Citation analysis for Journal of Empirical Finance / Elsevier

Citation Profile [Updated: 2022-01-09 21:43:50]

5 Years H

Impact Factor

1.52

5 Years IF

1.55

Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw Data

	IF	AIF	CIF	IF5	DOC	CDO	CIT	NCI	CCU	D2Y	C2Y	D5Y	C5Y	SC	%SC	CiY	II	AII
1990	0	0.09	0	0	0	0	0		1	0		0			0		0	0.04
1991	0	0.08	0	0	0	0	0		1	0		0			0		0	0.04
1992	0	0.09	0	0	0	0	0		1	0		0			0		0	0.04
1993	0	0.11	0.5	0	6	6	1762	1	4	0		0			0	1	0.17	0.05
1994	0.5	0.12	0.5	0.5	10	16	385	6	12	6	3	6	3		0	3	0.3	0.06
1995	1	0.19	0.7	1	14	30	282	20	33	16	16	16	16	2	10	2	0.14	0.08
1996	0.92	0.22	1.25	1.37	18	48	1254	52	93	24	22	30	41	7	13.5	6	0.33	0.1
1997	0.47	0.22	0.84	0.88	13	61	1221	49	144	32	15	48	42	7	14.3	4	0.31	0.09
1998	1.39	0.26	1.08	1.15	17	78	696	79	228	31	43	61	70	2	2.5	2	0.12	0.12
1999	1.23	0.27	1.43	1.22	23	101	676	137	372	30	37	72	88	6	4.4	5	0.22	0.13
2000	0.88	0.32	1.68	1.34	19	120	1014	197	573	40	35	85	114	15	7.6	4	0.21	0.14
2001	1.02	0.35	1.72	1.53	25	145	598	243	823	42	43	90	138	6	2.5	8	0.32	0.15
2002	0.7	0.37	1.61	1.08	26	171	705	267	1098	44	31	97	105	14	5.2	12	0.46	0.19
2003	0.92	0.4	2.14	1.25	26	197	1832	414	1520	51	47	110	138	17	4.1	34	1.31	0.19
2004	1.63	0.44	2.23	1.5	32	229	1587	486	2031	52	85	119	178	23	4.7	16	0.5	0.2
2005	1.66	0.45	2.12	1.42	30	259	1070	538	2579	58	96	128	182	17	3.2	13	0.43	0.21
2006	1.55	0.46	2.6	1.89	24	283	951	719	3314	62	96	139	263	14	1.9	19	0.79	0.2
2007	1.2	0.42	2.24	1.73	35	318	1200	705	4025	54	65	138	239	21	3	17	0.49	0.18
2008	1.64	0.44	2.19	1.96	49	367	1321	789	4830	59	97	147	288	29	3.7	16	0.33	0.2
2009	1.56	0.43	2.02	1.65	60	427	1575	856	5693	84	131	170	280	32	3.7	17	0.28	0.21
2010	1.15	0.43	1.88	1.51	62	489	1140	912	6612	109	125	198	298	49	5.4	10	0.16	0.18
2011	0.84	0.45	1.7	1.15	62	551	1200	935	7550	122	102	230	264	31	3.3	22	0.35	0.2
2012	0.94	0.45	1.94	1.37	50	601	661	1160	8713	124	116	268	367	51	4.4	11	0.22	0.19
2013	1.29	0.5	2.26	1.58	63	664	460	1498	10212	112	144	283	448	35	2.3	6	0.1	0.21
2014	0.87	0.51	2.41	1.51	67	731	652	1755	11972	113	98	297	449	59	3.4	13	0.19	0.2
2015	0.85	0.5	2.13	1.36	64	795	578	1692	13666	130	111	304	412	73	4.3	18	0.28	0.19
2016	1.22	0.5	2.09	1.34	102	897	790	1876	15544	131	160	306	411	71	3.8	45	0.44	0.18
2017	1.1	0.5	2	1.15	64	961	386	1923	17467	166	182	346	397	47	2.4	21	0.33	0.18
2018	1.15	0.54	1.79	1.13	79	1040	399	1858	19329	166	191	360	405	79	4.3	26	0.33	0.21
2019	1.07	0.58	1.67	1.14	61	1101	229	1839	21169	143	153	376	428	43	2.3	21	0.34	0.21
2020	1.52	0.75	1.9	1.55	60	1161	63	2211	23380	140	213	370	574	64	2.9	16	0.27	0.29

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CIT:	Number of citations to papers published in year y
NCI:	Number of citations in year y
CCU:	Cumulative number of citations to papers published until year y
D2Y:	Number of articles published in y-1 plus y-2
C2Y:	Cites in y to articles published in y-1 plus y-2
D5Y:	Number of articles published in y-1 until y-5
C5Y:	Cites in y to articles published in y-1 until y-5
SC:	selft citations in y to articles published in y-1 plus y-2
%SC:	Percentage of selft citations in y to articles published in y-1 plus y-2
CiY:	Cites in year y to documents published in year y
II:	Immediacy Index: CiY / Documents.
AII:	Average Immediacy Index for series in RePEc in year y

50 most cited documents in this series

#	Year	Title	Cited
1	1993	A long memory property of stock market returns and a new model. (1993). Granger, Clive ; Engle, Robert ; Ding, Zhuanxin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106. Full description at Econpapers \|\| Download paper	1411
2	1996	The forward discount anomaly and the risk premium: A survey of recent evidence. (1996). Engel, Charles. In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:2:p:123-192. Full description at Econpapers \|\| Download paper	652
3	1997	Intraday periodicity and volatility persistence in financial markets. (1997). Bollerslev, Tim ; Andersen, Torben. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:115-158. Full description at Econpapers \|\| Download paper	546
4	2000	Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach. (2000). McNeil, Alexander J. ; Frey, Rudiger. In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:271-300. Full description at Econpapers \|\| Download paper	476
5	2003	Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. (2003). Wolf, Michael ; Ledoit, Olivier. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:5:p:603-621. Full description at Econpapers \|\| Download paper	407
6	2007	Measuring financial contagion: A Copula approach. (2007). RodrÃÆÃÂguez, Juan ; Rodriguez, Juan Carlos. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:3:p:401-423. Full description at Econpapers \|\| Download paper	345
7	2004	Investor sentiment and the near-term stock market. (2004). Brown, Gregory W. ; CLIFF, MICHAEL T.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:1:p:1-27. Full description at Econpapers \|\| Download paper	335
8	1996	The econometrics of financial markets. (1996). pagan, adrian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102. Full description at Econpapers \|\| Download paper	322
9	2004	Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. (2004). Granger, Clive ; Hyung, Namwon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:3:p:399-421. Full description at Econpapers \|\| Download paper	315
10	2003	Emerging markets finance. (2003). Harvey, Campbell ; Bekaert, Geert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:3-56. Full description at Econpapers \|\| Download paper	299
11	2009	International comovement of stock market returns: A wavelet analysis. (2009). Rua, AntÃÆÃÂ³nio ; Nunes, Luis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:4:p:632-639. Full description at Econpapers \|\| Download paper	293
12	2008	Robust performance hypothesis testing with the Sharpe ratio. (2008). Wolf, Michael ; Ledoit, Olivier. In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:5:p:850-859. Full description at Econpapers \|\| Download paper	258
13	1998	Volatility and cross correlation across major stock markets. (1998). Ramchand, Latha ; Susmel, Raul . In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:4:p:397-416. Full description at Econpapers \|\| Download paper	246
14	1997	Volatilities of different time resolutions -- Analyzing the dynamics of market components. (1997). von WeizsÃÆÃÂ¤cker, Jakob ; Olsen, Richard ; Dacorogna, Michel ; von Weizsacker, Jacob E. ; Muller, Ulrich A. ; Dave, Rakhal D. ; Pictet, Olivier V.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:213-239. Full description at Econpapers \|\| Download paper	225
15	2009	Investor sentiment and stock returns: Some international evidence. (2009). Schmeling, Maik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:3:p:394-408. Full description at Econpapers \|\| Download paper	220
16	2005	Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements. (2005). Koopman, Siem Jan ; Jungbacker, Borus ; Hol, Eugenie . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:445-475. Full description at Econpapers \|\| Download paper	219
17	1993	Common stock offerings across the business cycle : Theory and evidence. (1993). nanda, vikram ; masulis, ronald ; Choe, Hyuk . In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:3-31. Full description at Econpapers \|\| Download paper	216
18	2004	Modelling daily Value-at-Risk using realized volatility and ARCH type models. (2004). Laurent, SÃÆÃÂ©bastien ; Giot, Pierre. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:3:p:379-398. Full description at Econpapers \|\| Download paper	193
19	2006	Instability of return prediction models. (2006). Timmermann, Allan ; Paye, Bradley S.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:3:p:274-315. Full description at Econpapers \|\| Download paper	168
20	2004	Market stress and herding. (2004). Salmon, Mark ; Hwang, Soosung. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:4:p:585-616. Full description at Econpapers \|\| Download paper	165
21	2003	A simple measure of the intensity of capital controls. (2003). Warnock, Francis ; Edison, Hali. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:81-103. Full description at Econpapers \|\| Download paper	165
22	2009	Understanding the relationship between founder-CEOs and firm performance. (2009). Adams, Renee ; Almeida, Heitor ; Ferreira, Daniel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:1:p:136-150. Full description at Econpapers \|\| Download paper	154
23	2005	Testing for contagion: a conditional correlation analysis. (2005). Spagnolo, Nicola ; cipollini, andrea ; Caporale, Guglielmo Maria. In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:476-489. Full description at Econpapers \|\| Download paper	151
24	2003	Univariate and multivariate stochastic volatility models: estimation and diagnostics. (2003). Richard, Jean-Francois ; Liesenfeld, Roman . In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:4:p:505-531. Full description at Econpapers \|\| Download paper	148
25	1997	The incremental volatility information in one million foreign exchange quotations. (1997). xu, xinzhong ; Taylor, Stephen J.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:4:p:317-340. Full description at Econpapers \|\| Download paper	146
26	1994	Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets. (1994). Phillips, Peter ; Loretan, Mico. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1994:i:2:p:211-248. Full description at Econpapers \|\| Download paper	143
27	2007	Firm-level implications of early stage venture capital investment -- An empirical investigation. (2007). Keilbach, Max ; Engel, Dirk. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:2:p:150-167. Full description at Econpapers \|\| Download paper	140
28	2002	Market timing and return prediction under model instability. (2002). Timmermann, Allan ; Pesaran, M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:9:y:2002:i:5:p:495-510. Full description at Econpapers \|\| Download paper	131
29	2001	The specification of conditional expectations. (2001). Harvey, Campbell. In: Journal of Empirical Finance. RePEc:eee:empfin:v:8:y:2001:i:5:p:573-637. Full description at Econpapers \|\| Download paper	128
30	1999	Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon. (1999). Bollerslev, Tim ; Andersen, Torben ; Lange, Steve. In: Journal of Empirical Finance. RePEc:eee:empfin:v:6:y:1999:i:5:p:457-477. Full description at Econpapers \|\| Download paper	127
31	2003	Predicting emerging market currency crashes. (2003). Perraudin, William ; Kumar, Mohan ; Moorthy, Uma. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:4:p:427-454. Full description at Econpapers \|\| Download paper	115
32	2000	Sensitivity analysis of Values at Risk. (2000). Scaillet, Olivier ; gourieroux, christian ; Laurent, J. P.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:225-245. Full description at Econpapers \|\| Download paper	113
33	2011	Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data. (2011). Lim, Kian-Ping ; Kim, Jae ; Shamsuddin, Abul. In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:5:p:868-879. Full description at Econpapers \|\| Download paper	111
34	1998	International evidence on the stock market and aggregate economic activity. (1998). Cheung, Yin-Wong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:3:p:281-296. Full description at Econpapers \|\| Download paper	106
35	2004	The rise in comovement across national stock markets: market integration or IT bubble?. (2004). Del Negro, Marco ; Brooks, Robin . In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:5:p:659-680. Full description at Econpapers \|\| Download paper	103
36	1999	Economic determinants of evolution in international stock market integration. (1999). Docking, Diane Scott ; Koch, Paul D. ; Bracker, Kevin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:6:y:1999:i:1:p:1-27. Full description at Econpapers \|\| Download paper	102
37		CAPM over the long run: 1926-2001. (2007). Ang, Andrew ; Chen, Joseph. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:1:p:1-40. Full description at Econpapers \|\| Download paper	100
38	1994	Alternative constructions of Tobins q: An empirical comparison. (1994). Wiles, Kenneth W. ; Perfect, Steven B.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1994:i:3-4:p:313-341. Full description at Econpapers \|\| Download paper	100
39	2005	Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects. (2005). Schlag, Christian ; Melvin, Michael ; Grammig, Joachim. In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:1:p:139-164. Full description at Econpapers \|\| Download paper	99
40	1997	Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model. (1997). Engle, Robert ; Russell, Jeffrey R.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:187-212. Full description at Econpapers \|\| Download paper	98
41	2008	Are Asian stock markets efficient? Evidence from new multiple variance ratio tests. (2008). Kim, Jae ; Shamsuddin, Abul. In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:3:p:518-532. Full description at Econpapers \|\| Download paper	98
42	2006	In-sample vs. out-of-sample tests of stock return predictability in the context of data mining. (2006). Wohar, Mark ; Rapach, David E.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:2:p:231-247. Full description at Econpapers \|\| Download paper	96
43	2010	Local bias in venture capital investments. (2010). Dai, Na ; Cumming, Douglas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:17:y:2010:i:3:p:362-380. Full description at Econpapers \|\| Download paper	92
44	2008	Does risk aversion drive financial crises? Testing the predictive power of empirical indicators. (2008). Gex, Mathieu ; Coudert, Virginie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:2:p:167-184. Full description at Econpapers \|\| Download paper	91
45	2005	The relationship between stock returns and inflation: new evidence from wavelet analysis. (2005). In, Francis ; Kim, Sangbae. In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:435-444. Full description at Econpapers \|\| Download paper	90
46	2007	Predictable behavior, profits, and attention. (2007). Wu, Guojun ; Seasholes, Mark S.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:5:p:590-610. Full description at Econpapers \|\| Download paper	89
47	1997	High frequency data in financial markets: Issues and applications. (1997). Goodhart, Charles A. E., ; O'Hara, Maureen . In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:73-114. Full description at Econpapers \|\| Download paper	87
48	2010	A network perspective of the stock market. (2010). Tse, Chi ; Lau, Francis C. M., ; Liu, Jing. In: Journal of Empirical Finance. RePEc:eee:empfin:v:17:y:2010:i:4:p:659-667. Full description at Econpapers \|\| Download paper	87
49	2004	Analysis of intraday herding behavior among the sector ETFs. (2004). Mathur, Ike ; Peterson, Mark A. ; Gleason, Kimberly C.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:5:p:681-694. Full description at Econpapers \|\| Download paper	85
50	1999	A primer on hedge funds. (1999). Hsieh, David A. ; Fung, William. In: Journal of Empirical Finance. RePEc:eee:empfin:v:6:y:1999:i:3:p:309-331. Full description at Econpapers \|\| Download paper	85

