Ana-Maria H. Dumitru

Personal Details

First Name:	Ana-Maria
Middle Name:	H.
Last Name:	Dumitru
Suffix:
RePEc Short-ID:	pdu333
	[This author has chosen not to make the email address public]
	http://sites.google.com/site/anamariahdumitru/
	School of Economics University of Surrey Guildford, UK GU2 7XH
	+44/1483 68 6958

Affiliation

School of Economics
University of Surrey

Guildford, United Kingdom
http://www.surrey.ac.uk/school-economics
RePEc:edi:desuruk (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Altavilla, Carlo & Bochmann, Paul & De Ryck, Jeroen & Dumitru, Ana-Maria & Grodzicki, Maciej & Kick, Heinrich & Fernandes, Cecilia Melo & Mosthaf, Jonas & O’Donnell, Charles & Palligkinis, Spyros, 2021. "Measuring the cost of equity of euro area banks," Occasional Paper Series 254, European Central Bank.

   Cited by:

   1. Martín Fuentes, Natalia & Di Vito, Luca & Leite, João Matos, 2023. "Understanding the profitability gap between euro area and US global systemically important banks," Occasional Paper Series 327, European Central Bank.
   2. Acosta-Smith, Jonathan & Barunik, Jozef & Gerba, Eddie & Katsoulis, Petros, 2024. "Moderation or indulgence? Effects of bank distribution restrictions during stress," Bank of England working papers 1053, Bank of England.
   3. Irene Pablos & Carlos Pérez Montes, 2022. "Impact of payout restrictions in the wake of the COVID-19 pandemic on European and US banks´ market valuation," Financial Stability Review, Banco de España, issue NOV.
   4. Julio R. Hernáez & Alejandra Bernad & Laura Hierro & Ana M. Gómez-Bezares, 2022. "Reflections on the future business model of European banks and the supervisory approach," Financial Stability Review, Banco de España, issue MAY.
   5. Andreeva, Desislava & Bochmann, Paul & Schneider, Julius, 2023. "Evaluating the impact of dividend restrictions on euro area bank market values," Working Paper Series 2787, European Central Bank.
   6. Ángel de la Fuente, 2022. "Boletín Fedea no. 17. Situación económica y respuesta a la crisis de Ucrania," Studies on the Spanish Economy eee2022-17, FEDEA.
   7. Pasiouras, Fotios & Samet, Anis, 2022. "Social capital and the cost of bank equity: Cross-country evidence," Journal of Banking & Finance, Elsevier, vol. 141(C).
   8. Julio R. Hernáez & Alejandra Bernad & Laura Hierro & Ana M. Gómez-Bezares, 2022. "Reflections on the future business model of European banks and the supervisory approach," Revista de Estabilidad Financiera, Banco de España, issue MAY.

2. Dumitru, Ana-Maria & Hizmeri, Rodrigo & Izzeldin, Marwan, 2019. "Forecasting the Realized Variance in the Presence of Intraday Periodicity," EconStor Preprints 193631, ZBW - Leibniz Information Centre for Economics.

   Cited by:

   1. Dette, Holger & Golosnoy, Vasyl & Kellermann, Janosch, 2022. "Correcting Intraday Periodicity Bias in Realized Volatility Measures," Econometrics and Statistics, Elsevier, vol. 23(C), pages 36-52.

3. Dumitru, Ana-Maria & Holden, Thomas, 2019. "Quantifying the transmission of European sovereign default risk," EconStor Preprints 193632, ZBW - Leibniz Information Centre for Economics.

   Cited by:

   1. Ge, S., 2020. "A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model," Cambridge Working Papers in Economics 20114, Faculty of Economics, University of Cambridge.

4. Dumitru, Ana-Maria & Urga, Giovanni, 2016. "Jumps and Information Asymmetry in the US Treasury Market," EconStor Preprints 130148, ZBW - Leibniz Information Centre for Economics.

   Cited by:

   1. Han, Seung-Oh & Huh, Sahn-Wook & Park, Jeayoung, 2023. "Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 276-307.
   2. Wanidwaranan, Phasin & Padungsaksawasdi, Chaiyuth, 2020. "The effect of return jumps on herd behavior," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).

