yongjae ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2407.13751.

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2024A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages. (2024). Boyd, Stephen ; Schmelzer, Thomas ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2412.02660.

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2024Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups. (2024). Kim, Donggyu ; Oh, Minseog. In: Papers. RePEc:arx:papers:2412.05664.

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2025Can LLM-based Financial Investing Strategies Outperform the Market in Long Run?. (2025). Li, Weixian Waylon ; Kim, Hyeonjun ; Ma, Tiejun ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2505.07078.

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2025Uncertainty-Aware Strategies: A Model-Agnostic Framework for Robust Financial Optimization through Subsampling. (2025). Limmer, Yannick ; Buehler, Hans ; Horvath, Blanka ; Schmidt, Thorsten. In: Papers. RePEc:arx:papers:2506.07299.

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2025Time Series Foundation Models for Multivariate Financial Time Series Forecasting. (2025). Marconi, Ben A. In: Papers. RePEc:arx:papers:2507.07296.

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2025A Framework for Predictive Directional Trading Based on Volatility and Causal Inference. (2025). Letteri, Ivan. In: Papers. RePEc:arx:papers:2507.09347.

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2025Public debt burden and crisis severity. (2025). Fernndez-Gallardo, Lvaro ; Pay, Ivn. In: Working Papers. RePEc:bde:wpaper:2527.

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2024The anatomy of a bubble company: The London Assurance in 1720. (2024). Quinn, William ; Aldous, Michael ; Acheson, Graeme. In: Economic History Review. RePEc:bla:ehsrev:v:77:y:2024:i:1:p:160-184.

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2024Determinants of commodity market liquidity. (2024). Onur, Esen ; Jain, Pankaj K ; Kayhan, Ayla. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:1:p:9-30.

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2024Is research on hedge fund performance published selectively? A quantitative survey. (2024). Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas ; Yang, Fan. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:4:p:1085-1131.

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2025CALENDAR EFFECTS IN IRAQ STOCK EXCHANGE SECTOR RETURNS. (2025). Faez, Hasan Mohammed. In: Revista Economica. RePEc:blg:reveco:v:77:y:2025:i:2:p:7-34.

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2025Liquidity, monetary policy and the commodity futures market. (2025). Banti, Chiara ; Kellard, Neil ; Ivan, Miruna-Daniela. In: Bank of England working papers. RePEc:boe:boeewp:1114.

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2024Strategic Management of Clean Energy Investments: Financial Performance Insights by Using BWM-based VIKOR and TOPSIS Methods. (2024). Yucel, Mustafa ; Cilesiz, Ali ; Dayi, Faruk. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-05-58.

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

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2024Pairs trading with costly short-selling. (2024). Xu, Jing ; Yang, Peiquan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:168:y:2024:i:c:s0165188924001337.

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2024Green credit regulation and market efficiency: A perspective of irrational trading. (2024). Gao, Yihong ; Li, Haili. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:199-219.

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2025Fiscal policy and government bond yields: New evidence from the EU. (2025). Rzoca, Andrzej ; Ledchowski, Micha ; Cikowicz, Piotr. In: Economic Modelling. RePEc:eee:ecmode:v:147:y:2025:i:c:s0264999325000495.

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

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2025A predictive term-spread model in the age of inflation targeting. (2025). Tvedt, Jostein. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s106294082500004x.

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2025Public debt burden and crisis severity. (2025). Fernandez-Gallardo, Alvaro ; Pay, Ivn ; Fernndez-Gallardo, Lvaro. In: European Economic Review. RePEc:eee:eecrev:v:176:y:2025:i:c:s0014292125000789.

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2025The demand for hedging of oil producers: A tale of risk and regret. (2025). Six, Pierre ; Ouzan, Samuel. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:1:p:330-343.

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2024Expensive anomalies. (2024). Ray, Sugata ; Seyhun, Nejat H ; Xu, Luqi ; Anginer, Deniz. 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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2024The value of information in China’s connected market. (2024). Wang, Yuehan ; Chen, Keqi ; Zhu, Xiaoquan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000616.

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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 oil futures returns with news. (2024). Wang, Yudong ; Pan, Zhiyuan ; Huang, Juan ; Zhong, Hao. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324003141.

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2024Safe haven properties of industrial stocks against ESG in the United States: Portfolio implication for sustainable investments. (2024). Imran, Zulfiqar Ali ; Ahad, Muhammad ; Ahmad, Mobeen ; Shahzad, Khurram ; Hameed, Imran. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004201.

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2024Risk premium, price of risk and expected volatility in the oil market: Evidence from survey data. (2024). Uctum, Remzi ; Prat, Georges. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006388.

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2025The cost of uncertainty: Analysing the influence of coal price changes, the Russia-Ukraine war and geopolitical risk on risk premiums in the Indian electricity spot market. (2025). Singh, Prakash ; Siddiki, Jalal. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324008387.

