Bo Young Chang : Citation Profile


Are you Bo Young Chang?

Bank of Canada

4

H index

3

i10 index

146

Citations

RESEARCH PRODUCTION:

3

Articles

5

Papers

RESEARCH ACTIVITY:

   9 years (2009 - 2018). See details.
   Cites by year: 16
   Journals where Bo Young Chang has often published
   Relations with other researchers
   Recent citing documents: 57.    Total self citations: 2 (1.35 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch1425
   Updated: 2019-10-15    RAS profile: 2015-02-23    
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Relations with other researchers


Works with:

Feunou, Bruno (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Bo Young Chang.

Is cited by:

Christoffersen, Peter (6)

Feunou, Bruno (6)

Sévi, Benoît (5)

Bernales, Alejandro (4)

Guidolin, Massimo (4)

Greenwood-Nimmo, Matthew (4)

Nguyen, Viet Hoang (4)

Prokopczuk, Marcel (3)

Lehnert, Thorsten (3)

Skiadopoulos, George (3)

Chevallier, Julien (2)

Cites to:

Christoffersen, Peter (9)

Christensen, Bent Jesper (7)

Fama, Eugene (7)

Bollerslev, Tim (6)

Chernov, Mikhail (6)

Doran, James (6)

Chen, Zhiwu (4)

Xing, Yuhang (4)

Harvey, Campbell (4)

Nielsen, Morten (4)

Andersen, Torben (4)

Main data


Where Bo Young Chang has published?


Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada2

Recent works citing Bo Young Chang (2018 and 2017)


YearTitle of citing document
2017A unified framework for pricing credit and equity derivatives. (2017). de Martino, Andrea ; Stagni, Roberto ; Ruiz, Edward Manuel. In: Working Papers. RePEc:apc:wpaper:2017-116.

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2018Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2018). Crisóstomo, Ricardo ; Couso, Lorena. In: Papers. RePEc:arx:papers:1801.08007.

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2017Variance Premium, Downside Risk and Expected Stock Returns. (2017). Feunou, Bruno ; Tedongap, Romeo ; Aliouchkin, Ricardo Lopez. In: Staff Working Papers. RePEc:bca:bocawp:17-58.

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2018Could a Higher Inflation Target Enhance Macroeconomic Stability?. (2018). Mendes, Rhys ; Lepetyuk, Vadym ; Labelle, Nicholas ; Dorich, Jose. In: Staff Working Papers. RePEc:bca:bocawp:18-17.

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2018Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia. (2018). ORNELAS, JOSE ; Finta, Marinela Adriana. In: Working Papers Series. RePEc:bcb:wpaper:479.

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2018Could a higher inflation target enhance macroeconomic stability?. (2018). Mendes, Rhys ; Lepetyuk, Vadym ; St-Pierre, Nicholas Labelle ; Dorich, Jose. In: BIS Working Papers. RePEc:bis:biswps:720.

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2018Monetary policy uncertainty, positions of traders and changes in commodity futures prices. (2018). Gospodinov, Nikolay ; Jamali, Ibrahim. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:239-260.

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2019The information content of the implied volatility term structure on future returns. (2019). Yen, Kuangchieh ; Wang, Yawhuei. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:2:p:380-406.

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2017Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2017). Crisóstomo, Ricardo ; Crisostomo, Ricardo ; Couso, Lorena. In: CNMV Working Papers. RePEc:cnv:wpaper:dt_67en.

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2018Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692.

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2017Skewness Preference and IPO Anomalies in China. (2017). Tang, Wei ; Xu, Liheng ; Wu, Tianhao. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2017:v:18:i:1:tang:wu:xu.

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2017More than a feeling: confidence, uncertainty and macroeconomic fluctuations. (2017). Stracca, Livio ; Nowzohour, Laura . In: Working Paper Series. RePEc:ecb:ecbwps:20172100.

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2018A new tight and general bound on return predictability. (2018). Potì, Valerio ; Poti, Valerio. In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:140-145.

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2017Does oil and gold price uncertainty matter for the stock market?. (2017). Bams, Dennis ; Lehnert, Thorsten ; Honarvar, Iman ; Blanchard, Gildas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:270-285.

