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Details about Hossein Asgharian

Workplace:Nationalekonomiska Institutionen (Department of Economics), Ekonomihögskolan (School of Economics and Management), Lunds Universitet (Lund University), (more information at EDIRC)

Access statistics for papers by Hossein Asgharian.

Last updated 2015-11-13. Update your information in the RePEc Author Service.

Short-id: pas128


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Working Papers

2015

  1. Cross-Border Asset Holdings and Comovements in Sovereign Bond Markets
    Working Papers, Lund University, Department of Economics Downloads
  2. Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
    See also Journal Article in Finance Research Letters (2015)

2014

  1. Institutional Quality, Trust and Stock Market Participation: Learning to Forget
    Knut Wicksell Working Paper Series, Knut Wicksell Centre for Financial Studies, Lund University Downloads
    Also in Working Papers, Lund University, Department of Economics (2014) Downloads
  2. Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
    Working Papers, Lund University, Department of Economics Downloads View citations (4)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads View citations (4)
  3. Predicting Stock Price Volatility by Analyzing Semantic Content in Media
    Working Papers, Lund University, Department of Economics Downloads
    Also in Knut Wicksell Working Paper Series, Knut Wicksell Centre for Financial Studies, Lund University (2013) Downloads

2013

  1. A spatial analysis of international stock market linkages
    Knut Wicksell Working Paper Series, Knut Wicksell Centre for Financial Studies, Lund University Downloads View citations (17)
    See also Journal Article in Journal of Banking & Finance (2013)
  2. Importance of the macroeconomic variables for variance prediction A GARCH-MIDAS approach
    Knut Wicksell Working Paper Series, Knut Wicksell Centre for Financial Studies, Lund University Downloads View citations (4)

2006

  1. Evaluating a nonlinear asset pricing model on international data
    Working Papers, Lund University, Department of Economics
    See also Journal Article in International Review of Financial Analysis (2008)

2004

  1. A Comparative Analysis of Ability of Mimicking Portfolios in Representing the Background Factors
    Working Papers, Lund University, Department of Economics Downloads

2002

  1. Cross Sectional Analysis of the Swedish Stock Market
    Working Papers, Lund University, Department of Economics Downloads

Journal Articles

2015

  1. Effects of macroeconomic uncertainty on the stock and bond markets
    Finance Research Letters, 2015, 13, (C), 10-16 Downloads View citations (3)
    See also Working Paper (2015)

2013

  1. A spatial analysis of international stock market linkages
    Journal of Banking & Finance, 2013, 37, (12), 4738-4754 Downloads View citations (14)
    See also Working Paper (2013)
  2. Financial and Economic Integration's Impact on Asian Equity Markets’ Sensitivity to External Shocks
    The Financial Review, 2013, 48, (2), 343-363 Downloads View citations (1)
  3. The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH‐MIDAS Approach
    Journal of Forecasting, 2013, 32, (7), 600-612 Downloads View citations (7)

2011

  1. A conditional asset-pricing model with the optimal orthogonal portfolio
    Journal of Banking & Finance, 2011, 35, (5), 1027-1040 Downloads View citations (2)
  2. An event study of price movements following realized jumps
    Quantitative Finance, 2011, 11, (6), 933-946 Downloads
  3. Risk contagion among international stock markets
    Journal of International Money and Finance, 2011, 30, (1), 22-38 Downloads View citations (23)

2010

  1. Book-to-market and size effects: compensations for risks or outcomes of market inefficiencies?
    The European Journal of Finance, 2010, 16, (2), 119-136 Downloads View citations (1)

2009

  1. An analysis of momentum and contrarian anomalies using an orthogonal portfolio approach
    Applied Economics Letters, 2009, 16, (6), 625-628 Downloads

2008

  1. Evaluating a non-linear asset pricing model on international data
    International Review of Financial Analysis, 2008, 17, (3), 604-621 Downloads View citations (1)
    See also Working Paper (2006)

2006

  1. Home bias among European investors from a Bayesian perspective
    Journal of International Financial Markets, Institutions and Money, 2006, 16, (5), 397-410 Downloads View citations (7)
  2. Jump Spillover in International Equity Markets
    Journal of Financial Econometrics, 2006, 4, (2), 167-203 Downloads View citations (15)

2005

  1. A critical investigation of the explanatory role of factor mimicking portfolios in multifactor asset pricing models
    Applied Financial Economics, 2005, 15, (12), 835-847 Downloads
  2. Evaluating the importance of missing risk factors using the optimal orthogonal portfolio approach
    Journal of Empirical Finance, 2005, 12, (4), 556-575 Downloads View citations (1)

2003

  1. Are highly leveraged firms more sensitive to an economic downturn?
    The European Journal of Finance, 2003, 9, (3), 219-241 Downloads View citations (2)
  2. The explanatory role of factor portfolios for industries exposed to foreign competition: evidence from the Swedish stock market
    Journal of International Financial Markets, Institutions and Money, 2003, 13, (4), 325-353 Downloads View citations (1)

2001

  1. Equity Risk Factors for a Small Open Economy: A Risk Management Perspective
    Multinational Finance Journal, 2001, 5, (4), 225-257 Downloads

2000

  1. Cross-sectional analysis of Swedish stock returns with time-varying beta: the Swedish stock market 1983-96
    European Financial Management, 2000, 6, (2), 213-233 Downloads View citations (3)
 
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