9
H index
8
i10 index
875
Citations
Queensland University of Technology | 9 H index 8 i10 index 875 Citations RESEARCH PRODUCTION: 15 Articles 30 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Annastiina Silvennoinen. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Econometrics | 2 |
Journal of Financial Econometrics | 2 |
Studies in Nonlinear Dynamics & Econometrics | 2 |
Working Papers Series with more than one paper published | # docs |
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NCER Working Paper Series / National Centre for Econometric Research | 9 |
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney | 3 |
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics | 3 |
Year | Title of citing document |
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2024 | On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices. (2023). Noda, Akihiko ; Moriya, Koichiro. In: Papers. RePEc:arx:papers:2305.05998. Full description at Econpapers || Download paper |
2024 | New evidence on crude oil market efficiency. (2024). Lee, Yoonjin ; Hu, Liang. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:2:p:892-916. Full description at Econpapers || Download paper |
2024 | On the connectedness of commodity markets: A critical and selective survey of empirical studies and bibliometric analysis. (2024). USMAN, OJONUGWA ; Ağan, Büşra ; Agan, Busra ; Balcilar, Mehmet. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:1:p:97-136. Full description at Econpapers || Download paper |
2024 | Global Food Prices and Inflation. (2024). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10992. Full description at Econpapers || Download paper |
2024 | The economic value of Bitcoin: A volatility timing perspective with portfolio rebalancing. (2024). Hung, Jui-Cheng ; Yang, Jimmy J ; Liu, Hung-Chun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001852. Full description at Econpapers || Download paper |
2024 | Integrated nested Laplace approximations for threshold stochastic volatility models. (2024). Rue, Hvard ; Marin, Miguel J ; de Zea, P ; Veiga, Helena. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:15-35. Full description at Econpapers || Download paper |
2024 | Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:57-72. Full description at Econpapers || Download paper |
2024 | An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305. Full description at Econpapers || Download paper |
2024 | Changing determinant driver and oil volatility forecasting: A comprehensive analysis. (2024). Wang, Jiqian ; Ma, Feng ; Luo, Qin ; Wu, You. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006850. Full description at Econpapers || Download paper |
2024 | Connectivity and spillover during crises: Highlighting the prominent and growing role of green energy. (2024). Sensoy, Ahmet ; Goodell, John W ; Banerjee, Ameet Kumar. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007223. Full description at Econpapers || Download paper |
2024 | How do changes in settlement periods affect wholesale market prices? Evidence from Australias National Electricity Market. (2024). Khezr, Peyman ; Csereklyei, Zsuzsanna. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001336. Full description at Econpapers || Download paper |
2024 | Does oil spin the commodity wheel? Quantile connectedness with a common factor error structure across energy and agricultural markets. (2024). Parhi, Mamata ; Enilov, Martin ; Zhou, Xiaoran. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001762. Full description at Econpapers || Download paper |
2024 | The role of index traders in the financialization of commodity markets: A behavioral finance approach. (2024). Joets, Marc ; Ait-Youcef, Camille. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324003499. Full description at Econpapers || Download paper |
2024 | From 30- to 5-minute settlement rule in the NEM: An early evaluation. (2024). Rai, Alan ; Nikitopoulos, Christina Sklibosios ; Mwampashi, Muthe Mathias. In: Energy Policy. RePEc:eee:enepol:v:194:y:2024:i:c:s0301421524003252. Full description at Econpapers || Download paper |
2024 | Seeking a shock haven: Hedging extreme upward oil price changes. (2024). HU, YANG ; Conlon, Thomas ; Corbet, Shaen ; Hou, Yang ; Oxley, Les. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001777. Full description at Econpapers || Download paper |
2024 | Volatility transmission and hedging strategies across green and conventional stocks in global markets. (2024). Urjasz, Szczepan ; Karkowska, Renata. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006598. Full description at Econpapers || Download paper |
2024 | Metal and energy price uncertainties and the global economy. (2024). Wang, Ben Zhe ; Sheen, Jeffrey ; Ponomareva, Natalia. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000317. Full description at Econpapers || Download paper |
2024 | Commodity returns co-movement, uncertainty shocks, and the US dollar exchange rate. (2024). Zhang, Chengsi ; Ma, Jun ; Liao, Wenting. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000433. Full description at Econpapers || Download paper |
2024 | Revisiting the pricing impact of commodity market spillovers on equity markets. (2024). Hyde, Stuart ; Bowe, Michael ; Pinto-Avalos, Francisco. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000594. Full description at Econpapers || Download paper |
2024 | Is copper a safe haven for oil?. (2024). Lobon, Oana-Ramona ; Qin, Meng ; Song, Xin Yue ; Su, Chi Wei. In: Resources Policy. RePEc:eee:jrpoli:v:91:y:2024:i:c:s0301420724002642. Full description at Econpapers || Download paper |
2024 | Asymmetric connectedness and investment strategies between commodities and Islamic banks: Evidence from gulf cooperative council (GCC) markets. (2024). Billah, Syed ; Balli, Faruk ; Hadhri, Sinda ; Shaik, Muneer. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001574. Full description at Econpapers || Download paper |
2024 | Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach. (2024). Bellalah, Makram ; ben Amar, Amine ; Abricha, Amal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:229-246. Full description at Econpapers || Download paper |
2024 | On the transmission mechanism between the inventory arbitrage activity, speculative activity and the commodity price under the US QE policy: Evidence from a TVP-VAR model. (2024). Alexiou, Constantinos ; Yao, Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1054-1072. Full description at Econpapers || Download paper |
2024 | Hedging precious metals with impact investing. (2024). Le, Van ; Banerjee, Ameet Kumar ; Akhtaruzzaman, MD ; Moussa, Faten. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:651-664. Full description at Econpapers || Download paper |
2024 | International commodity market and stock volatility predictability: Evidence from G7 countries. (2024). Ma, Feng ; Wang, Jiqian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:90:y:2024:i:c:p:62-71. Full description at Econpapers || Download paper |
