On the public citation graph

https://doi.org/10.2139/ssrn.3906716

0 signed · 77 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.
Claim with ORCID
Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.
See reference health

What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/(sici)1096-9934(199908)19:5<583::aid-fut5>3.0.co;2-sopenalex-extracted
VaR without correlations for portfolios of derivative securities
inferredcites →https://doi.org/10.1002/9781119313472openalex-extracted
GARCH Models
inferredcites →https://doi.org/10.1002/fut.20195openalex-extracted
Hedging and value at risk
inferredcites →https://doi.org/10.1002/fut.20256openalex-extracted
Optimal hedging with a regime‐switching time‐varying correlation GARCH model
inferredcites →https://doi.org/10.1007/978-3-319-70942-0_3openalex-extracted
COBra: Copula-Based Portfolio Optimization
inferredcites →https://doi.org/10.1007/978-3-662-12429-1_12openalex-extracted
The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures
inferredcites →https://doi.org/10.1016/0261-5606(95)00040-2openalex-extracted
An examination of dynamic hedging
inferredcites →https://doi.org/10.1016/j.frl.2019.05.013openalex-extracted
Business cycle variations in exchange rate correlations: Revisiting global currency hedging
inferredcites →https://doi.org/10.1016/j.intfin.2014.03.015openalex-extracted
Currency Hedging Strategies, Strategic Benchmarks and the Global and Euro Sovereign Financial Crises
inferredcites →https://doi.org/10.1016/j.intfin.2019.101163openalex-extracted
Volatility and dynamic currency hedging
inferredcites →https://doi.org/10.1016/j.iref.2015.02.025openalex-extracted
ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails
inferredcites →https://doi.org/10.1016/j.jbankfin.2014.09.003openalex-extracted
Flight-to-Quality and Correlation between Currency and Stock Returns
inferredcites →https://doi.org/10.1016/j.jbankfin.2021.106046openalex-extracted
A Non-Elliptical Orthogonal GARCH Model for Portfolio Selection under Transaction Costs
inferredcites →https://doi.org/10.1016/j.jeconom.2015.02.041openalex-extracted
COMFORT: A common market factor non-Gaussian returns model
inferredcites →https://doi.org/10.1016/j.jeconom.2019.07.002openalex-extracted
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
inferredcites →https://doi.org/10.1016/j.jfineco.2008.11.001openalex-extracted
The impact of risk and uncertainty on expected returns☆
inferredcites →https://doi.org/10.1016/j.jfineco.2019.12.001openalex-extracted
Global Currency Hedging with Common Risk Factors
inferredcites →https://doi.org/10.1016/j.jfineco.2021.07.004openalex-extracted
Ambiguity about volatility and investor behavior
inferredcites →https://doi.org/10.1016/j.jimonfin.2023.102949openalex-extracted
Sparse and Stable International Portfolio Optimization and Currency Risk Management
inferredcites →https://doi.org/10.1016/j.pacfin.2017.12.004openalex-extracted
An empirical analysis of corporate currency risk management policies and practices
inferredcites →https://doi.org/10.1016/j.redee.2015.11.003openalex-extracted
Hedging foreign exchange rate risk: Multi-currency diversification
inferredcites →https://doi.org/10.1016/s0378-4266(01)00251-5openalex-extracted
Currency hedging for international stock portfolios: The usefulness of mean–variance analysis
inferredcites →https://doi.org/10.1016/s0378-4266(02)00289-3openalex-extracted
CVaR models with selective hedging for international asset allocation
inferredcites →https://doi.org/10.1017/s0022109010000335openalex-extracted
Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice Under Parameter Uncertainty
inferredcites →https://doi.org/10.1017/s0022109018000480openalex-extracted
Unknown Unknowns: Uncertainty About Risk and Stock Returns
inferredcites →https://doi.org/10.1023/a:1009703431535openalex-extracted
The Variance Gamma Process and Option Pricing
inferredcites →https://doi.org/10.1023/b:stco.0000009419.12588.daopenalex-extracted
EM-based maximum likelihood parameter estimation for multivariate generalized hyperbolic distributions with fixed λ
inferredcites →https://doi.org/10.1073/pnas.0904287106openalex-extracted
Sparse and stable Markowitz portfolios
inferredcites →https://doi.org/10.1080/00036840500438970openalex-extracted
A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios
inferredcites →https://doi.org/10.1080/0015198x.2019.1628556openalex-extracted
Optimal Currency Hedging for International Equity Portfolios
inferredcites →https://doi.org/10.1086/296519openalex-extracted
The Variance Gamma (V.G.) Model for Share Market Returns
inferredcites →https://doi.org/10.1093/qje/qjw024openalex-extracted
Measuring Economic Policy Uncertainty*
inferredcites →https://doi.org/10.1093/rapstu/rax019openalex-extracted
How Aggregate Volatility-of-Volatility Affects Stock Returns*
inferredcites →https://doi.org/10.1098/rspa.1977.0041openalex-extracted
Exponentially decreasing distributions for the logarithm of particle size
inferredcites →https://doi.org/10.1108/raf-10-2018-0219openalex-extracted
Optimal currency hedge and the carry trade
inferredcites →https://doi.org/10.1111/0022-1082.00204openalex-extracted
