Zaichao Du : Citation Profile

Are you Zaichao Du?

Southwestern University of Finance and Economics (SWUFE)

5

H index

3

i10 index

189

Citations

RESEARCH PRODUCTION:

18

Articles

3

Papers

RESEARCH ACTIVITY:

   15 years (2009 - 2024). See details.
   Cites by year: 12
   Journals where Zaichao Du has often published
   Relations with other researchers
   Recent citing documents: 34.    Total self citations: 8 (4.06 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pdu319
   Updated: 2024-11-08    RAS profile: 2024-10-09    
   Missing citations? Add them    Incorrect content? Let us know

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:

Carvalho, Carlos (6)

Medeiros, Marcelo (6)

Gordy, Michael (4)

Tsang, Andrew (4)

Hurlin, Christophe (3)

Wu, Jing (3)

Lim, King Yoong (3)

Jia, Pengfei (3)

Leymarie, Jérémy (3)

Hill, Robert (2)

Dionne, Georges (2)

Cites to:

Escanciano, Juan Carlos (22)

hsiao, cheng (9)

Hong, Yongmiao (9)

Hurlin, Christophe (9)

Zhang, Lin (7)

Lochner, Lance (7)

Bai, Jushan (7)

Heckman, James (5)

Delgado, Miguel (5)

Velasco, Carlos (5)

Olmo, Jose (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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024E-backtesting. (2022). Ziegel, Johanna ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2209.00991.

Full description at Econpapers || Download paper

2024Synthetic Controls with spillover effects: A comparative study. (2024). Melnychuk, Andrii. In: Papers. RePEc:arx:papers:2405.01645.

Full description at Econpapers || Download paper

2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Score-driven models for realized volatility. (2023). Palumbo, Dario ; Harvey, Andrew. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001422.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Risk quantification and validation for green energy markets: New insight from a credibility theory approach. (2024). Hakim, Arief ; Syuhada, Khreshna. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001703.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Weiss, Gregor ; Timphus, Maike ; Fritzsch, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2024Integration and risk transmission across supply, demand, and prices in China’s housing market. (2024). Nong, Huifu. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:57:y:2024:i:3:d:10.1007_s10644-024-09713-x.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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..

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Forecasting value at risk and expected shortfall using high?frequency data of domestic and international stock markets. (2022). Wang, Man ; Cheng, Yihan. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:8:p:1595-1607.

Full description at Econpapers || Download paper

2024Inside job: Evidence from the Chinese housing market. (2024). Kuang, Weida ; Chu, Yongqiang ; Zhou, Xiaoxia ; Zhao, Daxuan. In: Journal of Policy Analysis and Management. RePEc:wly:jpamgt:v:43:y:2024:i:1:p:214-233.

Full description at Econpapers || Download paper

Works by Zaichao Du:

YearTitleTypeCited
2021The impacts of China’s exchange rate regime reform in 2005: A counterfactual analysis In: Review of Development Economics.
[Full Text][Citation analysis]		article0
2015The Macroeconomic Effects of the Canada–US Free Trade Agreement on Canada: A Counterfactual Analysis In: The World Economy.
[Full Text][Citation analysis]		article2
2013The macroeconomic effects of the 35-h workweek regulation in France In: The B.E. Journal of Macroeconomics.
[Full Text][Citation analysis]		article7
2011Intraday probability of informed trading In: Economics Bulletin.
[Full Text][Citation analysis]		article3
2014Decomposing the rich dad effect on income inequality using instrumental variable quantile regression In: China Economic Review.
[Full Text][Citation analysis]		article5
2014Testing for serial independence of panel errors In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article2
2018Assessing the gains and vulnerability of free trade: A counterfactual analysis of Macau In: Economic Modelling.
[Full Text][Citation analysis]		article4
2021A simple and robust counterfactual impact evaluation In: Economics Letters.
[Full Text][Citation analysis]		article0
2015Home-purchase restriction, property tax and housing price in China: A counterfactual analysis In: Journal of Econometrics.
[Full Text][Citation analysis]		article83
2023The case for CASE: Estimating heterogeneous systemic effects In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2022Foreign buyer taxes and house prices in Canada: A tale of two cities In: Journal of Housing Economics.
[Full Text][Citation analysis]		article0
2012The effects of medical insurance on durables consumption in rural China In: China Agricultural Economic Review.
[Full Text][Citation analysis]		article4
2017Backtesting Expected Shortfall: Accounting for Tail Risk In: Management Science.
[Full Text][Citation analysis]		article62
2009Nonparametric Bootstrap Tests for Independence of Generalized Errors In: CAEPR Working Papers.
[Full Text][Citation analysis]		paper3
2016Nonparametric bootstrap tests for independence of generalized errors.(2016) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2015Backtesting Expected Shortfall: Accounting for Tail Risk In: CAEPR Working Papers.
[Full Text][Citation analysis]		paper12
2017Automatic Portmanteau Tests with Applications to Market Risk Management In: CAEPR Working Papers.
[Full Text][Citation analysis]		paper1
2017Automatic portmanteau tests with applications to market risk management.(2017) In: Stata Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2024Competition and price dispersion: evidence from airline and high-speed rail competition in China In: Industrial and Corporate Change.
[Full Text][Citation analysis]		article0
2015A Nonparametric Distribution-Free Test for Serial Independence of Errors In: Econometric Reviews.
[Full Text][Citation analysis]		article1
2024Powerful Backtests for Historical Simulation Expected Shortfall Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team