Chun Liu : Citation Profile


Are you Chun Liu?

Tsinghua University

4

H index

2

i10 index

93

Citations

RESEARCH PRODUCTION:

4

Articles

5

Papers

RESEARCH ACTIVITY:

   10 years (2007 - 2017). See details.
   Cites by year: 9
   Journals where Chun Liu has often published
   Relations with other researchers
   Recent citing documents: 21.    Total self citations: 4 (4.12 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pli412
   Updated: 2018-10-13    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)

Song, Yong (5)

Santucci de Magistris, Paolo (5)

Grassi, Stefano (5)

Louzis, Dimitrios (5)

McCurdy, Tom (4)

Fuertes, Ana-Maria (3)

Ielpo, Florian (3)

He, Zhongfang (3)

Cites to:

Bollerslev, Tim (18)

Andersen, Torben (16)

Diebold, Francis (15)

Maheu, John (9)

Bauwens, Luc (7)

Grammig, Joachim (7)

Veredas, David (6)

Engle, Robert (6)

Corsi, Fulvio (5)

Barndorff-Nielsen, Ole (5)

Hansen, Peter (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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2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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2018Multiple days ahead realized volatility forecasting: Single, combined and average forecasts. (2018). Degiannakis, Stavros. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:41-61.

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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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2018Trading intensity and the volume-volatility relationship on the Tunis Stock Exchange. (2018). Karaa, Rabaa ; Hmaied, Dorra Mezzez ; Slim, Skander. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:88-99.

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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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2017Comprehensive market microstructure model: considering the inventory holding costs. (2017). Ryu, Doojin. In: Journal of Business Economics and Management. RePEc:taf:jbemgt:v:18:y:2017:i:2:p:183-201.

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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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article6
2009Forecasting realized volatility: a Bayesian model-averaging approach In: Journal of Applied Econometrics.
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article31
2008Forecasting Realized Volatility: A Bayesian Model Averaging Approach.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 31
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.
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paper1

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