Edward W. Sun : Citation Profile


Are you Edward W. Sun?

Kedge Business School

7

H index

5

i10 index

142

Citations

RESEARCH PRODUCTION:

25

Articles

2

Papers

RESEARCH ACTIVITY:

   14 years (2007 - 2021). See details.
   Cites by year: 10
   Journals where Edward W. Sun has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 18 (11.25 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psu384
   Updated: 2022-05-14    RAS profile: 2022-03-25    
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Relations with other researchers


Works with:

Lin, Edward (2)

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

Is cited by:

Aloui, Chaker (5)

Reboredo, Juan (5)

Bouri, Elie (3)

Krehlik, Tomas (3)

Vacha, Lukas (3)

bouoiyour, jamal (3)

Baruník, Jozef (3)

Tiwari, Aviral (3)

Selmi, Refk (3)

MIFTAH, AMAL (3)

Albulescu, Claudiu (3)

Cites to:

Fabozzi, Frank (23)

Yu, Min-Teh (15)

Engle, Robert (10)

Gencay, Ramazan (9)

Schied, Alexander (8)

Lo, Andrew (6)

Bauwens, Luc (5)

Chun, So Yeon (5)

Obizhaeva, Anna (5)

Lin, Edward (5)

Jagannathan, Ravi (4)

Main data


Where Edward W. Sun has published?


Journals with more than one article published# docs
Annals of Operations Research5
Computational Economics5
International Journal of Production Economics3
Studies in Nonlinear Dynamics & Econometrics3
Economics Bulletin2
European Journal of Operational Research2

Recent works citing Edward W. Sun (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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2020Modelling fuel injector spray characteristics in jet engines by using vine copulas. (2020). Holz, Simon ; Coblenz, Maximilian ; Koch, Rainer ; Grothe, Oliver ; Bauer, Hansjorg. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:69:y:2020:i:4:p:863-886.

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2020Noise detection and image denoising based on fractional calculus. (2020). Ma, Jing ; Wang, QI ; Tan, Liying ; Yu, Siyuan. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:131:y:2020:i:c:s0960077919304096.

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2020A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage. (2020). Gradojevic, Nikola ; Genay, Ramazan ; Erdemlioglu, Deniz. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:57-73.

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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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2020Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Wohar, Mark E ; Adewuyi, Adeolu O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305497.

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2020The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures. (2020). Ku, Yu-Cheng ; Chuang, Hwei-Lin ; Kao, Yu-Sheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818303358.

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2020Using business analytics to enhance dynamic capabilities in operations research: A case analysis and research agenda. (2020). Krogstie, John ; Dennehy, Denis ; Mikalef, Patrick ; Conboy, Kieran. In: European Journal of Operational Research. RePEc:eee:ejores:v:281:y:2020:i:3:p:656-672.

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2022Fat tails, serial dependence, and implied volatility index connections. (2022). Ellington, Michael. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:2:p:768-779.

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2020A comparison of non-Gaussian VaR estimation and portfolio construction techniques. (2020). Lizieri, Colin ; Satchell, Stephen ; Allen, David. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:356-368.

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2020Oil market conditions and sovereign risk in MENA oil exporters and importers. (2020). Roubaud, David ; Kachacha, Imad ; Bouri, Elie. In: Energy Policy. RePEc:eee:enepol:v:137:y:2020:i:c:s0301421519306603.

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2022Big data analytics capability and market performance: The roles of disruptive business models and competitive intensity. (2022). Leonidou, Constantinos N ; Hultman, Magnus ; Boso, Nathaniel ; Olabode, Oluwaseun E. In: Journal of Business Research. RePEc:eee:jbrese:v:139:y:2022:i:c:p:1218-1230.

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2021Risks associated with the implementation of big data analytics in sustainable supply chains. (2021). Kunc, Martin ; Gupta, Himanshu ; Orji, Ifeyinwa Juliet ; Kusi-Sarpong, Simonov. In: Omega. RePEc:eee:jomega:v:105:y:2021:i:c:s0305048321001110.

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2020The dynamic volatility transmission in the multiscale spillover network of the international stock market. (2020). Jiang, Cheng ; Liu, Xueyong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:560:y:2020:i:c:s0378437120305987.

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2021Detection and reconstruction of catastrophic breaks of high-frequency financial data with local linear scaling approximation. (2021). Zhang, Xiaotao ; Pan, QI ; Chu, Gang ; Xing, Jieli. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:561:y:2021:i:c:s0378437119322757.

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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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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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2021Multiscale stock-bond correlation: Implications for risk management. (2021). McMillan, David ; Alomari, Mohammad ; al Rababaa, Abdel Razzaq. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000568.

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2020Anomaly detection in stock market indices with neural networks. (2020). Albu, Lucian ; Lupu, Radu. In: Journal of Financial Studies. RePEc:fst:rfsisf:v:5:y:2020:i:9:p:10-23.

