Felix Chan : Citation Profile


Are you Felix Chan?

Curtin University (50% share)
Curtin University (50% share)

10

H index

10

i10 index

744

Citations

RESEARCH PRODUCTION:

29

Articles

23

Papers

RESEARCH ACTIVITY:

   17 years (2001 - 2018). See details.
   Cites by year: 43
   Journals where Felix Chan has often published
   Relations with other researchers
   Recent citing documents: 57.    Total self citations: 19 (2.49 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch631
   Updated: 2020-10-17    RAS profile: 2019-02-11    
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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 Felix Chan.

Is cited by:

McAleer, Michael (432)

Chang, Chia-Lin (240)

Tansuchat, Roengchai (74)

Caporin, Massimiliano (59)

Jimenez-Martin, Juan (50)

perez-amaral, teodosio (32)

Allen, David (31)

Hakim, Abdul (22)

Asai, Manabu (21)

Powell, Robert (17)

Hsu, Hui-Kuang (16)

Cites to:

McAleer, Michael (63)

Ling, Shiqing (37)

Bollerslev, Tim (30)

Engle, Robert (22)

Perron, Pierre (11)

Bai, Jushan (11)

Teräsvirta, Timo (11)

Oxley, Les (9)

Taylor, Mark (8)

Andrews, Donald (8)

Granger, Clive (7)

Main data


Where Felix Chan has published?


Journals with more than one article published# docs
Mathematics and Computers in Simulation (MATCOM)8
Applied Economics2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo4
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute3
KIER Working Papers / Kyoto University, Institute of Economic Research2

Recent works citing Felix Chan (2020 and 2019)


YearTitle of citing document
2019Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors. (2019). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:03-19.

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2020A study on the leverage effect on financial series using a TAR model: a Bayesian approach. (2020). Nieto, Fabio ; Espinosa, Oscar. In: Papers. RePEc:arx:papers:2002.05319.

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2019Guinea-Bissau Trade: A Panel Data Analysis. (2019). Cateia, Julio Vicente. In: Asian Development Policy Review. RePEc:asi:adprev:2019:p:277-296.

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2020Volatility Modelling for Tourism Sector Stocks in Borsa Istanbul. (2020). Elik, Gulah Gener. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-03-20.

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2020Does the Choice of the Multivariate GARCH Model on Volatility Spillovers Matter? Evidence from Oil Prices and Stock Markets in G7 Countries. (2020). Dritsakis, Nikolaos ; Kartsonakis-Mademlis, Dimitrios. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-21.

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2020Comovement amongst the demand for New Zealand tourism. (2020). Vatsa, Puneet. In: Annals of Tourism Research. RePEc:eee:anture:v:83:y:2020:i:c:s0160738320301092.

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2019Behavior of foreign investors in the Malaysian stock market in times of crisis: A nonlinear approach. (2019). Omay, Tolga ; Iren, Perihan. In: Journal of Asian Economics. RePEc:eee:asieco:v:60:y:2019:i:c:p:85-100.

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2019Trader differences in Shanghai’s A-share and B-share markets: Effects on interaction with the Shanghai housing market. (2019). Tsai, I-Chun ; I-Chun Tsai, ; Lin, Wen-Yuan. In: Journal of Asian Economics. RePEc:eee:asieco:v:64:y:2019:i:c:4.

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2019Modeling financial durations using penalized estimating functions. (2019). Zhang, Yaohua ; Thavaneswaran, Aerambamoorthy ; Ravishanker, Nalini ; Zou, Jian. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:131:y:2019:i:c:p:145-158.

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2019Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops. (2019). Mitra, Subrata K ; Pal, Debdatta. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:453-466.

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2020Liquidity and volatility in the U.S. Treasury market. (2020). Fleming, Michael ; Engle, Robert ; Ghysels, Eric ; Nguyen, Giang. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:207-229.

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2020Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Bollerslev, Tim ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:411-430.

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2019Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices. (2019). MORANA, CLAUDIO. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:42-65.

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2020Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. (2020). Di Iorio, Francesca ; Tamvakis, Michael ; Kyriakou, Ioannis ; Marchese, Malvina. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300967.

