6
H index
3
i10 index
97
Citations
Xiaochun Liu : Citation Profile
University of Alabama-Tuscaloosa | RESEARCH PRODUCTION: 22 Articles 7 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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16 years (2008 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Xiaochun Liu. | Is cited by:
| Cites to:
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Main data
Where Xiaochun Liu has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Economic Dynamics and Control | 3 |
| Journal of Financial Econometrics | 2 |
| Journal of Banking & Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| MPRA Paper / University Library of Munich, Germany | 4 |
Recent works citing Xiaochun Liu (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x. Full description at Econpapers || Download paper |
| 2024 | Can 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. Full description at Econpapers || Download paper |
| 2024 | Household welfare loss from energy price crisis: Evidence from China. (2024). Ren, Zhiyuan ; Zhu, Yuhan ; Zheng, Yan. In: Energy Economics. RePEc:eee:eneeco:v:138:y:2024:i:c:s0140988324005449. Full description at Econpapers || Download paper |
| 2024 | Forecasting 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. Full description at Econpapers || Download paper |
| 2024 | Does 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. Full description at Econpapers || Download paper |
| 2024 | Do 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. Full description at Econpapers || Download paper |
| 2024 | The development planning of the Italian Mezzogiorno: A statistical-mathematical analysis by a Real Business Cycle model. (2024). Vota, Luca ; Ferrentino, Rosa. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:96:y:2024:i:c:s0038012124002210. Full description at Econpapers || Download paper |
Works by Xiaochun Liu:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2020 | Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2023 | Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary*.(2023) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2020 | Encompassing 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. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2018 | How is the Taylor Rule Distributed under Endogenous Monetary Regimes? In: International Review of Finance. [Full Text][Citation analysis] | article | 3 |
| 2016 | Markov switching quantile autoregression In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 4 |
| 2013 | Markov-Switching Quantile Autoregression.(2013) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2018 | Markov-switching quantile autoregression: a Gibbs sampling approach In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2020 | QUANTILE-BASED ASYMMETRIC DYNAMICS OF REAL GDP GROWTH In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 0 |
| 2021 | On fiscal and monetary policy-induced macroeconomic volatility dynamics In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 0 |
| 2015 | Unfolded GARCH models In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 6 |
| 2016 | A new approach to risk-return trade-off dynamics via decomposition In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 8 |
| 2017 | Measuring systemic risk with regime switching in tails In: Economic Modelling. [Full Text][Citation analysis] | article | 13 |
| 2008 | Chinas segmented stock market: An application of the conditional international capital asset pricing model In: Emerging Markets Review. [Full Text][Citation analysis] | article | 4 |
| 2017 | Foreign exchange predictability and the carry trade: A decomposition approach In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 6 |
| 2023 | Structural sources of oil market volatility and correlation dynamics In: Energy Economics. [Full Text][Citation analysis] | article | 3 |
| 2015 | Modeling time-varying skewness via decomposition for out-of-sample forecast In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
| 2011 | Modeling the time-varying skewness via decomposition for out-of-sample forecast.(2011) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2020 | Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 19 |
| 2017 | Unfolded risk-return trade-offs and links to Macroeconomic Dynamics In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 7 |
| 2024 | Are exchange rates absorbers of global oil shocks? A generalized structural analysis In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 0 |
| 2019 | On tail fatness of macroeconomic dynamics In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 14 |
| 2017 | Can 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. [Full Text][Citation analysis] | article | 1 |
| 2017 | An integrated macro-financial risk-based approach to the stressed capital requirement In: Review of Financial Economics. [Full Text][Citation analysis] | article | 0 |
| 2017 | An integrated macro‐financial risk‐based approach to the stressed capital requirement.(2017) In: Review of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2015 | Foreign exchange predictability during the financial crisis: implications for carry trade profitability In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Structural Volatility Impulse Response Function and Asymptotic Inference In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2011 | The Dynamic International Optimal Hedge Ratio In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Cyclicality of stock market volatility In: Applied Economics Letters. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team