50 most relevant documents in this series (papers most cited in the last two years)

#	Year	Title	Cited
1	1993	A long memory property of stock market returns and a new model. (1993). Granger, Clive ; Engle, Robert ; Ding, Zhuanxin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106. Full description at Econpapers \|\| Download paper	182
2	2003	Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. (2003). Wolf, Michael ; Ledoit, Olivier. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:5:p:603-621. Full description at Econpapers \|\| Download paper	106
3	2000	Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach. (2000). McNeil, Alexander J. ; Frey, Rudiger. In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:271-300. Full description at Econpapers \|\| Download paper	103
4	2004	Investor sentiment and the near-term stock market. (2004). Brown, Gregory W. ; CLIFF, MICHAEL T.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:1:p:1-27. Full description at Econpapers \|\| Download paper	98
5	2008	Robust performance hypothesis testing with the Sharpe ratio. (2008). Wolf, Michael ; Ledoit, Olivier. In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:5:p:850-859. Full description at Econpapers \|\| Download paper	86
6	2009	Investor sentiment and stock returns: Some international evidence. (2009). Schmeling, Maik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:3:p:394-408. Full description at Econpapers \|\| Download paper	81
7	2009	International comovement of stock market returns: A wavelet analysis. (2009). Rua, AntÃÆÃÂ³nio ; Nunes, Luis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:4:p:632-639. Full description at Econpapers \|\| Download paper	77
8	1997	Intraday periodicity and volatility persistence in financial markets. (1997). Bollerslev, Tim ; Andersen, Torben. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:115-158. Full description at Econpapers \|\| Download paper	67
9	2007	Measuring financial contagion: A Copula approach. (2007). RodrÃÆÃÂguez, Juan ; Rodriguez, Juan Carlos. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:3:p:401-423. Full description at Econpapers \|\| Download paper	65
10	2004	Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. (2004). Granger, Clive ; Hyung, Namwon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:3:p:399-421. Full description at Econpapers \|\| Download paper	53
11	2019	Conditional tail-risk in cryptocurrency markets. (2019). Borri, Nicola. In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:1-19. Full description at Econpapers \|\| Download paper	50
12	2014	Political uncertainty and bank loan contracting. (2014). HASAN, IFTEKHAR ; Francis, Bill B. ; Zhu, Yun. In: Journal of Empirical Finance. RePEc:eee:empfin:v:29:y:2014:i:c:p:281-286. Full description at Econpapers \|\| Download paper	49
13	2009	Understanding the relationship between founder-CEOs and firm performance. (2009). Adams, Renee ; Almeida, Heitor ; Ferreira, Daniel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:1:p:136-150. Full description at Econpapers \|\| Download paper	48
14	2005	Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements. (2005). Koopman, Siem Jan ; Jungbacker, Borus ; Hol, Eugenie . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:445-475. Full description at Econpapers \|\| Download paper	48
15	1997	Volatilities of different time resolutions -- Analyzing the dynamics of market components. (1997). von WeizsÃÆÃÂ¤cker, Jakob ; Olsen, Richard ; Dacorogna, Michel ; von Weizsacker, Jacob E. ; Muller, Ulrich A. ; Dave, Rakhal D. ; Pictet, Olivier V.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:213-239. Full description at Econpapers \|\| Download paper	48
16	2004	Market stress and herding. (2004). Salmon, Mark ; Hwang, Soosung. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:4:p:585-616. Full description at Econpapers \|\| Download paper	46
17	1996	The forward discount anomaly and the risk premium: A survey of recent evidence. (1996). Engel, Charles. In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:2:p:123-192. Full description at Econpapers \|\| Download paper	43
18	2006	Instability of return prediction models. (2006). Timmermann, Allan ; Paye, Bradley S.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:3:p:274-315. Full description at Econpapers \|\| Download paper	41
19	2010	Local bias in venture capital investments. (2010). Dai, Na ; Cumming, Douglas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:17:y:2010:i:3:p:362-380. Full description at Econpapers \|\| Download paper	39
20	2018	CRIX an Index for cryptocurrencies. (2018). Trimborn, Simon ; Hardle, Wolfgang Karl. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:107-122. Full description at Econpapers \|\| Download paper	35
21	2014	On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets. (2014). Conrad, Christian ; Loch, Karin ; Rittler, Daniel . In: Journal of Empirical Finance. RePEc:eee:empfin:v:29:y:2014:i:c:p:26-40. Full description at Econpapers \|\| Download paper	35
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23	2017	Can investor sentiment be a momentum time-series predictor? Evidence from China. (2017). Li, Youwei ; Han, Xing . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:212-239. Full description at Econpapers \|\| Download paper	33
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28	2017	Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model. (2017). Yin, Libo ; Wu, Chongfeng ; Wang, Yudong ; Pan, Zhiyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:130-142. Full description at Econpapers \|\| Download paper	30
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Citing documents used to compute impact factor: 213