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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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2021Modeling Energy Demand—A Systematic Literature Review. (2021). Muller-Kirchenbauer, Joachim ; Schulz, Lennart ; Burges, Simon ; Seim, Stephan ; Verwiebe, Paul Anton. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:23:p:7859-:d:686290.

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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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2020An energy-based measure for long-run horizon risk quantification. (2020). Maurer, Frantz ; Tzagkarakis, George . In: Annals of Operations Research. RePEc:spr:annopr:v:289:y:2020:i:2:d:10.1007_s10479-020-03609-5.

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2021Is liquidity wasted? The zero-returns on the Warsaw Stock Exchange. (2021). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara. In: Annals of Operations Research. RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-020-03849-5.

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2021Liquidity drops. (2021). Morelli, Giacomo. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03285-0.

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2022Assets management on electrical grid using Faster-RCNN. (2022). Coulibaly, Tiorna ; Akpablin, Yves Melaine ; Kamdjoug, Jean Robert ; Gnassou, Armelle Nguessan ; Kre, Didier Michael ; Kala, Jules Raymond. In: Annals of Operations Research. RePEc:spr:annopr:v:308:y:2022:i:1:d:10.1007_s10479-020-03650-4.

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2020Investigating liquidity constraints as a channel of contagion: a regime switching approach. (2020). Sruthi, Rajan ; Shijin, Santhakumar. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00185-2.

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2021Asymmetric dependence of intraday frequency components in the Brazilian stock market. (2021). Gomes, Gabriel Rodrigo ; de Oliveira, Luiz Otavio ; de Marillac, Marcela ; Safadi, Thelma. In: SN Business & Economics. RePEc:spr:snbeco:v:1:y:2021:i:6:d:10.1007_s43546-021-00080-7.

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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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2021Asymmetric interdependence between currency markets volatilities across frequencies and time scales. (2021). Yahya, Muhammad ; Uddin, Gazi Salah ; Rahman, Md Lutfur ; Hernandez, Jose Arreola ; Arreolahernandez, Jose ; Hussain, Syed Jawad. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2436-2457.

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Works by Edward W. Sun:


YearTitleTypeCited
2021Classifying variety of customers online engagement for churn prediction with mixed-penalty logistic regression In: Papers.
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2009A New Approach for Using Lévy Processes for Determining High?Frequency Value?at?Risk Predictions In: European Financial Management.
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article3
2008Multivariate Skewed Students t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market In: Studies in Nonlinear Dynamics & Econometrics.
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article14
2012A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis In: Studies in Nonlinear Dynamics & Econometrics.
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article2
2015Improving model performance with the integrated wavelet denoising method In: Studies in Nonlinear Dynamics & Econometrics.
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article0
2011Identification of Driving Factors for Emerging Markets Sovereign Spreads In: Economics Bulletin.
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article3
2013Economic Modeling for Optimal Trading of Financial Asset in Volatile Market In: Economics Bulletin.
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article0
2012A new wavelet-based denoising algorithm for high-frequency financial data mining In: European Journal of Operational Research.
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article32
2020Merging anomalous data usage in wireless mobile telecommunications: Business analytics with a strategy-focused data-driven approach for sustainability In: European Journal of Operational Research.
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article1
2007Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns In: Journal of Economics and Business.
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article5
2011Analysis of the intraday effects of economic releases on the currency market In: Journal of International Money and Finance.
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article8
2010Analysis of the intraday effects of economic releases on the currency market.(2010) In: Working Paper Series in Economics.
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paper
2015Generalized optimal wavelet decomposing algorithm for big financial data In: International Journal of Production Economics.
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article15
2020Behavioral data-driven analysis with Bayesian method for risk management of financial services In: International Journal of Production Economics.
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article0
2021Pragmatic real-time logistics management with traffic IoT infrastructure: Big data predictive analytics of freight travel time for Logistics 4.0 In: International Journal of Production Economics.
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article0
2008Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration In: Annals of Finance.
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article7
2015Financial Transaction Tax: Policy Analytics Based on Optimal Trading In: Computational Economics.
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article0
2018Integrated Portfolio Risk Measure: Estimation and Asymptotics of Multivariate Geometric Quantiles In: Computational Economics.
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article1
2018Risk Assessment with Wavelet Feature Engineering for High-Frequency Portfolio Trading In: Computational Economics.
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article1
2019Jump Detection and Noise Separation by a Singular Wavelet Method for Predictive Analytics of High-Frequency Data In: Computational Economics.
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article3
2020Machine learning with parallel neural networks for analyzing and forecasting electricity demand In: Computational Economics.
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article1
2014High frequency trading, liquidity, and execution cost In: Annals of Operations Research.
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article4
2018Systemic risk, financial markets, and performance of financial institutions In: Annals of Operations Research.
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article11
2019Coherent quality management for big data systems: a dynamic approach for stochastic time consistency In: Annals of Operations Research.
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article1
2019Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity In: Annals of Operations Research.
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article3
2021Comonotonicity and low volatility effect In: Annals of Operations Research.
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article0
2009A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence In: Empirical Economics.
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