Articles

1. Ana-Maria Dumitru & Giovanni Urga, 2011. "Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 242-255, October.

   Cited by:

   1. Degiannakis, Stavros & Floros, Christos, 2014. "Intra-Day Realized Volatility for European and USA Stock Indices," MPRA Paper 64940, University Library of Munich, Germany, revised Jan 2015.
      • Degiannakis, Stavros & Floros, Christos, 2016. "Intra-day realized volatility for European and USA stock indices," Global Finance Journal, Elsevier, vol. 29(C), pages 24-41.
   2. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Post-Print halshs-01442618, HAL.
   3. Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2017. "High-Frequency Jump Tests: Which Test Should We Use?," Papers 1708.09520, arXiv.org, revised Jan 2020.
      • Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S., 2020. "High-frequency jump tests: Which test should we use?," Journal of Econometrics, Elsevier, vol. 219(2), pages 478-487.
      • Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2020. "High-Frequency Jump Tests: Which Test Should We Use?," Monash Econometrics and Business Statistics Working Papers 3/20, Monash University, Department of Econometrics and Business Statistics.
   4. Sévi, Benoît, 2014. "Forecasting the volatility of crude oil futures using intraday data," European Journal of Operational Research, Elsevier, vol. 235(3), pages 643-659.
      • Benoît Sévi, 2014. "Forecasting the volatility of crude oil futures using intraday data," Working Papers 2014-53, Department of Research, Ipag Business School.
      • Benoît Sévi, 2014. "Forecasting the volatility of crude oil futures using intraday data," Post-Print hal-01463921, HAL.
   5. Sébastien Laurent & Shuping Shi, 2018. "Volatility Estimation and Jump Detection for drift-diffusion Processes," Working Papers halshs-01944449, HAL.
      • Laurent, Sébastien & Shi, Shuping, 2020. "Volatility estimation and jump detection for drift–diffusion processes," Journal of Econometrics, Elsevier, vol. 217(2), pages 259-290.
      • Sébastien Laurent & Shuping Shi, 2020. "Volatility estimation and jump detection for drift–diffusion processes," Post-Print hal-02909690, HAL.
      • Sébastien Laurent & Shuping Shi, 2018. "Volatility Estimation and Jump Detection for drift-diffusion Processes," AMSE Working Papers 1843, Aix-Marseille School of Economics, France.
   6. Jan Hanousek & Evžen Kočenda & Jan Novotný, 2016. "Shluková analýza skoků na kapitálových trzích [Cluster Analysis of Jumps on Capital Markets]," Politická ekonomie, Prague University of Economics and Business, vol. 2016(2), pages 127-144.
   7. Winkelmann, Lars & Yao, Wenying, 2021. "Tests for jumps in yield spreads," Discussion Papers 2021/15, Free University Berlin, School of Business & Economics.
      • Lars Winkelmann & Wenying Yao, 2023. "Tests for Jumps in Yield Spreads," Berlin School of Economics Discussion Papers 0024, Berlin School of Economics.
   8. Arouri, Mohamed El Hedi & M’saddek, Oussama & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2017. "Cojumps and Asset Allocation in International Equity Markets," MPRA Paper 89938, University Library of Munich, Germany, revised May 2018.
      • Arouri, Mohamed & M’saddek, Oussama & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2019. "Cojumps and asset allocation in international equity markets," Journal of Economic Dynamics and Control, Elsevier, vol. 98(C), pages 1-22.
   9. Jérôme Lahaye & Christopher Neely, 2020. "The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 410-427, April.
      • Jerome Lahaye & Christopher J. Neely, 2014. "The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited," Working Papers 2014-034, Federal Reserve Bank of St. Louis.
   10. Audrino, Francesco & Hu, Yujia, 2011. "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Economics Working Paper Series 1138, University of St. Gallen, School of Economics and Political Science.
       • Francesco Audrino & Yujia Hu, 2016. "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Econometrics, MDPI, vol. 4(1), pages 1-24, February.
   11. Yao, Wenying & Tian, Jing, 2015. "The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements," Working Papers 2015-05, University of Tasmania, Tasmanian School of Business and Economics.
   12. Bu, Ruijun & Hizmeri, Rodrigo & Izzeldin, Marwan & Murphy, Anthony & Tsionas, Mike, 2023. "The contribution of jump signs and activity to forecasting stock price volatility," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 144-164.
       • , 2019. "The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility," Working Papers 1902, Federal Reserve Bank of Dallas, revised 17 Dec 2022.
       • Ruijun Bu & Rodrigo Hizmeri & Marwan Izzeldin & Anthony Murphy & Mike G. Tsionas, 2021. "The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility," Working Papers 202109, University of Liverpool, Department of Economics.