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2020	Monetary policy after the crisis: A threat to hedge funds alphas?. (2020). Guidolin, Massimo ; Pedio, Manuela ; Berglund, Alexander. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:3:d:10.1057_s41260-020-00160-7. Full description at Econpapers \|\| Download paper
2020	ECB Announcements and Stock Market Volatility. (2020). Neugebauer, Frederik. In: WHU Working Paper Series - Economics Group. RePEc:whu:wpaper:20-02. Full description at Econpapers \|\| Download paper
2020	Price and volatility linkages between international REITs and oil markets. (2020). Soytas, Ugur ; GUPTA, RANGAN ; Gormus, Alper ; Nazlioglu, Saban. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301195. Full description at Econpapers \|\| Download paper
2020	Historical volatility of advanced equity markets: The role of local and global crises. (2020). GUPTA, RANGAN ; Wohar, Mark E ; Goswami, Samrat. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319303617. Full description at Econpapers \|\| Download paper
2020	Predicting firm-level volatility in the United States: the role of monetary policy uncertainty. (2020). Kyei, Clement ; GUPTA, RANGAN ; Demirer, Riza ; Clance, Matthew. In: Economics and Business Letters. RePEc:ove:journl:aid:14497. Full description at Econpapers \|\| Download paper
2020	Crowded trades, market clustering, and price instability. (2020). Lelyveld, Iman ; van Lelyveld, Iman ; Scholtus, Karolina ; Garlaschelli, Diego ; van Kralingen, Marc. In: Papers. RePEc:arx:papers:2002.03319. Full description at Econpapers \|\| Download paper
2020	Crowded trades, market clustering, and price instability. (2020). Lelyveld, Iman ; van Lelyveld, Iman ; Scholtus, Karolina ; Garlaschelli, Diego ; van Kralingen, Marc. In: DNB Working Papers. RePEc:dnb:dnbwpp:668. Full description at Econpapers \|\| Download paper
2020	Crowded trades, market clustering, and price instability. (2020). Lelyveld, Iman ; van Lelyveld, Iman ; Scholtus, Karolina ; Garlaschelli, Diego ; van Kralingen, Marc. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200007. Full description at Econpapers \|\| Download paper
2020	Hard markets, hard times: On the inefficiency of the CAT bond market. (2020). Gurtler, Marc ; Gotze, Tobias. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s092911991930937x. Full description at Econpapers \|\| Download paper
2020	The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads. (2020). Jalles, Joao ; Afonso, Antonio ; Kazemi, Mina. In: International Review of Law and Economics. RePEc:eee:irlaec:v:63:y:2020:i:c:s014481882030137x. Full description at Econpapers \|\| Download paper
2020	Insider trading and shareholder investment horizons. (2020). Yan, Xinyan ; Tang, Tian ; Kong, Lei ; Fu, Xudong. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119919301580. Full description at Econpapers \|\| Download paper
2020	Institutional Ownership and Corporate Social Performance in Emerging Economies Multinationals: Evidence from India. (2020). Yadav, Sandeep. In: Indian Journal of Corporate Governance. RePEc:sae:ijcgvn:v:13:y:2020:i:2:p:227-252. Full description at Econpapers \|\| Download paper
2020	News sentiment, credit spreads, and information asymmetry. (2020). Wang, Xinjie ; Liu, Zhechen ; Yang, Shanxiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300760. Full description at Econpapers \|\| Download paper
2020	Hedging geopolitical risk with precious metals. (2020). Smales, Lee ; Baur, Dirk G. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:117:y:2020:i:c:s037842662030090x. Full description at Econpapers \|\| Download paper
2020	Magnitude and persistence of extreme risk spillovers in the global energy market: A high-dimensional left-tail interdependence perspective. (2020). Liu, Jiahao ; Lin, Renda ; Zhu, BO. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301018. Full description at Econpapers \|\| Download paper
2020	Mining for Oil Forecasts. (2020). Calomiris, Charles ; CAKIR MELEK, NIDA ; Mamaysky, Harry. In: Research Working Paper. RePEc:fip:fedkrw:89532. Full description at Econpapers \|\| Download paper
2020	Are female top executives more risk-averse or more ethical? Evidence from corporate cash holdings policy. (2020). Doan, Trang ; Iskandar-Datta, Mai. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:161-176. Full description at Econpapers \|\| Download paper
2020	How Does Board Gender Diversity Influence the Likelihood of Becoming a UN Global Compact Signatory? The Mediating Effect of the CSR Committee. (2020). Colakoglu, Nese ; Eryilmaz, Mehmet ; Martinez-Ferrero, Jennifer. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:10:p:4329-:d:362721. Full description at Econpapers \|\| Download paper
2020	The importance of diversity on boards of directorsÃ¢â¬â¢ effectiveness and its impact on innovativeness in the bioeconomy. (2020). Topping, Peter ; Bharathi, Sivashankari ; Denuwara, Navodya ; Hakovirta, Marko ; Eloranta, Jorma. In: Palgrave Communications. RePEc:pal:palcom:v:7:y:2020:i:1:d:10.1057_s41599-020-00605-9. Full description at Econpapers \|\| Download paper
2020	Establishing the boundary conditions for female board directorsâ influence on firm performance through CSR. (2020). Lei, Lijun ; Liu, Yonghong ; Buttner, Holly E. In: Journal of Business Research. RePEc:eee:jbrese:v:121:y:2020:i:c:p:112-120. Full description at Econpapers \|\| Download paper
2020	The impact of board gender diversity and national culture on corporate innovation: A multi-country analysis of multinational corporations operating in emerging economies. (2020). Ullah, Subhan ; Kimani, Danson ; Adams, Kweku ; Attah-Boakye, Rexford. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:161:y:2020:i:c:s0040162520310738. Full description at Econpapers \|\| Download paper
2020	The cross-section of industry equity returns and global tactical asset allocation across regions and industries. (2020). Bengitoz, Pelin ; Umutlu, Mehmet. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302180. Full description at Econpapers \|\| Download paper
2020	Equity Option Pricing with Systematic and Idiosyncratic Volatility and Jump Risks. (2020). Li, Zhe. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:1:p:16-:d:310060. Full description at Econpapers \|\| Download paper
2020	Selection Effects of Lender and Borrower Choices on Risk Measurement, Management and Prudential Regulation. (2020). Luong, Thi Mai. In: PhD Thesis. RePEc:uts:finphd:3-2020. Full description at Econpapers \|\| Download paper
2020	When is a MAX not the MAX? How news resolves information uncertainty. (2020). Bell, Adrian ; Brooks, Chris ; Tao, Ran. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:33-51. Full description at Econpapers \|\| Download paper
2020	Firms profit instability and the cross-section of stock returns: Evidence from China. (2020). Wei, YA ; Yin, Libo ; Han, Liyan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919308256. Full description at Econpapers \|\| Download paper
2020	Forecasting Chinese industry return volatilities with RMB/USD exchange rate. (2020). Dong, Xiaodi ; Zhu, Huan ; Dai, Zhifeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316929. Full description at Econpapers \|\| Download paper
2020	Forecasting stock price volatility: New evidence from the GARCH-MIDAS model. (2020). Yang, Lin ; Liu, Jing ; Ma, Feng ; Wang, LU. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:684-694. Full description at Econpapers \|\| Download paper
2020	Forecasting oil price volatility using high-frequency data: New evidence. (2020). Liu, Jing ; Wei, YU ; Ma, Feng ; Chen, Wang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:1-12. Full description at Econpapers \|\| Download paper
2020	Economic policy uncertainty and the Chinese stock market volatility: Novel evidence. (2020). Zhang, Yaojie ; Ma, Feng ; Li, Tao. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:24-33. Full description at Econpapers \|\| Download paper
2020	Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching. (2020). Wei, YU ; Lei, Likun ; Zhang, Yaojie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302293. Full description at Econpapers \|\| Download paper
2020	Efficient predictability of stock return volatility: The role of stock market implied volatility. (2020). He, Shaoyi ; Wen, Fenghua ; Zhou, Huiting ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300711. Full description at Econpapers \|\| Download paper
2020	Can CBOE gold and silver implied volatility help to forecast gold futures volatility in China? Evidence based on HAR and Ridge regression models. (2020). Liang, Chao ; Wei, YU ; Zhang, Xunhui. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319305793. Full description at Econpapers \|\| Download paper
2020	Which types of commodity price information are more useful for predicting US stock market volatility?. (2020). Li, Yan ; Ma, Feng ; Liang, Chao. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:642-650. Full description at Econpapers \|\| Download paper
2020	Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? New evidence. (2020). Chevallier, Julien ; Wang, Jiqian ; Ma, Feng ; Huang, Yisu. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302371. Full description at Econpapers \|\| Download paper
2020	Crude oil price volatility and equity return predictability: A comparative out-of-sample study. (2020). Nonejad, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301654. Full description at Econpapers \|\| Download paper
2020	Which sentiment index is more informative to forecast stock market volatility? Evidence from China. (2020). Tang, Linchun ; Liang, Chao ; Wei, YU. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301964. Full description at Econpapers \|\| Download paper
2020	Which popular predictor is more useful to forecast international stock markets during the coronavirus pandemic: VIX vs EPU?. (2020). Lu, Xinjie ; Wang, Jiqian ; Ma, Feng ; He, Feng. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302404. Full description at Econpapers \|\| Download paper
2020	Oil price uncertainty, global industry returns and active investment strategies. (2020). Demirer, Riza ; Yuksel, Aydin. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:22:y:2020:i:c:s1703494920300244. Full description at Econpapers \|\| Download paper
2020	The impact of Coronavirus (COVID-19) outbreak on faith-based investments: An original analysis. (2020). Sherif, Mohamed. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303300. Full description at Econpapers \|\| Download paper
2020	Heterogeneous dependence between crude oil price volatility and Chinaâs agriculture commodity futures: Evidence from quantile-on-quantile regression. (2020). Ma, Xiang ; Huang, Rui ; Zhu, Huiming ; Hau, Liya. In: Energy. RePEc:eee:energy:v:213:y:2020:i:c:s0360544220318880. Full description at Econpapers \|\| Download paper
2020	A comprehensive empirical analysis of the predictive impact of the price of crude oil on aggregate equity return volatility. (2020). Nonejad, Nima. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:20:y:2020:i:c:s2405851319300868. Full description at Econpapers \|\| Download paper
2020	Examining the predictive information of CBOE OVX on Chinaâs oil futures volatility: Evidence from MS-MIDAS models. (2020). Wang, Jianqiong ; Ma, Feng ; Lu, Xinjie. In: Energy. RePEc:eee:energy:v:212:y:2020:i:c:s0360544220318508. Full description at Econpapers \|\| Download paper
2020	Forecasting Chinas stock market variance. (2020). Shi, Yongdong ; Cheng, Hang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:64:y:2020:i:c:s0927538x19304950. Full description at Econpapers \|\| Download paper
2020	Employment protection laws and corporate cash holdings. (2020). Karpuz, Ahmet ; Ozkan, Neslihan ; Kim, Kirak. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302791. Full description at Econpapers \|\| Download paper
2020	Capital Market Financing and Firm Growth. (2020). Schmukler, Sergio ; Levine, Ross ; Didier, Tatiana ; Montanes, Ruth Llovet. In: Mo.Fi.R. Working Papers. RePEc:anc:wmofir:166. Full description at Econpapers \|\| Download paper
2020	Capital Market Financing and Firm Growth. (2020). Schmukler, Sergio ; Levine, Ross ; Montanes, Ruth Llovet ; Brandao, Tatiana Didier. In: Policy Research Working Paper Series. RePEc:wbk:wbrwps:9337. Full description at Econpapers \|\| Download paper
2020	Increase in cash holdings of U.S. firms: The role of healthcare and technology industries. (2020). Luo, DI ; Li, Xiafei. In: Journal of Business Research. RePEc:eee:jbrese:v:118:y:2020:i:c:p:286-298. Full description at Econpapers \|\| Download paper
2020	Does financial reporting regulation influence the value of cash holdings?. (2020). Ozkan, Neslihan ; Kim, Kirak ; Karpuz, Ahmet. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:52-67. Full description at Econpapers \|\| Download paper
2020	On Becoming an O-SII (Ã¢â¬ÅOther Systemically Important InstitutionÃ¢â¬Â). (2020). Sprincean, Nicu ; AndrieÃâ¢, Alin Marius ; Ongena, Steven ; Nistor, Simona. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302961. Full description at Econpapers \|\| Download paper
2020	Systemic risk and financial stability dynamics during the Eurozone debt crisis. (2020). Kouretas, Georgios ; Bratis, Theodoros ; Laopodis, Nikiforos T. In: Journal of Financial Stability. RePEc:eee:finsta:v:47:y:2020:i:c:s1572308920300012. Full description at Econpapers \|\| Download paper
2020	A non-linear analysis of the sovereign bank nexus in the EU. (2020). Cifarelli, Giulio ; Paladino, Giovanna. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s170349491930074x. Full description at Econpapers \|\| Download paper
2020	Do stress tests affect bank liquidity creation?. (2020). Onali, Enrico ; Chevapatrakul, Thanaset ; Ahmed, Shamim ; Vu, Thach. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920300663. Full description at Econpapers \|\| Download paper
2020	Avoiding the fall into the loop: Isolating the transmission of bank-to-sovereign distress in the Euro Area. (2020). Eichler, Stefan ; Bohm, Hannes. In: Journal of Financial Stability. RePEc:eee:finsta:v:51:y:2020:i:c:s1572308920300620. Full description at Econpapers \|\| Download paper
2020	The Price-Volume Relationship of the Shanghai Stock Index: Structural Change and the Threshold Effect of Volatility. (2020). Li, Yishi ; Ho, Tsungwu ; Wang, Panpan. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:8:p:3322-:d:347707. Full description at Econpapers \|\| Download paper
2020	Transactions Volume, Exchange Direction and Asymmetry of Volatility in Emerging Market: Evidence From Tunisian Stock Exchange. (2020). Yasmina, Jaber . In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:11:y:2020:i:6:p:318-336. Full description at Econpapers \|\| Download paper
2020	Sentiment, emotions and stock market predictability in developed and emerging markets. (2020). Rossouw, Stephanie ; Mwamba, John M ; Greyling, Talita. In: GLO Discussion Paper Series. RePEc:zbw:glodps:502. Full description at Econpapers \|\| Download paper
2020	Macroeconomic news and acquirer returns in M&As: The impact of investor alertness. (2020). Saunders, Anthony ; Adra, Samer ; Barbopoulos, Leonidas G. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920300274. Full description at Econpapers \|\| Download paper
2020	Management compensation contracts and distribution policies in the US technology sector. (2020). Grey, Colette ; Donnelly, Ray ; Flynn, Antoinette. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521919303734. Full description at Econpapers \|\| Download paper
2020	Could the Stock Market Adjust Itself? An Empirical Study Based on Mean Reversion Theory. (2020). Liming, Wang ; Xuefeng, HU ; Shuangjie, LI. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:8:y:2020:i:2:p:97-115:n:1. Full description at Econpapers \|\| Download paper
2020	The impact of monetary policy on M&A outcomes. (2020). Saunders, Anthony ; Barbopoulos, Leonidas G ; Adra, Samer. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119919301166. Full description at Econpapers \|\| Download paper
2020	Prediction of Stock Returns: Sum-of-the-Parts Method and Economic Constraint Method. (2020). Zhou, Huiting ; Dai, Zhifeng. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:2:p:541-:d:307513. Full description at Econpapers \|\| Download paper
2020	Time-frequency forecast of the equity premium. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_006. Full description at Econpapers \|\| Download paper
2020	Beta dispersion and market timing. (2020). Kuntz, Laura-Chloe. In: Discussion Papers. RePEc:zbw:bubdps:462020. Full description at Econpapers \|\| Download paper
2020	The volatility surprise of leading cryptocurrencies: Transitory and permanent linkages. (2020). lucey, brian ; Roubaud, David ; Bouri, Elie. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319303137. Full description at Econpapers \|\| Download paper
2020	Commodity futures and a wavelet-based risk assessment. (2020). Czudaj, Robert ; Berger, Theo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:554:y:2020:i:c:s037843712030114x. Full description at Econpapers \|\| Download paper
