Annastiina Silvennoinen : Citation Profile

Are you Annastiina Silvennoinen?

Queensland University of Technology

8

H index

8

i10 index

854

Citations

RESEARCH PRODUCTION:

15

Articles

30

Papers

RESEARCH ACTIVITY:

   19 years (2005 - 2024). See details.
   Cites by year: 44
   Journals where Annastiina Silvennoinen has often published
   Relations with other researchers
   Recent citing documents: 63.    Total self citations: 21 (2.4 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psi115
   Updated: 2024-11-04    RAS profile: 2024-05-06    
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Relations with other researchers

Works with:

Teräsvirta, Timo (8)

Hall, Anthony (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Annastiina Silvennoinen.

Is cited by:

GUPTA, RANGAN (23)

Teräsvirta, Timo (18)

Savva, Christos (17)

Filis, George (16)

Nguyen, Duc Khuong (15)

Bauwens, Luc (13)

Degiannakis, Stavros (13)

Uddin, Gazi (12)

Hafner, Christian (11)

De Santis, Roberto (11)

Osborn, Denise (9)

Cites to:

Teräsvirta, Timo (97)

Engle, Robert (67)

Bollerslev, Tim (52)

Amado, Cristina (47)

Jagannathan, Ravi (29)

Bauwens, Luc (26)

Laurent, Sébastien (25)

Sheppard, Kevin (15)

Tse, Y. K. (15)

Rombouts, Jeroen (15)

Lunde, Asger (12)

Main data

Where Annastiina Silvennoinen has published?

Journals with more than one article published# docs
Studies in Nonlinear Dynamics & Econometrics2
Econometrics2
Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
NCER Working Paper Series / National Centre for Econometric Research9
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney3
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics3

Recent works citing Annastiina Silvennoinen (2024 and 2023)

YearTitle of citing document
2024On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices. (2023). Noda, Akihiko ; Moriya, Koichiro. In: Papers. RePEc:arx:papers:2305.05998.

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2024New evidence on crude oil market efficiency. (2024). Lee, Yoonjin ; Hu, Liang. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:2:p:892-916.

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2024Global Food Prices and Inflation. (2024). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10992.

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2023Revisiting the Causality between Oil Prices and Stock Markets in Selected MENA Countries: A Bootstrap Rolling-window Approach. (2023). ben Hamouda, Abderrazek. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-05-13.

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2023Prospects for the Development of Transport in Poland during the Energy Crisis. (2023). Zimon, Grzegorz. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-03-8.

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2023Return and volatility connectedness between gold and energy markets: Evidence from the pre- and post-COVID vaccination phases. (2023). Jareo, Francisco ; Yousaf, Imran ; Arfaoui, Nadia. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:617-634.

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2024Integrated nested Laplace approximations for threshold stochastic volatility models. (2024). Rue, Hvard ; Marin, Miguel J ; de Zea, P ; Veiga, Helena. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:15-35.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2023Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758.

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2023The predictive effect of risk aversion on oil returns under different market conditions. (2023). Wang, Yudong ; Xiao, Jihong ; Wen, Danyan. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s014098832300467x.

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2024Changing determinant driver and oil volatility forecasting: A comprehensive analysis. (2024). Wang, Jiqian ; Ma, Feng ; Luo, Qin ; Wu, You. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006850.

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2024Connectivity and spillover during crises: Highlighting the prominent and growing role of green energy. (2024). Sensoy, Ahmet ; Goodell, John W ; Banerjee, Ameet Kumar. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007223.

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2024How do changes in settlement periods affect wholesale market prices? Evidence from Australias National Electricity Market. (2024). Khezr, Peyman ; Csereklyei, Zsuzsanna. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001336.

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2024Does oil spin the commodity wheel? Quantile connectedness with a common factor error structure across energy and agricultural markets. (2024). Parhi, Mamata ; Enilov, Martin ; Zhou, Xiaoran. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001762.