   13. Giacomo Bormetti & Lucio Maria Calcagnile & Michele Treccani & Fulvio Corsi & Stefano Marmi & Fabrizio Lillo, 2013. "Modelling systemic price cojumps with Hawkes factor models," Papers 1301.6141, arXiv.org, revised Mar 2013.
   14. Dumitru, Ana-Maria & Urga, Giovanni, 2016. "Jumps and Information Asymmetry in the US Treasury Market," EconStor Preprints 130148, ZBW - Leibniz Information Centre for Economics.
   15. Boffelli, Simona & Urga, Giovanni, 2015. "Macroannouncements, bond auctions and rating actions in the European government bond spreads," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 148-173.
   16. Caporin, Massimiliano & Kolokolov, Alexey & Renò, Roberto, 2016. "Systemic co-jumps," SAFE Working Paper Series 149, Leibniz Institute for Financial Research SAFE.
       • Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2017. "Systemic co-jumps," Journal of Financial Economics, Elsevier, vol. 126(3), pages 563-591.
   17. George Kapetanios & Michael Neumann & George Skiadopoulos, 2014. "Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market," Working Papers 730, Queen Mary University of London, School of Economics and Finance.
       • Kapetanios, George & Konstantinidi, Eirini & Neumann, Michael & Skiadopoulos, George, 2019. "Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market," Journal of Financial Markets, Elsevier, vol. 46(C).
   18. John Elder, Hong Miao, and Sanjay Ramchander, 2013. "Jumps in Oil Prices: The Role of Economic News," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
   19. Mingmian Cheng & Norman R. Swanson, 2019. "Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence," Econometrics, MDPI, vol. 7(1), pages 1-32, March.
   20. Fang, Yan & Ielpo, Florian & Sévi, Benoît, 2012. "Empirical bias in intraday volatility measures," Finance Research Letters, Elsevier, vol. 9(4), pages 231-237.
   21. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01442618, HAL.
       • Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Documents de travail du Centre d'Economie de la Sorbonne 17006, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
   22. Lars Winkelmann, 2013. "Quantitative forward guidance and the predictability of monetary policy - A wavelet based jump detection approach -," SFB 649 Discussion Papers SFB649DP2013-016, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
   23. Wenying Yao & Mardi Dungey & Vitali Alexeev, 2020. "Modelling Financial Contagion Using High Frequency Data," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 314-330, September.
   24. Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 30/14, Monash University, Department of Econometrics and Business Statistics.
       • Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2016. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 8/16, Monash University, Department of Econometrics and Business Statistics.
       • Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2017. "Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(3), pages 504-532, April.
       • Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Papers 1401.3911, arXiv.org, revised Mar 2016.
       • Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2013. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 28/13, Monash University, Department of Econometrics and Business Statistics.
   25. Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2017. "Dynamic asset price jumps and the performance of high frequency tests and measures," Monash Econometrics and Business Statistics Working Papers 14/17, Monash University, Department of Econometrics and Business Statistics.
   26. Camponovo, Lorenzo & Matsushita, Yukitoshi & Otsu, Taisuke, 2019. "Empirical likelihood for high frequency data," LSE Research Online Documents on Economics 100320, London School of Economics and Political Science, LSE Library.
   27. Arouri, Mohamed & M’saddek, Oussama & Pukthuanthong, Kuntara, 2019. "Jump risk premia across major international equity markets," Journal of Empirical Finance, Elsevier, vol. 52(C), pages 1-21.
       • Mohamed Arouri & Oussama M’saddek & Kuntara Pukthuanthong, 2017. "Jump risk premia across major international equity markets," Post-Print hal-02083723, HAL.
   28. Lucio Maria Calcagnile & Giacomo Bormetti & Michele Treccani & Stefano Marmi & Fabrizio Lillo, 2015. "Collective synchronization and high frequency systemic instabilities in financial markets," Papers 1505.00704, arXiv.org.
   29. Gilder, Dudley & Shackleton, Mark B. & Taylor, Stephen J., 2014. "Cojumps in stock prices: Empirical evidence," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 443-459.
   30. Sévi, Benoît, 2015. "Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps," Economic Modelling, Elsevier, vol. 44(C), pages 243-251.
       • Benoît Sévi, 2014. "Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps," Working Papers 2014-602, Department of Research, Ipag Business School.
