Chun Liu : Citation Profile


Are you Chun Liu?

Tsinghua University

3

H index

2

i10 index

86

Citations

RESEARCH PRODUCTION:

4

Articles

5

Papers

RESEARCH ACTIVITY:

   10 years (2007 - 2017). See details.
   Cites by year: 8
   Journals where Chun Liu has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 4 (4.44 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli412
   Updated: 2018-05-19    RAS profile: 2013-11-09    
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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 Chun Liu.

Is cited by:

Sévi, Benoît (11)

Maheu, John (9)

Chevallier, Julien (8)

Louzis, Dimitrios (5)

Santucci de Magistris, Paolo (5)

Song, Yong (5)

Grassi, Stefano (5)

McCurdy, Tom (4)

Ielpo, Florian (3)

He, Zhongfang (3)

Fuertes, Ana-Maria (3)

Cites to:

Bollerslev, Tim (18)

Andersen, Torben (16)

Diebold, Francis (15)

Maheu, John (9)

Grammig, Joachim (7)

Bauwens, Luc (7)

Engle, Robert (6)

Veredas, David (6)

Barndorff-Nielsen, Ole (5)

Corsi, Fulvio (5)

McCurdy, Tom (4)

Main data


Where Chun Liu has published?


Recent works citing Chun Liu (2018 and 2017)


YearTitle of citing document
2018Mapping shadow banking in China: structure and dynamics. (2018). Ehlers, Torsten ; Zhu, Feng ; Kong, Steven. In: BIS Working Papers. RePEc:bis:biswps:701.

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2018Risks in China’s financial system. (2018). Song, Zheng ; Xiong, Wei. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2018_001.

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2017Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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2017Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?. (2017). Nonejad, Nima . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:131-154.

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2017Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty?. (2017). Wei, YU ; Hu, Yang ; Lai, Xiaodong ; Liu, Jing. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:141-150.

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2017Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Molnár, Peter ; Lyócsa, Štefan ; Todorova, Neda ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247.

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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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2017Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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2017Local Crowding Out in China. (2017). Panizza, Ugo ; Pagano, Marco ; U G O Panizza, ; Huang, YI. In: EIEF Working Papers Series. RePEc:eie:wpaper:1707.

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2017Time-Varying Window Length for Correlation Forecasts. (2017). McCurdy, Tom ; Jeon, Yoontae . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:54-:d:122391.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01442618.

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2018Will China Collapse: A Review, Assessment And Outlook. (2018). Xu, Xiang ; Han, Alice Siqi. In: Economics Working Papers. RePEc:hoo:wpaper:18104.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17006.

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2017Chinas Gradualistic Economic Approach and Financial Markets. (2017). Xiong, Wei ; Brunnermeier, Markus ; Sockin, Michael . In: NBER Working Papers. RePEc:nbr:nberwo:23194.

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2017An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series. (2017). Song, Yong ; Maheu, John. In: MPRA Paper. RePEc:pra:mprapa:79211.

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Works by Chun Liu:


YearTitleTypeCited
2012Marginal likelihood calculation for the Gelfand–Dey and Chib methods In: Economics Letters.
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article0
2012Intraday dynamics of volatility and duration: Evidence from Chinese stocks In: Pacific-Basin Finance Journal.
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article2
2009Forecasting realized volatility: a Bayesian model-averaging approach In: Journal of Applied Econometrics.
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article28
2008Forecasting Realized Volatility: A Bayesian Model Averaging Approach.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28
paper
2017The Financing of Local Government in China: Stimulus Loan Wanes and Shadow Banking Waxes In: NBER Working Papers.
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paper5
2008Are There Structural Breaks in Realized Volatility? In: Journal of Financial Econometrics.
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article50
2007Are there Structural Breaks in Realized Volatility?.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 50
paper
2010Marginal likelihood calculation for gelfand-dey and Chib Method In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2010Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market In: Working Papers.
[Full Text][Citation analysis]
paper1

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