Zaichao Du : Citation Profile


Are you Zaichao Du?

Southwestern University of Finance and Economics (SWUFE)

5

H index

3

i10 index

174

Citations

RESEARCH PRODUCTION:

16

Articles

3

Papers

RESEARCH ACTIVITY:

   13 years (2009 - 2022). See details.
   Cites by year: 13
   Journals where Zaichao Du has often published
   Relations with other researchers
   Recent citing documents: 20.    Total self citations: 7 (3.87 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pdu319
   Updated: 2024-01-16    RAS profile: 2022-04-07    
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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 Zaichao Du.

Is cited by:

Medeiros, Marcelo (6)

Carvalho, Carlos (6)

Gordy, Michael (4)

Tsang, Andrew (4)

Jia, Pengfei (3)

Lim, King Yoong (3)

Gyourko, Joseph (2)

Dionne, Georges (2)

Liu, Xiaochun (2)

Liu, Xiaochun (2)

Lok, Yen (2)

Cites to:

Escanciano, Juan Carlos (20)

hsiao, cheng (9)

Sentana, Enrique (9)

Hong, Yongmiao (9)

Hurlin, Christophe (8)

Zhang, Lin (7)

Bai, Jushan (7)

Lochner, Lance (7)

Engle, Robert (5)

Head, Allen (5)

Todd, Petra (5)

Main data


Where Zaichao Du has published?


Working Papers Series with more than one paper published# docs
CAEPR Working Papers / Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington3

Recent works citing Zaichao Du (2024 and 2023)


YearTitle of citing document
2024Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319.

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2023Tail-GAN: Nonparametric Scenario Generation for Tail Risk Estimation. (2022). Cont, Rama ; Zhang, Chao ; Xu, Renyuan ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2203.01664.

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2023E-backtesting. (2022). Ziegel, Johanna ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2209.00991.

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2023.

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2023Where does the risk lie? Systemic risk and tail risk networks in the Chinese financial market. (2023). Gao, Chenyin ; Deng, Yang. In: Pacific Economic Review. RePEc:bla:pacecr:v:28:y:2023:i:2:p:167-190.

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2023Property taxes and rental housing: Evidence from China. (2023). Zhou, BO ; Xiao, Chengrui. In: Real Estate Economics. RePEc:bla:reesec:v:51:y:2023:i:4:p:931-958.

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2023Long-run mechanism for house price regulation in China: Real estate tax, monetary policy or macro-prudential policy?. (2023). Alvarado, Rafael ; Pinzon, Stefania ; Wang, Chunbao ; Cuesta, Lizeth ; Cheng, Fang Nan ; Deng, Qiu Shi. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:174-186.

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2023Modeling country-sectoral spillovers in generalized propensity score matching: An empirical test on trade data. (2023). Vurchio, Davide ; Nenci, Silvia. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001050.

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2023PELVE: Probability Equivalent Level of VaR and ES. (2023). Wang, Ruodu ; Li, Hengxin. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:353-370.

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2023Forward-selected panel data approach for program evaluation. (2023). Huang, Jingyi ; Shi, Zhentao. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:2:p:512-535.

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2023The effect of fraud experience on investment behavior. (2023). Wan, Fang ; Lu, Xiaomeng ; Liao, Chi ; Jacoby, Gady. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000122.

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2023Forecasting expected shortfall: Should we use a multivariate model for stock market factors?. (2023). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:314-331.

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2023Can a house resale restriction policy curb speculation? Evidence from a quasi-natural experiment in China. (2023). Zhao, Sheng ; Moreira, Fernando ; Lan, Hao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:841-859.

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2023State-Space Modeling of Housing Sentiment for Regressing Changes of Real Estate Prices Following Short-Term Control Policy in China. (2023). Gu, Hongmei ; Zang, Taiyi. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:16:p:12660-:d:1221931.

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2023Monitoring Value-at-Risk and Expected Shortfall Forecasts. (2023). Demetrescu, Matei ; Hoga, Yannick. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2954-2971.

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2023.

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2023Can volume be more informative than prices? Evidence from Chinese housing markets. (2023). Yu, Ziliang ; Tong, Meng ; Yang, Jian. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:2:d:10.1007_s11156-023-01161-4.

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2023Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72..

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2023Assessing the impacts of pandemic and the increase in minimum down payment rate on Shanghai housing prices. (2023). Hsiao, Cheng ; Li, Zheng. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-023-02414-w.

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2023The effect of Confucian culture on household risky asset holdings: Using categorical principal component analysis. (2023). Ho, Kung Cheng ; Dadilabang, Geilegeilao ; Kong, Xiaoran ; Ge, Yongbo. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:839-857.

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Works by Zaichao Du:


YearTitleTypeCited
2020Backtesting portfolio value?at?risk with estimated portfolio weights In: Journal of Time Series Analysis.
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article0
2021The impacts of China’s exchange rate regime reform in 2005: A counterfactual analysis In: Review of Development Economics.
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article0
2015The Macroeconomic Effects of the Canada–US Free Trade Agreement on Canada: A Counterfactual Analysis In: The World Economy.
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article2
2013The macroeconomic effects of the 35-h workweek regulation in France In: The B.E. Journal of Macroeconomics.
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article7
2011Intraday probability of informed trading In: Economics Bulletin.
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article3
2014Decomposing the rich dad effect on income inequality using instrumental variable quantile regression In: China Economic Review.
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article5
2014Testing for serial independence of panel errors In: Computational Statistics & Data Analysis.
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article2
2018Assessing the gains and vulnerability of free trade: A counterfactual analysis of Macau In: Economic Modelling.
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article4
2021A simple and robust counterfactual impact evaluation In: Economics Letters.
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article0
2015Home-purchase restriction, property tax and housing price in China: A counterfactual analysis In: Journal of Econometrics.
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article78
2022Foreign buyer taxes and house prices in Canada: A tale of two cities In: Journal of Housing Economics.
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article0
2012The effects of medical insurance on durables consumption in rural China In: China Agricultural Economic Review.
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article4
2017Backtesting Expected Shortfall: Accounting for Tail Risk In: Management Science.
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article52
2009Nonparametric Bootstrap Tests for Independence of Generalized Errors In: CAEPR Working Papers.
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paper3
2016Nonparametric bootstrap tests for independence of generalized errors.(2016) In: Econometrics Journal.
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This paper has nother version. Agregated cites: 3
article
2015Backtesting Expected Shortfall: Accounting for Tail Risk In: CAEPR Working Papers.
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paper12
2017Automatic Portmanteau Tests with Applications to Market Risk Management In: CAEPR Working Papers.
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paper1
2017Automatic portmanteau tests with applications to market risk management.(2017) In: Stata Journal.
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This paper has nother version. Agregated cites: 1
article
2015A Nonparametric Distribution-Free Test for Serial Independence of Errors In: Econometric Reviews.
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article1

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