Jennifer S.K. Chan : Citation Profile


Are you Jennifer S.K. Chan?

7

H index

3

i10 index

167

Citations

RESEARCH PRODUCTION:

31

Articles

5

Papers

RESEARCH ACTIVITY:

   23 years (1998 - 2021). See details.
   Cites by year: 7
   Journals where Jennifer S.K. Chan has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 17 (9.24 %)

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   Permalink: http://citec.repec.org/pch754
   Updated: 2021-02-20    RAS profile: 2021-01-31    
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Relations with other researchers


Works with:

NG, KOK HAUR (5)

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:

Corbet, Shaen (6)

lucey, brian (4)

Bekiros, Stelios (4)

Fernandez Bariviera, Aurelio (4)

Ruiz, Esther (3)

Veiga, Helena (3)

Gil-Alana, Luis (2)

Snarska, Malgorzata (2)

Śledziewska, Katarzyna (2)

Kastner, Gregor (2)

Walther, Thomas (2)

Cites to:

Shephard, Neil (14)

Choy, S.T. Boris (13)

Bollerslev, Tim (13)

Chen, Cathy W. S. (10)

McDonald, James (9)

Chou, Ray (7)

Engle, Robert (7)

Omori, Yasuhiro (6)

Yu, Jun (6)

Rossi, Peter (5)

Lin, Edward (4)

Main data


Where Jennifer S.K. Chan has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis7
ASTIN Bulletin4
Finance Research Letters2
Journal of Multivariate Analysis2
Journal of Applied Statistics2
Studies in Nonlinear Dynamics & Econometrics2
The North American Journal of Economics and Finance2
Computational Statistics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org4

Recent works citing Jennifer S.K. Chan (2021 and 2020)


YearTitle of citing document
2020Bitcoins as a determinant of stock market movements: A comparison of Indian and Chinese Stock Markets. (2020). Bhatnagar, Dyal ; Bhullar, Pritpal Singh. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(624):y:2020:i:3(624):p:193-202.

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2020Risk Loadings in Classification Ratemaking. (2020). Meng, Shengwang ; Li, Zhengxiao ; Yang, Liang. In: Papers. RePEc:arx:papers:2002.01798.

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2020One model does not fit all: a multi-scale analysis of eighty-four cryptocurrencies. (2020). Fernandez Bariviera, Aurelio. In: Papers. RePEc:arx:papers:2003.09720.

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2020Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723.

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2020A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving. (2020). Wong, Bernard ; Vu, Phuong Anh ; Taylor, Gregory Clive ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2004.06880.

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2020Volterra mortality model: Actuarial valuation and risk management with long-range dependence. (2020). Wong, Hoi Ying ; Chiu, Mei Choi ; Wang, Ling. In: Papers. RePEc:arx:papers:2009.09572.

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2021Dynamics, behaviours, and anomaly persistence in cryptocurrencies and equities surrounding COVID-19. (2021). James, Nick. In: Papers. RePEc:arx:papers:2101.00576.

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2021Improved ACD-based financial trade durations prediction leveraging LSTM networks and Attention Mechanism. (2021). Li, BO ; Long, Wen ; Dai, Wei ; Shi, Yong. In: Papers. RePEc:arx:papers:2101.02736.

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2021Time-varying properties of asymmetric volatility and multifractality in Bitcoin. (2021). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2102.07425.

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2020Comovement and Instability in Cryptocurrency Markets. (2020). De Pace, Pierangelo ; Rao, Jayant ; DePace, Pierangelo. In: Economics Department, Working Paper Series. RePEc:clm:pomwps:1012.

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2020A Proposed System for Securing Cryptocurrency Via the Integration of Internet of Things with Blockchain. (2020). Sayed, Amr ; Ouf, Shimaa ; Ghalwesh, Atef. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-03-21.

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2020Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin. (2020). Širaňová, Mária ; Molnár, Peter ; Lyócsa, Štefan ; Iraova, Maria ; Plihal, Toma ; Molnar, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301482.

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2020Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors. (2020). Charfeddine, Lanouar ; Maouchi, Youcef ; Benlagha, Noureddine. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:198-217.

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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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2020Momentum trading in cryptocurrencies: Short-term returns and diversification benefits. (2020). Tsend-Ayush, Bayasgalan ; Kizys, Renatas ; Tzouvanas, Panagiotis. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519303647.

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2020The destabilising effects of cryptocurrency cybercriminality. (2020). lucey, brian ; Cumming, Douglas ; Corbet, Shaen ; Vigne, Samuel A ; Peat, Maurice. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519303714.

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2020Cryptocurrencies in institutional investors’ portfolios: Evidence from industry stop-loss rules. (2020). Biakowski, Jdrzej. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519304227.