2020	The yield curve and the stock market: Mind the long run. (2020). Verona, Fabio ; Faria, Gonalo. In: Journal of Financial Markets. RePEc:eee:finmar:v:50:y:2020:i:c:s138641811930134x. Full description at Econpapers \|\| Download paper
2020	The Lithium Industry and Analysis of the Beta Term Structure of Oil Companies. (2020). Monge, Manuel ; Gil-Alana, Luis. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:130-:d:455636. Full description at Econpapers \|\| Download paper
2020	Growing influences of the Chinese renminbi on Asian exchange rates: Evidence from a wavelet analysis of dynamic spillovers. (2020). Kinkyo, Takuji. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819302827. Full description at Econpapers \|\| Download paper
2020	Equity premium prediction and optimal portfolio decision with Bagging. (2020). Yin, Anwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301686. Full description at Econpapers \|\| Download paper
2020	Volatility interdependence on foreign exchange markets: The contribution of cross-rates. (2020). Kinkyo, Takuji. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301807. Full description at Econpapers \|\| Download paper
2020	Beta dispersion and market timing. (2020). Kuntz, Laura-Chloe. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:235-256. Full description at Econpapers \|\| Download paper
2020	Co-opted directors, gender diversity, and crash risk: evidence from China. (2020). Kao, Erin H ; Liu, Xiaojian ; Fung, Hung-Gay ; Huang, Ho-Chuan. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:2:d:10.1007_s11156-019-00850-3. Full description at Econpapers \|\| Download paper
2020	The comparative and interactive effects of political, academic and financial directors. (2020). Liu, YU. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:546-565. Full description at Econpapers \|\| Download paper
2020	Site visit information content and return predictability: Evidence from China. (2020). Cao, Jiawei ; Yue, Sishi ; Dong, Dayong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304280. Full description at Econpapers \|\| Download paper
2020	Stock return predictability from a mixed model perspective. (2020). Zhu, Huan ; Dai, Zhifeng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:60:y:2020:i:c:s0927538x1930633x. Full description at Econpapers \|\| Download paper
2020	Forecasting stock market returns: New technical indicators and two-step economic constraint method. (2020). Hong, Lianying ; Kang, Jie ; Dong, Xiaodi ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301133. Full description at Econpapers \|\| Download paper
2020	Idiosyncratic momentum and the crossÃ¢â¬Âsection of stock returns: Further evidence. (2020). Lin, QI. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:579-627. Full description at Econpapers \|\| Download paper
2020	Profitability of momentum strategies in Latin America. (2020). Lizarzaburu, Edmundo ; Cardona, Emilio ; Berggrun, Luis. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301460. Full description at Econpapers \|\| Download paper
2020	The idiosyncratic momentum anomaly. (2020). Vidojevic, Milan ; Hanauer, Matthias X ; Blitz, David. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:932-957. Full description at Econpapers \|\| Download paper
2020	Fear of Hazards in Commodity Futures Markets. (2020). Miffre, Joelle ; Gonzalez-Fernandez, Marcos ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: MPRA Paper. RePEc:pra:mprapa:100528. Full description at Econpapers \|\| Download paper
2020	Fear of Hazards in Commodity Futures Markets. (2020). Miffre, Joelle ; Gonzalez-Fernandez, Marcos ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: Post-Print. RePEc:hal:journl:hal-02931680. Full description at Econpapers \|\| Download paper
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2020	Media attention and the volatility effect. (2020). van Vliet, Pim ; Swinkels, Laurens ; Huisman, Rob ; Blitz, David. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s154461231930409x. Full description at Econpapers \|\| Download paper
2020	Asymmetry of retail investorsâ attention and asymmetric volatility: Evidence from China. (2020). Xiong, Xiong ; Feng, XU ; Zhang, Wei ; Chen, Shuning. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612319309353. Full description at Econpapers \|\| Download paper
2020	Fear of hazards in commodity futures markets. (2020). Miffre, Joelle ; Gonzalez-Fernandez, Marcos ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620301680. Full description at Econpapers \|\| Download paper
2020	European equity markets: Who is the truly representative investor?. (2020). Alonso, Ana Belen ; Suarez, Javier Rojo ; Pozo, Ricardo Ferrero. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:325-346. Full description at Econpapers \|\| Download paper
2020	Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activity. (2020). Nave, Juan ; Gonzalez-Sanchez, Mariano ; Rubio, Gonzalo. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919310876. Full description at Econpapers \|\| Download paper
2020	PREDICTING SYSTEMATIC RISK WITH MACROECONOMIC AND FINANCIAL VARIABLES. (2020). Ibrushi, Denada ; Cenesizoglu, Tolga. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:649-673. Full description at Econpapers \|\| Download paper
2020	Are Kuwaiti Stock Returns Affected by Fluctuations in Oil Prices?. (2020). Alshammari, Nayef ; Alshihab, Salem. In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:11:y:2020:i:6:p:1-9. Full description at Econpapers \|\| Download paper
2020	Economic momentum and currency returns. (2020). Hasseltoft, Henrik ; Dahlquist, Magnus. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:152-167. Full description at Econpapers \|\| Download paper
2020	Chinese Exchange Rate Policy: Lessons for Global Investors. (2020). Westermann, Frank ; Melvin, Michael . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8493. Full description at Econpapers \|\| Download paper
2020	Unemployment Fluctuations and Currency Returns in the United Kingdom: Evidence from Over One and a Half Century of Data. (2020). GUPTA, RANGAN ; Demirer, Riza ; Kotze, Kevin ; Bathia, Deven. In: Working Papers. RePEc:pre:wpaper:202083. Full description at Econpapers \|\| Download paper
2020	Business cycles and currency returns. (2020). Sarno, Lucio ; Riddiough, Steven J ; Colacito, Riccardo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:3:p:659-678. Full description at Econpapers \|\| Download paper
2020	Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios. (2020). Unal, Gazanfer ; Demirel, Mustafa. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00203-3. Full description at Econpapers \|\| Download paper
2020	Corporate governance and life cycles in emerging markets. (2020). Esqueda, Omar A ; Oconnor, Thomas. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919306968. Full description at Econpapers \|\| Download paper
2020	Short selling and corporate tax avoidance: Insights from a financial constraint view. (2020). Ni, Xiaoran ; Luo, Jinbo ; Tian, Gary Gang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x20300019. Full description at Econpapers \|\| Download paper
2020	The unintended real effects of short selling in an emerging market. (2020). Yin, Sirui ; Ni, Xiaoran. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920301036. Full description at Econpapers \|\| Download paper
2020	Deregulation of short-selling constraints and cost of bank loans: Evidence from a quasi-natural experiment. (2020). Wu, Yuhui ; Liu, Xiaoling ; Chou, Robin K ; Chen, Shenglan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:64:y:2020:i:c:s0927538x20306727. Full description at Econpapers \|\| Download paper
2020	Trade clustering and power laws in financial markets. (2020). Nirei, Makoto ; Watanabe, Tsutomu ; Stachurski, John. In: Theoretical Economics. RePEc:the:publsh:3523. Full description at Econpapers \|\| Download paper
2020	Oil price assumptions for macroeconomic policy. (2020). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:100705. Full description at Econpapers \|\| Download paper
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2020	Bank risk, competition and bank connectedness with firms: A literature review. (2020). Lapteacru, Ion ; Badarau, Cristina. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919301291. Full description at Econpapers \|\| Download paper
2020	Labor and finance: the effect of bank relationships. (2020). Oliveira, Raquel ; Norden, Lars ; Behr, Patrick. In: Working Papers Series. RePEc:bcb:wpaper:534. Full description at Econpapers \|\| Download paper
2020	Air pollution, individual investors, and stock pricing in China. (2020). Lu, Jing ; Wu, Qinin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:67:y:2020:i:c:p:267-287. Full description at Econpapers \|\| Download paper
2020	Corporate Bond Market in PolandâProspects for Development. (2020). Kubiczek, Jakub. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:12:p:306-:d:455213. Full description at Econpapers \|\| Download paper
2020	How does air pollution-induced fund-manager mood affect stock markets in China?. (2020). Lu, Jing ; Chou, Robin K ; Wu, Qinqin. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303269. Full description at Econpapers \|\| Download paper
2020	Consumer finance/household finance: the definition and scope. (2020). Tao, Chunsheng ; Xiao, Jing Jian. In: China Finance Review International. RePEc:eme:cfripp:cfri-04-2020-0032. Full description at Econpapers \|\| Download paper
2020	What drives the market for exchange-traded notes?. (2020). Rakowski, David ; Shirley, Sara. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302766. Full description at Econpapers \|\| Download paper
2020	Do natural disasters and geopolitical risks matter for cross-border country exchange-traded fund returns?. (2020). Lee, Chien-Chiang ; Chen, Mei-Ping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819303183. Full description at Econpapers \|\| Download paper
2020	Happiness sentiments and the prediction of cross-border country exchange-traded fund returns. (2020). Lee, Chien-Chiang ; Chen, Mei-Ping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301510. Full description at Econpapers \|\| Download paper
2020	Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China. (2020). Li, Steven ; Hou, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:166-188. Full description at Econpapers \|\| Download paper
2020	The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry. (2020). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302040. Full description at Econpapers \|\| Download paper
2020	Sustainable Portfolio Optimization with Higher-Order Moments of Risk. (2020). Waqar, Syed M ; Imdad, Rana Shahid ; Khan, Kanwal Iqbal ; Ghafoor, Muhammad Mudassar. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:5:p:2006-:d:328913. Full description at Econpapers \|\| Download paper
2020	Modeling asset returns under time-varying semi-nonparametric distributions. (2020). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301369. Full description at Econpapers \|\| Download paper
2020	Co-opted directors, covenant intensity, and covenant violations. (2020). Vu, Tram ; Do, Viet ; Lim, Jesslyn. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920300729. Full description at Econpapers \|\| Download paper
2020	A comparison of non-Gaussian VaR estimation and portfolio construction techniques. (2020). Lizieri, Colin ; Satchell, Stephen ; Allen, David. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:356-368. Full description at Econpapers \|\| Download paper
2020	Pitfalls in long memory research. (2020). , Chandrashekhar ; Madhavan, Vinodh ; Saha, Kunal ; McMillan, David ; Shekhar, Chandra. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:8:y:2020:i:1:p:1733280. Full description at Econpapers \|\| Download paper
2020	Seasonality in the Cross-Section of Cryptocurrency Returns. (2020). Demir, Ender ; Long, Huaigang ; Vasenin, Mikhail ; Szczygielski, Jan Jakub ; Zaremba, Adam. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s154461232030235x. Full description at Econpapers \|\| Download paper
2020	Eastern Halloween effect: A stochastic dominance approach. (2020). Li, YA ; Ali, Y ; Chow, Sheung Chi ; Cheng, Wui Wing ; Chui, David. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:68:y:2020:i:c:s1042443120301256. Full description at Econpapers \|\| Download paper
2020	The devil in the style: Mutual fund style drift, performance and common risk factors. (2020). Sha, Yezhou. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:264-273. Full description at Econpapers \|\| Download paper
2020	Can foreign equity funds outperform their benchmarks? New evidence from fund-holding data for China. (2020). Yan, Cheng ; Wang, Guipu ; Zhang, Jinhua. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:11-20. Full description at Econpapers \|\| Download paper
2020	The macroeconomic drivers in hedge fund beta management. (2020). Platania, Federico ; Lambert, Marie. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:65-80. Full description at Econpapers \|\| Download paper
2020	Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies. (2020). Reule, Raphael ; Hardle, Wolfgang Karl ; Raphael, ; Petukhina, Alla A. In: Papers. RePEc:arx:papers:2009.04200. Full description at Econpapers \|\| Download paper
2020	Editorial: Understanding Cryptocurrencies. (2020). Reule, Raphael ; Raphael, ; Harvey, Campbell R ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2007.14702. Full description at Econpapers \|\| Download paper
2020	Deep learning-based cryptocurrency sentiment construction. (2020). Nasekin, Sergey ; Chen, Cathy Yi-Hsuan. In: Digital Finance. RePEc:spr:digfin:v:2:y:2020:i:1:d:10.1007_s42521-020-00018-y. Full description at Econpapers \|\| Download paper
2020	Crypto assets: the role of ICO tokens within a well-diversified portfolio. (2020). Adhami, Saman ; Guegan, Dominique. In: Economia e Politica Industriale: Journal of Industrial and Business Economics. RePEc:spr:epolin:v:47:y:2020:i:2:d:10.1007_s40812-019-00141-x. Full description at Econpapers \|\| Download paper
2020	Should investors include Bitcoin in their portfolios? A portfolio theory approach. (2020). Urquhart, Andrew ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:52:y:2020:i:4:s0890838919300605. Full description at Econpapers \|\| Download paper
2020	The prevalence of price overreactions in the cryptocurrency market. (2020). Czudaj, Robert ; Borgards, Oliver. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:65:y:2020:i:c:s1042443120300780. Full description at Econpapers \|\| Download paper
2020	Economic fundamentals or investor perceptions? The role of uncertainty in predicting long-term cryptocurrency volatility. (2020). Su, Zhi ; Fang, Tong ; Yin, Libo. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920302106. Full description at Econpapers \|\| Download paper
2020	Weekly dynamic conditional correlations among cryptocurrencies and traditional assets. (2020). Fernandez Bariviera, Aurelio ; Savva, Christos S ; Aslanidis, Nektarios. In: Working Papers. RePEc:urv:wpaper:2072/417680. Full description at Econpapers \|\| Download paper
2020	CRYPTOCURRENCIES BETWEEN UTOPIA AND REALITY. (2020). Socol, Adela. In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2020:v:5:p:200-207. Full description at Econpapers \|\| Download paper
2020	Exploring the dependencies among main cryptocurrency log-returns: A hidden Markov model. (2020). Bartolucci, Francesco ; Ametrano, Ferdinando ; Forte, Gianfranco ; Pennoni, Fulvia. In: MPRA Paper. RePEc:pra:mprapa:106150. Full description at Econpapers \|\| Download paper
2020	Blockchain mechanism and distributional characteristics of cryptos. (2020). Khowaja, Kainat ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan ; Lin, Min-Bin. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2020027. Full description at Econpapers \|\| Download paper
2020	Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market. (2020). Gil-Alana, Luis ; Martin-Valmayor, Miguel ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8171. Full description at Econpapers \|\| Download paper
2020	Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing. (2020). Wang, Weining ; Hou, Ai Jun ; Christiansen, Charlotte ; Asgharian, Hossein. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2020020. Full description at Econpapers \|\| Download paper
2020	Estimation of conditional asset pricing models with integrated variables in the beta specification. (2020). Kourogenis, Nikolaos ; Caporale, Guglielmo Maria ; Pittis, Nikitas ; Antypas, Antonios. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531918303490. Full description at Econpapers \|\| Download paper
2020	Raising short-term debt for long-term investment and stock price crash risk: Evidence from China. (2020). Yao, Shouyu ; Wang, Chunfeng ; Fang, Zhenming ; Chiao, Chaoshin ; Cheng, Feiyang. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319300972. Full description at Econpapers \|\| Download paper
2020	Follow the smart money: Factor forecasting in China. (2020). Qiao, Xiao ; Chi, Yeguang ; Chen, Qinhua. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x1930753x. Full description at Econpapers \|\| Download paper