2024 | Agricultural commodities market reaction to COVID-19. (2024). Dragolea, Larisa Loredana ; Mudakkar, Syeda Rabab ; Iuga, Iulia Cristina. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000801. Full description at Econpapers || Download paper |
2025 | Risk spillovers and diversification benefits between crude oil and agricultural commodity futures markets. (2025). Mensi, Walid ; Vo, Xuan Vinh ; Gemici, Eray ; Gk, Remzi ; Ur, Mobeen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003726. Full description at Econpapers || Download paper |
2024 | Study of Volatility Spillover from Crude Oil Futures to Grain Futures Across Multiple Cycles Based on the EEMD-BEKK-GARCH Model. (2024). Pu, Mingzhe ; Wang, Xizhao ; Zhong, YU ; Sun, Shengxuan. In: Agriculture. RePEc:gam:jagris:v:15:y:2024:i:1:p:67-:d:1556205. Full description at Econpapers || Download paper |
2024 | Deciphering volatility spillovers amidst crises: analyzing the interplay among commodities, equities and socially responsible investments during the COVID-19 shock and financial turbulence. (2024). Ben Amar, Amine ; Boubrahimi, Nabil ; Bellalah, Makram ; Dkhissi, Ilham ; Hasnaoui, Amir. In: Post-Print. RePEc:hal:journl:hal-04643053. Full description at Econpapers || Download paper |
2024 | COVID-19, the Russia–Ukraine war and the connectedness between the U.S. and Chinese agricultural futures markets. (2024). Shi, Haili ; Sun, Yiru ; Zhang, Yongmin ; Zhao, Yingxue ; Ding, Shusheng. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-02852-6. Full description at Econpapers || Download paper |
2024 | Commodity and Stock Market Interlinkages: Opportunities and Challenges for Investors in Indian Market. (2024). Suresh, Sandra ; Jhunjhunwala, Shital. In: Global Business Review. RePEc:sae:globus:v:25:y:2024:i:2_suppl:p:s42-s58. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2023 | Long Monthly European Temperature Series and the North Atlantic Oscillation In: Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Long monthly European temperature series and the North Atlantic Oscillation.(2023) In: Energy Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2008 | Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 87 |
2007 | Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model.(2007) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has nother version. Agregated cites: 87 | paper | |
2009 | Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model.(2009) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 87 | article | |
2008 | Multivariate GARCH models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 95 |
2008 | Multivariate GARCH models.(2008) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 95 | paper | |
2008 | Parameterizing unconditional skewness in models for financial time series In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 24 |
2008 | Parameterizing Unconditional Skewness in Models for Financial Time Series.(2008) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | article | |
2005 | Parameterizing Unconditional Skewness in Models for Financial Time Series.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
2012 | Modelling conditional correlations of asset returns: A smooth transition approach In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 34 |
2015 | Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach.(2015) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | article | |
2014 | A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 15 |
2014 | A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market.(2014) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2016 | A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market.(2016) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
2015 | Testing constancy of unconditional variance in volatility models by misspecification and specification tests In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
2016 | Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2016) In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2015 | Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2015) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2017 | Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
2017 | Modelling and forecasting WIG20 daily returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
2017 | Modelling and forecasting WIG20 daily returns.(2017) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2017 | Modelling and Forecasting WIG20 Daily Returns.(2017) In: Central European Journal of Economic Modelling and Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations.(2018) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2018 | Transition from the Taylor rule to the zero lower bound In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
2022 | Transition from the Taylor rule to the zero lower bound.(2022) In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2021 | Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
2022 | A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model.(2022) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2024 | Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
2013 | Volatility timing: How best to forecast portfolio exposures In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 9 |
2013 | Financialization, crisis and commodity correlation dynamics In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 491 |
2010 | Financialization, Crisis and Commodity Correlation Dynamics.(2010) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 491 | paper | |
2023 | Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks In: Econometrics. [Full Text][Citation analysis] | article | 0 |
2005 | Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 66 |
2005 | Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | paper | |
2009 | On the economic benefit of utility based estimation of a volatility model In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2010 | Portfolio allocation: Getting the most out of realised volatility In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2011 | Volatility timing and portfolio selection: How best to forecast volatility In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2012 | Forecasting multivariate volatility in larger dimensions: some practical issues In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2013 | On the Benefits of Equicorrelation for Portfolio Allocation In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2015 | Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 30 |
2016 | Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics.(2016) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | article | |
2016 | Volatility Dependent Dynamic Equicorrelation In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2019 | Volatility-dependent correlations: further evidence of when, where and how In: Empirical Economics. [Full Text][Citation analysis] | article | 5 |
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