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2018Relief Rallies after FOMC Announcements as a Resolution of Uncertainty. (2018). Kurov, Alexander ; Wolfe, Marketa Halova ; Gu, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:1-18.

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2018CAPM, components of beta and the cross section of expected returns. (2018). Cenesizoglu, Tolga ; Reeves, Jonathan J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:223-246.

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2018Risk-neutral moments in the crude oil market. (2018). Ruan, Xinfeng ; Zhang, Jin E. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:583-600.

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2019Skewness risk premium: Theory and empirical evidence. (2019). Wolff, Christian ; Lin, Yuehao ; Lehnert, Thorsten. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:174-185.

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2019Intraday information from S&P 500 Index futures options. (2019). , Nelson ; Chen, Ying ; Lim, Kian Guan. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:29-55.

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2019Asset pricing factors and bank CDS spreads. (2019). Koutmos, Dimitrios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:19-41.

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2017The market price of risk of the variance term structure. (2017). Dotsis, George. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:41-52.

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2018Monetary policy uncertainty and the market reaction to macroeconomic news. (2018). Kurov, Alexander ; Stan, Raluca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:86:y:2018:i:c:p:127-142.

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2018The skewness of commodity futures returns. (2018). Frijns, Bart ; Fernandez-Perez, Adrian ; Miffre, Joelle ; Fuertes, Ana-Maria. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:86:y:2018:i:c:p:143-158.

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2018Estimating risk-return relations with analysts price targets. (2018). Wu, Liuren. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:183-197.

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2018Oil volatility risk and expected stock returns. (2018). Christoffersen, Peter ; Pan, Xuhui . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:5-26.

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2018Covariance forecasting in equity markets. (2018). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos ; Symitsi, Efthymia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:153-168.

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2019Bear beta. (2019). Murray, Scott ; Lu, Zhongjin . In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:736-760.

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2019Variance risk in aggregate stock returns and time-varying return predictability. (2019). Pyun, Sungjune. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:1:p:150-174.

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2017International volatility risk and Chinese stock return predictability. (2017). Jiang, Fuwei ; Chen, Jian ; Tu, Jun ; Liu, Yangshu . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:183-203.

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2017Carry trade strategies based on option-implied information: Evidence from a cross-section of funding currencies. (2017). Chen, Shu-Hsiu. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:78:y:2017:i:c:p:1-20.

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2019Asset allocation and investment opportunities in emerging stock markets: Evidence from return asymmetry-based analysis. (2019). Ftiti, Zied ; Hadhri, Sinda. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:93:y:2019:i:c:p:187-200.

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2019Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets. (2019). Chiang, Thomas C. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:264-278.

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2018Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement. (2018). Phin, Andrew ; Saxena, Konark ; Reeves, Jonathan J ; Prono, Todd . In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-81.

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2019An Empirical Analysis of Bitcoin Price Jump Risk. (2019). Kang, Naeyoung ; Kim, Jungmu . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:7:p:2012-:d:220004.

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2018The skewness of commodity futures returns. (2018). Frijns, Bart ; Fernandez-Perez, Adrian ; Miffre, Joelle ; Fuertes, Ana-Maria. In: Post-Print. RePEc:hal:journl:hal-01678744.

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2017How to Estimate Beta?. (2017). Prokopczuk, Marcel ; Simen, Chardin Wese ; Hollstein, Fabian . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-617.

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2017The Term Structure of Systematic and Idiosyncratic Risk. (2017). Prokopczuk, Marcel ; Simen, Chardin Wese ; Hollstein, Fabian . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-618.

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2017Predicting the Equity Market with Option Implied Variables. (2017). Prokopczuk, Marcel ; Simen, Chardin Wese ; Tharann, Bjorn. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-619.

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2017Assessment of Density Forecast for Energy Commodities in Post-Financialization Era. (2017). Deepak, Bisht ; Laha, A K. In: IIMA Working Papers. RePEc:iim:iimawp:14574.

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2018The pricing kernel puzzle: survey and outlook. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9.

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2017How does the underlying affect the risk-return profiles of structured products?. (2017). Cao, JI. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:1:d:10.1007_s11408-016-0281-9.