2020	Multifractal analysis of Indian public sector enterprises. (2020). Manimaran, P ; Krishna, Gopal M ; Charutha, S. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:557:y:2020:i:c:s0378437120304568. Full description at Econpapers \|\| Download paper
2020	Asymmetric information and daily stock prices in Brazil. (2020). Ichimura, Denis ; Videira, Raphael ; Ripamonti, Alexandre. In: Estudios Gerenciales. RePEc:col:000129:019082. Full description at Econpapers \|\| Download paper
2020	Resiliency: Cross-venue dynamics with Hawkes processes. (2020). Pelizzon, Loriana ; Vozian, Katia ; Sagade, Satchit. In: SAFE Working Paper Series. RePEc:zbw:safewp:291. Full description at Econpapers \|\| Download paper
2020	The paradoxical effects of market fragmentation on adverse selection risk and market efficiency. (2020). Mare, Davide Salvatore ; Sun, Yuxin ; Ibikunle, Gbenga. In: The European Journal of Finance. RePEc:taf:eurjfi:v:26:y:2020:i:14:p:1439-1461. Full description at Econpapers \|\| Download paper
2020	Why does stock-market investor sentiment influence corporate investment?. (2020). Du, Ding ; Hu, OU. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:4:d:10.1007_s11156-019-00823-6. Full description at Econpapers \|\| Download paper
2020	Stock market reactions to domestic sentiment: Panel CS-ARDL evidence. (2020). , Walid. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919303873. Full description at Econpapers \|\| Download paper
2020	Mutual fund selection for realistically short samples. (2020). Christiansen, Charlotte ; Nielsen, Ole L ; Gronborg, Niels S. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:218-240. Full description at Econpapers \|\| Download paper
2020	Incorporating timeÃ¢â¬Âvarying jump intensities in the meanÃ¢â¬Âvariance portfolio decisions. (2020). Wu, Chongfeng ; Zhou, Chunyang ; Xu, Weidong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:460-478. Full description at Econpapers \|\| Download paper
2020	Bond Lending and the Law of One Price in Chinas Treasury Markets. (2020). Wang, Yabin ; Magnani, Jacopo. In: MPRA Paper. RePEc:pra:mprapa:105027. Full description at Econpapers \|\| Download paper
2020	A nonparametric approach to portfolio shrinkage. (2020). Han, Chulwoo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:120:y:2020:i:c:s0378426620302156. Full description at Econpapers \|\| Download paper
2020	Governance by depositors, bank runs and ambiguity aversion. (2020). Guillemin, FranÃÂ§ois. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919304878. Full description at Econpapers \|\| Download paper
2020	Volatility dynamics of crypto-currenciesÃ¢â¬â¢ returns: Evidence from asymmetric and long memory GARCH models. (2020). Fakhfekh, Mohamed ; Jeribi, Ahmed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s027553191930056x. Full description at Econpapers \|\| Download paper
2020	Technical trading rules in the cryptocurrency market. (2020). Sapkota, Niranjan ; Ahmed, Shaker ; Grobys, Klaus. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612319308852. Full description at Econpapers \|\| Download paper
2020	Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches. (2020). Tiwari, Aviral ; Raheem, Ibrahim ; Trabelsi, Nader ; Alqahtani, Faisal. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304438. Full description at Econpapers \|\| Download paper
2020	Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets. (2020). Pedio, Manuela ; Guidolin, Massimo ; Bianchi, Daniele. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20143. Full description at Econpapers \|\| Download paper
2020	Exploring the short-term momentum effect in the cryptocurrency market. (2020). Nguyen, HA ; Parikh, Nirav Y ; Liu, Bin. In: Evolutionary and Institutional Economics Review. RePEc:spr:eaiere:v:17:y:2020:i:2:d:10.1007_s40844-020-00176-z. Full description at Econpapers \|\| Download paper
2020	Asymmetric effects of monetary policy easing and tightening. (2020). Gambetti, Luca ; Forni, Mario ; Oliveras, Ester ; Pianese, Fabio ; Ramos, Simona. In: Economics Working Papers. RePEc:upf:upfgen:1742. Full description at Econpapers \|\| Download paper
2020	What drives BitcoinÃ¢â¬â¢s price crash risk?. (2020). Urquhart, Andrew ; Sakkas, Athanasios ; Papakyriakou, Panayiotis ; Kalyvas, Antonios. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519303908. Full description at Econpapers \|\| Download paper
2020	Tail Risk Measurement In Crypto-Asset Markets. (2020). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Mojtahedi, Fatemeh. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0186. Full description at Econpapers \|\| Download paper
2020	Re-evaluating cryptocurrencies contribution to portfolio diversification -- A portfolio analysis with special focus on German investors. (2020). Hoffmann, Ingo ; Schmitz, Tim. In: Papers. RePEc:arx:papers:2006.06237. Full description at Econpapers \|\| Download paper
2020	Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Kang, Woo-Young. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8324. Full description at Econpapers \|\| Download paper
2020	The relationship between the economic policy uncertainty and the cryptocurrency market. (2020). Yen, Kuang-Chieh ; Cheng, Hui-Pei. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319309596. Full description at Econpapers \|\| Download paper
2020	Profitability of technical trading rules among cryptocurrencies with privacy function. (2020). Grobys, Klaus ; Ahmed, Shaker ; Sapkota, Niranjan. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612320300829. Full description at Econpapers \|\| Download paper
2020	Intelligent forecasting with machine learning trading systems in chaotic intraday Bitcoin market. (2020). Bekiros, Stelios ; Lahmiri, Salim. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:133:y:2020:i:c:s0960077920300400. Full description at Econpapers \|\| Download paper
2020	Is Downside Risk Priced In Cryptocurrency Market?. (2020). Dobrynskaya, Victoria. In: HSE Working papers. RePEc:hig:wpaper:79/fe/2020. Full description at Econpapers \|\| Download paper
2020	Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach. (2020). Yao, Kai ; Chevapatrakul, Thanaset ; Nguyen, Linh Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:333-355. Full description at Econpapers \|\| Download paper
2020	Regulation spillovers across cryptocurrency markets. (2020). Borri, Nicola ; Shakhnov, Kirill . In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612319307470. Full description at Econpapers \|\| Download paper
2020	Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis. (2020). Zhu, Huiming ; Qiao, Xingzhi ; Hau, Liya. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s105752192030185x. Full description at Econpapers \|\| Download paper
2020	A novel two-stage approach for cryptocurrency analysis. (2020). Sun, Yuying ; Yang, Boyu ; Wang, Shouyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302118. Full description at Econpapers \|\| Download paper
2020	Portfolio optimization in the era of digital financialization using cryptocurrencies. (2020). Wang, Zi Long ; Liu, Miao ; Ahmad, Ferhana. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:161:y:2020:i:c:s004016252031091x. Full description at Econpapers \|\| Download paper
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2020	Joint analysis of semicontinuous data with latent variables. (2020). Feng, Xiangnan ; Wang, Xiaoqing ; Song, Xinyuan. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:151:y:2020:i:c:s0167947320300967. Full description at Econpapers \|\| Download paper
2020	The Investment Performance of Ethical Equity Funds in Malaysia. (2020). Rahman, Shafiqur ; Bhatti, Ishaq M ; Mansor, Fadillah ; Do, Hung Quang. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:219-:d:416594. Full description at Econpapers \|\| Download paper
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2020	Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin. (2020). Å iraÅovÃ¡, MÃÂ¡ria ; MolnÃÂ¡r, Peter ; LyÃÂ³csa, Å tefan ; Iraova, Maria ; Plihal, Toma ; Molnar, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301482. Full description at Econpapers \|\| Download paper
2020	Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models. (2020). Ma, Feng ; Mei, Dexiang ; Wang, LU ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304219. Full description at Econpapers \|\| Download paper
2020	Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets. (2020). Smyth, Russell ; Bissoondoyal-Bheenick, Emawtee ; Brooks, Robert. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300281. Full description at Econpapers \|\| Download paper
2020	On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks. (2020). Zhang, Dayong ; Klein, Tony ; Ji, Qiang ; Luo, Jiawen ; Todorova, Neda. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301213. Full description at Econpapers \|\| Download paper
2020	The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic. (2020). Wang, Jiqian ; Ma, Feng ; Liang, Chao. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612320308515. Full description at Econpapers \|\| Download paper
2020	Fisher Effect: An Empirical Re-examination in Case of India. (2020). Kamaiah, Bandi ; Bhat, Sajad Ahmad ; Danish, Shadab ; Adil, Masudul Hasan. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00590. Full description at Econpapers \|\| Download paper
2020	Fundamental strength strategy: The role of investor sentiment versus limits to arbitrage. (2020). Sun, Licheng ; Zhu, Zhaobo ; Yung, Kenneth. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521919304284. Full description at Econpapers \|\| Download paper
2020	Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting. (2020). Valls Pereira, Pedro ; Hallin, Marc ; Trucios, Carlos Cesar ; Hotta, Luiz Koodi. In: Textos para discussÃÂ£o. RePEc:fgv:eesptd:521. Full description at Econpapers \|\| Download paper
2020	Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983. Full description at Econpapers \|\| Download paper
2020	Jump probability using volatility periodicity filters in US Dollar/Euro exchange rates. (2020). Yi, Chae-Deug. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300814. Full description at Econpapers \|\| Download paper
2020	Real effects of lending-based crowdfunding platforms on the SMEs. (2020). Mahdavi Ardekani, Aref ; Havrylchk, Olena. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:20024. Full description at Econpapers \|\| Download paper
2020	Real effects of lending-based crowdfunding platforms on the SMEs. (2020). , Olenahavrylchyk ; Mahdavi-Ardekani, Aref ; Havrylchyk, Olena. In: UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-02994903. Full description at Econpapers \|\| Download paper
2020	Real effects of lending-based crowdfunding platforms on the SMEs. (2020). , Olenahavrylchyk ; Mahdavi-Ardekani, Aref ; Havrylchyk, Olena. In: Post-Print. RePEc:hal:journl:halshs-02994903. Full description at Econpapers \|\| Download paper
2020	Is there an employee-based gender gap in informal financial markets? International evidence. (2020). An, Jiafu. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301814. Full description at Econpapers \|\| Download paper
2020	Redistribution beyond equality and status quo - heterogeneous societies in the lab. (2021). Hausfeld, Jan ; Renerte, Baiba ; Twardawski, Torsten . In: TWI Research Paper Series. RePEc:twi:respas:0121. Full description at Econpapers \|\| Download paper
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2020	Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models. (2020). Leonardos, Stefanos ; Koki, Constandina ; Piliouras, Georgios. In: Papers. RePEc:arx:papers:2011.03741. Full description at Econpapers \|\| Download paper
2020	Comparison of Forex Market Forecasting Tools Based on Evolino Ensemble and Technical Analysis Indicators. (2020). Stankeviien, Jelena ; Maknickien, Nijol ; Maknickas, Algirdas. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2020:i:3:p:134-148. Full description at Econpapers \|\| Download paper
2020	Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation. (2020). Lapshin, Victor ; Makushkin, Mikhail. In: Applied Econometrics. RePEc:ris:apltrx:0386. Full description at Econpapers \|\| Download paper
2020	How safe are european safe bonds? An analysis from the perspective of modern credit risk models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620302016. Full description at Econpapers \|\| Download paper
2020	Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598. Full description at Econpapers \|\| Download paper
2020	Drivers of Bank Default Risk: Bank Business Models, the Sovereign and Monetary Policy. (2020). Vander Vennet, Rudi ; Soenen, Nicolas. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:20/997. Full description at Econpapers \|\| Download paper
2020	Dominance of hybrid contratum strategies over momentum and contrarian strategies: half a century of evidence. (2020). Otchere, Isaac ; Abukari, Kobana. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:4:d:10.1007_s11408-020-00363-3. Full description at Econpapers \|\| Download paper
2020	Forecasting Oil Price by Hierarchical Shrinkage in Dynamic Parameter Models. (2020). Wei, YU ; Liu, Yuntong. In: Discrete Dynamics in Nature and Society. RePEc:hin:jnddns:6640180. Full description at Econpapers \|\| Download paper
2020	Prioritizing driving factors of household carbon emissions: An application of the LASSO model with survey data. (2020). Shi, Xunpeng ; Zhang, Hongwu ; Se, Tsun ; Wang, Keying. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302826. Full description at Econpapers \|\| Download paper
2020	Asset mispricing in peer-to-peer loan secondary markets. (2020). Talavera, Oleksandr ; Pham, Tho ; Caglayan, Mustafa ; Xiong, Xiong. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920302133. Full description at Econpapers \|\| Download paper
2020	Liquidity, implied volatility and tail risk: A comparison of liquidity measures. (2020). Righi, Marcelo Brutti ; Ramos, Henrique Pinto. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301071. Full description at Econpapers \|\| Download paper
2020	Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root. (2020). Tu, Yundong ; Lin, Yingqian. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:52-65. Full description at Econpapers \|\| Download paper
2020	A Review of the Post-Earnings-Announcement Drift. (2020). Fink, Josef. In: Working Paper Series, Social and Economic Sciences. RePEc:grz:wpsses:2020-04. Full description at Econpapers \|\| Download paper
2020	Robust Inference in the Capital Asset Pricing Model Using the Multivariate t -distribution. (2020). Molina, Alonso ; Curci, Roberto ; Cademartori, David ; Galea, Manuel. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:123-:d:370994. Full description at Econpapers \|\| Download paper
2020	Time-varying beta in functional factor models: Evidence from China. (2020). Horvath, Lajos ; Liu, Zhenya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301753. Full description at Econpapers \|\| Download paper
2020	How does economic policy uncertainty affect the bitcoin market?. (2020). Li, Xiao ; Wang, Pengfei ; Zhang, Wei ; Shen, Dehua. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919308037. Full description at Econpapers \|\| Download paper
2020	Understanding risk of bubbles in cryptocurrencies. (2020). MolnÃÂ¡r, Peter ; Molnar, P ; Luivjanska, K ; Landsnes, Ch J ; Enoksen, F A. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:176:y:2020:i:c:p:129-144. Full description at Econpapers \|\| Download paper
2020	Forecasting Volatility of Energy Commodities: Comparison of GARCH Models with Support Vector Regression. (2020). Fiszeder, Piotr ; Faldzinski, Marcin ; Orzeszko, Witold ; Fadziski, Marcin. In: Energies. RePEc:gam:jeners:v:14:y:2020:i:1:p:6-:d:466264. Full description at Econpapers \|\| Download paper
2020	Catching Gazelles with a Lasso: Big data techniques for the prediction of high-growth firms. (2020). Srhoj, Stjepan ; Coad, Alex. In: Small Business Economics. RePEc:kap:sbusec:v:55:y:2020:i:3:d:10.1007_s11187-019-00203-3. Full description at Econpapers \|\| Download paper
2020	Reliable factors of Capital structure: Stability selection approach. (2020). Movaghari, Hadi ; Sohrabi, Narges. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:296-310. Full description at Econpapers \|\| Download paper
2020	A multi-granularity heterogeneous combination approach to crude oil price forecasting. (2020). Zhou, Hao ; Wang, Jue ; Li, Xiang ; Hong, Tao. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320301304. Full description at Econpapers \|\| Download paper
2020	Using a Text Mining Approach to Hear Voices of Customers from Social Media toward the Fast-Food Restaurant Industry. (2020). Chen, Long-Sheng ; Riantama, Dalianus. In: Sustainability. RePEc:gam:jsusta:v:13:y:2020:i:1:p:268-:d:470496. Full description at Econpapers \|\| Download paper
2020	Are Growth Led Financing Decisions Causing Insolvency in Listed Firms of Pakistan?. (2020). Hussain, Rana Yassir. In: Zagreb International Review of Economics and Business. RePEc:zag:zirebs:v:23:y:2020:i:2:p:89-115. Full description at Econpapers \|\| Download paper
2020	A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2020

