Ray Yeutien Chou : Citation Profile


Are you Ray Yeutien Chou?

Academia Sinica

11

H index

11

i10 index

1984

Citations

RESEARCH PRODUCTION:

18

Articles

3

Papers

RESEARCH ACTIVITY:

   30 years (1988 - 2018). See details.
   Cites by year: 66
   Journals where Ray Yeutien Chou has often published
   Relations with other researchers
   Recent citing documents: 102.    Total self citations: 8 (0.4 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pch263
   Updated: 2020-10-24    RAS profile: 2020-06-17    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Ray Yeutien Chou.

Is cited by:

Bollerslev, Tim (38)

McAleer, Michael (36)

Diebold, Francis (35)

Engle, Robert (23)

Andersen, Torben (21)

Chen, Cathy W. S. (20)

Degiannakis, Stavros (14)

Christoffersen, Peter (14)

Gallo, Giampiero (14)

Fiszeder, Piotr (12)

Zhu, Ke (11)

Cites to:

Engle, Robert (39)

Bollerslev, Tim (24)

Frankel, Jeffrey (19)

pagan, adrian (14)

Schwert, G. (13)

French, Kenneth (12)

Teräsvirta, Timo (10)

Campbell, John (10)

Shiller, Robert (8)

merton, robert (8)

Engel, Charles (8)

Main data


Where Ray Yeutien Chou has published?


Journals with more than one article published# docs
Journal of Banking & Finance3
Journal of Econometrics2
The North American Journal of Economics and Finance2

Recent works citing Ray Yeutien Chou (2020 and 2019)


YearTitle of citing document
2019Studying the Volatility of Pakistan Stock Exchange and Shanghai Stock Exchange Markets in the Light of CPEC: An Application of GARCH and EGARCH Modelling. (2019). Fatima, Samreen ; Fraz, Tayyab Raza ; Ahsanuddin, Muhammad. In: International Journal of Sciences. RePEc:adm:journl:v:8:y:2019:i:3:p:125-132.

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2019Detailed study of a moving average trading rule. (2019). Yen, Ju-Yi ; Silva, Christian A ; Ferreira, Fernando F. In: Papers. RePEc:arx:papers:1907.00212.

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2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

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2020Gaussian process imputation of multiple financial series. (2020). Tobar, Felipe ; Cuevas, Alejandro ; de Wolff, Taco. In: Papers. RePEc:arx:papers:2002.05789.

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2020A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110.

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2020Dynamic Hedging using Generated Genetic Programming Implied Volatility Models. (2020). Abdelmalek, Wafa ; Abid, Fathi ; ben Hamida, Sana. In: Papers. RePEc:arx:papers:2006.16407.

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2020Stock Market Sensitivity to Macroeconomic Factors: Evidence from China and India. (2020). Faniband, Muhammadriyaj ; Chellaswamy, Karthigai Prakasam. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:146-159.

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2020Asymmetric Volatility Effects in Risk Management: An Empirical Analysis using a Stock Index Futures. (2020). Guillermo, Benavides . In: Working Papers. RePEc:bdm:wpaper:2020-10.

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2019Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models. (2019). NG, KOK HAUR ; Kok-Haur, NG ; Shelton, Peiris ; Thanakorn, Nitithumbundit ; So, Chan Jennifer. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:2:p:22:n:4.

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2020GARCH Modelling of High-Capitalization Cryptocurrencies Impacts During Bearish Markets. (2020). Athanasios, Pandazis ; Anastasios-Taxiarchis, Koutsioukis ; Efthymios, Katsaros ; Panagiotis, Anastasiadis. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:9:y:2020:i:3:p:87-106.

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2019Investors Trading Behaviour and Stock Market Volatility during Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange. (2019). Caporale, Guglielmo Maria ; Kartsaklas, Aris ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7984.

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2020Measuring Systemic Risk: A Quantile Factor Analysis. (2020). Sagner, Andres. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:874.

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2019Effect of the anchoring and adjustment heuristic and optimism bias in stock market forecasts. (2019). Gomez-Mejia, Alina ; Pea, Victor Alberto . In: Revista Finanzas y Politica Economica. RePEc:col:000443:018460.

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2019Exponential-type GARCH models with linear-in-variance risk premium. (2019). Hafner, Christian ; Dimitra, Kyriakopoulou ; Christian, Hafner. In: CORE Discussion Papers. RePEc:cor:louvco:2019013.

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2019An Improved Bayesian Unit Root Test in Stochastic Volatility Models. (2019). Yu, Jun ; JunYu, ; Li, Yong. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:1:liyu.

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2019Quantitative easing and exuberance in stock markets: Evidence from the euro area. (2019). Hudepohl, Thomas ; de Vette, Nander ; van Lamoen, Ryan . In: DNB Working Papers. RePEc:dnb:dnbwpp:660.

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2019Global Contagion of Investor Sentiment during the US Subprime Crisis: The Case of the USA and the Region of Latin America. (2019). ben Halima, Amel ; Talbi, Mariem. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-15.

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2020Modeling and Forecasting USD/UGX Volatility through GARCH Family Models: Evidence from Gaussian, T and GED Distributions. (2020). Erkekoglu, Hatice ; Deng, Adire Simon ; Majok, Aweng Peter. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-02-31.

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2019Improving forecasts with the co-range dynamic conditional correlation model. (2019). Fiszeder, Piotr ; Fadziski, Marcin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301356.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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2019Performance and productivity in Islamic and conventional banks: Evidence from the global financial crisis. (2019). Pappas, Vasileios ; Johnes, Jill ; Izzeldin, Marwan ; Alexakis, Christos. In: Economic Modelling. RePEc:eee:ecmode:v:79:y:2019:i:c:p:1-14.

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2019Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data. (2019). Mohamed, Ibrahim ; Chan, Jennifer So-Kuen ; Ng, Kok-Haur ; Tan, Shay-Kee. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:537-551.

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2020Forecasting volatility with component conditional autoregressive range model. (2020). Hou, Xinmeng ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081930083x.

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2020Spatial spillover effects and risk contagion around G20 stock markets based on volatility network. (2020). Lu, Yang ; Zhuang, Xintian ; Zhang, Weiping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302815.

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2020The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

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2020Holidays, weekends and range-based volatility. (2020). Pardo, Angel ; Diaz-Mendoza, Ana-Carmen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819303110.

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2020Analysis of the impact of Sino-US trade friction on China’s stock market based on complex networks. (2020). Zhang, Weiping ; Wang, Jian ; Zhuang, Xintian ; Li, Yanshuang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300826.

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2020An analysis of the stock market reaction to the announcements of the UK Soft Drinks Industry Levy. (2020). Smith, Richard ; White, Martin ; Rutter, Harry ; Penney, Tarra ; Adams, Jean ; Cornelsen, Laura ; Law, Cherry. In: Economics & Human Biology. RePEc:eee:ehbiol:v:38:y:2020:i:c:s1570677x19302096.

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2019Range-based DCC models for covariance and value-at-risk forecasting. (2019). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:58-76.

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2019Liquidity, surprise volume and return premia in the oil market. (2019). Wagner, Niklasf ; Szilagyi, Peter G ; Kinateder, Harald ; Batten, Jonathan A. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:93-104.

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2019Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling. (2019). Hong, Yongmiao ; Zhang, Xun ; Sun, Yuying ; Wang, Shouyang. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:165-173.

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2019Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States. (2019). Ma, Feng ; Xu, Weiju ; Zhang, Bing ; Chen, Wang. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:310-320.

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2020The asymmetric impact of oil prices, interest rates and oil price uncertainty on unemployment in the US. (2020). Soytas, Mehmet ; Kocaarslan, Baris. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304220.

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2019Modeling intraday volatility of European bond markets: A data filtering application. (2019). Dufour, Alfonso ; Zhang, Hanyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:131-146.

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2019Price range and the cross-section of expected country and industry returns. (2019). Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:174-189.

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2020Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management. (2020). Tsuji, Chikashi. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521919302224.

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2019A new variant of RealGARCH for volatility modeling. (2019). Wang, Shouyang ; Qi, Nan ; Xie, Haibin. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:438-443.

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2019Economic policy uncertainty, risk and stock returns: Evidence from G7 stock markets. (2019). Chiang, Thomas C. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:41-49.

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2020On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure. (2020). NG, KOK HAUR ; Chan, Jennifer ; Tan, Shay-Kee. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305105.

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2020Testing for herding in the cryptocurrency market. (2020). Drakos, Konstantinos ; Ballis, Antonis. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319301643.

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2020Housing prices and investor sentiment dynamics: Evidence from China using a wavelet approach. (2020). Li, YI ; Hong, Yun. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319304908.

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2020The overnight return puzzle and the “T+1” trading rule in Chinese stock markets. (2020). Dam, Lammertjan ; Qiao, Kenan. In: Journal of Financial Markets. RePEc:eee:finmar:v:50:y:2020:i:c:s1386418120300033.

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2019Stock market integration between the UK and the US: Evidence over eight decades. (2019). Casalin, Fabrizio ; Aladesanmi, Olalekan ; Metcalf, Hugh . In: Global Finance Journal. RePEc:eee:glofin:v:41:y:2019:i:c:p:32-43.

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2019Does risk premium help uncover the uncovered interest parity failure?. (2019). Kumar, Satish. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443118302725.

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2019Approximate Bayesian forecasting. (2019). , Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:521-539.

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2019Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1332-1355.

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2020Macroeconomic forecasting using approximate factor models with outliers. (2020). Yen, Yu-Min ; Chou, Ray Yeutien. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:267-291.

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2019Risk analysis of high frequency precious metals returns by using long memory model. (2019). Shahbaz, Muhammad ; Naeem, Muhammad ; Mustafa, Faisal ; Saleem, Kashif. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:399-409.

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2019The investment-uncertainty relationship in the oil and gas industry. (2019). Manera, Matteo ; Sadeghzadeh, Mehdi ; Ahmadi, Maryam. In: Resources Policy. RePEc:eee:jrpoli:v:63:y:2019:i:c:52.

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2020Hedging the exchange rate risk for international portfolios. (2020). Liu, Yong Jun ; Zhang, Weiguo ; Yu, Xing ; Wang, Chao. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:173:y:2020:i:c:p:85-104.

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2019Trading as sharp movements in oil prices and technical trading signals emitted with big data concerns. (2019). Huang, Paoyu ; Ni, Yensen ; Day, Min-Yuh. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:349-372.

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2020Cohomology theory for financial time series. (2020). Pinak, Richard ; Kanjamapornkul, Kabin ; Barto, Erik . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:546:y:2020:i:c:s037843711931283x.

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2020Duration of Global Financial Cycles. (2020). Berument, Hakan M ; Varlik, Serdar ; Akdi, Yilmaz. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:549:y:2020:i:c:s0378437120301102.

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2019Testing the alternative two-state options pricing models: An empirical analysis on TXO. (2019). Su, EnDer ; Wong, Kai Wen . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:72:y:2019:i:c:p:101-116.

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2020Efficiency, technical progress and productivity of Arab banks: A non-parametric approach. (2020). el Moussawi, Chawki ; Mansour, Rana. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:191-208.

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2020Whose trades move stock prices? Evidence from the Taiwan Stock Exchange. (2020). Lin, Zong-Wei ; Hung, Pi-Hsia ; Lien, Donald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:25-50.

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2020Movements in international bond markets: The role of oil prices. (2020). GUPTA, RANGAN ; Bouri, Elie ; Nazlioglu, Saban. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:47-58.

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2019What is going on with studies on banking efficiency?. (2019). de Abreu, Emmanuel Sousa ; Sobreiro, Vinicius Amorim ; Kimura, Herbert. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:195-219.

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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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2019Informational inefficiency of Bitcoin: A study based on high-frequency data. (2019). Zargar, Faisal Nazir ; Kumar, Dilip. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:344-353.

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2019Political regimes, investment and electoral uncertainty. (2019). Marcelin, Isaac ; Tecklezion, Mussie ; Fanta, Fassil ; Stephen, Sheryl-Ann K. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:580-599.

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2019Modelling volatility of cryptocurrencies using Markov-Switching GARCH models. (2019). Caporale, Guglielmo Maria ; Zekokh, Timur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:143-155.

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2020Regulatory reform and market efficiency: The case of Indian agricultural commodity futures markets. (2020). Mishra, Sibanjan ; Mohanty, Sunil K. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531918308109.

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2020Trading behaviour connectedness across commodity markets: Evidence from the hedgers’ sentiment perspective. (2020). Ji, Qiang ; GUPTA, RANGAN ; Geng, Jiang-Bo ; Bahloul, Walid. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919308578.

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2019Optimal Multi-Step-Ahead Prediction of ARCH/GARCH Models and NoVaS Transformation. (2019). Politis, Dimitris N ; Chen, Jie. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:34-:d:255884.

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2020The Impacts of International Political and Economic Events on Japanese Financial Markets. (2020). Sultonov, Mirzosaid. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:3:p:43-:d:382078.

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2019Analysis of a Global Futures Trend-Following Strategy. (2019). Fulton, Lawrence ; Nokes, Derek. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:111-:d:244237.

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2019Forecasting Realized Volatility Using a Nonnegative Semiparametric Model. (2019). Yu, Jun ; JunYu, ; Daniel, ; Eriksson, Anders. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:139-:d:262198.

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2020News-Driven Expectations and Volatility Clustering. (2020). Inoua, Sabiou. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:1:p:17-:d:310875.

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2020Safe-Haven Assets, Financial Crises, and Macroeconomic Variables: Evidence from the Last Two Decades (2000–2018). (2020). Tronzano, Marco. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:3:p:40-:d:326016.

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2020Long Memory in the Volatility of Selected Cryptocurrencies: Bitcoin, Ethereum and Ripple. (2020). Altintig, Ayca Z ; Atikka, Ozgur ; Okur, Mustafa ; Soylu, Pinar Kaya. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:107-:d:364466.

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2020A Dual Challenge in China’s Sustainable Total Factor Productivity Growth. (2020). Liao, Li-Chuan ; Chang, Tzu-Pu ; Zhang, Shaohua. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:13:p:5342-:d:379190.

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2019A new approach of coherent risk-measure pricing. (2019). Zhao, Peibiao ; Lepinette, Emmanuel. In: Working Papers. RePEc:hal:wpaper:hal-02135232.

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2019Day-of-the-week and month-of-the-year effects on French Small-Cap Volatility: the role of asymmetry and long memory. (2019). Chikhi, Mohamed ; BENDOB, ALI ; Siagh, Ahmed Ramzi. In: Eastern Journal of European Studies. RePEc:jes:journl:y:2019:v:10:p:221-248.

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2019How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models. (2019). Dong, Manh Cuong ; Sriboonchitta, Songsak ; Lee, Sangyoel. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-017-9743-z.

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2019A dynamic stochastic frontier model with threshold effects: U.S. bank size and efficiency. (2019). Kutlu, Levent ; Karakaplan, Mustafa ; Almanidis, Pavlos . In: Journal of Productivity Analysis. RePEc:kap:jproda:v:52:y:2019:i:1:d:10.1007_s11123-019-00565-6.

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2019Robust measures of skewness and kurtosis for macroeconomic and financial time series. (2019). Bastianin, Andrea ; Andrea, Bastianin. In: Working Papers. RePEc:mib:wpaper:408.

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2020Does Gold Act as a Hedge or a Safe Haven? Evidence from Pakistan. (2020). Hayat, Zafar ; Ahmed, Pervez ; Oad, Suresh Kumar ; Chang, Bisharat Hussain. In: The Pakistan Development Review. RePEc:pid:journl:v:59:y:2020:i:1:p:69-80.

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2020Periodic autoregressive conditional duration. (2020). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:101696.

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2020Efficient Markets Hypothesis in Canada:‎ a comparative study between Islamic and Conventional stock markets ‎. (2020). Neifar, Malika. In: MPRA Paper. RePEc:pra:mprapa:103175.

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2019Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio. In: MPRA Paper. RePEc:pra:mprapa:93802.

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2020Stock Market Volatility Analysis: A Case Study of TUNindex. (2020). NEIFAR, Malika. In: MPRA Paper. RePEc:pra:mprapa:99140.

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2020Islamic vs Conventional Canadian stock markets : what difference ?. (2020). Neifar, Malika. In: MPRA Paper. RePEc:pra:mprapa:99608.

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2019Contagion between Stock and Real Estate Markets: International Evidence from a Local Gaussian Correlation Approach. (2019). Wang, Shixuan ; GUPTA, RANGAN ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:201917.

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2019Movements in International Bond Markets: The Role of Oil Prices. (2019). GUPTA, RANGAN ; Bouri, Elie ; Nazlioglu, Saban. In: Working Papers. RePEc:pre:wpaper:201935.

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2019Price and Volatility Linkages between International REITs and Oil Markets. (2019). Soytas, Ugur ; GUPTA, RANGAN ; Gormus, Alper ; Nazlioglu, Saban. In: Working Papers. RePEc:pre:wpaper:201954.

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2019.

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2020Application of GARCH Models For Volatility Modelling of Stock Market Returns: Evidences From BSE India. (2020). Mathur, Himanshu. In: Proceedings of Business and Management Conferences. RePEc:sek:ibmpro:10112533.

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2020Estimation and determinants of Chinese banks’ total factor efficiency: a new vision based on unbalanced development of Chinese banks and their overall risk. (2020). Härdle, Wolfgang ; Wang, LI ; Hardle, Wolfgang K ; Chen, Shiyi. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:2:d:10.1007_s00180-019-00951-6.

