Yong Song : Citation Profile


Are you Yong Song?

University of Melbourne (99% share)
Rimini Centre for Economic Analysis (RCEA) (1% share)

5

H index

3

i10 index

73

Citations

RESEARCH PRODUCTION:

6

Articles

15

Papers

RESEARCH ACTIVITY:

   9 years (2009 - 2018). See details.
   Cites by year: 8
   Journals where Yong Song has often published
   Relations with other researchers
   Recent citing documents: 24.    Total self citations: 2 (2.67 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pso326
   Updated: 2019-05-18    RAS profile: 2019-02-26    
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Relations with other researchers


Works with:

Maheu, John (6)

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

Is cited by:

Maheu, John (11)

Jensen, Mark (6)

Balcilar, Mehmet (6)

Fisher, Mark (6)

Demirer, Riza (4)

Dufays, Arnaud (4)

Jin, Xin (4)

Bec, Frédérique (3)

YANG, QIAO (3)

GUPTA, RANGAN (3)

Carpantier, Jean-François (3)

Cites to:

Maheu, John (14)

Hamilton, James (8)

Timmermann, Allan (7)

Geweke, John (7)

Koop, Gary (7)

Pettenuzzo, Davide (6)

Kilian, Lutz (6)

Watson, Mark (5)

Nelson, Charles (5)

Pesaran, M (5)

McCurdy, Tom (5)

Main data


Where Yong Song has published?


Journals with more than one article published# docs
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany6
Working Paper series / Rimini Centre for Economic Analysis4

Recent works citing Yong Song (2018 and 2017)


YearTitle of citing document
2017Volatility Persistence in Palestine Exchange Bulls and Bears: An Econometric Analysis of Time Series Data. (2017). Awad, Ibrahim M ; Al-Ewesat, Abdel-Rahman . In: Review of Economics & Finance. RePEc:bap:journl:170307.

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2017Growth in a time of austerity: evidence from the UK. (2017). Middleditch, Paul ; Amann, Juergen. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:64:y:2017:i:4:p:349-375.

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2018Has trend inflation shifted?: An empirical analysis with an equally-spaced regime-switching model. (2018). Kaihatsu, Sohei ; Nakajima, Jouchi. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:59:y:2018:i:c:p:69-83.

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2017Do bubbles have an explosive signature in markov switching models?. (2017). Fraser, Iain ; Balcombe, Kelvin. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:81-100.

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2019Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors. (2019). Jensen, Mark ; Fisher, Mark. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:187-202.

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2017On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks. (2017). Tzavalis, Elias ; Vrontos, Ioannis ; Meligkotsidou, Loukia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:70-90.

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2018Understanding the US natural gas market: A Markov switching VAR approach. (2018). Hou, Chenghan ; Nguyen, Bao H. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:42-53.

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2017Equity premium estimates from economic fundamentals under structural breaks. (2017). Smith, Simon. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:49-61.

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2018A top-down approach to identifying bull and bear market states. (2018). Hanna, Alan J. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:93-110.

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2017Infinite hidden markov switching VARs with application to macroeconomic forecast. (2017). Hou, Chenghan. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1025-1043.

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2018Sector spillovers in credit markets. (2018). Collet, Jerome ; Ielpo, Florian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:94:y:2018:i:c:p:267-278.

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2018Performance of fixed-income mutual funds with regime-switching models. (2018). Ayadi, Mohamed A ; Welch, Robert ; Liao, Yusui ; Lazrak, Skander. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:217-231.

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2018Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors. (2018). Jensen, Mark ; Fisher, Mark. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2018-02.

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2017Bayesian Analysis of Bubbles in Asset Prices. (2017). Yu, Jun ; JunYu, ; Fulop, Andras. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:47-:d:115992.

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2019Le modèle autorégressif autorégressif à seuil avec effet rebond : Une application aux rendements boursiers français et américains *. (2019). Bec, Frédérique ; de Gaye, Annabelle . In: Working Papers. RePEc:hal:wpaper:hal-02014663.