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2020Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation. (2020). Veiga, Helena ; Ruiz, Esther ; Czellar, Veronika ; Mao, Xiuping. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:84-105.

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2020Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach. (2020). Yao, Kai ; Chevapatrakul, Thanaset ; Nguyen, Linh Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:333-355.

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2020Asymmetric mean reversion of Bitcoin price returns. (2020). Corbet, Shaen ; Katsiampa, Paraskevi. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521918306136.

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2020Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets. (2020). Corbet, Shaen ; Marco, Chi Keung ; Katsiampa, Paraskevi. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920302155.

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2020Rough volatility of Bitcoin. (2020). Takaishi, Tetsuya. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s154461231930337x.

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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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2020Efficiency in the markets of crypto-currencies. (2020). Leirvik, Thomas ; le Tran, VU. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319310438.

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2020A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving. (2020). Wong, Bernard ; Vu, Phuong Anh ; Taylor, Greg ; Avanzi, Benjamin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:50-71.

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2021Volterra mortality model: Actuarial valuation and risk management with long-range dependence. (2021). Wong, Hoi Ying ; Chiu, Mei Choi ; Wang, Ling. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:1-14.

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2020The predictive power of public Twitter sentiment for forecasting cryptocurrency prices. (2020). de Smedt, Johannes ; Kraaijeveld, Olivier. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:65:y:2020:i:c:s104244312030072x.

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2020Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin. (2020). , Walid. In: Journal of Economics and Business. RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519302206.

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2021Modeling the cryptocurrency return distribution via Laplace scale mixtures. (2021). Bagnato, Luca ; Punzo, Antonio. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:563:y:2021:i:c:s0378437120307123.

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2020Behavioral data-driven analysis with Bayesian method for risk management of financial services. (2020). Yu, Min-Teh ; Sun, Edward W. In: International Journal of Production Economics. RePEc:eee:proeco:v:228:y:2020:i:c:s0925527320301250.

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2020Geometric-Like Processes: An Overview and Some Reliability Applications. (2020). Marshall, Sarah ; Hayakawa, YU ; Chukova, Stefanka ; Arnold, Richard. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:201:y:2020:i:c:s0951832020304919.

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2020Forecasting oil price volatility using high-frequency data: New evidence. (2020). Liu, Jing ; Wei, YU ; Ma, Feng ; Chen, Wang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:1-12.

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2020Volatility dynamics of crypto-currencies’ returns: Evidence from asymmetric and long memory GARCH models. (2020). Fakhfekh, Mohamed ; Jeribi, Ahmed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s027553191930056x.

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2020Cryptocurrencies and stock market indices. Are they related?. (2020). Gil-Alana, Luis ; Romero, Maria Fatima ; Aikins, Emmanuel Joel. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919303472.

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2020How does economic policy uncertainty affect the bitcoin market?. (2020). Li, Xiao ; Wang, Pengfei ; Zhang, Wei ; Shen, Dehua. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919308037.

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2020Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models. (2020). Gözgör, Giray ; Liu, Wei ; Gozgor, Giray ; Marco, Chi Keung ; Semeyutin, Artur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920301240.

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2021Can fintech improve the efficiency of commercial banks? —An analysis based on big data. (2021). Zhang, QI ; Xiuping, Sui ; Wang, Yang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531920309466.

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2021Bitcoin: The biggest financial innovation of fourth industrial revolution and a portfolios efficiency booster. (2021). Chang, Hsu-Ling ; Abbas, Syed Kumail ; Naqvi, Bushra ; Li, Jing-Ping. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:162:y:2021:i:c:s0040162520312099.

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2020The adoption of grid transit networks in non-metropolitan contexts. (2020). Cavallaro, Federico ; Fabio, Alberto ; Nocera, Silvio. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:132:y:2020:i:c:p:256-272.

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2020ICO Tokens as an Alternative Financial Instrument: A Risk Measurement. (2020). Kurylek, Zbigniew . In: European Research Studies Journal. RePEc:ers:journl:v:xxiii:y:2020:i:4:p:512-530.

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2020Cryptocurrency Trading Using Machine Learning. (2020). Koutmos, Dimitrios ; Koker, Thomas E. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:8:p:178-:d:396989.

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2020True versus Spurious Long Memory in Cryptocurrencies. (2020). Mazibas, Murat ; Rambaccussing, Dooruj. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:186-:d:400757.

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2020A Comprehensive Statistical Analysis of the Six Major Crypto-Currencies from August 2015 through June 2020. (2020). Carneiro, Andre Fluminense ; de Melo, Beatriz Vaz. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:192-:d:403893.

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2020Loss Reserving Estimation With Correlated Run-Off Triangles in a Quantile Longitudinal Model. (2020). Pitselis, Georgios ; Badounas, Ioannis . In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:14-:d:315997.

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2020A Tale of Two Layers: The Mutual Relationship between Bitcoin and Lightning Network. (2020). Flori, Andrea ; Regoli, Daniele ; Martinazzi, Stefano. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:129-:d:454506.

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2020Forecasting volatility in bitcoin market. (2020). Bekiros, Stelios ; Segnon, Mawuli. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00368-y.

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2020Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study. (2020). Adachi, Takanori ; Takaishi, Tetsuya. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:1:d:10.1007_s10690-019-09286-0.

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2020Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations. (2020). Younas, Zahid Irshad ; Meloni, Mirko ; Jeleskovic, Vahidin . In: MAGKS Papers on Economics. RePEc:mar:magkse:202034.

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2020Uniswap and the rise of the decentralized exchange. (2020). Medda, Francesca ; Lo, Yuen. In: MPRA Paper. RePEc:pra:mprapa:103925.

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2020Investor attention and the pricing of cryptocurrency market. (2020). Zhang, Wei ; Wang, Pengfei. In: Evolutionary and Institutional Economics Review. RePEc:spr:eaiere:v:17:y:2020:i:2:d:10.1007_s40844-020-00182-1.

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2020A place next to Satoshi: foundations of blockchain and cryptocurrency research in business and economics. (2020). Ante, Lennart. In: Scientometrics. RePEc:spr:scient:v:124:y:2020:i:2:d:10.1007_s11192-020-03492-8.

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Works by Jennifer S.K. Chan:


YearTitleTypeCited
2014Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression In: Papers.
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2020Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19 In: Papers.
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paper1
2021Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19.(2021) In: Physica A: Statistical Mechanics and its Applications.
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2020Semi-metric portfolio optimisation: a new algorithm reducing simultaneous asset shocks In: Papers.
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2021Time-varying neural network for stock return prediction In: Papers.
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2006Statistical Exploration from SARS In: The American Statistician.
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2018Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications In: Studies in Nonlinear Dynamics & Econometrics.
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2019Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models In: Studies in Nonlinear Dynamics & Econometrics.
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2008Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution In: ASTIN Bulletin.
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article7
2007Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution.(2007) In: Research Paper Series.
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2015RISK MARGIN QUANTILE FUNCTION VIA PARAMETRIC AND NON-PARAMETRIC BAYESIAN APPROACHES In: ASTIN Bulletin.
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article7
2018MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION In: ASTIN Bulletin.
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2020MULTIVARIATE LONG-MEMORY COHORT MORTALITY MODELS In: ASTIN Bulletin.
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article2
1998Statistical inference for geometric processes with lognormal distribution In: Computational Statistics & Data Analysis.
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article8
2004Statistical inference for geometric processes with gamma distributions In: Computational Statistics & Data Analysis.
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article3
2009Nonignorable dropout models for longitudinal binary data with random effects: An application of Monte Carlo approximation through the Gibbs output In: Computational Statistics & Data Analysis.
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2011Bayesian analysis of robust Poisson geometric process model using heavy-tailed distributions In: Computational Statistics & Data Analysis.
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2011Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale mixtures In: Computational Statistics & Data Analysis.
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2011Classification in segmented regression problems In: Computational Statistics & Data Analysis.
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2012A Bayesian conditional autoregressive geometric process model for range data In: Computational Statistics & Data Analysis.
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2017Efficient modelling and forecasting with range based volatility models and its application In: The North American Journal of Economics and Finance.
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2019Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data In: The North American Journal of Economics and Finance.
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article1
2018A new look at Cryptocurrencies In: Economics Letters.
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article81
2020On 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.
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2019On long memory effects in the volatility measure of Cryptocurrencies In: Finance Research Letters.
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2020On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure In: Finance Research Letters.
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2013Bayesian analysis of loss reserving using dynamic models with generalized beta distribution In: Insurance: Mathematics and Economics.
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2014Multivariate generalized Poisson geometric process model with scale mixtures of normal distributions In: Journal of Multivariate Analysis.
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2005Monte Carlo approximation through Gibbs output in generalized linear mixed models In: Journal of Multivariate Analysis.
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2019Bayesian return forecasts using realised range and asymmetric CARR model with various distribution assumptions In: International Review of Economics & Finance.
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2010Binary geometric process model for the modeling of longitudinal binary data with trend In: Computational Statistics.
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2011Bayesian approach to analysing longitudinal bivariate binary data with informative dropout In: Computational Statistics.
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2014A Poisson geometric process approach for predicting drop-out and committed first-time blood donors In: Journal of Applied Statistics.
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2016Robust Bayesian analysis of loss reserving data using scale mixtures distributions In: Journal of Applied Statistics.
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2019Forecasting trade durations via ACD models with mixture distributions In: Quantitative Finance.
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article2
2007Bayesian analysis of constant elasticity of variance models In: Applied Stochastic Models in Business and Industry.
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