Year	Citing document
2020	The Uncertain Shape of Grey Swans: Extreme Value Theory with Uncertain Threshold. (2020). Poorvasei, Hossein ; Arian, Hamidreza ; Zamani, Shiva ; Sharifi, Azin. In: Papers. RePEc:arx:papers:2011.06693. Full description at Econpapers \|\| Download paper
2020	Trading on Long-term Information. (2020). Garriott, Corey ; Riordan, Ryan. In: Staff Working Papers. RePEc:bca:bocawp:20-20. Full description at Econpapers \|\| Download paper
2020	National culture and (dis)trust in banks: CrossÃ¢â¬Âcountry evidence. (2020). Ahunov, Muzaffarjon ; van Hove, Leo. In: Economic Notes. RePEc:bla:ecnote:v:49:y:2020:i:3:n:e12165. Full description at Econpapers \|\| Download paper
2020	Industry equi-correlation: A powerful predictor of stock returns. (2020). Wu, Wenfeng ; Pan, Zhiyuan ; Wang, Yudong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:1-24. Full description at Econpapers \|\| Download paper
2020	Do political connections shield from negative shocks? Evidence from rating changes in advanced emerging economies. (2020). Winkler-Drews, Tadeusz ; Podgorski, Baej ; Kozowski, Ukasz ; Jackowicz, Krzysztof. In: Journal of Financial Stability. RePEc:eee:finsta:v:51:y:2020:i:c:s1572308920300851. Full description at Econpapers \|\| Download paper
2020	Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns. (2020). Maydybura, Alina ; Umutlu, Mehmet ; Zaremba, Adam. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:121:y:2020:i:c:s0378426620302284. Full description at Econpapers \|\| Download paper
2020	The dynamics of energy prices and the Norwegian economy: A common trends and common cycles analysis. (2020). Basnet, Hem C ; Vatsa, Puneet. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720302920. Full description at Econpapers \|\| Download paper
2020	Stock market reactions to domestic sentiment: Panel CS-ARDL evidence. (2020). , Walid. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919303873. Full description at Econpapers \|\| Download paper
2020	Professional Ethics in Accounting as Assessed by Managers of Economic Units. (2020). Voss, Grazyna ; Huterski, Robert ; Huterska, Agnieszka. In: European Research Studies Journal. RePEc:ers:journl:v:xxiii:y:2020:i:special1:p:720-731. Full description at Econpapers \|\| Download paper
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2020	. Full description at Econpapers \|\| Download paper
2020	Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market. (2020). Plastun, Alex ; GUPTA, RANGAN ; Sibande, Xolani ; Wohar, Mark E. In: Working Papers. RePEc:pre:wpaper:202016. Full description at Econpapers \|\| Download paper
2020	Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic. (2020). Ali, Shoaib ; Yousaf, Imran. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00213-1. Full description at Econpapers \|\| Download paper
2020	Increasing systemic risk during the Covid-19 pandemic: A cross-quantilogram analysis of the banking sector. (2020). VÃÆÃÂ½rost, TomÃÂ¡ÃÂ¡ ; Baumohl, Eduard ; Vrost, Toma ; Hussain, Syed Jawad ; Hoang, Thi-Hong-Van, ; Bouri, Elie. In: EconStor Preprints. RePEc:zbw:esprep:222580. Full description at Econpapers \|\| Download paper