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2018Volatility Estimation and Jump Detection for drift-diffusion Processes. (2018). Shi, Shuping ; Laurent, Sebastien. In: Working Papers. RePEc:hal:wpaper:halshs-01944449.

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2018Economic regimes and stock market performance in Nigeria: Evidence from regime switching model. (2018). Rano, Shehu Usman ; Aminu, Abubakar Wambai. In: MPRA Paper. RePEc:pra:mprapa:91430.

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2019The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach. (2019). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet ; Wohar, Mark E. In: Working Papers. RePEc:pre:wpaper:201915.

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2018Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors. (2018). Jensen, Mark ; Fisher, Mark . In: Working Paper series. RePEc:rim:rimwps:18-12.

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2018Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models. (2018). Kastner, Gregor ; Huber, Florian ; Feldkircher, Martin. In: Working Papers in Economics. RePEc:ris:sbgwpe:2018_005.

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2018Evidence of Bull and Bear Markets in the Bovespa index: An application of Markovian regime-switching Models with Duration Dependence. (2018). de Paula, Fernando Henrique ; Moura, Guilherme Valle ; Caldeira, Joo Frois . In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:38:y:2018:i:1:a:56135.

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2017A Bayesian Infinite Hidden Markov Vector Autoregressive Model. (2017). van der Wel, Michel ; Nibbering, Didier ; Paap, Richard. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160107.

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2017THE POOREST IN THE WORLD PAYS FOR CRISIS. (2017). Gherbove, Sergiu. In: Journal of Financial and Monetary Economics. RePEc:vls:rojfme:v:4:y:2017:i:1:p:141-148.

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Works by Yong Song:


YearTitleTypeCited
2014A new structural break model, with an application to Canadian inflation forecasting In: International Journal of Forecasting.
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article5
2017Measuring inflation expectations uncertainty using high-frequency data In: CAMA Working Papers.
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paper0
2016Identifying Speculative Bubbles Using an Infinite Hidden Markov Model In: Journal of Financial Econometrics.
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article3
2012Identifying speculative bubbles with an in finite hidden Markov model In: MPRA Paper.
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paper7
2012Identifying Speculative Bubbles with an Infinite Hidden Markov Model.(2012) In: Working Paper series.
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This paper has another version. Agregated cites: 7
paper
2012A new structural break model with application to Canadian inflation forecasting In: MPRA Paper.
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paper1
2012A New Structural Break Model with Application to Canadian Inflation Forecasting.(2012) In: Working Paper series.
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This paper has another version. Agregated cites: 1
paper
2012A New Structural Break Model with Application to Canadian Inflation Forecasting.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2017An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series In: MPRA Paper.
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paper1
2018An efficient Bayesian approach to multiple structural change in multivariate time series.(2018) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 1
article
2017The evolution of Ottoman-European market linkages, 1469-1914: evidence from dynamic factor models In: MPRA Paper.
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paper0
2018Oil Price Shocks and Economic Growth: The Volatility Link In: MPRA Paper.
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paper0
2018Oil Price Shocks and Economic Growth: The Volatility Link.(2018) In: MPRA Paper.
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This paper has another version. Agregated cites: 0
paper
2018Oil Price Shocks and Economic Growth: The Volatility Link.(2018) In: Working Paper series.
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This paper has another version. Agregated cites: 0
paper
2012Modelling Regime Switching and Structural Breaks with an Infinite Hidden Markov Model In: Working Paper series.
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paper21
2014MODELLING REGIME SWITCHING AND STRUCTURAL BREAKS WITH AN INFINITE HIDDEN MARKOV MODEL.(2014) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 21
article
2017A fast estimation procedure for discrete choice random coefficients demand model In: Applied Economics.
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article0
2012Components of Bull and Bear Markets: Bull Corrections and Bear Rallies In: Journal of Business & Economic Statistics.
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article22
2010Components of bull and bear markets: bull corrections and bear rallies.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 22
paper
2009Extracting bull and bear markets from stock returns In: Working Papers.
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paper10
2011Modelling Regime Switching and Structural Breaks with an Infinite Dimension Markov Switching Model In: Working Papers.
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paper3

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