Robert Jung

University of Hohenheim - Institute of Economics

Schloss-Mittelhof (Ost)

70593 Stuttgart

Germany

SCHOLARLY PAPERS

11

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CITATIONS
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Top 20,132

in Total Papers Citations

15

Scholarly Papers (11)

1.

Stochastic Volatility Models: Conditional Normality Versus Heavy-Tailed Distributions

Number of pages: 22 Posted: 30 Dec 1997
Roman Liesenfeld and Robert Jung
University of Cologne, Department of Economics and University of Hohenheim - Institute of Economics
Downloads 661 (29,398)
Citation 10

Abstract:

2.

Stock Return Autocorrelations Revisited: A Quantile Regression Approach

Journal of Empirical Finance, Vol. 19, Issue 2, pp. 251-265, March 2012
Number of pages: 25 Posted: 20 Dec 2011 Last Revised: 09 Oct 2012
Dirk G. Baur, Thomas Dimpfl and Robert Jung
University of Western Australia - Business School, University of Tuebingen - Department of Statistics and Econometrics and University of Hohenheim - Institute of Economics
Downloads 381 (53,640)

Abstract:

stock return distribution, quantile autoregression, overreaction and underreaction

3.

Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity

Number of pages: 37 Posted: 22 Jul 2008 Last Revised: 27 Jul 2008
University of Hohenheim - Institute of Economics, University of Cologne, Department of Economics and University of Pittsburgh - Department of Economics
Downloads 214 (105,758)
Citation 2

Abstract:

Dynamic latent variables, Importance sampling, Mixture of distribution models, Poisson distribution, Simulated Maximum Likelihood

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, Forthcoming
Number of pages: 22 Posted: 13 Aug 2007
Michael Flad and Robert Jung
Goethe University Frankfurt - Department of Finance and University of Hohenheim - Institute of Economics
Downloads 178 (134,600)

Abstract:

Stock market cointegration, High-frequency data, Permanent-transitory decomposition

5.

Testing for Serial Dependence in Time Series Models of Counts

Journal of Time Series Analysis, Vol. 24, pp. 65-84, 2003
Number of pages: 20 Posted: 03 Jun 2003
Robert Jung and Andy Tremayne
University of Hohenheim - Institute of Economics and The University of Sydney - Discipline of Econometrics and Business Statistics
Downloads 11 (484,441)
Citation 3

Abstract:

6.

Convolution-Closed Models for Count Time Series with Applications

Journal of Time Series Analysis, Vol. 32, Issue 3, pp. 268-280, 2011
Number of pages: 13 Posted: 12 Apr 2011
Robert Jung and A. R. Tremayne
University of Hohenheim - Institute of Economics and affiliation not provided to SSRN
Downloads 2 (527,629)

Abstract:

Count data, serial dependence, generalized Poisson, higher-order models, maximum likelihood estimation, parametric resampling

7.

Efficient Method of Moments Estimators for Integer Time Series Models

Journal of Time Series Analysis, Vol. 35, Issue 6, pp. 491-516, 2014
Number of pages: 26 Posted: 24 Oct 2014
Vance L. Martin, Andrew Tremayne and Robert Jung
University of Melbourne, University of Liverpool and University of Hohenheim - Institute of Economics
Downloads 0 (548,619)

Abstract:

Count time series, binomial thinning, EMM, subsampling standard errors

8.

Structural Breaks in Volatility Spillovers between International Financial Markets: Contagion or Mere Interdependence?

Journal of Banking and Finance, Volume 47, Pages 331–342,
Posted: 12 Jul 2014 Last Revised: 24 Jan 2015
Robert Maderitsch and Robert Jung
University of Hohenheim and University of Hohenheim - Institute of Economics

Abstract:

Spillovers, contagion, realized volatility, HAR-RV model, structural breaks

9.

Financial Market Spillovers Around the Globe

Applied Financial Economics, Vol. 22, Issue 1, 2012
Posted: 19 Jul 2007 Last Revised: 07 Oct 2011
Thomas Dimpfl and Robert Jung
University of Tuebingen - Department of Statistics and Econometrics and University of Hohenheim - Institute of Economics

Abstract:

Spillovers, Index Futures, Realized Volatility, Structural VAR model, HAR-RV model

10.

Return and Volatility Linkages between the US and the German Stock Market

Journal of International Money and Finance, Vol. 25, No. 4 , pp. 598-613 , June 2006
Posted: 15 Jun 2006
Dirk G. Baur and Robert Jung
University of Western Australia - Business School and University of Hohenheim - Institute of Economics

Abstract:

Spillovers, Contemporaneous correlation, Information transmission, Intra-day data, GARCH models

11.

Testing the Bivariate Mixture Hypothesis Using German Stock Market Data

Universitaet Tuebingen,Wirtschaftswissenschaftliche Fakultaet,Diskussionsbeitrag Nr. 67.
Posted: 02 Jul 1998
Robert Jung and Roman Liesenfeld
University of Hohenheim - Institute of Economics and University of Cologne, Department of Economics

Abstract: