Cathy Ning : Citation Profile


Are you Cathy Ning?

Toronto Metropolitan University

7

H index

5

i10 index

222

Citations

RESEARCH PRODUCTION:

8

Articles

11

Papers

RESEARCH ACTIVITY:

   14 years (2008 - 2022). See details.
   Cites by year: 15
   Journals where Cathy Ning has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 5 (2.2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pni130
   Updated: 2023-01-28    RAS profile: 2021-12-21    
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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 Cathy Ning.

Is cited by:

Tiwari, Aviral (11)

Medovikov, Ivan (9)

Reboredo, Juan (8)

GUPTA, RANGAN (6)

Wirjanto, Tony (5)

Albulescu, Claudiu (5)

Bouri, Elie (5)

Roubaud, David (5)

Xu, Dinghai (4)

Aloui, Riadh (4)

Lau, Chi Keung (4)

Cites to:

Patton, Andrew (14)

Campbell, John (10)

Reinhart, Carmen (10)

Rogoff, Kenneth (9)

Bollerslev, Tim (9)

Engle, Robert (9)

Ang, Andrew (8)

Lucas, Robert (8)

Veldkamp, Laura (7)

Chen, Xiaohong (6)

Barro, Robert (6)

Main data


Where Cathy Ning has published?


Journals with more than one article published# docs
Finance Research Letters2

Working Papers Series with more than one paper published# docs
Working Papers / Ryerson University, Department of Economics6
UiS Working Papers in Economics and Finance / University of Stavanger3
Working Papers / University of Waterloo, Department of Economics2

Recent works citing Cathy Ning (2022 and 2021)


YearTitle of citing document
2021The role of asymmetry and dynamics in carry trade and general financial markets. (2021). Wu, ChihChiang ; Huang, Meichi. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:331-353.

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2021Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions. (2021). Anatolyev, Stanislav ; Pyrlik, Vladimir . In: CERGE-EI Working Papers. RePEc:cer:papers:wp699.

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2022Exchange rates and the global transmission of equity market shocks. (2022). Reboredo, Juan C ; Ojea-Ferreiro, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:114:y:2022:i:c:s0264999322001602.

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2021The impact of offshore exchange rate expectations on onshore exchange rates: The case of Chinese RMB. (2021). Xu, Xiangyun ; Ren, Junfan ; Shen, Yao ; Jia, Fei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302321.

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2021Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration. (2021). Zhou, LI ; Huang, Yilong ; Xiao, Binuo ; Tan, Zhengxun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000115.

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2021Dynamic linkage between the Chinese and global stock markets: A normal mixture approach. (2021). Matousek, Roman ; Xu, Yang ; Han, Liyan ; Wan, LI. In: Emerging Markets Review. RePEc:eee:ememar:v:49:y:2021:i:c:s156601411830298x.

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2022Extreme risk spillover of the oil, exchange rate to Chinese stock market: Evidence from implied volatility indexes. (2022). Zhao, Lili ; Yin, Hua ; Li, Wanyang ; Wen, Fenghua ; Chen, Lin. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000421.

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2021Dynamic dependence of oil, clean energy and the role of technology companies: New evidence from copulas with regime switching. (2021). Tiwari, Aviral ; Selmi, Refk ; Hammoudeh, Shawkat ; Nasreen, Samia. In: Energy. RePEc:eee:energy:v:220:y:2021:i:c:s0360544220326979.

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2021Tanker freight rates and economic policy uncertainty: A wavelet-based copula approach. (2021). Bai, Xiwen. In: Energy. RePEc:eee:energy:v:235:y:2021:i:c:s0360544221016315.

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2021The structure and degree of dependence in government bond markets. (2021). Vulanovic, Milos ; Swinkels, Laurens ; Piljak, Vanja ; Dimic, Nebojsa. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001049.

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2022Forecasting Value at Risk and expected shortfall using a model with a dynamic omega ratio. (2022). Taylor, James W. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426622001133.

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2022An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting. (2022). Wang, Shixuan ; Liu, Zhenya ; Han, Xuyuan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:25:y:2022:i:c:s2405851321000222.

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2021Extreme linkages between foreign exchange and general financial markets. (2021). Korsakul, Nattawadee ; Chen, Wei-Peng ; Wu, Chih-Chiang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:65:y:2021:i:c:s0927538x20306740.

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2022Predicting tail events in a RIA-EVT-Copula framework. (2022). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:600:y:2022:i:c:s0378437122003703.

