Edward Meng Hua Lin : Citation Profile


Are you Edward Meng Hua Lin?

6

H index

5

i10 index

108

Citations

RESEARCH PRODUCTION:

12

Articles

2

Papers

RESEARCH ACTIVITY:

   12 years (2008 - 2020). See details.
   Cites by year: 9
   Journals where Edward Meng Hua Lin has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 5 (4.42 %)

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   Permalink: http://citec.repec.org/pli529
   Updated: 2022-05-28    RAS profile: 2021-04-21    
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Relations with other researchers


Works with:

Sun, Edward (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Edward Meng Hua Lin.

Is cited by:

Chen, Cathy W. S. (10)

McAleer, Michael (8)

Asai, Manabu (6)

Chan, Jennifer (4)

Sun, Edward (3)

NG, KOK HAUR (3)

Allen, David (3)

Leung, Charles (2)

Novales, Alfonso (2)

Funke, Michael (2)

Shu, Chang (2)

Cites to:

Jagannathan, Ravi (16)

Engle, Robert (15)

Chen, Cathy W. S. (14)

Bollerslev, Tim (14)

Diebold, Francis (9)

Zhou, Hao (8)

Acharya, Viral (7)

Yu, Min-Teh (7)

Lo, Andrew (7)

Teräsvirta, Timo (5)

Hamilton, James (5)

Main data


Where Edward Meng Hua Lin has published?


Journals with more than one article published# docs
Journal of Forecasting2
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
Working Papers / University of Sydney Business School, Discipline of Business Analytics2

Recent works citing Edward Meng Hua Lin (2021 and 2020)


YearTitle of citing document
2020CoVaR with volatility clustering, heavy tails and non-linear dependence. (2020). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2009.10764.

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2021A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288.

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2021Stochastic volatility model with range-based correction and leverage. (2021). Kurose, Yuta. In: Papers. RePEc:arx:papers:2110.00039.

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2021How did the asset markets change after the Global Financial Crisis?. (2021). Leung, Charles ; Ka, Charles ; Chang, Kuang-Liang. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2021_004.

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2021How did the asset markets change after the Global Financial Crisis?. (2021). Leung, Charles ; Chang, Kuang-Liang. In: ISER Discussion Paper. RePEc:dpr:wpaper:1124.

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2022Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. (2022). Zhang, YI ; Qu, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002881.

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2020Heterogeneity risks and negative externality. (2020). Yang, Chen ; Huang, Wenli ; Li, LU ; Ba, Shusong. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:401-415.

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2020Forecasting volatility with component conditional autoregressive range model. (2020). Hou, Xinmeng ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081930083x.

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2020Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models. (2020). Singh, Anuradha ; Powell, Robert ; Yong, J ; Do, A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819301342.

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2020Realized stochastic volatility models with generalized Gegenbauer long memory. (2020). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:42-54.

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2020Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction. (2020). Galeano, Pedro ; Ausin, Concepcion M ; Virbickait, Audron. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303017.

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2020Research on Chinas financial systemic risk contagion under jump and heavy-tailed risk. (2020). Liu, Xi-Hua ; Gong, Xiao-Li ; Zhang, Wei ; Xiong, Xiong. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302283.

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2021Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information. (2021). Wei, YU ; Ma, Feng ; Li, Yan ; Liang, Chao. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000922.

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2020Forecasting stock price volatility: New evidence from the GARCH-MIDAS model. (2020). Yang, Lin ; Liu, Jing ; Ma, Feng ; Wang, LU. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:684-694.

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2021Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures. (2021). Bannigidadmath, Deepa ; Powell, Robert ; Pham, Thach N. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:70:y:2021:i:c:s0927538x21001773.

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2021Interconnectedness, systemic risk, and the influencing factors: Some evidence from China’s financial institutions. (2021). Zhang, Tianyi ; Yang, Zhongyi ; Tong, MU ; Wu, Shan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:569:y:2021:i:c:s0378437121000376.

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2021Pragmatic real-time logistics management with traffic IoT infrastructure: Big data predictive analytics of freight travel time for Logistics 4.0. (2021). Sun, Edward W ; Chen, Yi-Ting ; Lin, Yi-Bing ; Chang, Ming-Feng. In: International Journal of Production Economics. RePEc:eee:proeco:v:238:y:2021:i:c:s092552732100133x.

