Hossein Asgharian

Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies

P.O. Box 7082

S-220 07 Lund

Sweden

SCHOLARLY PAPERS

22

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3,638

SSRN CITATIONS
Rank 35,589

SSRN RANKINGS

Top 35,589

in Total Papers Citations

18

CROSSREF CITATIONS

4

Scholarly Papers (22)

1.

The Effect of Uncertainty on Volatility and Correlation

Number of pages: 40 Posted: 22 Mar 2018 Last Revised: 28 Mar 2022
Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES and Stockholm University
Downloads 513 (75,565)
Citation 4

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economic uncertainty; HAR-RV-X model; international-portfolio analysis; stock market correlation; stock market volatility

2.

A Critical Investigation of the Explanatory Role of Factor Mimicking Portfolios in Multifactor Asset Pricing Models

Number of pages: 31 Posted: 16 Mar 2002
Hossein Asgharian and Bjorn Hansson
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Lund University - Department of Economics
Downloads 485 (80,938)

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3.

Investment Strategies Using Orthogonal Portfolios

Number of pages: 42 Posted: 23 Jun 2003
Hossein Asgharian and Bjorn Hansson
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Lund University - Department of Economics
Downloads 455 (87,426)

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4.

Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification

Number of pages: 38 Posted: 12 Apr 2014 Last Revised: 04 Nov 2015
Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES and Stockholm University
Downloads 336 (123,389)
Citation 12

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DCC-MIDAS model; Long-run correlation; Macro-finance variables; Stock-bond correlation

5.

Institutional Quality, Trust and Stock-Market Participation: Learning to Forget

Number of pages: 55 Posted: 20 Dec 2013 Last Revised: 19 Nov 2019
Hossein Asgharian, Lu Liu and Frederik Lundtofte
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Stockholm Business School, Stockholm University and Aalborg University Business School
Downloads 255 (164,040)
Citation 3

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Households’ stock ownership, institutional quality, trust, immigration, direct and indirect effects, learning ability

6.

Effects of Macroeconomic Uncertainty on the Stock and Bond Markets

Number of pages: 14 Posted: 24 Mar 2015 Last Revised: 26 Mar 2015
Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES and Stockholm University
Downloads 228 (182,683)
Citation 3

Abstract:

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DCC-MIDAS model; GARCH-MIDAS model; Macroeconomic uncertainty index; Stock-bond correlation; Stock volatility; Bond volatility

7.

Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing

Number of pages: 37 Posted: 05 Oct 2017 Last Revised: 16 Aug 2021
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES, Stockholm University and University of Yorkaffiliation not provided to SSRN
Downloads 176 (230,850)

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long-run betas; short-run betas; risk premia; business cycles; component GARCH model; MIDAS

8.

A Comparative Analysis of Ability of Mimicking Portfolios in Representing the Background Factors

Number of pages: 35 Posted: 29 Jan 2004
Hossein Asgharian
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies
Downloads 166 (242,505)

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9.

Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation

Number of pages: 58 Posted: 04 Oct 2016 Last Revised: 29 Jun 2020
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES, University of Pretoria - Department of Economics and Stockholm University
Downloads 165 (243,731)
Citation 1

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economic policy uncertainty index; mixed data sampling; stock market correlation; stock market volatility

10.

Home Bias in European Countries within a Bayesian Framework

Number of pages: 31 Posted: 28 May 2004
Hossein Asgharian and Bjorn Hansson
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Lund University - Department of Economics
Downloads 158 (252,772)

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11.

A Conditional Asset Pricing Model with the Optimal Orthogonal Portfolio

Number of pages: 36 Posted: 17 Mar 2009
Hossein Asgharian
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies
Downloads 154 (258,151)

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12.

Systemic Risk and Centrality Revisited: The Role of Interactions

Number of pages: 37 Posted: 01 May 2017 Last Revised: 17 Nov 2021
Hossein Asgharian, Dominika Krygier and Anders Vilhelmsson
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Lund University - Department of Economics and Lund University - Department of Economics
Downloads 129 (296,406)

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Systemic Risk, Network Centrality, Loan Syndication, CoVaR

13.

