Details about Robert Jung

Access statistics for papers by Robert Jung.

Last updated 2012-12-12. Update your information in the RePEc Author Service.

Short-id: pju3

Working Papers

2012

1. Stock return autocorrelations revisited: A quantile regression approach
   University of Tuebingen Working Papers in Economics and Finance, University of Tuebingen, Faculty of Economics and Social Sciences View citations (3)
   See also Journal Article in Journal of Empirical Finance (2012)

2011

2. Financial market spillovers around the globe
   Global Financial Markets Working Paper Series, Friedrich-Schiller-University Jena

2010

3. Konstitutionelle Grundlagen globalisierter Finanzmärkte - Stabilität und Wandel. Stand und Perspektiven der Forschung
   Global Financial Markets Working Paper Series, Friedrich-Schiller-University Jena

2008

4. Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity
   Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics
   See also Journal Article in Journal of Business & Economic Statistics (2011)

2005

5. Time Series of Count Data: Modelling and Estimation
   Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (18)

2001

6. Testing serial dependence in time series models of counts against some INARMA alternatives
   Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics View citations (5)

Journal Articles

2012

1. Stock return autocorrelations revisited: A quantile regression approach
   Journal of Empirical Finance, 2012, 19, (2), 254-265 View citations (3)
   See also Working Paper (2012)

2011

2. Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity
   Journal of Business & Economic Statistics, 2011, 29, (1), 73-85 View citations (1)
   See also Working Paper (2008)
3. Useful models for time series of counts or simply wrong ones?
   AStA Advances in Statistical Analysis, 2011, 95, (1), 59-91

2008

4. A common factor analysis for the US and the German stock markets during overlapping trading hours
   Journal of International Financial Markets, Institutions and Money, 2008, 18, (5), 498-512

2006

5. Coherent forecasting in integer time series models
   International Journal of Forecasting, 2006, 22, (2), 223-238 View citations (4)
6. Return and volatility linkages between the US and the German stock market
   Journal of International Money and Finance, 2006, 25, (4), 598-613 View citations (15)
7. Time series of count data: modeling, estimation and diagnostics
   Computational Statistics & Data Analysis, 2006, 51, (4), 2350-2364 View citations (15)

2005

8. Estimation in conditional first order autoregression with discrete support
   Statistical Papers, 2005, 46, (2), 195-224 View citations (3)

2003

9. Testing for serial dependence in time series models of counts
   Journal of Time Series Analysis, 2003, 24, (1), 65-84 View citations (6)

2000

10. Stochastic volatility models: conditional normality versus heavy-tailed distributions
    Journal of Applied Econometrics, 2000, 15, (2), 137-160 View citations (20)

1993

11. Two Aspects of Labor Mobility: A Bivariate Poisson Regression Approach
    Empirical Economics, 1993, 18, (3), 543-56 View citations (10)