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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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2024Seeking a shock haven: Hedging extreme upward oil price changes. (2024). HU, YANG ; Conlon, Thomas ; Corbet, Shaen ; Hou, Yang ; Oxley, Les. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001777.

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2023Time-varying market efficiency of safe-haven assets. (2023). Leirvik, Thomas ; Okoroafor, Ugochi C. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323003963.

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2023Projected Dynamic Conditional Correlations. (2023). Brownlees, Christian ; Llorens-Terrazas, Jordi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1761-1776.

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2024Metal and energy price uncertainties and the global economy. (2024). Wang, Ben Zhe ; Sheen, Jeffrey ; Ponomareva, Natalia. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000317.

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2024Commodity returns co-movement, uncertainty shocks, and the US dollar exchange rate. (2024). Zhang, Chengsi ; Ma, Jun ; Liao, Wenting. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000433.

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2023The economic impact of daily volatility persistence on energy markets. (2023). Wang, Jianxin ; Thomas, Alice Carole ; Nikitopoulos, Christina Sklibosios. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000423.

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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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2023The evolution of commodity market financialization: Implications for portfolio diversification. (2023). Fry-McKibbin, Renee ; McKinnon, Kate. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000508.

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2024Revisiting the pricing impact of commodity market spillovers on equity markets. (2024). Hyde, Stuart ; Bowe, Michael ; Pinto-Avalos, Francisco. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000594.

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2023Do geopolitical oil price risk influence stock market returns and volatility of Pakistan: Evidence from novel non-parametric quantile causality approach. (2023). Ozkan, Oktay ; Saleem, Asima ; Khan, Nasir. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000636.

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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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2023Dynamic connectedness in commodity futures markets during Covid-19 in India: New evidence from a TVP-VAR extended joint connectedness approach. (2023). Olson, Dennis ; Mishra, Aswini Kumar ; Patnaik, Debasis ; Arunachalam, Vairam. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723001988.

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2023The volatility of natural resources implications for sustainable development: Crude oil volatility prediction based on the multivariate structural regime switching. (2023). Ma, Feng ; Tang, Yusui. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003239.

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2023Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approach. (2023). GUPTA, RANGAN ; Gabauer, David ; Chatziantoniou, Ioannis. In: Resources Policy. RePEc:eee:jrpoli:v:84:y:2023:i:c:s0301420723004403.

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2024Is copper a safe haven for oil?. (2024). Lobon, Oana-Ramona ; Qin, Meng ; Song, Xin Yue ; Su, Chi Wei. In: Resources Policy. RePEc:eee:jrpoli:v:91:y:2024:i:c:s0301420724002642.

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2023The extreme return connectedness between Sukuk and green bonds and their determinants and consequences for investors. (2023). Ben Amar, Amine ; Balli, Faruk ; Billah, Mabruk. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x23000021.

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2023Skewness in energy returns: estimation, testing and retain-->implications for tail risk. (2023). Iguez, Trino-Manuel ; Leon, Angel ; Carnero, Angeles M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:178-189.

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2024Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach. (2024). Bellalah, Makram ; ben Amar, Amine ; Abricha, Amal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:229-246.

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2023Connectedness among El Niño-Southern Oscillation, carbon emission allowance, crude oil and renewable energy stock markets: Time- and frequency-domain evidence based on TVP-VAR model. (2023). Wang, Yizhi ; Bai, Lan ; Zhang, Jiahao ; Wei, YU. In: Renewable Energy. RePEc:eee:renene:v:202:y:2023:i:c:p:289-309.

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2024On the transmission mechanism between the inventory arbitrage activity, speculative activity and the commodity price under the US QE policy: Evidence from a TVP-VAR model. (2024). Alexiou, Constantinos ; Yao, Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1054-1072.

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2024Hedging precious metals with impact investing. (2024). Le, Van ; Banerjee, Ameet Kumar ; Akhtaruzzaman, MD ; Moussa, Faten. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:651-664.

