Details about Hossein Asgharian

Access statistics for papers by Hossein Asgharian.

Last updated 2022-10-16. Update your information in the RePEc Author Service.

Short-id: pas128

Working Papers

2019

1. Systemic Risk and Centrality Revisited: The Role of Interactions
   Working Papers, Lund University, Department of Economics
   Also in Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies (2019)

2017

2. Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
3. Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2016

4. Credit Constraints, Growth and Inequality Dynamics
   Working Papers, University of Pretoria, Department of Economics View citations (5)
5. Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)

2015

6. Cross-Border Asset Holdings and Comovements in Sovereign Bond Markets
   Working Papers, Lund University, Department of Economics
   See also Journal Article Cross-border asset holdings and comovements in sovereign bond markets, Journal of International Money and Finance, Elsevier (2018) View citations (3) (2018)
7. Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (36)
   See also Journal Article Effects of macroeconomic uncertainty on the stock and bond markets, Finance Research Letters, Elsevier (2015) View citations (30) (2015)

2014

8. Institutional Quality, Trust and Stock Market Participation: Learning to Forget
   Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies View citations (5)
   Also in Working Papers, Lund University, Department of Economics (2014) View citations (5)
9. Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
   Working Papers, Lund University, Department of Economics View citations (16)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (7)
   See also Journal Article Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification, Journal of Financial Econometrics, Oxford University Press (2016) View citations (24) (2016)
10. Predicting Stock Price Volatility by Analyzing Semantic Content in Media
    Working Papers, Lund University, Department of Economics
    Also in Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies (2013)

2013

11. A spatial analysis of international stock market linkages
    Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies View citations (79)
    See also Journal Article A spatial analysis of international stock market linkages, Journal of Banking & Finance, Elsevier (2013) View citations (77) (2013)
12. Importance of the macroeconomic variables for variance prediction A GARCH-MIDAS approach
    Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies View citations (11)

2006

13. Evaluating a nonlinear asset pricing model on international data
    Working Papers, Lund University, Department of Economics
    See also Journal Article Evaluating a non-linear asset pricing model on international data, International Review of Financial Analysis, Elsevier (2008) View citations (1) (2008)

2004

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

2002

15. Cross Sectional Analysis of the Swedish Stock Market
    Working Papers, Lund University, Department of Economics View citations (1)

Journal Articles

2018

1. Cross-border asset holdings and comovements in sovereign bond markets
   Journal of International Money and Finance, 2018, 86, (C), 189-206 View citations (3)
   See also Working Paper Cross-Border Asset Holdings and Comovements in Sovereign Bond Markets, Working Papers (2015) (2015)

2016

2. Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification
   Journal of Financial Econometrics, 2016, 14, (3), 617-642 View citations (24)
   See also Working Paper Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification, Working Papers (2014) View citations (16) (2014)

2015

3. Effects of macroeconomic uncertainty on the stock and bond markets
   Finance Research Letters, 2015, 13, (C), 10-16 View citations (30)
   See also Working Paper Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets, CREATES Research Papers (2015) View citations (36) (2015)

2013

4. A spatial analysis of international stock market linkages
   Journal of Banking & Finance, 2013, 37, (12), 4738-4754 View citations (77)
   See also Working Paper A spatial analysis of international stock market linkages, Knut Wicksell Working Paper Series (2013) View citations (79) (2013)
5. Financial and Economic Integration's Impact on Asian Equity Markets’ Sensitivity to External Shocks
   The Financial Review, 2013, 48, (2), 343-363 View citations (4)
6. The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH‐MIDAS Approach
   Journal of Forecasting, 2013, 32, (7), 600-612 View citations (131)

2011

7. A conditional asset-pricing model with the optimal orthogonal portfolio
   Journal of Banking & Finance, 2011, 35, (5), 1027-1040 View citations (3)
8. An event study of price movements following realized jumps
   Quantitative Finance, 2011, 11, (6), 933-946 View citations (4)
9. Risk contagion among international stock markets
   Journal of International Money and Finance, 2011, 30, (1), 22-38 View citations (58)

2010

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

2009

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

2008

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

2006

13. Home bias among European investors from a Bayesian perspective
    Journal of International Financial Markets, Institutions and Money, 2006, 16, (5), 397-410 View citations (12)
14. Jump Spillover in International Equity Markets
    Journal of Financial Econometrics, 2006, 4, (2), 167-203 View citations (31)

2005

15. A critical investigation of the explanatory role of factor mimicking portfolios in multifactor asset pricing models
    Applied Financial Economics, 2005, 15, (12), 835-847 View citations (3)
16. Evaluating the importance of missing risk factors using the optimal orthogonal portfolio approach
    Journal of Empirical Finance, 2005, 12, (4), 556-575 View citations (1)

2003

17. Are highly leveraged firms more sensitive to an economic downturn?
    The European Journal of Finance, 2003, 9, (3), 219-241 View citations (8)
18. 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 View citations (2)

2001

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

2000

20. 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 View citations (8)