Xiaochun Liu : Citation Profile


Are you Xiaochun Liu?

University of Alabama-Tuscaloosa

6

H index

3

i10 index

91

Citations

RESEARCH PRODUCTION:

20

Articles

7

Papers

RESEARCH ACTIVITY:

   16 years (2008 - 2024). See details.
   Cites by year: 5
   Journals where Xiaochun Liu has often published
   Relations with other researchers
   Recent citing documents: 21.    Total self citations: 14 (13.33 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli1583
   Updated: 2024-11-08    RAS profile: 2024-08-21    
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Relations with other researchers


Works with:

Liu, Xiaochun (8)

Liu, Xiaochun (7)

Liu, Xiaochun (7)

You, Yu (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Xiaochun Liu.

Is cited by:

Nguyen, Hoang (10)

Kiss, Tamas (7)

Österholm, Pär (7)

Mazur, Stepan (5)

GUPTA, RANGAN (5)

Anatolyev, Stanislav (4)

Naraidoo, Ruthira (3)

Karlsson, Sune (3)

Hayaki, Shoka (2)

cotter, john (2)

Pfarrhofer, Michael (2)

Cites to:

Liu, Xiaochun (25)

Liu, Xiaochun (25)

Liu, Xiaochun (25)

Engle, Robert (17)

Bollerslev, Tim (16)

Rossi, Barbara (16)

Sarno, Lucio (16)

West, Kenneth (15)

Campbell, John (14)

Harvey, Campbell (12)

Diebold, Francis (12)

Main data


Where Xiaochun Liu has published?


Journals with more than one article published# docs
Journal of Economic Dynamics and Control3
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany4

Recent works citing Xiaochun Liu (2024 and 2023)


YearTitle of citing document
2023Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning. (2023). M. I. M. Wahab, ; Cevik, Mucahit ; Neghab, Davood Pirayesh. In: Papers. RePEc:arx:papers:2303.16149.

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2023Vector autoregression models with skewness and heavy tails. (2023). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002834.

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2023How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? Evidence from major currencies. (2023). Huang, Jianglu ; Qi, Zikang ; Wang, Xinyu. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003923.

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2023Carbon trading amidst global uncertainty: The role of policy and geopolitical uncertainty. (2023). Adediran, Idris ; Swaray, Raymond. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000913.

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2023On the role of interest rate differentials in the dynamic asymmetry of exchange rates. (2023). Ulm, M ; Hambuckers, J. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003668.

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2024Can inflation predict energy price volatility?. (2024). Batten, Jonathan ; Mo, DI ; Pourkhanali, Armin. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006564.

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2023Nowcasting of the Short-run Euro-Dollar Exchange Rate with Economic Fundamentals and Time-varying Parameters. (2023). Yemba, Boniface ; Biswas, Nabaneeta ; Tang, Biyan ; Otunuga, Olusegun Michael. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007474.

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2024Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks. (2024). Wilfling, Bernd ; GUPTA, RANGAN ; Segnon, Mawuli. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:29-43.

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2023Volatility impacts on global banks: Insights from the GFC, COVID-19, and the Russia-Ukraine war. (2023). Wagner, Niklas ; Boubaker, Sabri ; Batten, Jonathan ; Choudhury, Tonmoy ; Kinateder, Harald. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:215:y:2023:i:c:p:325-350.

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2024Does mixed frequency variables help to forecast value at risk in the crude oil market?. (2024). Ke, Rui ; Qin, Fanshu ; Lyu, Yongjian ; Kong, Mengzhen ; Wei, YU. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011376.

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2024Do the dynamics of macroeconomic attention drive the yen/dollar exchange market volatility?. (2024). Zhang, Lixia ; Sun, Huaping ; Luo, Tao ; Bai, Jiancheng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:597-611.

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2023Global economic uncertainty and the Chinese stock market: Assessing the impacts of global indicators. (2023). Cui, Can ; Zhang, Yueyan ; Bai, Jiancheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000752.

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2023DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors. (2023). Tan, Fei ; Shin, Minchul ; Chib, Siddhartha. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:1:d:10.1007_s10614-021-10200-y.

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2023Exploring Systemic Risk Measurement Issues in Shadow Banks: A Case of an Emerging Economy. (2023). Pati, Ambika Prasad ; Bhattacharjee, Nandita. In: South Asian Journal of Macroeconomics and Public Finance. RePEc:sae:smppub:v:12:y:2023:i:2:p:186-217.

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2023Modelling Okun’s law: Does non-Gaussianity matter?. (2023). Österholm, Pär ; Kiss, Tamas ; Osterholm, Par ; Nguyen, Hoang. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:5:d:10.1007_s00181-022-02309-2.

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2023Modeling the relation between the US real economy and the corporate bond?yield spread in Bayesian VARs with non?Gaussian innovations. (2023). Österholm, Pär ; Osterholm, Par ; Nguyen, Hoang ; Mazur, Stepan ; Kiss, Tamas. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:2:p:347-368.

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Works by Xiaochun Liu:


YearTitleTypeCited
2020Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary In: Papers.
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paper2
2020Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary.(2020) In: Hohenheim Discussion Papers in Business, Economics and Social Sciences.
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This paper has nother version. Agregated cites: 2
paper
2018How is the Taylor Rule Distributed under Endogenous Monetary Regimes? In: International Review of Finance.
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article3
2016Markov switching quantile autoregression In: Statistica Neerlandica.
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article4
2013Markov-Switching Quantile Autoregression.(2013) In: MPRA Paper.
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This paper has nother version. Agregated cites: 4
paper
2018Markov-switching quantile autoregression: a Gibbs sampling approach In: Studies in Nonlinear Dynamics & Econometrics.
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article3
2020QUANTILE-BASED ASYMMETRIC DYNAMICS OF REAL GDP GROWTH In: Macroeconomic Dynamics.
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article0
2021On fiscal and monetary policy-induced macroeconomic volatility dynamics In: Journal of Economic Dynamics and Control.
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article0
2015Unfolded GARCH models In: Journal of Economic Dynamics and Control.
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article5
2016A new approach to risk-return trade-off dynamics via decomposition In: Journal of Economic Dynamics and Control.
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article8
2017Measuring systemic risk with regime switching in tails In: Economic Modelling.
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article13
2008Chinas segmented stock market: An application of the conditional international capital asset pricing model In: Emerging Markets Review.
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article4
2017Foreign exchange predictability and the carry trade: A decomposition approach In: Journal of Empirical Finance.
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article6
2023Structural sources of oil market volatility and correlation dynamics In: Energy Economics.
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article1
2015Modeling time-varying skewness via decomposition for out-of-sample forecast In: International Journal of Forecasting.
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article2
2011Modeling the time-varying skewness via decomposition for out-of-sample forecast.(2011) In: MPRA Paper.
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This paper has nother version. Agregated cites: 2
paper
2020Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach In: Journal of Banking & Finance.
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article18
2017Unfolded risk-return trade-offs and links to Macroeconomic Dynamics In: Journal of Banking & Finance.
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article7
2024Are exchange rates absorbers of global oil shocks? A generalized structural analysis In: Journal of International Money and Finance.
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article0
2019On tail fatness of macroeconomic dynamics In: Journal of Macroeconomics.
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article13
2017Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market? In: The Quarterly Review of Economics and Finance.
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article1
2017An integrated macro-financial risk-based approach to the stressed capital requirement In: Review of Financial Economics.
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article0
2015Foreign exchange predictability during the financial crisis: implications for carry trade profitability In: FRB Atlanta Working Paper.
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paper0
2018Structural Volatility Impulse Response Function and Asymptotic Inference In: Journal of Financial Econometrics.
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article1
2011The Dynamic International Optimal Hedge Ratio In: MPRA Paper.
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paper0
2013Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach In: MPRA Paper.
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paper0
2019Cyclicality of stock market volatility In: Applied Economics Letters.
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article0

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