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2025Systemic resilience of networked commodities. (2025). Storani, Saverio ; Mattera, Raffaele ; Cerqueti, Roy. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000933.

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2024Performance linkage in renewable energy supply chain: A comparative analysis with coal power and the entire industry. (2024). Lin, Boqiang ; Wang, Siquan. In: Energy Policy. RePEc:eee:enepol:v:193:y:2024:i:c:s0301421524002945.

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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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2025Return connectedness between energy commodities and stock markets: New evidence from 31 energy sector companies in Europe. (2025). Kliber, Agata ; Echaust, Krzysztof ; Just, Magorzata. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925001814.

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2024Financial market integration: A complex and controversial journey. (2024). Donadelli, Michael ; Gufler, I ; Paradiso, A. 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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2024Commodity sectors and factor investment strategies. (2024). Sakemoto, Ryuta ; Nakagawa, Kei. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pc:s1057521924004253.

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2024When the tide wanes: A study of post systemic collapse portfolio management. (2024). Lepone, Andrew ; Yu, Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006070.

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2024Does high volatility increase connectedness? A study of Asian equity markets. (2024). Wiesen, Thomas ; Afatsao, Richard ; Oliyide, Johnson ; Adekoya, Oluwasegun Babatunde. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006677.

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2024Bitcoin attention and economic policy uncertainty. (2024). Ordóñez, Javier ; Monfort, Mercedes ; Lafuente, Juan A ; Ordoez, Javier ; 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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2024Global equity, commodities and bond market response to Israel-Hamas war. (2024). Martins, Antonio Miguel. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009309.

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2024California carbon allowance futures. (2024). Zhai, Jia ; Shi, Shimeng. In: Finance Research Letters. RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324012947.

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2025Are cryptocurrencies priced in the cross-section? A portfolio approach. (2025). Ekponon, Adelphe ; Assamoi, Vincent K ; Guo, Zihan. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014661.

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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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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 ; Cakici, Nusret ; Chiah, Mardy ; Long, Huaigang ; Zaremba, Adam. 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 ; Zhang, YU ; Kappou, Konstantina. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:92:y:2024:i:c:s1042443124000404.

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2024Market timing with moving average distance: International evidence. (2024). Kaplanski, Guy ; Abudy, Menachem ; Mugerman, Yevgeny. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001318.

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2024Decomposing momentum: The forgotten component. (2024). Siedhoff, Susanne ; Mohrschladt, Hannes ; Busing, Pascal. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002061.

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2024Stock liquidity and the signaling value of patents: Evidence from chinas national equities exchange and quotations market. (2024). Kou, Zonglai ; Bi, Ruigang ; Song, Hong ; Lou, Pingyi. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:52:y:2024:i:4:p:871-896.

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

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2024Monetary policy and fragility in corporate bond mutual funds. (2024). Kuong, John Chi-Fong ; Zhang, Jinyuan ; Odonovan, James. In: Journal of Financial Economics. RePEc:eee:jfinec:v:161:y:2024:i:c:s0304405x24001545.

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2025Global Business Networks. (2025). Breitung, Christian ; Mller, Sebastian. In: Journal of Financial Economics. RePEc:eee:jfinec:v:166:y:2025:i:c:s0304405x25000157.

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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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2024Commodity prices and international Inflation, 1851–1913. (2024). Stuart, Rebecca ; Gerlach, Stefan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:144:y:2024:i:c:s0261560624000846.

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2024Commodity currencies revisited: The role of global commodity price uncertainty. (2024). Karadimitropoulou, Aikaterini ; Ferrara, Laurent ; Bermpei, Theodora ; Triantafyllou, Athanasios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:145:y:2024:i:c:s0261560624000834.

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2024Financial integration and hedging and safe haven properties of metals for sovereign bonds. (2024). Schertler, Andrea ; Hfler, Markus. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:149:y:2024:i:c:s0261560624001827.

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2025Market mechanisms for energy transition: Fossil energy price shocks and irrational renewable energy financing. (2025). Lin, Boqiang ; Wang, Siquan ; Du, Anna Min. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:151:y:2025:i:c:s0261560624002389.

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2024Forecasting the price of oil: A cautionary note. (2024). Eyiah-Donkor, Emmanuel ; Conlon, Thomas ; cotter, john. 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 ; Bunek, Gabriel D. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851324000011.

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2024Four Commitments of Traders Reports puzzles, revisited: Answers from grains and oilseeds futures markets. (2024). Robe, Michel ; Roberts, John S. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:34:y:2024:i:c:s2405851324000084.

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2024Did grain futures prices overreact to the Russia–Ukraine war due to herding?. (2024). Steinbach, Sandro ; Carter, Colin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:35:y:2024:i:c:s2405851324000412.

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2024When Chinese mania meets global frenzy: Commodity price bubbles. (2024). Fan, John Hua ; Todorova, Neda ; Indriawan, Ivan ; Fernandez-Perez, Adrian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000564.

