Details about Robert Jung

Access statistics for papers by Robert Jung.

Last updated 2022-10-13. 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 Tübingen Working Papers in Business and Economics, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics View citations (99)

2011

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

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 View citations (1)
   See also Journal Article Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity, Journal of Business & Economic Statistics, American Statistical Association (2011) View citations (20) (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)

1997

7. Stochastic volatility models: Conditional normality versus heavy tailed distributions
   Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics View citations (2)
   See also Journal Article Stochastic volatility models: conditional normality versus heavy-tailed distributions, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2000) View citations (82) (2000)

1996

8. Testing the bivariate mixture hypothesis using German stock market data
   Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics

Journal Articles

2022

1. Modelling and Diagnostics of Spatially Autocorrelated Counts
   Econometrics, 2022, 10, (3), 1-17
2. Spatial panel count data: modeling and forecasting of urban crimes
   Journal of Spatial Econometrics, 2022, 3, (1), 1-29 View citations (3)

2020

3. Gerd Ronning
   AStA Wirtschafts- und Sozialstatistisches Archiv, 2020, 14, (2), 121-124
4. Maximum-Likelihood Estimation in a Special Integer Autoregressive Model
   Econometrics, 2020, 8, (2), 1-15

2017

5. Price discovery in agricultural commodity markets in the presence of futures speculation
   Journal of Commodity Markets, 2017, 5, (C), 50-62 View citations (47)

2014

6. Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?
   Journal of Banking & Finance, 2014, 47, (C), 331-342 View citations (70)

2011

7. 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 (20)
   See also Working Paper Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity, Economics Working Papers (2008) View citations (1) (2008)
8. Useful models for time series of counts or simply wrong ones?
   AStA Advances in Statistical Analysis, 2011, 95, (1), 59-91 View citations (31)

2008

9. 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 View citations (11)

2006

10. Coherent forecasting in integer time series models
    International Journal of Forecasting, 2006, 22, (2), 223-238 View citations (30)
11. 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 (77)
12. Time series of count data: modeling, estimation and diagnostics
    Computational Statistics & Data Analysis, 2006, 51, (4), 2350-2364 View citations (55)

2005

13. Estimation in conditional first order autoregression with discrete support
    Statistical Papers, 2005, 46, (2), 195-224 View citations (30)

2003

14. Testing for serial dependence in time series models of counts
    Journal of Time Series Analysis, 2003, 24, (1), 65-84 View citations (15)

2000

15. Stochastic volatility models: conditional normality versus heavy-tailed distributions
    Journal of Applied Econometrics, 2000, 15, (2), 137-160 View citations (82)
    See also Working Paper Stochastic volatility models: Conditional normality versus heavy tailed distributions, Tübinger Diskussionsbeiträge (1997) View citations (2) (1997)

1993

16. Two Aspects of Labor Mobility: A Bivariate Poisson Regression Approach
    Empirical Economics, 1993, 18, (3), 543-56 View citations (21)