Recent citations received in 2019

Year	Citing document
2019	A Robust Transferable Deep Learning Framework for Cross-sectional Investment Strategy. (2019). Komiyama, Junpei ; Abe, Masaya ; Nakagawa, Kei. In: Papers. RePEc:arx:papers:1910.01491. Full description at Econpapers \|\| Download paper
2019	Systemic Risk: Fire-Walling Financial Systems Using Network-Based Approaches. (2019). Bertschinger, Nils ; Sasidevan, V. In: Papers. RePEc:arx:papers:1912.05273. Full description at Econpapers \|\| Download paper
2019	Liquidity and tail-risk interdependencies in the euro area sovereign bond market. (2019). Clancy, Daragh ; Filiani, Pasquale ; Dunne, Peter G. In: Research Technical Papers. RePEc:cbi:wpaper:11/rt/19. Full description at Econpapers \|\| Download paper
2019	Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios-Maza, Carlos Cesar. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066. Full description at Econpapers \|\| Download paper
2019	On the robustness of the general dynamic factor model with inÃ¯Â¬Ânite-dimensional space: identiÃ¯Â¬Âcation, estimation, and forecasting. (2019). Hallin, Marc ; Valls, Pedro L ; Hotta, Luis K ; Trucios-Maza, Carlos Cesar. In: Working Papers ECARES. RePEc:eca:wpaper:2013/298201. Full description at Econpapers \|\| Download paper
2019	Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches. (2019). Ma, Feng ; Zhang, Yaojie ; Wei, YU. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1109-1120. Full description at Econpapers \|\| Download paper
2019	Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets. (2019). Ma, Feng ; Chen, Yixiang ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:52-62. Full description at Econpapers \|\| Download paper
2019	Geopolitical risk and oil volatility: A new insight. (2019). Liu, Jing ; Zhang, Yaojie ; Tang, Yingkai ; Ma, Feng. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303433. Full description at Econpapers \|\| Download paper
2019	Analyzing the economic sources of oil price volatility: An out-of-sample perspective. (2019). Liu, LI ; Meng, Fanyi . In: Energy. RePEc:eee:energy:v:177:y:2019:i:c:p:476-486. Full description at Econpapers \|\| Download paper
2019	Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks. (2019). Wang, Yudong ; Meng, Fanyi ; Geng, Qianjie. In: Energy. RePEc:eee:energy:v:181:y:2019:i:c:p:815-826. Full description at Econpapers \|\| Download paper
2019	Measuring the connectedness of European electricity markets using the network topology of variance decompositions. (2019). Fang, Libing ; Peng, Xuerong ; Yang, YE ; Xiao, Binqing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119313172. Full description at Econpapers \|\| Download paper
2019	Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios, Carlos. In: Textos para discussÃÂ£o. RePEc:fgv:eesptd:505. Full description at Econpapers \|\| Download paper
2019	Positive Liquidity Spillovers from Sovereign Bond-Backed Securities. (2019). Dunne, Peter. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:58-:d:221149. Full description at Econpapers \|\| Download paper
2019	A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings. (2019). Gherghina, ÃÅ¾tefan ; PANAIT, Iulian ; Armeanu, Daniel Tefan ; Badea, Leonardo . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:5:p:1325-:d:210534. Full description at Econpapers \|\| Download paper
2019	Modeling Investor Behavior Using Machine Learning: Mean-Reversion and Momentum Trading Strategies. (2019). Tabak, Benjamin ; Silva, Thiago ; Ferreira, Idamar Magalhes. In: Complexity. RePEc:hin:complx:4325125. Full description at Econpapers \|\| Download paper
2019	Common Risk Factors in Cryptocurrency. (2019). Wu, XI ; Tsyvinski, Aleh ; Liu, Yukun. In: NBER Working Papers. RePEc:nbr:nberwo:25882. Full description at Econpapers \|\| Download paper
2019	Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets. (2019). He, Zhiguo ; Chen, Hui ; Xie, Rengming ; Liu, Jinyu . In: NBER Working Papers. RePEc:nbr:nberwo:26520. Full description at Econpapers \|\| Download paper
2019	Liquidity and tail-risk interdependencies in the euro area sovereign bond market. (2019). Filiani, Pasquale ; Dunne, Peter G ; Clancy, Daragh. In: Working Papers. RePEc:stm:wpaper:41. Full description at Econpapers \|\| Download paper
2019	LÃÂ©vy processes on the cryptocurrency market. (2019). Ziba, Damian. In: Working Papers. RePEc:war:wpaper:2019-15. Full description at Econpapers \|\| Download paper
2019	Phenotypic convergence of cryptocurrencies. (2019). Yatracos, Yannis ; Kolossiatis, Michalis ; Hardle, Wolfgang Karl ; Wesselhofft, Niels ; Pele, Daniel Traian. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2019018. Full description at Econpapers \|\| Download paper