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2024Carbon pricing and the commodity risk premium. (2024). Wang, Qiao. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000667.

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2025Media emotion intensity and commodity futures pricing. (2025). Vu, Thanh ; El-Jahel, Lina ; Chi, Yeguang. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:37:y:2025:i:c:s2405851325000042.

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2025Financial investors and cross-commodity markets integration. (2025). Isleimeyyeh, Mohammad. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000054.

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2025Commodity correlation risk. (2025). Sakemoto, Ryuta ; Byrne, Joseph P. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000170.

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2025Predicting commodity returns: Time series vs. cross sectional prediction models. (2025). Angelidis, Timotheos ; Sakkas, Athanasios ; Tessaromatis, Nikolaos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000194.

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

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2025Quantile time-frequency connectedness and spillovers among financial stress, cryptocurrencies and commodities. (2025). YAYA, OLAOLUWA ; Khan, Naveed ; Vo, Xuan Vinh ; Zada, Hassan. In: Resources Policy. RePEc:eee:jrpoli:v:103:y:2025:i:c:s0301420725000698.

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2025Price contagion and risk spillover in the global commodities market: COVID-19 pandemic vs. global financial crisis. (2025). Kamal, Md Mostafa ; Roca, Eduardo ; Lin, Chen ; Reza, Rajibur. In: Resources Policy. RePEc:eee:jrpoli:v:103:y:2025:i:c:s0301420725000959.

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2024Dynamic speculation and efficiency in European natural gas markets during the COVID-19 and Russia-Ukraine crises. (2024). Belhoula, Mohamed Malek ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed. In: Resources Policy. RePEc:eee:jrpoli:v:98:y:2024:i:c:s0301420724007293.

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2024Gender difference in equity portfolio diversification. (2024). Westerholm, Joakim P ; Wu, Zheng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24003214.

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2024Dynamics of market states and risk assessment. (2024). Seligman, Thomas H ; Sadhukhan, Suchetana ; Majari, Parisa ; Pharasi, Hirdesh K. 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). Li, Yue ; Zhao, Ruiqing ; Jiao, Bing. In: International Journal of Production Economics. RePEc:eee:proeco:v:271:y:2024:i:c:s092552732400077x.

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2024The influence of uncertainty on commodity futures returns and trading behaviour. (2024). Smales, Lee ; Laubsch, Joshua ; Vo, Duc. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:98:y:2024:i:c:s1062976924001212.

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2024Mechanisms of overpricing: An investigation on momentum crashes. (2024). Huang, Alex. 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). Xiao, Yuewen ; Zheng, Xinwei ; Wang, Chengsi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:70-82.

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2024Arbitrage opportunities and feedback trading in regulated bitcoin futures market: An intraday analysis. (2024). Wang, Jinghua ; Ngene, Geoffrey M. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:743-761.

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2024Commodities and Policy Uncertainty Channel(s). (2024). Smimou, K ; Filbeck, G ; Bosch, D. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:351-379.

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2024Do hedge funds bet against beta?. (2024). Riley, Timothy B ; Yan, Qing ; Malakhov, Alexey. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:1507-1525.

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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]		article31
1990Solving the Stochastic Growth Model by a Discrete-State-Space, Euler-Equation Approach. In: Journal of Business & Economic Statistics.
[Citation analysis]		article13
2014William N. Goetzmann , Catherine Labio , K. Geert Rouwenhorst , and Timothy G. Young , eds., The great mirror of folly: finance, culture, the crash of 1720 ( New Haven : Yale University Press , 2013 . Pp. xiv + 346. 255 illus. ISBN 9780300162462 Hbk. £50/$75) In: Economic History Review.
[Full Text][Citation analysis]		article0
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]		article360
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: 360		paper
2020A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets In: Journal of Finance.
[Full Text][Citation analysis]		article83
2001Day Trading International Mutual Funds: Evidence and Policy Solutions In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article51
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: 51		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]		article51
2009New Evidence on the First Financial Bubble.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		paper
1994Does industrial structure explain the benefits of international diversification? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article290
2021The first commodity futures index of 1933 In: Journal of Commodity Markets.
[Full Text][Citation analysis]		article3
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]		article198
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]		paper59
2007The Fundamentals of Commodity Futures Returns In: NBER Working Papers.
[Full Text][Citation analysis]		paper305
2013The Fundamentals of Commodity Futures Returns.(2013) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 305		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]		paper257
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: 257		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: 257		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: 257		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: 257		paper
2000Global Real Estate Markets - Cycles and Fundamentals In: NBER Working Papers.
[Full Text][Citation analysis]		paper67
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: 67		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: 67		paper
2001Long-Term Global Market Correlations In: NBER Working Papers.
[Full Text][Citation analysis]		paper345
2005Long-Term Global Market Correlations.(2005) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 345		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: 345		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]		article26
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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