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Network-based asset allocation strategies
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Network-based asset allocation strategies (2018)Network-based asset allocation strategiesOn the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)Correlations and volatility s…Volatility spillover between oil and agricultural commodity markets (2012)Volatility spillover between …Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Hedges and safe havens: An ex…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Oil price shocks and stock ma…Real-time price discovery in global stock, bond and foreign exchange markets (2007)Real-time price discovery in …Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…A tool for filtering information in complex systems (2005)A tool for filtering informat…Dynamics of market correlations: Taxonomy and portfolio analysis (2003)Dynamics of market correlatio…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Hierarchical structure in financial markets (1999)Hierarchical structure in fin…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…The Combination of Forecasts (1969)The Combination of ForecastsPORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Portfolio Selection: Efficient Diversification of Investments (1959)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Random matrix approach to cross correlations in financial data (2002)Testing for a Unit Root in Time Series Regression (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Renewable energy consumption, CO2 emissions and oil prices in the G7 countries (2009)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Oil prices, exchange rates and emerging stock markets (2011)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)SRISK: A conditional capital shortfall measure of systemic risk (2017)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)CoVaR (2016)Measuring Systemic Risk (2016)Judgment Under Uncertainty: Heuristics and Biases. (1984)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Is gold a safe haven? International evidence (2010)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)Time series forecasting using a hybrid ARIMA and neural network model (2003)25 years of time series forecasting (2006)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies (2017)Conditional value-at-risk for general loss distributions (2002)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1969The Combination of Forecasts3,194 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 1999Hierarchical structure in financial markets2,073 cited
  • 2008Oil price shocks and stock markets in the U.S. and 13 European countries1,264 cited
  • 2007Real-time price discovery in global stock, bond and foreign exchange markets1,127 cited
  • 2005A tool for filtering information in complex systems902 cited
  • 2003Dynamics of market correlations: Taxonomy and portfolio analysis767 cited
  • 2012Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates664 cited
  • 2013Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold

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556 cited
  • 2012Volatility spillover between oil and agricultural commodity markets539 cited
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