8
H index
5
i10 index
318
Citations
Jennifer S.K. Chan : Citation Profile
| RESEARCH PRODUCTION: 30 Articles 5 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
25 years (1998 - 2023). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Jennifer S.K. Chan. | Is cited by:
| Cites to:
|
Main data
Where Jennifer S.K. Chan has published?
| Journals with more than one article published | # docs |
|---|---|
| Computational Statistics & Data Analysis | 7 |
| ASTIN Bulletin | 4 |
| Computational Statistics | 2 |
| Finance Research Letters | 2 |
| Journal of Multivariate Analysis | 2 |
| The North American Journal of Economics and Finance | 2 |
| Journal of Applied Statistics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 4 |
Recent works citing Jennifer S.K. Chan (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Detection and treatment of outliers for multivariate robust loss reserving. (2022). Avanzi, Benjamin ; Wong, Bernard ; Taylor, Greg ; Lavender, Mark. In: Papers. RePEc:arx:papers:2203.03874. Full description at Econpapers || Download paper |
| 2023 | Predicting Non-Fungible Token (NFT) Collections: A Contextual Generative Approach. (2022). Chang, Ee-Chien ; Vuputuri, Akhil ; Tann, Wesley Joon-Wie. In: Papers. RePEc:arx:papers:2210.15493. Full description at Econpapers || Download paper |
| 2023 | Age and market capitalization drive large price variations of cryptocurrencies. (2023). Ribeiro, Haroldo V ; Perc, Matjaz. In: Papers. RePEc:arx:papers:2302.12319. Full description at Econpapers || Download paper |
| 2023 | Cryptocurrencies Are Becoming Part of the World Global Financial Market. (2023). Zd, Stanislaw Dro ; Kwapie, Jaroslaw ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2303.00495. Full description at Econpapers || Download paper |
| 2023 | Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2304.08902. Full description at Econpapers || Download paper |
| 2023 | What is mature and what is still emerging in the cryptocurrency market?. (2023). Wkatorek, Marcin ; Kwapie, Jaroslaw ; Zd, Stanislaw Dro. In: Papers. RePEc:arx:papers:2305.05751. Full description at Econpapers || Download paper |
| 2023 | An exploration of the mathematical structure and behavioural biases of financial crises. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2307.15402. Full description at Econpapers || Download paper |
| 2023 | Is the cryptocurrency market a hedge against stock market risk? A Wavelet and GARCH approach. (2023). Sahu, Tarak N ; Jana, Susovon. In: Economic Notes. RePEc:bla:ecnote:v:52:y:2023:i:3:n:e12227. Full description at Econpapers || Download paper |
| 2023 | A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194. Full description at Econpapers || Download paper |
| 2023 | Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios. (2023). Huelamo, Diego ; Esparcia, Carlos ; Diaz, Antonio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001735. Full description at Econpapers || Download paper |
| 2023 | Volatility forecasting in the Bitcoin market: A new proposed measure based on the VS-ACARR approach. (2023). Iqbal, Najaf ; Umar, Zaghum ; Yin, Xuebao ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000712. Full description at Econpapers || Download paper |
| 2023 | Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies. (2023). Vo, Xuan Vinh ; Zeitun, Rami ; Katsiampa, Paraskevi ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000838. Full description at Econpapers || Download paper |
| 2023 | Emotions in the crypto market: Do photos really speak?. (2023). Phan, Hoa ; Huynh, Nhan. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003173. Full description at Econpapers || Download paper |
| 2023 | Measuring the response of clean energy stock price volatility to extreme shocks. (2023). Luo, Keyu ; Peng, Lijuan ; Wang, LU ; Zhang, LI. In: Renewable Energy. RePEc:eee:renene:v:206:y:2023:i:c:p:1289-1300. Full description at Econpapers || Download paper |
| 2023 | Comovement and instability in cryptocurrency markets. (2023). De Pace, Pierangelo ; Rao, Jayant. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:173-200. Full description at Econpapers || Download paper |
| 2023 | Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19. (2023). Bhandari, Avishek ; Yousaf, Imran ; Mokni, Khaled ; Assaf, Ata. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002070. Full description at Econpapers || Download paper |
| 2023 | Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?. (2023). Vo, Xuan Vinh ; Bakry, Walid ; Al-Mohamad, Somar ; Prasad, Mason ; Khaki, Audil. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002094. Full description at Econpapers || Download paper |
| 2023 | How Elon Musks Twitter activity moves cryptocurrency markets. (2023). Ante, Lennart. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:186:y:2023:i:pa:s0040162522006333. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Hidden semi-Markov models for rainfall-related insurance claims. (2023). Punzo, Antonio ; Shi, Yue ; Maruotti, Antonello ; Otneim, Hkon. In: Discussion Papers. RePEc:hhs:nhhfms:2023_017. Full description at Econpapers || Download paper |
| 2023 | Extracting Rules via Markov Chains for Cryptocurrencies Returns Forecasting. (2023). , Tiago ; Alves, Silvio Fernando ; Jale, Jader Silva ; Dos, Fabio Sandro ; Felix, Kerolly Kedma. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:3:d:10.1007_s10614-022-10237-7. Full description at Econpapers || Download paper |
| 2023 | Relation Between Bitcoin and Its Forks: An Empirical Investigation. (2023). Hamed, Nidaa ; Farooq, Omar ; Ahmed, Neveen. In: Eastern Economic Journal. RePEc:pal:easeco:v:49:y:2023:i:2:d:10.1057_s41302-023-00247-0. Full description at Econpapers || Download paper |
| 2023 | Time-varying higher moments in Bitcoin. (2023). Laurini, Marcio Poletti ; Vieira, Leonardo Ieracitano. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-022-00072-8. Full description at Econpapers || Download paper |
| 2023 | Bayesian nonlinear expectation for time series modelling and its application to Bitcoin. (2023). Siu, Tak Kuen. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02255-z. Full description at Econpapers || Download paper |
