Yin-Feng Gau : Citation Profile

Are you Yin-Feng Gau?

National Central University

7

H index

5

i10 index

226

Citations

RESEARCH PRODUCTION:

18

Articles

1

Papers

RESEARCH ACTIVITY:

   13 years (2004 - 2017). See details.
   Cites by year: 17
   Journals where Yin-Feng Gau has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 9 (3.83 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pga214
   Updated: 2023-03-25    RAS profile: 2023-03-16    
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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 Yin-Feng Gau.

Is cited by:

HU, YANG (7)

Oxley, Les (6)

Plíhal, Tomáš (4)

Hou, Yang (4)

Siklos, Pierre (4)

Osborn, Denise (3)

Corbet, Shaen (3)

Savva, Christos (3)

Belgacem, Aymen (3)

Pok, Wee Ching (3)

Schreiber, Ben (3)

Cites to:

Bollerslev, Tim (32)

Andersen, Torben (20)

Ito, Takatoshi (19)

Lyons, Richard (13)

Menkhoff, Lukas (13)

Diebold, Francis (13)

Evans, Martin (12)

Vega, Clara (11)

Melvin, Michael (11)

Newey, Whitney (10)

West, Kenneth (10)

Main data

Where Yin-Feng Gau has published?

Journals with more than one article published# docs
Journal of Banking & Finance3
Review of Quantitative Finance and Accounting2
Pacific-Basin Finance Journal2

Recent works citing Yin-Feng Gau (2022 and 2021)

YearTitle of citing document
2022Investigating the Efficiency of Bitcoin Futures in Price Discovery. (2022). Agarwal, Gaurav ; Sharma, Dinesh Kumar ; Gupta, Prashant. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-03-12.

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2021Strategic insider trading in foreign exchange markets. (2021). Szilagyi, Peter ; Batten, Jonathan ; Lonarski, Igor. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119920302625.

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2022Trade friction and price discovery in the USD–CAD spot and forward markets. (2022). Xu, Ke ; Song, Victor ; Chen, Jian ; Yan, Meng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002217.

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2022Extreme risk transmission channels between the stock index futures and spot markets: Evidence from China. (2022). Zhu, Zhican ; Li, Xupei ; Jian, Zhihong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002242.

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2021Price discovery in US money market benchmarks: LIBOR vs. SOFR. (2021). Fassas, Athanasios P. In: Economics Letters. RePEc:eee:ecolet:v:204:y:2021:i:c:s0165176521001592.

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2021Trader positions in VIX futures. (2021). Yang, Jimmy J ; Chen, Yu-Lun. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:1-17.

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2021Trading activity and price discovery in Bitcoin futures markets. (2021). Yang, Jimmy J ; Liu, Hung-Chun ; Hung, Jui-Cheng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:107-120.

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2021An analysis of investor behaviour and information flows surrounding the negative WTI oil price futures event. (2021). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004576.

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2021Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis. (2021). Tsagkanos, Athanasios ; Floros, Christos ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000491.

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2021How do macroeconomic news surprises affect round-the-clock price discovery of gold?. (2021). Ilango, Balakrishnan ; Sehgal, Sanjay ; Sobti, Neharika. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002209.

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2022The effects of negative reputational contagion on international airlines: The case of the Boeing 737-MAX disasters. (2022). Corbet, Shaen ; Oxley, Les ; Larkin, Charles ; Hu, Yang ; Hou, Yang ; Collings, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000229.

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2021FX market volatility modelling: Can we use low-frequency data?. (2021). Výrost, Tomáš ; Lyócsa, Štefan ; Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320315907.

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2022Liquidity spillover in foreign exchange markets. (2022). Hsu, Chih-Chiang ; Gau, Yin-Feng ; Chang, Ya-Ting. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001860.

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2022Price discovery in fiat currency and cryptocurrency markets. (2022). Wu, Zhen-Xing ; Gau, Yin-Feng ; Huang, Guan-Ying. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005535.

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2022Comparisons of Alternative Information Share Measures. (2022). Lien, Donald. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s154461232200472x.

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2022Which market dominates the price discovery in currency futures? The case of the Chicago Mercantile Exchange and the Intercontinental Exchange. (2022). Nguyen, James ; Chen, Clara Chia-Sheng ; Li, Wei-Xuan. In: Global Finance Journal. RePEc:eee:glofin:v:52:y:2022:i:c:s1044028320302933.