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2019Dynamic linkages and spillover effects between CET market, coal market and stock market of new energy companies: A case of Beijing CET market in China. (2019). Lin, Boqiang ; Chen, Yufang. In: Energy. RePEc:eee:energy:v:172:y:2019:i:c:p:1198-1210.

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2019Volatility spillover impact of world oil prices on leading Asian energy exporting and importing economies’ stock returns. (2019). Maqbool, Rashid ; Tang, Yong ; Ashfaq, Saleha. In: Energy. RePEc:eee:energy:v:188:y:2019:i:c:s0360544219316962.

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2020Dynamics of spillover network among oil and leading Asian oil trading countries’ stock markets. (2020). Maqbool, Rashid ; Tang, Yong ; Ashfaq, Saleha. In: Energy. RePEc:eee:energy:v:207:y:2020:i:c:s0360544220311841.

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2019The fiction of full BEKK: Pricing fossil fuels and carbon emissions. (2019). McAleer, Michael ; Chang, Chia-Lin. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:11-19.

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2019Linkages between crude oil and emerging Asian stock markets: New evidence from the Chinese stock market crash. (2019). Hassan, Arshad ; Yousaf, Imran. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:s154461231930683x.

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2020Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models. (2020). Ben Cheikh, Nidhaleddine ; Chevallier, Julien ; ben Zaied, Younes. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s154461231930162x.

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2019Tales from tails: On the empirical distributions of forecasting errors and their implication to risk. (2019). Assimakopoulos, Vassilios ; Nikolopoulos, Konstantinos ; Spiliotis, Evangelos. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:687-698.

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2019Robust optimization of forecast combinations. (2019). Karabati, Seluk ; Post, Thierry ; Arvanitis, Stelios. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:910-926.

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2020The M4 Competition: 100,000 time series and 61 forecasting methods. (2020). Assimakopoulos, Vassilios ; Spiliotis, Evangelos ; Makridakis, Spyros. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:1:p:54-74.

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2020A hybrid method of exponential smoothing and recurrent neural networks for time series forecasting. (2020). Smyl, Slawek. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:1:p:75-85.

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2020Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks. (2020). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:933-948.

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2019Modelling the volatility of international visitor arrivals to New Zealand. (2019). Balli, Hatice ; Kan, Wai Hong. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:75:y:2019:i:c:p:204-214.

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2019Volatility spillovers and hedging: Evidence from Asian oil-importing countries. (2019). Khalfaoui, Rabeh ; Sarwar, Suleman ; Dastgerdi, Hamidreza Ghorbani ; Waheed, Rida. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:479-488.

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2019Analysing volatility spillover between the oil market and the stock market in oil-importing and oil-exporting countries: Implications on portfolio management. (2019). Tiwari, Aviral ; Sarwar, Suleman ; Khalfaoui, Rabeh. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:22-32.

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2019Correlations and volatility spillovers between oil, natural gas, and stock prices in India. (2019). Tiwari, Aviral ; Pradhan, Ashis ; Kumar, Satish ; Kang, Sang Hoon. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:282-291.

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2019Multifractal characterization of air polluted time series in China. (2019). Wang, Qizhen . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:167-180.

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2019Another look at forecast selection and combination: Evidence from forecast pooling. (2019). Petropoulos, Fotios ; Barrow, Devon ; Kourentzes, Nikolaos. In: International Journal of Production Economics. RePEc:eee:proeco:v:209:y:2019:i:c:p:226-235.

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2019Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?. (2019). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:50-70.

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2019Choosing expected shortfall over VaR in Basel III using stochastic dominance. (2019). McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio ; Maasoumi, Esfandiar . In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:95-113.

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2020Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China. (2020). Li, Steven ; Hou, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:166-188.

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2019What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model. (2019). McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:115611.

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2019What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model. (2019). McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:115612.

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2019Cross-validation based forecasting method: a machine learning approach. (2019). Marçal, Emerson ; Maral, Emerson Fernandes ; FernandesMaral, Emerson ; Pinto, Jeronymo Marcondes. In: Textos para discussão. RePEc:fgv:eesptd:498.

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2019Short-Term Electricity Load Forecasting Model Based on EMD-GRU with Feature Selection. (2019). Gao, Xin ; He, Yang ; Jing, Xiao ; Zhao, Bing ; Li, Xiaobing. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:6:p:1140-:d:216692.

