Fuchun Li : Citation Profile


Are you Fuchun Li?

Bank of Canada

6

H index

5

i10 index

114

Citations

RESEARCH PRODUCTION:

8

Articles

15

Papers

1

Chapters

RESEARCH ACTIVITY:

   17 years (1999 - 2016). See details.
   Cites by year: 6
   Journals where Fuchun Li has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 4 (3.39 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli964
   Updated: 2019-10-15    RAS profile: 2015-02-24    
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Relations with other researchers


Works with:

Christensen, Ian (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Fuchun Li.

Is cited by:

Kim, Hyeongwoo (9)

Panchenko, Valentyn (5)

van Dijk, Dick (5)

Swanson, Norman (4)

Corradi, Valentina (4)

Diks, Cees (4)

Kristensen, Dennis (3)

Lozano-Espitia, Ignacio (3)

Guarín López, Alexander (3)

SONG, ZHAOGANG (2)

Tkacz, Greg (2)

Cites to:

Coenen, Günter (8)

Dungey, Mardi (7)

Martin, Vance (6)

Ait-Sahalia, Yacine (6)

Diebold, Francis (5)

Fry-McKibbin, Renee (5)

shin, yongcheol (4)

Andrews, Donald (4)

Berndsen, Ron (4)

merton, robert (4)

King, Robert (4)

Main data


Where Fuchun Li has published?


Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada15

Recent works citing Fuchun Li (2018 and 2017)


YearTitle of citing document
2018Forecasting Financial Stress Indices in Korea: A Factor Model Approach. (2018). Kim, Hyeongwoo ; Shi, Wen. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2018-06.

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2019Forecasting Financial Stress Indices in Korea: A Factor Model Approach. (2019). Kim, Hyeongwoo ; Shi, Wen. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2019-02.

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2017Financial conditions index (FCI), inflation and growth: Some evidence. (2017). Sahoo, Manamani. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(612):y:2017:i:3(612):p:147-172.

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2017Contagion in financial systems: A Bayesian network approach. (2017). Chong, Carsten ; Kluppelberg, Claudia. In: Papers. RePEc:arx:papers:1702.04287.

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2019Systemic Risk and Collateral Adequacy. (2019). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:19-23.

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2017Improving Forecast Accuracy of Financial Vulnerability: Partial Least Squares Factor Model Approach. (2017). Kim, Hyeongwoo ; Ko, Kyunghwan. In: Working Papers. RePEc:bok:wpaper:1714.

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2018Energy Contagion Analysis: A New Perspective with Application to a Small Petroleum Economy. (2018). Mahadeo, Scott ; Legrenzi, Gabriella ; Heinlein, Reinhold. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7279.

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2017Risk indicators for financial market infrastructure: from high frequency transaction data to a traffic light signal. (2017). Berndsen, Ron ; Heijmans, Ronald . In: DNB Working Papers. RePEc:dnb:dnbwpp:557.

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2018Multivariate specification tests based on a dynamic Rosenblatt transform. (2018). Kheifets, Igor L. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:124:y:2018:i:c:p:1-14.

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2017Credit funding and banking fragility: A forecasting model for emerging economies. (2017). Guarín López, Alexander ; Lozano-Espitia, Ignacio ; Guarin, Alexander . In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:168-189.

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2018Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network. (2018). Ugolini, Andrea ; Arismendi Zambrano, Juan ; Rivera-Castro, Miguel A. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:164-189.

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2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, H. Peter. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:53-75.

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2019What determines bitcoin exchange prices? A network VAR approach. (2019). Abu-Hashish, Iman ; Giudici, Paolo. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:309-318.

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2017Leading indicators of financial stress: New evidence. (2017). Zigraiova, Diana ; Vermeulen, Robert ; Vašíček, Bořek ; Hoeberichts, Marco ; de Haan, Jakob ; Midkova, Kateina ; Vaiek, Boek . In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:240-257.

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2017Credit risk interconnectedness: What does the market really know?. (2017). Brownlees, Christian ; Abbassi, Puriya ; Podlich, Natalia ; Hans, Christina . In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:1-12.

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2018Contagion through common borrowers. (2018). Biswas, Swarnava S ; Gomez, Fabiana. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:125-132.

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2019Foreign expansion, competition and bank risk. (2019). Laffitte, Sébastien ; Faia, Ester. In: Journal of International Economics. RePEc:eee:inecon:v:118:y:2019:i:c:p:179-199.

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2018Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?. (2018). Aristeidis, Samitas ; Elias, Kampouris. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:263-286.

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2017Do political factors affect stock returns during presidential elections?. (2017). Shen, Chung-Hua ; Lin, Chih-Yung ; Bui, Dien Giau. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:180-198.

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2017Sovereign tail risk. (2017). Moreno, Antonio ; Lopez-Espinosa, German ; Valderrama, Laura ; Rubia, Antonio. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:174-188.

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2017Sudden stops of capital flows to emerging markets: A new prediction approach. (2017). Suh, Sangwon. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:289-308.

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2017Size is everything: Explaining SIFI designations. (2017). , Gregor ; Irresberger, Felix ; Bierth, Christopher . In: Review of Financial Economics. RePEc:eee:revfin:v:32:y:2017:i:c:p:7-19.

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2018Testing for financial contagion: New evidence from the Greek crisis and yuan devaluation. (2018). Anastasopoulos, Alexia. In: Research in International Business and Finance. RePEc:eee:riibaf:v:45:y:2018:i:c:p:499-511.

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2017Foreign Investment, Regulatory Arbitrage, and the Risk of U.S. Banking Organizations. (2017). Frame, W ; Sanz, Leandro ; Mihov, Atanas . In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2017-02.