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2022Cryptocurrencies, Diversification and the COVID-19 Pandemic. (2022). Allen, David. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:3:p:103-:d:758104.

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2021Exchange rates and the global transmission of equity market shocks. (2021). Reboredo, Juan ; Ojea-Ferreiro, Javier. In: Working Papers. RePEc:jrs:wpaper:202105.

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2021Time-Varying Mixture Copula Models with Copula Selection. (2021). Hafner, Christian ; Yang, Bingduo ; Liu, Guannan ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202105.

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2021Forecasting Volatility for an Optimal Portfolio with Stylized Facts Using Copulas. (2021). Belkacem, Lotfi ; Boubaker, Heni ; Karmous, Aida. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10041-1.

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2021A New Dynamic Mixture Copula Mechanism to Examine the Nonlinear and Asymmetric Tail Dependence Between Stock and Exchange Rate Returns. (2021). Chang, Kuang-Liang. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:4:d:10.1007_s10614-020-09981-5.

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2022Dependence structure of CAT bonds and portfolio diversification: a copula-GARCH approach. (2022). le Fur, Eric ; Lefur, Eric ; Haffar, Adlane. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:4:d:10.1057_s41260-022-00271-3.

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2021Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach. (2021). Tiwari, Aviral ; Raheem, Ibrahim ; Hille, Erik. In: MPRA Paper. RePEc:pra:mprapa:106684.

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2021Cryptocurrencies, Diversification and the COVID-19 Pandemic. (2021). Allen, David. In: MPRA Paper. RePEc:pra:mprapa:111735.

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2022Is oil price risk systemic to sectoral equity markets of an oil importing country? Evidence from a dependence-switching copula delta CoVaR approach. (2022). Tiwari, Aviral ; Hille, Erik ; Kumar, Satish ; Jena, Sangram Keshari. In: Annals of Operations Research. RePEc:spr:annopr:v:315:y:2022:i:1:d:10.1007_s10479-021-04218-6.

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2022Sector connectedness in the Chinese stock markets. (2022). Wang, Gang-Jin ; Zhou, Wei-Xing ; Ma, Jun-Chao ; Jiang, Zhi-Qiang ; Shen, Ying-Ying. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:2:d:10.1007_s00181-021-02036-0.

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2021A study on volatility spurious almost integration effect: A threshold realized GARCH approach. (2021). Xu, Dinghai. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4104-4126.

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Works by Cathy Ning:


YearTitleTypeCited
2010The dependence structure between the Canadian stock market and the USD/CAD exchange rate: a copula approach In: Canadian Journal of Economics.
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article28
2010The dependence structure between the Canadian stock market and the USD/CAD exchange rate: a copula approach.(2010) In: Canadian Journal of Economics/Revue canadienne d'économique.
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article
2008Estimation of the stochastic conditional duration model via alternative methods In: Econometrics Journal.
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article15
2008Modeling the leverage effect with copulas and realized volatility In: Finance Research Letters.
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article8
2009Extreme return-volume dependence in East-Asian stock markets: A copula approach In: Finance Research Letters.
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article31
2008Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 31
paper
2015Is volatility clustering of asset returns asymmetric? In: Journal of Banking & Finance.
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article23
2014Is Volatility Clustering of Asset Returns Asymmetric?.(2014) In: Working Papers.
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paper
2010Dependence structure between the equity market and the foreign exchange market-A copula approach In: Journal of International Money and Finance.
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article104
2009The Dependence Structure of Macroeconomic Variables in the US In: UiS Working Papers in Economics and Finance.
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paper1
2009The Dependence Structure of Macroeconomic Variables in the US.(2009) In: Working Papers.
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paper
2010Asymmetric Dependence in US Financial Risk Factors? In: UiS Working Papers in Economics and Finance.
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2012Asymmetric Dependence in the US Economy: Application to Money and the Phillips Curve In: UiS Working Papers in Economics and Finance.
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2009Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data In: Working Papers.
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2010Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data.(2010) In: Working Papers.
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2009Extreme Dependence in International Stock Markets In: Working Papers.
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paper9
2009Segmentation across International Equity, Bond, and Foreign Exchange Markets In: Working Papers.
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2012Asymmetric Dependence between Aggregate Consumption and Financial Risk In: Working Papers.
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2022A new Markov regime?switching count time series approach for forecasting initial public offering volumes and detecting issue cycles In: Journal of Forecasting.
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