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2019Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China. (2019). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong . In: Energies. RePEc:gam:jeners:v:12:y:2019:i:8:p:1475-:d:224091.

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2020Analyzing Crude Oil Prices under the Impact of COVID-19 by Using LSTARGARCHLSTM. (2020). Ucan, Yasemen ; Bayazit, Nilgun Guler ; Bildirici, Melike. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:11:p:2980-:d:369469.

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2020A General Family of Autoregressive Conditional Duration Models Applied to High-Frequency Financial Data. (2020). Vila, Roberto ; Cunha, Danubia R ; Fernandez, Rodrigo N ; Saulo, Helton. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:3:p:45-:d:327540.

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2019Las correlaciones dinámicas de contagio financiero:Estados Unidos y América Latina. (2019). Hernandez, Ignacio Perrotini ; Benavides, Domingo Rodriguez. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:14:y:2019:i:2:p:151-168.

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2020Estimation of STAR–GARCH Models with Iteratively Weighted Least Squares. (2020). Midili, Murat. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-018-9876-8.

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2019Do spot food commodity and oil prices predict futures prices?. (2019). Riabko, Natalija ; Cartwright, Phillip A. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:53:y:2019:i:1:d:10.1007_s11156-018-0746-1.

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2020Volatility spillover and hedging effectiveness among crude oil and Islamic markets: evidence from the Gulf region. (2020). Walid, Haykel Hamdi. In: European Journal of Comparative Economics. RePEc:liu:liucej:v:17:y:2020:i:1:p:103-126.

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2019The relationship between carry trade and asset markets in South Africa. (2019). Bonga-Bonga, Lumengo ; Maake, Tebogo. In: MPRA Paper. RePEc:pra:mprapa:96667.

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2019.

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2019Higher Moment Constraints for Predictive Density Combinations. (2019). Vasnev, Andrey ; Pauwels, Laurent ; Radchenko, Peter. In: Working Papers. RePEc:syb:wpbsba:2123/20175.

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2019Equivalence of optimal forecast combinations under affine constraints. (2019). Pauwels, Laurent ; Chan, Felix. In: Working Papers. RePEc:syb:wpbsba:2123/20176.

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2019Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors.. (2019). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers of BETA. RePEc:ulp:sbbeta:2019-06.

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2019Point forecasting of intraday volume using Bayesian autoregressive conditional volume models. (2019). Huptas, Roman. In: Journal of Forecasting. RePEc:wly:jforec:v:38:y:2019:i:4:p:293-310.

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2019Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs. (2019). Green, Christopher ; Qin, Jieye ; Sirichand, Kavita . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:10:p:1269-1300.

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2019CRYPTOCURRENCIES IN FINANCE: REVIEW AND APPLICATIONS. (2019). Flori, Andrea. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:05:n:s0219024919500201.

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2020Impact of Expected Shortfall Approach on Capital Requirement Under Basel. (2020). Siu, Yam Wing. In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). RePEc:wsi:rpbfmp:v:22:y:2020:i:04:n:s0219091519500255.

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2020Recession probabilities falling from the STARs. (2020). Noller, Marvin ; Eraslan, Sercan. In: Discussion Papers. RePEc:zbw:bubdps:082020.

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Works by Felix Chan:


