Xiaochun Liu : Citation Profile


Are you Xiaochun Liu?

University of Alabama-Tuscaloosa

4

H index

1

i10 index

58

Citations

RESEARCH PRODUCTION:

19

Articles

7

Papers

RESEARCH ACTIVITY:

   13 years (2008 - 2021). See details.
   Cites by year: 4
   Journals where Xiaochun Liu has often published
   Relations with other researchers
   Recent citing documents: 21.    Total self citations: 13 (18.31 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli690
   Updated: 2022-10-01    RAS profile: 2021-11-30    
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Relations with other researchers


Works with:

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 (7)

Österholm, Pär (5)

Anatolyev, Stanislav (4)

GUPTA, RANGAN (4)

Kiss, Tamas (4)

Naraidoo, Ruthira (3)

Karlsson, Sune (2)

Kim, Tae-Hwan (2)

Yang, Minxian (2)

Bonga-Bonga, Lumengo (1)

Glocker, Christian (1)

Cites to:

Engle, Robert (16)

Sarno, Lucio (16)

Bollerslev, Tim (15)

West, Kenneth (15)

Rossi, Barbara (14)

Campbell, John (14)

Diebold, Francis (12)

Harvey, Campbell (12)

McAleer, Michael (12)

Gospodinov, Nikolay (9)

Verdelhan, Adrien (9)

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 (2022 and 2021)


YearTitle of citing document
2022The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146.

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2021Tail forecasts of inflation using time-varying parameter quantile regressions. (2021). Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:2103.03632.

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2022Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673.

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2021Vector autoregression models with skewness and heavy tails. (2021). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Papers. RePEc:arx:papers:2105.11182.

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2021Hidden semi-Markov-switching quantile regression for time series. (2021). Petrella, Lea ; Maruotti, Antonello ; Sposito, Luca. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:159:y:2021:i:c:s0167947321000426.

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2021The transformed Gram Charlier distribution: Parametric properties and financial risk applications. (2021). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:323-349.

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2022The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area. (2022). Osterholm, Par ; Nguyen, Hoang ; Kiss, Tamas. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003688.

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2022The impact of oil price shocks on the risk-return relation in the Chinese stock market. (2022). Yue, Wei ; Xiao, Jihong ; Zhang, Minzhi ; Wen, Fenghua. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322001003.

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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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2021Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails. (2021). Nguyen, Hoang ; Kiss, Tamas ; Osterholm, Par. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:506-:d:660957.

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2021Vector autoregression models with skewness and heavy tails. (2021). Nguyen, Hoang ; Karlsson, Sune ; Mazur, Stepan. In: Working Papers. RePEc:hhs:oruesi:2021_008.

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2021Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances. (2021). Österholm, Pär ; Nguyen, Hoang ; Kiss, Tamas ; Osterholm, Par ; Mazur, Stepan. In: Working Papers. RePEc:hhs:oruesi:2021_009.

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2022Modelling Okun’s Law – Does non-Gaussianity Matter?. (2022). Österholm, Pär ; Nguyen, Hoang ; Kiss, Tamas ; Osterholm, Par. In: Working Papers. RePEc:hhs:oruesi:2022_001.

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2022The Importance of Board Risk Oversight in Times of Crisis. (2022). Slagmulder, Regine ; Haddad, Christian ; Dupire, Marion. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:61:y:2022:i:3:d:10.1007_s10693-021-00364-x.

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2022Predictable asset price dynamics, risk-return tradeoff, and investor behavior. (2022). Kilic, Osman ; Marks, Joseph M ; Nam, Kiseok. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:59:y:2022:i:2:d:10.1007_s11156-022-01057-9.

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2021CEO overconfidence, firm-specific factors, and systemic risk: evidence from China. (2021). Hassan, Hassan ; Chen, Yingying ; Wahab, Salman ; Yi, Xianrong ; Safi, Adnan. In: Risk Management. RePEc:pal:risman:v:23:y:2021:i:1:d:10.1057_s41283-021-00066-7.

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2021Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models. (2021). Demirer, Riza ; Gupta, Rangan ; You, YU ; Li, HE. In: Working Papers. RePEc:pre:wpaper:202112.

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2021Optimal quantile hedging under Markov regime switching. (2021). Yu, Xiaojian ; Wang, Ziling ; Lien, Donald. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:5:d:10.1007_s00181-020-01831-5.

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2022The non-linear trade-off between return and risk and its determinants. (2022). Salvador, Enrique ; Cotter, John. In: Working Papers. RePEc:ucd:wpaper:202203.

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2022Monetary policy reaction to uncertainty in Japan: Evidence from a quantile?on?quantile interest rate rule. (2022). Hassapis, Christis ; Gupta, Rangan ; Naraidoo, Ruthira ; Christou, Christina. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2041-2053.

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2021Directional news impact curve. (2021). Anatolyev, Stanislav. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:1:p:94-107.

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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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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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article2
2013Markov-Switching Quantile Autoregression.(2013) In: MPRA Paper.
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This paper has another version. Agregated cites: 2
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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article4
2016A new approach to risk-return trade-off dynamics via decomposition In: Journal of Economic Dynamics and Control.
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article7
2017Measuring systemic risk with regime switching in tails In: Economic Modelling.
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article12
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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article4
2015Modeling time-varying skewness via decomposition for out-of-sample forecast In: International Journal of Forecasting.
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article0
2011Modeling the time-varying skewness via decomposition for out-of-sample forecast.(2011) In: MPRA Paper.
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This paper has another version. Agregated cites: 0
paper
2020Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach In: Journal of Banking & Finance.
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article2
2017Unfolded risk-return trade-offs and links to Macroeconomic Dynamics In: Journal of Banking & Finance.
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article5
2019On tail fatness of macroeconomic dynamics In: Journal of Macroeconomics.
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article9
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
2017An integrated macro?financial risk?based approach to the stressed capital requirement.(2017) In: Review of Financial Economics.
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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: The Journal of Financial Econometrics.
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article0
2011The Dynamic International Optimal Hedge Ratio In: MPRA Paper.
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2013Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach In: MPRA Paper.
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2019Cyclicality of stock market volatility In: Applied Economics Letters.
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