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2024International commodity market and stock volatility predictability: Evidence from G7 countries. (2024). Ma, Feng ; Wang, Jiqian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:90:y:2024:i:c:p:62-71.

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2024Agricultural commodities market reaction to COVID-19. (2024). Dragolea, Larisa Loredana ; Mudakkar, Syeda Rabab ; Iuga, Iulia Cristina. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000801.

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2023The dynamic relationships between carbon prices and policy uncertainties. (2023). Wojewodzki, Michal ; Sharma, Satish ; Cai, Yifei ; Liu, Xiaoqin. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:188:y:2023:i:c:s0040162523000100.

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2023Markov-Regime Switches in Oil Markets: The Fear Factor Dynamics. (2023). Okawa, Hiroyuki. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:67-:d:1045068.

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2023Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict. (2023). Goutte, Stéphane ; ben Amar, Amine ; Bouattour, Mondher ; Bellalah, Makram. In: Working Papers. RePEc:hal:wpaper:halshs-04064084.

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2023Financial Development, Political Instability, Trade Openness and Growth in Brazil: Evidence from a New Dataset, 1890-2003. (2023). Glebkina, Ekaterina ; Campos, Nauro ; Koutroumpis, Panagiotis ; Karanasos, Menelaos. In: Open Economies Review. RePEc:kap:openec:v:34:y:2023:i:4:d:10.1007_s11079-022-09684-4.

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2023Identifying Risk Factors and Their Premia: A Study on Electricity Prices*. (2023). Lunde, Asger ; Wei, Wei. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:5:p:1647-1679..

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2024COVID-19, the Russia–Ukraine war and the connectedness between the U.S. and Chinese agricultural futures markets. (2024). Shi, Haili ; Sun, Yiru ; Zhang, Yongmin ; Zhao, Yingxue ; Ding, Shusheng. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-02852-6.

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2024Commodity and Stock Market Interlinkages: Opportunities and Challenges for Investors in Indian Market. (2024). Suresh, Sandra ; Jhunjhunwala, Shital. In: Global Business Review. RePEc:sae:globus:v:25:y:2024:i:2_suppl:p:s42-s58.

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2023Liquidity and realized covariance forecasting: a hybrid method with model uncertainty. (2023). Li, Weiping ; Ma, Feng ; Cao, Yangli ; Qiao, Gaoxiu. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02248-y.

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2023Nonlinearity in the causality and systemic risk spillover between the OPEC oil and GCC equity markets: a pre- and post-financial crisis analysis. (2023). Abakah, Emmanuel ; Hammoudeh, Shawkat ; Alagidede, Imhotep Paul ; Tiwari, Aviral Kumar. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:3:d:10.1007_s00181-023-02366-1.

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2023Global connectivity between commodity prices and national stock markets: A time?varying MIDAS analysis. (2023). Fazio, Giorgio ; Ghoshray, Atanu ; Enilov, Martin. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2607-2619.

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2023Investment opportunities in the energy market: What can be learnt from different energy sectors. (2023). Uddin, Gazi ; Sahamkhadam, Maziar ; Tang, OU ; Yahya, Muhammad. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3611-3636.

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2023Uncertainties and green bond markets: Evidence from tail dependence. (2023). Lin, Boqiang ; Su, Tong. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:4458-4475.

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2023Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis. (2023). Magkonis, Georgios ; Filis, George ; Tzouvanas, Panagiotis ; Filippidis, Michail. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:6:p:807-825.

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2023Long-run Trends or Short-run Fluctuations – What Establishes the Correlation between Oil and Food Prices?The Interplay of Standardized Tests and Incentives – An Econometric Analysis with Data from. (2012). Schmidt, Torsten ; Kratschell, Karoline . In: Ruhr Economic Papers. RePEc:zbw:rwirep:357.

