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Martin Ågren

Personal Details

First Name:Martin
Middle Name:
Last Name:Ågren
Suffix:
RePEc Short-ID:pgr186

Affiliation

Nationalekonomiska Institutionen
Uppsala Universitet

Uppsala, Sweden
http://www.nek.uu.se/

: + 46 18 471 25 00
+ 46 18 471 14 78
Box 513, S-751 20 UPPSALA
RePEc:edi:nekuuse (more details at EDIRC)

Research output

as
Jump to: Working papers

Working papers

  1. Ågren, Martin, 2006. "Does Oil Price Uncertainty Transmit to Stock Markets?," Working Paper Series 2006:23, Uppsala University, Department of Economics.
  2. Ågren, Martin, 2006. "Prospect Theory and Higher Moments," Working Paper Series 2006:24, Uppsala University, Department of Economics.
  3. Ågren, Martin, 2005. "Myopic Loss Aversion, the Equity Premium Puzzle, and GARCH," Working Paper Series 2005:11, Uppsala University, Department of Economics.

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. Ågren, Martin, 2006. "Does Oil Price Uncertainty Transmit to Stock Markets?," Working Paper Series 2006:23, Uppsala University, Department of Economics.

    Cited by:

    1. El Hedi Arouri, Mohamed & Jouini, Jamel & Nguyen, Duc Khuong, 2011. "Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1387-1405.
    2. Khan, Salman, 2010. "Crude Oil Price shocks to Emerging Markets: Evaluating the BRICs Case," MPRA Paper 22978, University Library of Munich, Germany.
    3. Ching-Chun Wei & Chung-Hsuan Chen, 2014. "Does WTI Oil Price Returns Volatility Spillover to the Exchange Rate and Stock Index in the US?," International Journal of Energy Economics and Policy, Econjournals, vol. 4(2), pages 189-197.
    4. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2016. "Intraday volatility interaction between the crude oil and equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 1-13.
    5. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2011. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Documentos de Trabajo del ICAE 2011-34, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    6. Arouri, Mohamed El Hedi & Jouini, Jamel & Nguyen, Duc Khuong, 2012. "On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness," Energy Economics, Elsevier, vol. 34(2), pages 611-617.
    7. Afees A. Salisu & Kazeem Isah, 2017. "Modeling the spillovers between stock market and money market in Nigeria," Working Papers 023, Centre for Econometric and Allied Research, University of Ibadan.
    8. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return," CARF F-Series CARF-F-157, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    9. Degiannakis, Stavros & Filis, George, 2016. "Forecasting oil price realized volatility: A new approach," MPRA Paper 69105, University Library of Munich, Germany.
    10. Olson, Eric & J. Vivian, Andrew & Wohar, Mark E., 2014. "The relationship between energy and equity markets: Evidence from volatility impulse response functions," Energy Economics, Elsevier, vol. 43(C), pages 297-305.
    11. Arturo Lorenzo Valdés & Rocío Durán Vázquez & Leticia Armenta Fraire, 2012. "Conditional Correlation Between Oil and Stock Market Returns: The Case of Mexico," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, October.
    12. Salisu, Afees A. & Oloko, Tirimisiyu F., 2015. "Modeling oil price–US stock nexus: A VARMA–BEKK–AGARCH approach," Energy Economics, Elsevier, vol. 50(C), pages 1-12.
    13. Alexander Bass, 2017. "Does Oil Prices Uncertainty Affect Stock Returns in Russia: A Bivariate Generalized Autoregressive Conditional Heteroskedasticity-in-Mean Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 7(4), pages 224-230.
    14. Muhammad Irfan Malik & Abdul Rashid, 2017. "Return And Volatility Spillover Between Sectoral Stock And Oil Price: Evidence From Pakistan Stock Exchange," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., pages 1-22.
    15. Ching-Chun Wei & Ya-Ling Lin, 2016. "Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S," International Journal of Energy Economics and Policy, Econjournals, vol. 6(4), pages 655-662.
    16. Ågren, Martin, 2006. "Prospect Theory and Higher Moments," Working Paper Series 2006:24, Uppsala University, Department of Economics.

  2. Ågren, Martin, 2006. "Prospect Theory and Higher Moments," Working Paper Series 2006:24, Uppsala University, Department of Economics.

    Cited by:

    1. Cary Deck & Harris Schlesinger, 2008. "Exploring Higher-Order Risk Effects," CESifo Working Paper Series 2487, CESifo Group Munich.
    2. Weinert, Jan-Hendrik & Gründl, Helmut, 2016. "The modern tontine: An innovative instrument for longevity risk management in an aging society," ICIR Working Paper Series 22/16, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    3. Ohlsson, Henry, 2009. "The legacy of the Swedish gift and inheritance tax, 1884-2004," Working Paper Series, Center for Fiscal Studies 2009:13, Uppsala University, Department of Economics.
    4. Sören Blomquist & Vidar Christiansen & Luca Micheletto, 2010. "Public Provision of Private Goods and Nondistortionary Marginal Tax Rates," American Economic Journal: Economic Policy, American Economic Association, vol. 2(2), pages 1-27, May.

  3. Ågren, Martin, 2005. "Myopic Loss Aversion, the Equity Premium Puzzle, and GARCH," Working Paper Series 2005:11, Uppsala University, Department of Economics.

    Cited by:

    1. Per Engstrom & Bertil Holmlund, 2009. "Tax evasion and self-employment in a high-tax country: evidence from Sweden," Applied Economics, Taylor & Francis Journals, vol. 41(19), pages 2419-2430.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 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-FIN: Finance (3) 2005-04-03 2006-10-28 2006-10-28
  2. NEP-CBE: Cognitive & Behavioural Economics (1) 2006-10-28
  3. NEP-ENE: Energy Economics (1) 2006-10-28
  4. NEP-UPT: Utility Models & Prospect Theory (1) 2006-10-28

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