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2019Volatility spillovers among global stock markets: measuring total and directional effects. (2019). Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Hurtado-Guarin, Jorge Luis ; Gamba-Santamaria, Santiago . In: Empirical Economics. RePEc:spr:empeco:v:56:y:2019:i:5:d:10.1007_s00181-017-1406-3.

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2019Robust Volatility Estimation with and Without the Drift Parameter. (2019). Maheswaran, S ; Shaik, Muneer . In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:17:y:2019:i:1:d:10.1007_s40953-018-0129-4.

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2020Value-at-Risk in the Presence of Structural Breaks Using Unbiased Extreme Value Volatility Estimator. (2020). Kumar, Dilip. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:18:y:2020:i:3:d:10.1007_s40953-020-00197-w.

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2019A Gini-based time series analysis and test for reversibility. (2019). Shelef, Amit ; Schechtman, Edna. In: Statistical Papers. RePEc:spr:stpapr:v:60:y:2019:i:3:d:10.1007_s00362-016-0845-9.

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2019Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies. (2019). Xiao, Ran. In: PhD Thesis. RePEc:uts:finphd:5-2019.

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2019Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility. (2019). Chen, Cathy W. S. ; Watanabe, Toshiaki. In: Applied Stochastic Models in Business and Industry. RePEc:wly:apsmbi:v:35:y:2019:i:3:p:747-765.

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2020Birnbaum‐Saunders autoregressive conditional range model applied to stock index data. (2020). Leo, Jeremias ; Nascimento, Diego C ; Lopes, Erico. In: Applied Stochastic Models in Business and Industry. RePEc:wly:apsmbi:v:36:y:2020:i:4:p:570-585.

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2020Forecasting stock volatility in the presence of extreme shocks: Short‐term and long‐term effects. (2020). Wang, LU ; Liu, Guoshan ; Ma, Feng. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:5:p:797-810.

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More than 100 citations found, this list is not complete...

Works by Ray Yeutien Chou:


YearTitleTypeCited
1991es modéles ARCH en finance : un point sur la théorie et les résultats empiriques In: Annals of Economics and Statistics.
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article0
2016Outlier Detection in the Lognormal Logarithmic Conditional Autoregressive Range Model In: Oxford Bulletin of Economics and Statistics.
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article1
2010The economic value of volatility timing using a range-based volatility model In: Journal of Economic Dynamics and Control.
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article15
2013Anchoring effect on foreign institutional investors’ momentum trading behavior: Evidence from the Taiwan stock market In: The North American Journal of Economics and Finance.
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article12
2014Interest rate risk propagation: Evidence from the credit crunch In: The North American Journal of Economics and Finance.
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article6
1992ARCH modeling in finance : A review of the theory and empirical evidence In: Journal of Econometrics.
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article1417
2000Testing time reversibility without moment restrictions In: Journal of Econometrics.
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article35
2009Range-based multivariate volatility model with double smooth transition in conditional correlation In: Global Finance Journal.
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article5
2009Explaining international stock correlations with CPI fluctuations and market volatility In: Journal of Banking & Finance.
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article52
2012The sources of bank productivity growth in China during 2002–2009: A disaggregation view In: Journal of Banking & Finance.
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article39
2017Risk evaluations with robust approximate factor models In: Journal of Banking & Finance.
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article1
1995Determinants of U.S. commercial bank performance: regulatory and econometric issues In: Finance and Economics Discussion Series.
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paper4
1994Cointegration of International Stock Market Indices In: IMF Working Papers.
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paper35
1988Volatility Persistence and Stock Valuations: Some Empirical Evidence Using Garch. In: Journal of Applied Econometrics.
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article151
2014Market conditions and the effect of diversification on mutual fund performance: should funds be more concentrative under crisis? In: Journal of Productivity Analysis.
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article0
2009Forecasting time-varying covariance with a range-based dynamic conditional correlation model In: Review of Quantitative Finance and Accounting.
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article12
2005Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model. In: Journal of Money, Credit and Banking.
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article131
1991Measuring Risk Aversion From Excess Returns on a Stock Index In: NBER Working Papers.
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paper60
2018Anchoring Effect on Macroeconomic Forecasts : A Heterogeneity Approach In: Journal for Economic Forecasting.
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article0
2012The euros impacts on the smooth transition dynamics of stock market volatilities In: Quantitative Finance.
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article0
2000Market volatility and the demand for hedging in stock index futures In: Journal of Futures Markets.
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article8

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