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2017THE IMPACTS OF FINANCIAL REGULATIONS: SOLVENCY AND LIQUIDITY IN THE POST-CRISIS PERIOD. (2017). Jagtiani, Julapa ; Baker, Colleen ; Cumming, Christine M. In: Working Papers. RePEc:fip:fedpwp:17-10.

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2017Dependence between Stock Returns of Italian Banks and the Sovereign Risk. (2017). Durante, Fabrizio ; Weissensteiner, Alex ; Foscolo, Enrico . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:23-:d:100926.

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2018Stationary Threshold Vector Autoregressive Models. (2018). Stentoft, Lars ; Grynkiv, Galyna. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:45-:d:162047.

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2017Does banks systemic importance affect their capital structure adjustment process?. (2017). TARAZI, Amine ; De Jonghe, Olivier ; Bakkar, Yassine . In: Working Papers. RePEc:hal:wpaper:hal-01546995.

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2017Does banks systemic importance affect their capital structure and balance sheet adjustment processes?. (2017). TARAZI, Amine ; De Jonghe, Olivier ; Bakkar, Yassine . In: Working Papers. RePEc:hal:wpaper:hal-01636253.

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2017Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties. (2017). Menkveld, Albert. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:2:p:209-242..

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2017Assessing Thailand’s financial vulnerability: An early warning approach. (2017). Puah, Chin-Hong ; Arip, Affendy M ; Kuek, Tai-Hock. In: Business and Economic Horizons (BEH). RePEc:pdc:jrnbeh:v:13:y:2017:i:4:p:496-505.

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2018Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach. (2018). Kim, Hyeongwoo ; Ko, Kyunghwan. In: MPRA Paper. RePEc:pra:mprapa:89449.

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2018Forecasting Financial Vulnerability in the US: A Factor Model Approach. (2018). Kim, Hyeongwoo ; Shi, Wen. In: MPRA Paper. RePEc:pra:mprapa:89766.

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2018Forecasting Financial Stress Indices in Korea: A Factor Model Approach. (2018). Kim, Hyeongwoo ; Shi, Wen. In: MPRA Paper. RePEc:pra:mprapa:89768.

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2017Analysing the Relevance of the MIP Scoreboards Indicators. (2017). Širaňová, Mária ; Tom, Domonkos ; Mria, Iraov ; Ivana, Ikulov ; Filip, Ostriho . In: National Institute Economic Review. RePEc:sae:niesru:v:239:y:2017:i:1:p:r32-r52.

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2017A test for a parametric form of the volatility in second-order diffusion models. (2017). Yan, Tianshun ; Mei, Changlin. In: Computational Statistics. RePEc:spr:compst:v:32:y:2017:i:4:d:10.1007_s00180-016-0685-z.

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2018Fiscal developments and financial stress: a threshold VAR analysis. (2018). Afonso, Antonio ; Slavik, Michal ; Baxa, Jaromir . In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:2:d:10.1007_s00181-016-1210-5.

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2017Extreme Value Theory with an Application to Bank Failures through Contagion. (2017). Nikzad, Rashid ; McDonald, David. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:7:y:2017:i:3:f:7_3_6.

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2017Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes. (2017). Bierens, Herman J ; Wang, LI. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:103-135.

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Works by Fuchun Li:


YearTitleTypeCited
2010Financial Stress, Monetary Policy, and Economic Activity In: Bank of Canada Review.
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article11
2010Financial Stress, Monetary Policy, and Economic Activity.(2010) In: Staff Working Papers.
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This paper has another version. Agregated cites: 11
paper
2001Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods In: Staff Working Papers.
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paper3
2001A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data In: Staff Working Papers.
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paper7
2005Testing the Parametric Specification of the Diffusion Function in a Diffusion Process In: Staff Working Papers.
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paper13
2007TESTING THE PARAMETRIC SPECIFICATION OF THE DIFFUSION FUNCTION IN A DIFFUSION PROCESS.(2007) In: Econometric Theory.
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This paper has another version. Agregated cites: 13
article
2006Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model In: Staff Working Papers.
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paper2
2009Testing for Financial Contagion with Applications to the Canadian Banking System In: Staff Working Papers.
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paper3
2009A Consistent Test for Multivariate Conditional Distributions In: Staff Working Papers.
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paper1
2011A Consistent Test for Multivariate Conditional Distributions.(2011) In: Econometric Reviews.
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This paper has another version. Agregated cites: 1
article
2010Identifying Asymmetric Comovements of International Stock Market Returns In: Staff Working Papers.
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paper0
2011Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach In: Staff Working Papers.
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paper2
2013A Semiparametric Early Warning Model of Financial Stress Events In: Staff Working Papers.
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paper2
2014Predicting Financial Stress Events: A Signal Extraction Approach In: Staff Working Papers.
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paper19
2014Predicting financial stress events: A signal extraction approach.(2014) In: Journal of Financial Stability.
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This paper has another version. Agregated cites: 19
article
2015Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates In: Staff Working Papers.
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paper0
2016Measuring Systemic Risk Across Financial Market Infrastructures In: Staff Working Papers.
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paper18
2016Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach In: Staff Working Papers.
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paper0
1999Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model In: Staff Working Papers.
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paper4
2005Linking real activity and financial markets: the first steps towards a small estimated model for Canada In: BIS Papers chapters.
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chapter0
2004Combining Forecasts with Nonparametric Kernel Regressions In: Studies in Nonlinear Dynamics & Econometrics.
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article4
2006A consistent bootstrap test for conditional density functions with time-series data In: Journal of Econometrics.
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article21
2014Testing for financial contagion based on a nonparametric measure of the cross-market correlation In: Review of Financial Economics.
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article3
2006A Semiparametric Two-Factor Term Structure Model In: Journal of Financial Econometrics.
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article1

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