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Works by Annastiina Silvennoinen:

YearTitleTypeCited
2023Long Monthly European Temperature Series and the North Atlantic Oscillation In: Economics Working Papers.
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2023Long monthly European temperature series and the North Atlantic Oscillation.(2023) In: Energy Economics.
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This paper has nother version. Agregated cites: 0		article
2008Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper86
2007Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model.(2007) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has nother version. Agregated cites: 86		paper
2009Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model.(2009) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 86		article
2008Multivariate GARCH models In: CREATES Research Papers.
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2008Multivariate GARCH models.(2008) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has nother version. Agregated cites: 95		paper
2008Parameterizing unconditional skewness in models for financial time series In: CREATES Research Papers.
[Full Text][Citation analysis]		paper24
2008Parameterizing Unconditional Skewness in Models for Financial Time Series.(2008) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 24		article
2005Parameterizing Unconditional Skewness in Models for Financial Time Series.(2005) In: Research Paper Series.
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This paper has nother version. Agregated cites: 24		paper
2012Modelling conditional correlations of asset returns: A smooth transition approach In: CREATES Research Papers.
[Full Text][Citation analysis]		paper33
2015Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach.(2015) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 33		article
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market In: CREATES Research Papers.
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2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market.(2014) In: NCER Working Paper Series.
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2016A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market.(2016) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 14		article
2015Testing constancy of unconditional variance in volatility models by misspecification and specification tests In: CREATES Research Papers.
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2016Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2016) In: Studies in Nonlinear Dynamics & Econometrics.
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This paper has nother version. Agregated cites: 5		article
2015Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2015) In: NCER Working Paper Series.
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This paper has nother version. Agregated cites: 5		paper
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model In: CREATES Research Papers.
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2017Modelling and forecasting WIG20 daily returns In: CREATES Research Papers.
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2017Modelling and forecasting WIG20 daily returns.(2017) In: NIPE Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2017Modelling and Forecasting WIG20 Daily Returns.(2017) In: Central European Journal of Economic Modelling and Econometrics.
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This paper has nother version. Agregated cites: 2		article
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations In: CREATES Research Papers.
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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations.(2018) In: NIPE Working Papers.
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This paper has nother version. Agregated cites: 3		paper
2018Transition from the Taylor rule to the zero lower bound In: CREATES Research Papers.
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2022Transition from the Taylor rule to the zero lower bound.(2022) In: Studies in Nonlinear Dynamics & Econometrics.
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This paper has nother version. Agregated cites: 1		article
2021Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model In: CREATES Research Papers.
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2022A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model In: CREATES Research Papers.
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2022A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model.(2022) In: Econometrics.
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This paper has nother version. Agregated cites: 0		article
2024Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model In: Journal of Econometrics.
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2013Volatility timing: How best to forecast portfolio exposures In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article8
2013Financialization, crisis and commodity correlation dynamics In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article480
2010Financialization, Crisis and Commodity Correlation Dynamics.(2010) In: Research Paper Series.
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2023Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks In: Econometrics.
[Full Text][Citation analysis]		article0
2005Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]		paper65
2005Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations.(2005) In: Research Paper Series.
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This paper has nother version. Agregated cites: 65		paper
2009On the economic benefit of utility based estimation of a volatility model In: NCER Working Paper Series.
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2010Portfolio allocation: Getting the most out of realised volatility In: NCER Working Paper Series.
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2011Volatility timing and portfolio selection: How best to forecast volatility In: NCER Working Paper Series.
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2012Forecasting multivariate volatility in larger dimensions: some practical issues In: NCER Working Paper Series.
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2013On the Benefits of Equicorrelation for Portfolio Allocation In: NCER Working Paper Series.
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2015Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper27
2016Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics.(2016) In: Journal of Futures Markets.
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This paper has nother version. Agregated cites: 27		article
2016Volatility Dependent Dynamic Equicorrelation In: NCER Working Paper Series.
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2019Volatility-dependent correlations: further evidence of when, where and how In: Empirical Economics.
[Full Text][Citation analysis]		article5

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