| 2023 | Weighted-indexed semi-Markov model: calibration and application to financial modeling. (2023). de Blasis, Riccardo. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00418-6. Full description at Econpapers || Download paper |
| 2023 | Artificial neural network analysis of the day of the week anomaly in cryptocurrencies. (2023). Akkaya, Neslihan Saygili ; Ate, Gizem ; Abaci, Hilal ; Tosunolu, Nuray. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00499-x. Full description at Econpapers || Download paper |
| 2023 | Forecasting returns volatility of cryptocurrency by applying various deep learning algorithms. (2023). Shaikh, Parvez Ahmed ; Khan, Faridoon. In: Future Business Journal. RePEc:spr:futbus:v:9:y:2023:i:1:d:10.1186_s43093-023-00200-9. Full description at Econpapers || Download paper |
| 2023 | Between financial and algorithmic dynamics of cryptocurrencies: An exploratory study. (2023). Nguyen, Canh ; Ling, Felicia Hui ; Schinckus, Christophe. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:3055-3070. Full description at Econpapers || Download paper |
| 2023 | Forecasting realized volatility of Bitcoin: The informative role of price duration. (2023). Tabche, Ibrahim ; Slim, Skander ; Karathanasopoulos, Andreas ; Osman, Mohamed ; Koubaa, Yosra. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1909-1929. Full description at Econpapers || Download paper |
Works by Jennifer S.K. Chan:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2014 | Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19 In: Papers. [Full Text][Citation analysis] | paper | 28 |
| 2021 | Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19.(2021) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | article | |
| 2023 | Semi-metric portfolio optimization: a new algorithm reducing simultaneous asset shocks In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2021 | Time-varying neural network for stock return prediction In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Statistical Exploration from SARS In: The American Statistician. [Full Text][Citation analysis] | article | 1 |
| 2019 | Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2008 | Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 9 |
| 2007 | Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution.(2007) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2015 | RISK MARGIN QUANTILE FUNCTION VIA PARAMETRIC AND NON-PARAMETRIC BAYESIAN APPROACHES In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 7 |
| 2018 | MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 1 |
| 2020 | MULTIVARIATE LONG-MEMORY COHORT MORTALITY MODELS In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 5 |
| 1998 | Statistical inference for geometric processes with lognormal distribution In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 8 |
| 2004 | Statistical inference for geometric processes with gamma distributions In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 3 |
| 2009 | Nonignorable dropout models for longitudinal binary data with random effects: An application of Monte Carlo approximation through the Gibbs output In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 0 |
| 2011 | Bayesian analysis of robust Poisson geometric process model using heavy-tailed distributions In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 2 |
| 2011 | Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale mixtures In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 21 |
| 2011 | Classification in segmented regression problems In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 1 |
| 2012 | A Bayesian conditional autoregressive geometric process model for range data In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 4 |
| 2017 | Efficient modelling and forecasting with range based volatility models and its application In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 3 |
| 2019 | Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 7 |
| 2018 | A new look at Cryptocurrencies In: Economics Letters. [Full Text][Citation analysis] | article | 139 |
| 2020 | On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 3 |
| 2019 | On long memory effects in the volatility measure of Cryptocurrencies In: Finance Research Letters. [Full Text][Citation analysis] | article | 35 |
| 2020 | On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure In: Finance Research Letters. [Full Text][Citation analysis] | article | 15 |
| 2013 | Bayesian analysis of loss reserving using dynamic models with generalized beta distribution In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 8 |
| 2014 | Multivariate generalized Poisson geometric process model with scale mixtures of normal distributions In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 2 |
| 2005 | Monte Carlo approximation through Gibbs output in generalized linear mixed models In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 0 |
| 2019 | Bayesian return forecasts using realised range and asymmetric CARR model with various distribution assumptions In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 4 |
| 2010 | Binary geometric process model for the modeling of longitudinal binary data with trend In: Computational Statistics. [Full Text][Citation analysis] | article | 2 |
| 2011 | Bayesian approach to analysing longitudinal bivariate binary data with informative dropout In: Computational Statistics. [Full Text][Citation analysis] | article | 0 |
| 2014 | A Poisson geometric process approach for predicting drop-out and committed first-time blood donors In: Journal of Applied Statistics. [Full Text][Citation analysis] | article | 1 |
| 2016 | Robust Bayesian analysis of loss reserving data using scale mixtures distributions In: Journal of Applied Statistics. [Full Text][Citation analysis] | article | 0 |
| 2019 | Forecasting trade durations via ACD models with mixture distributions In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
| 2007 | Bayesian analysis of constant elasticity of variance models In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team