YearTitleTypeCited
2015Structure and asymptotic theory for nonlinear models with GARCH erros In: Economia.
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article1
2010Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors.(2010) In: Working Papers in Economics.
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This paper has another version. Agregated cites: 1
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2011Structure and Asymptotic theory for Nonlinear Models with GARCH Errors.(2011) In: Econometric Institute Research Papers.
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paper
2010Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors.(2010) In: KIER Working Papers.
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paper
2012It pays to violate: how effective are the Basel accord penalties in encouraging risk management? In: Accounting and Finance.
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article3
2017The Validity of Investor Sentiment Proxies In: International Review of Finance.
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article1
2012Testing for Structural Change in Heterogeneous Panels with an Application to the Euros Trade Effect In: Journal of Time Series Econometrics.
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article7
2013Modeling and Simulation: An Overview In: Working Papers in Economics.
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paper19
2013Modelling and Simulation: An Overview.(2013) In: KIER Working Papers.
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2013Modelling and Simulation: An Overview.(2013) In: Econometric Institute Research Papers.
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2013Modelling and Simulation: An Overview.(2013) In: Tinbergen Institute Discussion Papers.
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2013Modelling and Simulation: An Overview.(2013) In: Documentos de Trabajo del ICAE.
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paper
2018Even Count Estimation In: CEU Working Papers.
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paper0
2009It Pays to Violate: How Effective are the Basel Accord Penalties? In: CARF F-Series.
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paper2
2009It Pays to Violate: How Effective are the Basel Accord Penalties?.(2009) In: Econometric Institute Research Papers.
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2009It Pays to Violate: How Effective are the Basel Accord Penalties?.(2009) In: CIRJE F-Series.
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2008GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION In: Econometric Theory.
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article149
2001Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers, In: ISER Discussion Paper.
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paper22
2003Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers.(2003) In: Applied Financial Economics.
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2017Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies? In: Journal of Asian Economics.
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article2
2007An econometric analysis of asymmetric volatility: Theory and application to patents In: Journal of Econometrics.
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article210
2008Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks In: Journal of Econometrics.
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article28
2016Liquidation discount—a novel application of ARFIMA–GARCH In: Journal of Empirical Finance.
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2008Efficiency of the foreign currency options market In: Global Finance Journal.
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article2
2018Some theoretical results on forecast combinations In: International Journal of Forecasting.
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article10
2004Modelling the asymmetric volatility of electronics patents in the USA In: Mathematics and Computers in Simulation (MATCOM).
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article1
2003Modelling the Asymmetric Volatility of Electronics Patents in the USA.(2003) In: CIRJE F-Series.
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2005Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations In: Mathematics and Computers in Simulation (MATCOM).
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article1
2008Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk In: Mathematics and Computers in Simulation (MATCOM).
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article10
2009Modelling time-varying higher moments with maximum entropy density In: Mathematics and Computers in Simulation (MATCOM).
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article2
2011Model specification in panel data unit root tests with an unknown break In: Mathematics and Computers in Simulation (MATCOM).
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article5
2011Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation In: Mathematics and Computers in Simulation (MATCOM).
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article10
2011Spectral analysis of seasonality in tourism demand In: Mathematics and Computers in Simulation (MATCOM).
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article3
2013The impact of serial correlation on testing for structural change in binary choice model: Monte Carlo evidence In: Mathematics and Computers in Simulation (MATCOM).
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article0
2008Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares In: Pacific-Basin Finance Journal.
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article3
2006Stability Tests for Heterogeneous Panel Data In: IHEID Working Papers.
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paper3
2006Stability tests for heterogeneous panel data.(2006) In: PSE Working Papers.
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2008Stability Tests for Heterogeneous Panel Data.(2008) In: Working Papers.
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2011An econometric analysis of hotel–motel room nights in New Zealand with stochastic seasonality In: International Journal of Revenue Management.
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article0
2002Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence In: Journal of Applied Econometrics.
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article32
2009Modeling Volatility in Foreign Currency Option Pricing In: Multinational Finance Journal.
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article2
2013Advantages of Non-Normality in Testing Cointegration Rank In: Bankwest Curtin Economics Centre Working Paper series.
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2017A note on the relation between fiscal equalization and economic growth In: MPRA Paper.
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2005Structure and asymptotic theory for STAR(1)-GARCH(1,1) models In: Textos para discussão.
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2004Modelling the asymmetric volatility of anti-pollution patents in the USA In: Scientometrics.
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article1
2014Gravity Models of Trade: Unobserved Heterogeneity and Endogeneity In: Working Papers.
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paper1
2004Trends and volatilities in foreign patents registered in the USA In: Applied Economics.
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article1
2015Permanent and transitory shocks in the presence of asymmetric error correction In: Applied Economics.
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article0
2009Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility In: Econometric Reviews.
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article203
2008Determinants of commercial mortgage‐backed securities credit ratings: Australian evidence In: International Journal of Strategic Property Management.
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2003Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings In: CIRJE F-Series.
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2003On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models In: CIRJE F-Series.
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paper1

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