Ke Xu : Citation Profile


Are you Ke Xu?

University of Victoria

3

H index

2

i10 index

44

Citations

RESEARCH PRODUCTION:

3

Articles

RESEARCH ACTIVITY:

   3 years (2015 - 2018). See details.
   Cites by year: 14
   Journals where Ke Xu has often published
   Relations with other researchers
   Recent citing documents: 27.    Total self citations: 1 (2.22 %)

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   Permalink: http://citec.repec.org/pxu167
   Updated: 2020-05-16    RAS profile: 2020-05-05    
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Relations with other researchers


Works with:

Nielsen, Morten (3)

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

Is cited by:

Nielsen, Morten (11)

Smyth, Russell (6)

Narayan, Seema (6)

Santucci de Magistris, Paolo (5)

Johansen, Soren (5)

Salisu, Afees (3)

Sharma, Susan (2)

Gil-Alana, Luis (2)

van Huellen, Sophie (2)

Dimpfl, Thomas (2)

Härdle, Wolfgang (2)

Cites to:

Nielsen, Morten (16)

Johansen, Soren (10)

Kellard, Neil (6)

Santucci de Magistris, Paolo (3)

Baillie, Richard (3)

Maynard, Alex (2)

Noack, Andreas (2)

Coakley, Jerry (2)

Garbade, Kenneth (2)

Bollerslev, Tim (2)

Gonzalo, Jesus (2)

Main data


Where Ke Xu has published?


Journals with more than one article published# docs
Journal of Futures Markets2

Recent works citing Ke Xu (2018 and 2017)


YearTitle of citing document
2018Nonstationary cointegration in the fractionally cointegrated VAR model. (2018). Nielsen, Morten ; Johansen, Soren. In: CREATES Research Papers. RePEc:aah:create:2018-17.

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2017Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. (2017). Nielsen, Morten ; Xu, KE ; Narayan, Paresh Kumar ; Dolatabadi, Sepideh. In: CREATES Research Papers. RePEc:aah:create:2018-35.

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2019Resuscitating the co-fractional model of Granger (1986). (2019). Santucci de Magistris, Paolo ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2019-02.

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2018Testing the CVAR in the Fractional CVAR Model. (2018). Nielsen, Morten ; Johansen, Soren. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:836-849.

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2019Stock market linkages between the ASEAN countries, China and the US: a fractional cointegration approach. (2019). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; You, Kefei. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7537.

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2020A test for inflation persistence in Nigeria using fractional integration & fractional cointegration techniques. (2020). Salisu, Afees ; Ebuh, Godday U ; Tule, Moses K. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:225-237.

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2018Predictability of crude oil prices: An investor perspective. (2018). Liu, LI ; Yang, LI ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:193-205.

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2019Pricing dynamics of natural gas futures. (2019). Li, Bingxin. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:91-108.

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2018An analysis of time-varying commodity market price discovery. (2018). Narayan, Paresh Kumar ; Sharma, Susan Sunila. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:122-133.

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2019Volatility discovery: Can the CDS market beat the equity options market?. (2019). Lovreta, Lidija ; Forte, Santiago. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:107-111.

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2018Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics. (2018). Chen, Cathy Yi-Hsuan ; Hardle, Wolfgang Karl ; Chiang, Thomas C. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:21-32.

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2019Price discovery in commodity futures and cash markets with heterogeneous agents. (2019). van Huellen, Sophie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:95:y:2019:i:c:p:1-13.

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2017Price discovery in agricultural commodity markets in the presence of futures speculation. (2017). Jung, Robert ; Flad, Michael ; Dimpfl, Thomas. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:5:y:2017:i:c:p:50-62.

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2018Islamic spot and index futures markets: Where is the price discovery?. (2018). Karabiyik, Hande ; Westerlund, Joakim ; Bach, Dinh Hoang ; Narayan, Paresh Kumar. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:52:y:2018:i:c:p:123-133.

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2019Group transfer entropy with an application to cryptocurrencies. (2019). Dimpfl, Thomas ; Peter, Franziska J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:516:y:2019:i:c:p:543-551.

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2020Commodity Spot and Futures Prices Under Supply, Demand, and Financial Trading: Single Input–Output Model. (2020). Nakajima, Katsushi. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:1:d:10.1007_s10690-019-09280-6.

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2017Testing the CVAR in the fractional CVAR model. (2017). Nielsen, Morten ; Johansen, Soren. In: Discussion Papers. RePEc:kud:kuiedp:1723.

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2019Resuscitating the co-fractional model of Granger (1986). (2019). Santucci de Magistris, Paolo ; Carlini, Federico. In: Discussion Papers. RePEc:not:notgts:19/01.

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2017Price convergence within and between the Italian electricity day-ahead and dispatching services markets. (2017). Santucci de Magistris, Paolo ; Fontini, Fulvio ; Caporin, Massimiliano. In: Marco Fanno Working Papers. RePEc:pad:wpaper:0215.

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2019 Presidential Approval in Peru: An Empirical Analysis Using a Fractionally Cointegrated VAR. (2019). Rodríguez, Gabriel ; Saravia, Alexander Boca. In: Documentos de Trabajo / Working Papers. RePEc:pcp:pucwps:wp00480.

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2018High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach. (2018). YAYA, OLAOLUWA ; Gil-Alana, Luis A. In: MPRA Paper. RePEc:pra:mprapa:90518.

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2018A Matlab program and users guide for the fractionally cointegrated VAR model. (2018). Popiel, Michal ; Nielsen, Morten. In: Working Papers. RePEc:qed:wpaper:1330.

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2017Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. (2017). Nielsen, Morten ; Narayan, Paresh ; Xu, KE ; Dolatabadi, Sepideh. In: Working Papers. RePEc:qed:wpaper:1337.

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2017Testing The Cvar In The Fractional Cvar Model. (2017). Nielsen, Morten ; Johansen, Soren. In: Working Paper. RePEc:qed:wpaper:1394.

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2018Nonstationary Cointegration In The Fractionally Cointegrated Var Model. (2018). Nielsen, Morten ; Johansen, Soren. In: Working Paper. RePEc:qed:wpaper:1405.

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2018Price Discovery in Commodity Futures and Cash Markets with Heterogenous Agents. (2018). van Huellen, Sophie. In: Working Papers. RePEc:soa:wpaper:213.

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2018Optimal dynamic pairs trading of futures under a two-factor mean-reverting model. (2018). Leung, Tim ; Yan, Raphael. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500275.

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Works by Ke Xu:


YearTitleTypeCited
2016A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article16
2015A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets In: Journal of Futures Markets.
[Full Text][Citation analysis]
article22
2018Economic significance of commodity return forecasts from the fractionally cointegrated VAR model In: Journal of Futures Markets.
[Full Text][Citation analysis]
article6

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