Recent citations received in 2018

Year	Citing document
2018	Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds Alphas?. (2018). Guidolin, Massimo ; Pedio, Manuela ; Berglund, Alexander. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1884. Full description at Econpapers \|\| Download paper
2018	The equity risk premium and the low frequency of the term spread. (2018). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_007. Full description at Econpapers \|\| Download paper
2018	Quantitative easing and sovereign bond yields: a global perspective. (2018). Migiakis, Petros ; Malliaropulos, Dimitrios. In: Working Papers. RePEc:bog:wpaper:253. Full description at Econpapers \|\| Download paper
2018	Trade Clustering and Power Laws in Financial Markets. (2018). Nirei, Makoto ; Watanabe, Tsutomu ; Stachurski, John. In: CARF F-Series. RePEc:cfi:fseres:cf450. Full description at Econpapers \|\| Download paper
2018	Volatility Risk Pass-Through. (2018). Colacito, Riccardo ; Shaliastovich, Ivan ; Liu, Yang ; Croce, Mariano Massimiliano. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13325. Full description at Econpapers \|\| Download paper
2018	Oil prices and news-based uncertainty: Novel evidence. (2018). Yin, Libo ; Su, Zhi ; Lu, Man. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:331-340. Full description at Econpapers \|\| Download paper
2018	Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409. Full description at Econpapers \|\| Download paper
2018	Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets. (2018). Mishra, Anil ; Ahmad, Wasim ; Daly, Kevin. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:117-133. Full description at Econpapers \|\| Download paper
2018	What makes the bonding stick? A natural experiment testing the legal bonding hypothesis. (2018). Licht, Amir N ; Siegel, Jordan I ; Poliquin, Christopher . In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:2:p:329-356. Full description at Econpapers \|\| Download paper
2018	Equity market momentum: A synthesis of the literature and suggestions for future work. (2018). Subrahmanyam, Avanidhar. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:51:y:2018:i:c:p:291-296. Full description at Econpapers \|\| Download paper
2018	Volatility forecasting: Global economic policy uncertainty and regime switching. (2018). Yu, Miao ; Song, Jinguo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:511:y:2018:i:c:p:316-323. Full description at Econpapers \|\| Download paper
2018	Simple Market Timing with Moving Averages. (2018). McAleer, Michael ; Laurila, H ; Ilomaki, J. In: Econometric Institute Research Papers. RePEc:ems:eureir:107290. Full description at Econpapers \|\| Download paper
2018	Market Timing with Moving Averages. (2018). McAleer, Michael ; Laurila, H ; Ilomaki, J. In: Econometric Institute Research Papers. RePEc:ems:eureir:110015. Full description at Econpapers \|\| Download paper
2018	Predicting Currency Crises: A Novel Approach Combining Random Forests and Wavelet Transform. (2018). Hamori, Shigeyuki ; Kinkyo, Takuji ; Xu, Lei. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:86-:d:187697. Full description at Econpapers \|\| Download paper
2018	Market Timing with Moving Averages. (2018). McAleer, Michael ; Laurila, Hannu ; Ilomaki, Jukka. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:7:p:2125-:d:153797. Full description at Econpapers \|\| Download paper
2018	Volatility Risk Pass-through. (2018). Croce, Mariano ; Shaliastovich, Ivan ; Liu, Yang ; Colacito, Riccardo. In: NBER Working Papers. RePEc:nbr:nberwo:25276. Full description at Econpapers \|\| Download paper
2018	The Role of Monetary Policy Uncertainty in Predicting Equity Market Volatility of the United Kingdom: Evidence from over 150 Years of Data. (2018). Wohar, Mark ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201851. Full description at Econpapers \|\| Download paper
2018	On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics. (2018). GUPTA, RANGAN ; Gabauer, David ; Subramaniam, Sowmya. In: Working Papers. RePEc:pre:wpaper:201864. Full description at Econpapers \|\| Download paper
2018	Asymmetric Information, Predictability and Momentum in the Corporate Bond Market. (2018). Galvani, Valentina ; Li, Lifang. In: Working Papers. RePEc:ris:albaec:2018_017. Full description at Econpapers \|\| Download paper
2018	Volatility of ruble exchange rate: Oil and sanctions. (2018). Peresetsky, Anatoly ; Aganin, Artem. In: Applied Econometrics. RePEc:ris:apltrx:0353. Full description at Econpapers \|\| Download paper
2018	Price-Based Investment Strategies. (2018). Shemer, Jacob Koby ; Zaremba, Adam. In: Springer Books. RePEc:spr:sprbok:978-3-319-91530-2. Full description at Econpapers \|\| Download paper
2018	Regulating the doom loop. (2018). Langfield, Sam ; Alogoskoufis, Spyros. In: ESRB Working Paper Series. RePEc:srk:srkwps:201874. Full description at Econpapers \|\| Download paper
2018	Simple Market Timing with Moving Averages. (2018). McAleer, Michael ; Laurila, Hannu ; Ilomaki, Jukka. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180048. Full description at Econpapers \|\| Download paper
2018	Sovereign to Corporate Risk Spillovers. (2018). Breckenfelder, Johannes ; Augustin, Patrick ; Schnitzler, Jan ; Boustanifar, Hamid. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:50:y:2018:i:5:p:857-891. Full description at Econpapers \|\| Download paper
2018	How Sensitive are Tail-related Risk Measures in a Contamination Neighbourhood?. (2018). Ling, Chengxiu ; Hardle, Wolfgang Karl. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2018010. Full description at Econpapers \|\| Download paper
2018	Deep learning-based cryptocurrency sentiment construction. (2018). Chen, Cathy Yi-Hsuan ; Nasekin, Sergey. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2018066. Full description at Econpapers \|\| Download paper

Recent citations received in 2017

Year	Citing document
2017	Robust estimation of cost efficiency in non-parametric frontier models. (2017). Golovan, Sergei ; Simm, Jaak ; Besstremyannaya, Galina. In: Working Papers. RePEc:abo:neswpt:w0244. Full description at Econpapers \|\| Download paper
2017	Measuring Price Discovery between Nearby and Deferred Contracts in Storable and Non-Storable Commodity Futures Markets. (2017). serra, teresa ; Garcia, Philip ; Mallory, Mindy ; Hu, Zhepeng. In: Papers. RePEc:arx:papers:1711.03506. Full description at Econpapers \|\| Download paper
2017	Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?. (2017). Guidolin, Massimo ; Caloiero, Elvira. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1763. Full description at Econpapers \|\| Download paper
2017	Successive shortÃ¢â¬Âselling ban lifts and gradual price efficiency: evidence from China. (2017). Xiong, Xiong ; Feng, XU ; Gao, YA. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:5:p:1557-1604. Full description at Econpapers \|\| Download paper
2017	MARKETING STRATEGY AFTER MEETING WALL STREET: THE ROLE OF INFORMATION ASYMMETRY. (2017). Ma, Minghui ; Huang, Jian ; Dewally, Michael. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:3:p:369-400. Full description at Econpapers \|\| Download paper
2017	Forecasting Stock Returns: A Predictor-Constrained Approach. (2017). Wang, Yudong ; Pettenuzzo, Davide. In: Working Papers. RePEc:brd:wpaper:116. Full description at Econpapers \|\| Download paper
2017	A multi-factor predictive model for oil-US stock nexus with persistence, endogeneity and conditional heteroscedasticity effects. (2017). Salisu, Afees ; Oloko, Tirimisiyu ; Swaray, Raymond. In: Working Papers. RePEc:cui:wpaper:0024. Full description at Econpapers \|\| Download paper
2017	Generalized financial ratios to predict the equity premium. (2017). Algaba, Andres ; Boudt, Kris. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:244-257. Full description at Econpapers \|\| Download paper
2017	Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks. (2017). Xyngis, Georgios. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:43-65. Full description at Econpapers \|\| Download paper
2017	Do institutional investors reinforce or reduce agency problems? Earnings management and the post-IPO performance. (2017). Lo, Huai-Chun ; Kweh, Qian Long ; Wu, Ruei-Shian . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:62-76. Full description at Econpapers \|\| Download paper
2017	Does the removal of the IPO lockup matter in IPO pricing?. (2017). Liu, Jinzhao ; Chan, Kam C ; Gao, Shenghao. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:246-252. Full description at Econpapers \|\| Download paper
2017	Can economic policy uncertainty and investors sentiment predict commodities returns and volatility?. (2017). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Balcilar, Mehmet ; Hussain, Syed Jawad ; Raza, Naveed ; Ali, Sajid. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:208-218. Full description at Econpapers \|\| Download paper
2017	Jump risk premia across major international equity markets. (2017). AROURI, Mohamed ; Pukthuanthong, Kuntara ; Msaddek, Oussama. In: Post-Print. RePEc:hal:journl:hal-02083723. Full description at Econpapers \|\| Download paper
2017	The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry. In: Working Papers. RePEc:otg:wpaper:1710. Full description at Econpapers \|\| Download paper
2017	Fund Performance and Equity Lending: Why Lend What You Can Sell?. (2017). Ferreira, Miguel ; Prado, Melissa Porras ; Evans, Richard . In: Review of Finance. RePEc:oup:revfin:v:21:y:2017:i:3:p:1093-1121.. Full description at Econpapers \|\| Download paper
2017	Structural change in non-stationary AR(1) models. (2017). CHONG, Terence Tai Leung ; Liang, Yanling ; Zhang, Danna ; Pang, Tianxiao . In: MPRA Paper. RePEc:pra:mprapa:80510. Full description at Econpapers \|\| Download paper
2017	The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry. In: MPRA Paper. RePEc:pra:mprapa:81638. Full description at Econpapers \|\| Download paper
2017	The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility. (2017). Wohar, Mark ; Suleman, Tahir ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201770. Full description at Econpapers \|\| Download paper
2017	Testing time series for the bubbles (with application to Russian data). (2017). Skrobotov, Anton ; Sinelnikova-Muryleva, Elena. In: Applied Econometrics. RePEc:ris:apltrx:0319. Full description at Econpapers \|\| Download paper
2017	Tests for an end-of-sample bubble in financial time series. (2017). Taylor, Robert ; Leybourne, Stephen ; Harvey, David ; Astill, Sam. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:6-9:p:651-666. Full description at Econpapers \|\| Download paper
2017	Quantile relationships between standard, diffusion and jump betas across Japanese banks. (2017). Dungey, Mardi ; Jeyasreedharan, Nagaratnam ; Chowdhury, Biplob. In: Working Papers. RePEc:tas:wpaper:23638. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	65	448
2	International Review of Financial Analysis / Elsevier	49	400
3	Journal of Empirical Finance / Elsevier	69	361
4	International Review of Economics & Finance / Elsevier	47	304
5	The North American Journal of Economics and Finance / Elsevier	36	300
6	MPRA Paper / University Library of Munich, Germany	103	299
7	Economic Modelling / Elsevier	69	290
8	Finance Research Letters / Elsevier	42	276
9	Research in International Business and Finance / Elsevier	31	262
10	Physica A: Statistical Mechanics and its Applications / Elsevier	62	260
11	Pacific-Basin Finance Journal / Elsevier	44	250