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2017Implied volatility and skewness surface. (2017). Feunou, Bruno ; Tedongap, Romeo ; Fontaine, Jean-Sebastien. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:2:d:10.1007_s11147-016-9127-x.

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2018Risk-adjusted option-implied moments. (2018). Brinkmann, Felix ; Korn, Olaf . In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:2:d:10.1007_s11147-017-9136-4.

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2019Systematic risk, the tradeoff of leverage and IPO first-day returns. (2019). Hellara, Narjess Skhiri ; Ben Aissia, Dorsaf . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:53:y:2019:i:1:d:10.1007_s11156-018-0748-z.

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2018Forecasting International Index Returns using Option-implied Variables. (2018). Gagnon, Marie-Helene ; Toupin, Dominique ; Power, Gabriel. In: Cahiers de recherche. RePEc:lvl:crrecr:1807.

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2018The Risk-Asymmetry Index as a new Measure of Risk. (2018). Muzzioli, Silvia ; Gambarelli, Luca ; Elyasiani, Elyas. In: Multinational Finance Journal. RePEc:mfj:journl:v:22:y:2018:i:3-4:p:173-210.

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2018The use of option prices in order to evaluate the skewness risk premium. (2018). Elyasiani, Elyas ; Muzzioli, Silvia ; Gambarelli, Luca. In: Department of Economics. RePEc:mod:depeco:0132.

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2018The properties of a skewness index and its relation with volatility and returns. (2018). Elyasiani, Elyas ; Muzzioli, Silvia ; Gambarelli, Luca. In: Department of Economics. RePEc:mod:depeco:0133.

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2017The mispricing of equity risk: behavioral and corporate leverage factors. (2017). ben Aissia, Dorsaf . In: Journal of Asset Management. RePEc:pal:assmgt:v:18:y:2017:i:6:d:10.1057_s41260-017-0041-z.

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2019State-dependent size and value premium: evidence from a regime-switching asset pricing model. (2019). Piqueira, Natalia ; Li, Bingxin. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:3:d:10.1057_s41260-019-00113-9.

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2017What Is the Expected Return on a Stock?. (2017). Martin, Ian ; Wagner, Christian. In: 2017 Meeting Papers. RePEc:red:sed017:146.

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2018Global idiosyncratic risk moments. (2018). Mohammad Reza Tavakoli Baghdadabad, ; Mallik, Girijasankar. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1301-y.

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2017Estimation of relative risk aversion across time. (2017). Conine, Thomas E ; Tamarkin, Maurry ; McDonald, Michael B. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:21:p:2117-2124.

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2019Nonparametric Assessment of Hedge Fund Performance. (2019). Garcia, Rene ; Ardison, Kim ; Almeida, Caio . In: TSE Working Papers. RePEc:tse:wpaper:123176.

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2018Textual Sentiment, Option Characteristics, and Stock Return Predictability. (2018). Härdle, Wolfgang ; Fengler, Matthias ; Liu, Yanchu ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan. In: Economics Working Paper Series. RePEc:usg:econwp:2018:08.

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2018OUT-OF-SAMPLE STOCK RETURN PREDICTION USING HIGHER-ORDER MOMENTS. (2018). Faias, Jose Afonso ; Castel-Branco, Tiago. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500437.

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Works by Bo Young Chang:


YearTitleTypeCited
2011Forecasting with Option Implied Information In: CREATES Research Papers.
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paper23
2014Measuring Uncertainty in Monetary Policy Using Realized and Implied Volatility In: Bank of Canada Review.
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article2
2013Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility In: Staff Working Papers.
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paper6
2016Equity Option-Implied Probability of Default and Equity Recovery Rate In: Staff Working Papers.
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paper1
2018The Cost of the Government Bond Buyback and Switch Programs in Canada In: Staff Analytical Notes.
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paper0
2009Option-Implied Measures of Equity Risk In: CIRANO Working Papers.
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paper30
2011Option-Implied Measures of Equity Risk.(2011) In: Review of Finance.
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This paper has another version. Agregated cites: 30
article
2013Market skewness risk and the cross section of stock returns In: Journal of Financial Economics.
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article84

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