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2022Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?. (2022). Vo, Xuan Vinh ; Alkhataybeh, Ahmad ; El-Nader, Ghaith ; al Rababa, Abdel Razzaq ; Ur, Mobeen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001992.

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2022Informativeness of trades around macroeconomic announcements in the foreign exchange market. (2022). Gau, Yin-Feng ; Wu, Zhen-Xing. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000245.

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2021Wealth heterogeneity, information acquisition and equity home bias: Evidence from U.S. household surveys of consumer finance. (2021). Guo, Meixin ; Carpio, Ronaldo ; Pyun, Ju Hyun ; Liu, Yuan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s0378426621000583.

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2021Strength of words: Donald Trumps tweets, sanctions and Russias ruble. (2021). Ledyaeva, Svetlana ; Fedorova, Elena ; Afanasyev, Dmitriy O. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:184:y:2021:i:c:p:253-277.

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2021The impact of US monetary policy on managed exchange rates and currency peg regimes. (2021). Roevekamp, Ingmar . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302229.

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2022Asymmetric spillovers and connectedness between crude oil and currency markets using high-frequency data. (2022). Vo, Xuan Vinh ; Kang, Sanghoon ; Mensi, Walid ; Shafiullah, Muhammad. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s030142072200126x.

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2021Analysis of the performance of volatility-based trading strategies on scheduled news announcement days: An international equity market perspective. (2021). Esparcia, Carlos ; Lopez, Raquel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:32-54.

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2021Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?. (2021). Lyocsa, Tefan ; Plihal, Toma. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:811-829.

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2021How does news flow affect cross-market volatility spillovers? Evidence from China’s stock index futures and spot markets. (2021). Zhang, Zhaoyong ; Zhou, Xinmiao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:73:y:2021:i:c:p:196-213.

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2021Conditional volatility persistence and volatility spillovers in the foreign exchange market. (2021). Su, Fei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531920301094.

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2021Gold and US sectoral stocks during COVID-19 pandemic. (2021). Salisu, Afees ; Lucey, Brian ; Vo, Xuan Vinh. In: Research in International Business and Finance. RePEc:eee:riibaf:v:57:y:2021:i:c:s0275531921000453.

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2022The intraday dynamics and intraday price discovery of bitcoin. (2022). Yuan, Yulin ; Wang, Xinyi ; Su, Fei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531922000137.

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2021Response of the USD/MXN Exchange Rate to Macroeconomic Data. (2021). Pasionek, Jolanta. In: European Research Studies Journal. RePEc:ers:journl:v:xxiv:y:2021:i:special3:p:914-927.

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2021The Relative Informativeness of Regular and E-Mini Euro/Dollar Futures Contracts and the Role of Trader Types. (2021). Corelli, Angelo ; Malhotra, Jatin. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:6:p:111-:d:569825.

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2022Evaluation of the Future Price of Brazilian Commodities as a Predictor of the Price of the Spot Market. (2022). Tessmann, Mathias Schneid ; Miranda, Rogrio Boueri ; Lima, Alexandre Vasconcelos. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:14:y:2022:i:4:p:51.

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2022Exploring Statistical Arbitrage Opportunities Using Machine Learning Strategy. (2022). Yang, Xiao Guang ; Du, Helen S ; Zhang, Shu. In: Computational Economics. RePEc:kap:compec:v:60:y:2022:i:3:d:10.1007_s10614-021-10169-8.

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2021Time-varying information share and autoregressive loading factors: evidence from S&P 500 cash and E-mini futures markets. (2021). Wen, Fenghua ; Li, Steven ; Hou, Yang. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:1:d:10.1007_s11156-020-00940-7.

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2022The Impact of Exchange Rate Futures Fluctuations on Macroeconomy: Evidence from Ten Trading Market. (2022). Wang, Hai-Jie ; Chang, Chun-Ping ; Syarifuddin, Ferry ; Yang, Hao-Chang. In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:58:y:2022:i:8:p:2300-2313.

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2022Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow. (2022). Rashid, Abdul ; Jabeen, Munazza. In: Global Journal of Emerging Market Economies. RePEc:sae:emeeco:v:14:y:2022:i:2:p:222-245.

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2021Revisiting the asymmetric impacts of the exchange market pressure on the inflation, interest rate and foreign trade balance in Eastern Europe. (2021). Ozcelebi, Oguzhan ; Su, Emre ; Tokmakcioglu, Kaya. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:5:d:10.1007_s00181-020-01965-6.

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2022Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework. (2022). Yelkenci, Tezer ; Baklaci, Hasan Fehmi. In: Eurasian Economic Review. RePEc:spr:eurase:v:12:y:2022:i:2:d:10.1007_s40822-022-00209-5.

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2021The Cross-Border Price Discovery and the Shanghai-Hong Kong Stock Connect. (2021). Lee, Yen-Hsien ; Chiang, Kuan-Yi ; Chun-I Lin, . In: Advances in Management and Applied Economics. RePEc:spt:admaec:v:11:y:2021:i:3:f:11_3_2.

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2022The news effects on exchange rate returns and volatility: Evidence from Pakistan. (2022). Ihsan, Hajra ; Rashid, Abdul ; Jabeen, Munazza . In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:745-769.

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2023Order book price impact in the Chinese soybean futures market. (2023). Li, Youwei ; Yang, Yung Chiang ; Kearney, Fearghal ; Jin, Muzhao. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:606-625.

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2021Scheduled macroeconomic news announcements and Forex volatility forecasting. (2021). Plihal, Toma. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:8:p:1379-1397.

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2021Information transmission under increasing political tensions—Evidence from the Berlin Produce Exchange 1887–1896. (2021). Sulewski, Christoph ; Siklos, Pierre L ; Putz, Alexander ; Bohl, Martin T. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:2:p:226-244.

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2021Quantile information share under Markov regime?switching. (2021). Yu, Xiaojian ; Wang, Ziling ; Lien, Donald. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:493-513.

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2021Price discovery in chinese agricultural futures markets: A comprehensive look. (2021). Wang, Tao ; Li, Zheng ; Yang, Jian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:536-555.

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2021Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange?traded fund?. (2021). Diesting, Florent ; Sobti, Neharika ; Sehgal, Sanjay. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1092-1123.

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2021Jumps in foreign exchange spot rates and the informational efficiency of currency forwards. (2021). Sun, Qiao ; Mollica, Vito ; Ibikunle, Gbenga. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1201-1219.

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2021Fractional cointegration in bitcoin spot and futures markets. (2021). Xu, KE ; Wu, Jinghong ; Chen, Jian ; Zheng, Xinwei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:9:p:1478-1494.

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2022Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets. (2022). Yuan, Xianghui ; Wang, Shihao ; Li, Peiran ; Lian, Feng ; Jin, Liwei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:12:p:2235-2247.

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2022The information effect of order flows in foreign currency futures and spot markets. (2022). Gau, YinFeng ; Chen, Yulun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:8:p:1549-1572.

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2021Investor sentiment?styled index in index futures market. (2021). Liu, Wenwen. In: Review of Financial Economics. RePEc:wly:revfec:v:39:y:2021:i:1:p:51-72.

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Works by Yin-Feng Gau:

YearTitleTypeCited
2004Forecasting Value-at-Risk Using the Markov-Switching ARCH Model In: Econometric Society 2004 Far Eastern Meetings.
[Full Text][Citation analysis]		paper0
2017Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article5
2010International asset allocation for incompletely-informed investors In: Journal of Financial Markets.
[Full Text][Citation analysis]		article2
2014Order choices under information asymmetry in foreign exchange markets In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article0
2010News announcements and price discovery in foreign exchange spot and futures markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article106
2013The effectiveness of position limits: Evidence from the foreign exchange futures markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article10
2014Asymmetric responses of ask and bid quotes to information in the foreign exchange market In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article2
2017Macroeconomic announcements and price discovery in the foreign exchange market In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article26
2015Foreign exchange market intervention and price discovery In: Journal of the Japanese and International Economies.
[Full Text][Citation analysis]		article2
2005Intraday volatility in the Taipei FX market In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article4
2006Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article6
2007Intraday exchange rate volatility: ARCH, news and seasonality effects In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article5
2016Trading activities and price discovery in foreign currency futures markets In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]		article10
2017Home bias in portfolio choices: social learning among partially informed agents In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]		article3
2013Issuer Credit Ratings and Warrant-Pricing Errors In: Emerging Markets Finance and Trade.
[Full Text][Citation analysis]		article0
2004Public information, private information, inventory control, and volatility of intraday NTD/USD exchange rates In: Applied Economics Letters.
[Full Text][Citation analysis]		article9
2012The predictability of excess returns in the emerging bond markets In: Applied Financial Economics.
[Full Text][Citation analysis]		article0
2007Expected risk and excess returns predictability in emerging bond markets In: Applied Economics.
[Full Text][Citation analysis]		article7
2009Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange In: Journal of Futures Markets.
[Full Text][Citation analysis]		article29

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