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2020Research on the time-varying network structure evolution of the stock indices of the BRICS countries based on fluctuation correlation. (2020). Yuan, Meng ; Li, Zhengyang ; Liu, Sen ; Dong, Zhiliang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:63-74.

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2020Modeling the Connection between Bank Systemic Risk and Balance-Sheet Liquidity Proxies through Random Forest Regressions. (2020). Zeldea, Cristina. In: Administrative Sciences. RePEc:gam:jadmsc:v:10:y:2020:i:3:p:52-:d:396470.

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2020Risk Management in the System of Financial Stability of the Service Enterprise. (2020). Drobyazko, Svetlana ; Bielialov, Taliat ; Chubukova, Olga ; Slusarczyk, Boguslaw ; Barwinska-Malajowicz, Anna. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:12:p:300-:d:453350.

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2021Systemic Risk Modeling with Lévy Copulas. (2021). Kim, Youngshin ; Djuri, Petar M ; Liu, Yuhao ; Glimm, James ; Rachev, Svetlozar T. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:251-:d:569413.

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2021The Relationship between CEO Psychological Biases, Corporate Governance and Corporate Social Responsibility. (2021). Salhi, Bassem. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:317-:d:591441.

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2020.

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2021On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations. (2021). Asai, Manabu ; Than-Thi, Hong. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10034-0.

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2022CEO overconfidence and the level of short-selling activity. (2022). Lam, Brian M ; Guan, Jieqi ; Liu, Ming. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:2:d:10.1007_s11156-021-01006-y.

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2021Comonotonicity and low volatility effect. (2021). Sun, Edward W ; Chen, Yi-Ting ; Lai, Wan-Ni. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03320-0.

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2020A dominance approach for comparing the performance of VaR forecasting models. (2020). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:3:d:10.1007_s00180-020-00990-4.

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2020ECM Algorithm for Auto-Regressive Multivariate Skewed Variance Gamma Model with Unbounded Density. (2020). , Jennifer ; Nitithumbundit, Thanakorn. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:22:y:2020:i:3:d:10.1007_s11009-019-09762-0.

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2021Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution. (2021). Petrella, Lea ; Bottone, Marco ; Bernardi, Mauro. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:3:d:10.1007_s10260-020-00550-6.

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2021The triple (T3) dimension of systemic risk: Identifying systemically important banks. (2021). Angelini, Eliana ; Foglia, Matteo. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:7-26.

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2021Volatility specifications versus probability distributions in VaR forecasting. (2021). Novales, Alfonso ; Garciajorcano, Laura. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:2:p:189-212.

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2021Systemic risk and macroeconomic forecasting: A globally applicable copula?based approach. (2021). Ashraf, Dawood ; Rizwan, Muhammad Suhail ; Ahmad, Ghufran. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:8:p:1420-1443.

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2022Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach. (2022). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi ; Wen, Danyan. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:230-251.

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Works by Edward Meng Hua Lin:


YearTitleTypeCited
2015Inference of Seasonal Long-memory Time Series with Measurement Error In: Scandinavian Journal of Statistics.
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article6
2008Volatility forecasting using threshold heteroskedastic models of the intra-day range In: Computational Statistics & Data Analysis.
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article21
2014Bayesian estimation of smoothly mixing time-varying parameter GARCH models In: Computational Statistics & Data Analysis.
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article2
2020Bank systemic risk and CEO overconfidence In: The North American Journal of Economics and Finance.
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article2
2012Forecasting volatility with asymmetric smooth transition dynamic range models In: International Journal of Forecasting.
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article12
2020Behavioral data-driven analysis with Bayesian method for risk management of financial services In: International Journal of Production Economics.
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article1
2018Systemic risk, interconnectedness, and non-core activities in Taiwan insurance industry In: International Review of Economics & Finance.
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article7
2009Volatility forecasting with double Markov switching GARCH models In: Journal of Forecasting.
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article22
2018Systemic risk, financial markets, and performance of financial institutions In: Annals of Operations Research.
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article13
2014Bayesian Assessment of Dynamic Quantile Forecasts In: Working Papers.
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paper1
2016Bayesian Assessment of Dynamic Quantile Forecasts.(2016) In: Journal of Forecasting.
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article
2011Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis In: Working Papers.
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paper18
2012Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis.(2012) In: Journal of Forecasting.
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This paper has another version. Agregated cites: 18
article
2014Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations In: Quantitative Finance.
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article3

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