Annastiina Silvennoinen : Citation Profile

Queensland University of Technology

9

H index

8

i10 index

875

Citations

RESEARCH PRODUCTION:

15

Articles

30

Papers

RESEARCH ACTIVITY:

   19 years (2005 - 2024). See details.
   Cites by year: 46
   Journals where Annastiina Silvennoinen has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 21 (2.34 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psi115
   Updated: 2025-03-08    RAS profile: 2024-05-06    
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Relations with other researchers

Works with:

Teräsvirta, Timo (8)

Hall, Anthony (2)

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

Is cited by:

Teräsvirta, Timo (23)

GUPTA, RANGAN (23)

Savva, Christos (17)

Filis, George (16)

Nguyen, Duc Khuong (15)

Degiannakis, Stavros (13)

Ben Amar, Amine (13)

Bauwens, Luc (13)

Uddin, Gazi (12)

De Santis, Roberto (11)

Hafner, Christian (11)

Cites to:

Teräsvirta, Timo (97)

Engle, Robert (67)

Bollerslev, Tim (52)

Amado, Cristina (47)

Jagannathan, Ravi (29)

Bauwens, Luc (26)

Laurent, Sébastien (25)

Rombouts, Jeroen (15)

Sheppard, Kevin (15)

Tse, Y. K. (15)

Lunde, Asger (12)

Main data

Where Annastiina Silvennoinen has published?

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

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

Recent works citing Annastiina Silvennoinen (2025 and 2024)

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

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

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2024On 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.

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

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2024The 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.

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

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2024Consistency 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.

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

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

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

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

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

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2024The 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.

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2024From 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.

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

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2024Volatility 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.

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

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

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

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

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2024Asymmetric 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.

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

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

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

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

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

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2025Risk 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.

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2024Study 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.

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2024Deciphering 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.

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

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

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Works by Annastiina Silvennoinen:

YearTitleTypeCited
2023Long Monthly European Temperature Series and the North Atlantic Oscillation In: Economics Working Papers.
[Full Text][Citation analysis]		paper0
2023Long monthly European temperature series and the North Atlantic Oscillation.(2023) In: Energy Economics.
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This paper has nother version. Agregated cites: 0		article
2008Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper87
2007Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model.(2007) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has nother version. Agregated cites: 87		paper
2009Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model.(2009) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 87		article
2008Multivariate GARCH models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper95
2008Multivariate GARCH models.(2008) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has nother version. Agregated cites: 95		paper
2008Parameterizing unconditional skewness in models for financial time series In: CREATES Research Papers.
[Full Text][Citation analysis]		paper24
2008Parameterizing Unconditional Skewness in Models for Financial Time Series.(2008) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 24		article
2005Parameterizing Unconditional Skewness in Models for Financial Time Series.(2005) In: Research Paper Series.
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This paper has nother version. Agregated cites: 24		paper
2012Modelling conditional correlations of asset returns: A smooth transition approach In: CREATES Research Papers.
[Full Text][Citation analysis]		paper34
2015Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach.(2015) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 34		article
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market In: CREATES Research Papers.
[Full Text][Citation analysis]		paper15
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market.(2014) In: NCER Working Paper Series.
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This paper has nother version. Agregated cites: 15		paper
2016A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market.(2016) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 15		article
2015Testing constancy of unconditional variance in volatility models by misspecification and specification tests In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2016Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2016) In: Studies in Nonlinear Dynamics & Econometrics.
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This paper has nother version. Agregated cites: 6		article
2015Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2015) In: NCER Working Paper Series.
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This paper has nother version. Agregated cites: 6		paper
2017Consistency 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]		paper3
2017Modelling and forecasting WIG20 daily returns In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2017Modelling and forecasting WIG20 daily returns.(2017) In: NIPE Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2017Modelling and Forecasting WIG20 Daily Returns.(2017) In: Central European Journal of Economic Modelling and Econometrics.
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This paper has nother version. Agregated cites: 2		article
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations.(2018) In: NIPE Working Papers.
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This paper has nother version. Agregated cites: 3		paper
2018Transition from the Taylor rule to the zero lower bound In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2022Transition from the Taylor rule to the zero lower bound.(2022) In: Studies in Nonlinear Dynamics & Econometrics.
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This paper has nother version. Agregated cites: 1		article
2021Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2022A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model In: CREATES Research Papers.
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2022A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model.(2022) In: Econometrics.
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This paper has nother version. Agregated cites: 0		article
2024Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model In: Journal of Econometrics.
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2013Volatility timing: How best to forecast portfolio exposures In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article9
2013Financialization, crisis and commodity correlation dynamics In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article491
2010Financialization, Crisis and Commodity Correlation Dynamics.(2010) In: Research Paper Series.
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This paper has nother version. Agregated cites: 491		paper
2023Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks In: Econometrics.
[Full Text][Citation analysis]		article0
2005Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]		paper66
2005Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations.(2005) In: Research Paper Series.
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This paper has nother version. Agregated cites: 66		paper
2009On the economic benefit of utility based estimation of a volatility model In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2010Portfolio allocation: Getting the most out of realised volatility In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2011Volatility timing and portfolio selection: How best to forecast volatility In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2012Forecasting multivariate volatility in larger dimensions: some practical issues In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2013On the Benefits of Equicorrelation for Portfolio Allocation In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper1
2015Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper30
2016Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics.(2016) In: Journal of Futures Markets.
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This paper has nother version. Agregated cites: 30		article
2016Volatility Dependent Dynamic Equicorrelation In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2019Volatility-dependent correlations: further evidence of when, where and how In: Empirical Economics.
[Full Text][Citation analysis]		article5

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