Green Links: Corporate Networks and Environmental Performance

Number of pages: 41 Posted: 30 Jan 2022
Hossein Asgharian, Michał Dzieliński, Zahra Hashemzadeh and Lu Liu
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Stockholm Business School, Stockholm University, Lund University - Department of Economics and Stockholm Business School, Stockholm University
Downloads 109 (334,384)

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Sustainability, ESG, Environmental Performance, Corporate Network, Corporate Social Responsibility

14.

The Explanatory Role of Factor Portfolios for Industries Exposed to Foreign Competition: Evidence from the Swedish Stock Market

Number of pages: 41 Posted: 16 Mar 2002
Hossein Asgharian and Bjorn Hansson
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Lund University - Department of Economics
Downloads 107 (338,665)

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15.

Risk Contagion Among International Stock Markets

Number of pages: 46 Posted: 26 Mar 2008
Hossein Asgharian and Marcus Nossman
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Lund University
Downloads 80 (405,895)
Citation 5

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Spillover, jump, stochastic volatility, wavelet, Markov Chain Monte Carlo.

16.

Cross-Border Asset Holdings and Comovements in Sovereign Bond Markets

Journal of International Money and Finance, Vol. 86, No. 9, 2018
Number of pages: 46 Posted: 06 Oct 2015 Last Revised: 23 Mar 2022
Hossein Asgharian, Lu Liu and Marcus Larsson
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Stockholm Business School, Stockholm University and Handelsbanken
Downloads 50 (512,813)

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yield-curve factors, cross-border asset holding, spatial dependence, Euro bond markets, sovereign credit default swap

17.

Structural Multivariate Spatial Econometrics: Application to Cross-Country Interdependence of Stock and Bond Markets

Number of pages: 28 Posted: 25 Feb 2020
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Stockholm Business School, Stockholm University, Indiana University Purdue University Indianapolis and AstraZeneca Pharmaceuticals
Downloads 42 (549,777)
Citation 1

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spatial econometrics, intralocation effect, stocks and bonds correlation, structural model

18.

Product Market Competition and Stock Return Dependence

Number of pages: 10 Posted: 28 Mar 2022
Hossein Asgharian and Lu Liu
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Stockholm Business School, Stockholm University
Downloads 18 (699,265)

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return comovement, contagion effect, competitive effect, spatial Durbin model

19.

Equity Risk Factors for a Small Open Economy: A Risk Management Perspective

Multinational Finance Journal, Vol. 5, No. 4, p. 225-257, 2001
Number of pages: 33 Posted: 08 Jul 2015
Hossein Asgharian and Bjorn Hansson
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Lund University - Department of Economics
Downloads 12 (748,566)

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multifactor models; open economy; return covariance; risk management

20.

A Spatial Analysis of International Stock Market Linkages

Journal of Banking and Finance, vol. 37(12), pp. 4738–4754
Posted: 21 Mar 2011 Last Revised: 07 Oct 2015
Hossein Asgharian, Wolfgang Hess and Lu Liu
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Lund University - Department of Economics and Stockholm Business School, Stockholm University

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Financial and economic integration, Stock market co-movements, Spatial econometrics, Spillover and feedback effects

21.

Jump Spillover in International Equity Markets

Journal of Financial Econometrics, Vol. 4, No. 2, pp. 167-203, 2006
Posted: 29 Feb 2008
Hossein Asgharian and Christoffer Bengtsson
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Lund University - Department of Economics

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event risk, jump-diffusion model, Markov chain Monte Carlo, spillover, stochastic volatility, systemic risk

22.

Cross-Sectional Analysis of Swedish Stock Returns with Time-Varying Beta

Posted: 12 Aug 2000
Hossein Asgharian
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies

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Cross Sectional Multifactor Model, Swedish Stock Returns, Time-varying Beta, Errors in Variables, Extreme Bound Analysis