   31. Aitor Ciarreta & Peru Muniain & Ainhoa Zarraga, 2020. "Realized volatility and jump testing in the Japanese electricity spot market," Empirical Economics, Springer, vol. 58(3), pages 1143-1166, March.
   32. Clements, Adam & Liao, Yin, 2017. "Forecasting the variance of stock index returns using jumps and cojumps," International Journal of Forecasting, Elsevier, vol. 33(3), pages 729-742.
   33. Worapree Maneesoonthorn & Gael M Martin & Catherine S Forbes, 2018. "Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference," Monash Econometrics and Business Statistics Working Papers 17/18, Monash University, Department of Econometrics and Business Statistics.
   34. Giacomo Bormetti & Lucio Maria Calcagnile & Michele Treccani & Fulvio Corsi & Stefano Marmi & Fabrizio Lillo, 2015. "Modelling systemic price cojumps with Hawkes factor models," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1137-1156, July.
   35. Jan Hanousek & Jan Novotný, 2014. "Cenové skoky během finanční nejistoty: od intuice k regulační perspektivě [Price Jumps during Financial Crisis: From Intuition to Financial Regulation]," Politická ekonomie, Prague University of Economics and Business, vol. 2014(1), pages 32-48.
   36. Lan Cheng & Xuguang Simon Sheng, 2017. "Combination of “combinations of p values”," Empirical Economics, Springer, vol. 53(1), pages 329-350, August.
       • Xuguang Sheng & Lan Cheng, 2012. "Combination of "Combinations of P-values," Working Papers 2012-11, American University, Department of Economics.
   37. Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2014. "Multi-jumps," MPRA Paper 58175, University Library of Munich, Germany.
       • Massimiliano Caporin & Aleksey Kolokolov & Roberto RenoÕ, 2014. "Multi-jumps," "Marco Fanno" Working Papers 0185, Dipartimento di Scienze Economiche "Marco Fanno".
   38. Vitali Alexeev & Mardi Dungey & Wenying Yao, 2016. "Continuous and Jump Betas: Implications for Portfolio Diversification," Econometrics, MDPI, vol. 4(2), pages 1-15, June.
   39. Pierre Bajgrowicz & Olivier Scaillet & Adrien Treccani, 2016. "Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News," Management Science, INFORMS, vol. 62(8), pages 2198-2217, August.
   40. Kuo-Shing Chen & Yu-Chuan Huang, 2021. "Detecting Jump Risk and Jump-Diffusion Model for Bitcoin Options Pricing and Hedging," Mathematics, MDPI, vol. 9(20), pages 1-24, October.
   41. Gnabo, Jean-Yves & Hvozdyk, Lyudmyla & Lahaye, Jérôme, 2014. "System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 147-174.
   42. Dinesh Gajurel & Mardi Dungey & Wenying Yao & Nagaratnam Jeyasreedharan, 2020. "Jump Risk in the US Financial Sector," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 331-349, September.
   43. Aitor Ciarreta & Peru Muniainy & Ainhoa Zarraga, 2017. "Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market," ISER Discussion Paper 0991, Institute of Social and Economic Research, Osaka University.
   44. Schneider, Michael & Lillo, Fabrizio & Pelizzon, Loriana, 2016. "How has sovereign bond market liquidity changed? An illiquidity spillover analysis," SAFE Working Paper Series 151, Leibniz Institute for Financial Research SAFE.
   45. Bin Wu & Pengzhan Chen & Wuyi Ye, 2021. "Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1055-1073, July.
   46. Jiqian Wang & Feng Ma & M.I.M. Wahab & Dengshi Huang, 2021. "Forecasting China's Crude Oil Futures Volatility: The Role of the Jump, Jumps Intensity, and Leverage Effect," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 921-941, August.
   47. Dumitru, Ana-Maria & Hizmeri, Rodrigo & Izzeldin, Marwan, 2019. "Forecasting the Realized Variance in the Presence of Intraday Periodicity," EconStor Preprints 193631, ZBW - Leibniz Information Centre for Economics.
   48. Jan Novotn?? & Jan Hanousek & Ev??en Ko??enda, 2013. "Price Jump Indicators: Stock Market Empirics During the Crisis," William Davidson Institute Working Papers Series wp1050, William Davidson Institute at the University of Michigan.
   49. Anabelle Couleau & Teresa Serra & Philip Garcia, 2020. "Are Corn Futures Prices Getting “Jumpy”?," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(2), pages 569-588, March.
   50. Giulia Livieri & Maria Elvira Mancino & Stefano Marmi, 2019. "Asymptotic results for the Fourier estimator of the integrated quarticity," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 471-502, December.

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-EEC: European Economics (3) 2017-09-24 2019-03-18 2021-02-01
2. NEP-ECM: Econometrics (2) 2013-04-13 2019-03-18
3. NEP-ETS: Econometric Time Series (2) 2017-09-24 2019-03-18
4. NEP-MST: Market Microstructure (2) 2016-04-30 2019-03-18
5. NEP-BAN: Banking (1) 2021-02-01
6. NEP-FOR: Forecasting (1) 2019-03-18
7. NEP-MAC: Macroeconomics (1) 2021-02-01
8. NEP-RMG: Risk Management (1) 2019-03-18

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