Portfolio Selection and Asset Pricing Models
inferredcites →https://doi.org/10.1111/1468-0300.00089openalex-extracted
Principal Component Models for Generating Large GARCH Covariance Matrices
inferredcites →https://doi.org/10.1111/j.1467-9396.1993.tb00014.xopenalex-extracted
Currency Hedging and Siegel's Paradox: On Black's Universal Hedging Rule*
inferredcites →https://doi.org/10.1111/j.1468-0262.2005.00640.xopenalex-extracted
A Smooth Model of Decision Making under Ambiguity
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05131.xopenalex-extracted
Currency Hedging for International Portfolios
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01524.xopenalex-extracted
Global Currency Hedging
inferredcites →https://doi.org/10.1111/jofi.12068openalex-extracted
Uncertainty, Time‐Varying Fear, and Asset Prices
inferredcites →https://doi.org/10.1142/s2010495222500336openalex-extracted
Density and Risk Prediction with Non-Gaussian COMFORT Models
inferredcites →https://doi.org/10.1198/jasa.2006.s156openalex-extracted
Quantitative Risk Management: Concepts, Techniques, and Tools
inferredcites →https://doi.org/10.1214/19-aos1921openalex-extracted
Analytical nonlinear shrinkage of large-dimensional covariance matrices
inferredcites →https://doi.org/10.1257/aer.91.2.60openalex-extracted
Robust Control and Model Uncertainty
inferredcites →https://doi.org/10.1287/mnsc.1050.0469openalex-extracted
Uncertainty Aversion with Second-Order Utilities and Probabilities
inferredcites →https://doi.org/10.1287/mnsc.2014.2028openalex-extracted
Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?
inferredcites →https://doi.org/10.1287/mnsc.2016.2497openalex-extracted
Optimal and Naive Diversification in Currency Markets
inferredcites →https://doi.org/10.1287/mnsc.2020.3872openalex-extracted
Hedging with an Edge: Parametric Currency Overlay
inferredcites →https://doi.org/10.21314/jor.2000.038openalex-extracted
Optimization of conditional value-at-risk
inferredcites →https://doi.org/10.2139/ssrn.1384584openalex-extracted
Currency Hedging: A Free Lunch?
inferredcites →https://doi.org/10.2139/ssrn.1571620openalex-extracted
Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis
inferredcites →https://doi.org/10.2139/ssrn.1628146openalex-extracted
Alright: Asymmetric Large-Scale (I)GARCH with Hetero-Tails
inferredcites →https://doi.org/10.2139/ssrn.2287793openalex-extracted
COMFORT: A Common Market Factor Non-Gaussian Returns Model
inferredcites →https://doi.org/10.2139/ssrn.2616284openalex-extracted
Portfolio Selection with Active Risk Monitoring
inferredcites →https://doi.org/10.2139/ssrn.3460049openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.395600openalex-extracted
A Smooth Model of Decision Making Under Ambiguity
inferredcites →https://doi.org/10.2139/ssrn.4006420openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.4280472openalex-extracted
Density and Risk Prediction with Non-Gaussian COMFORT Models
inferredcites →https://doi.org/10.2139/ssrn.968223openalex-extracted
inferredcites →https://doi.org/10.2307/1911053openalex-extracted
Subjective Probability and Expected Utility without Additivity
inferredcites →https://doi.org/10.2307/2109358openalex-extracted
Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model
inferredcites →https://doi.org/10.2307/2328335openalex-extracted
Theory of Financial Decision Making.
inferredcites →https://doi.org/10.2307/2331042openalex-extracted
Bayes-Stein Estimation for Portfolio Analysis
inferredcites →https://doi.org/10.2307/2526866openalex-extracted
The Ellsberg Paradox and Risk Aversion: An Anticipated Utility Approach
inferredcites →https://doi.org/10.2307/3318481openalex-extracted
Hyperbolic Distributions in Finance
inferredcites →https://doi.org/10.2469/faj.v44.n3.45openalex-extracted
The Free Lunch in Currency Hedging: Implications for Investment Policy and Peformance Standards
inferredcites →https://doi.org/10.2469/faj.v45.n4.16openalex-extracted
Universal Hedging: Optimizing Currency Risk and Reward in International Equity Portfolios
inferredcites →https://doi.org/10.2469/faj.v48.n5.28openalex-extracted
Global Portfolio Optimization
inferredcites →https://doi.org/10.2469/faj.v51.n1.1872openalex-extracted
Universal Hedging: Optimizing Currency Risk and Reward in International Equity Portfolios
inferredcites →https://doi.org/10.3386/w4355openalex-extracted
Currency Hedging over Long Horizons
inferredcites →https://doi.org/10.3386/w8922openalex-extracted
Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
inferredcites →https://doi.org/10.3905/joi.2016.25.4.064openalex-extracted
Smart Currency Hedging for Smart Beta Global Equities
inferredcites →https://doi.org/10.3905/jpm.2018.44.2.100openalex-extracted
Currency-Hedging Optimization for Multi-Asset Portfolios
inferredcites →https://doi.org/10.3982/ecta9678openalex-extracted
Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis
inferredcites →https://doi.org/10.4324/9780203358061-10openalex-extracted
Subjective probability and expected utility without additivity
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.