Xin Zhang : Citation Profile


Are you Xin Zhang?

Sveriges Riksbank

5

H index

3

i10 index

107

Citations

RESEARCH PRODUCTION:

1

Articles

10

Papers

RESEARCH ACTIVITY:

   5 years (2011 - 2016). See details.
   Cites by year: 21
   Journals where Xin Zhang has often published
   Relations with other researchers
   Recent citing documents: 15.    Total self citations: 7 (6.14 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pzh373
   Updated: 2018-04-14    RAS profile: 2016-05-12    
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Relations with other researchers


Works with:

Lucas, Andre (8)

Schwaab, Bernd (6)

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

Is cited by:

Lucas, Andre (29)

Koopman, Siem Jan (16)

Blasques, Francisco (14)

Ehrmann, Michael (6)

Schwaab, Bernd (6)

Sosvilla-Rivero, Simon (5)

Fratzscher, Marcel (5)

Gómez-Puig, Marta (5)

Omori, Yasuhiro (4)

Łasak, Katarzyna (3)

Catania, Leopoldo (3)

Cites to:

Lucas, Andre (36)

Koopman, Siem Jan (34)

Creal, Drew (24)

Blasques, Francisco (8)

Schwaab, Bernd (7)

Hilscher, Jens (6)

Singleton, Kenneth (6)

pan, jun (6)

Laurent, Sébastien (6)

Zhou, Hao (5)

Sentana, Enrique (5)

Main data


Where Xin Zhang has published?


Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute4
Working Paper Series / European Central Bank2

Recent works citing Xin Zhang (2018 and 2017)


YearTitle of citing document
2017Relation between regional uncertainty spillovers in the global banking system. (2017). Tungsong, Sachapon ; Aste, Tomaso ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.05944.

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2017Time-Varying Transition Probabilities for Markov Regime Switching Models. (2017). Lucas, Andre ; Blasques, Francisco ; Koopman, Siem Jan ; Bazzi, Marco . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:458-478.

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2017Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas. (2017). san Miguel, Pedro Galeano ; Nguyen, Hoang ; Ausin, Maria Concepcion. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24552.

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2018A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction. (2018). Bao, Te ; Li, Hao ; Diks, Cees. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:611-621.

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2017From bond yield to macroeconomic instability: A parsimonious affine model. (2017). Recchioni, Maria Cristina ; Tedeschi, Gabriele . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1116-1135.

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2017Multiple risk measures for multivariate dynamic heavy–tailed models. (2017). Bernardi, Mauro ; Petrella, Lea ; Maruotti, Antonello. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:1-32.

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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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2017Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis. (2017). Fratzscher, Marcel ; Ehrmann, Michael. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:26-44.

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2018Economic Policy Uncertainty and the Volatility of Sovereign CDS Spreads. (2018). Raunig, Burkhard. In: Working Papers. RePEc:onb:oenbwp:219.

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2017SRISK: a conditional capital shortfall measure of systemic risk. (2017). Engle, Robert ; Brownlees, Christian. In: ESRB Working Paper Series. RePEc:srk:srkwps:201737.

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2017Bayesian analysis of multivariate stochastic volatility with skew return distribution. (2017). Nakajima, Jouchi. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:5:p:546-562.

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2017A Financial Connectedness Analysis for Turkey. (2017). Camlica, Ferhat ; Ozen, Etkin ; Gunes, Didem . In: Working Papers. RePEc:tcb:wpaper:1719.

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2017Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns. (2017). Lucas, Andre ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160069.

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2017Finite Sample Optimality of Score-Driven Volatility Models. (2017). Lucas, Andre ; Blasques, Francisco ; van Vlodrop, Andries. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170111.

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2018Forecasting economic time series using score-driven dynamic models with mixed-data sampling. (2018). Gorgi, Paolo ; Li, Mengheng ; Koopman, Siem Jan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180026.

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Works by Xin Zhang:


YearTitleTypeCited
2013Conditional and joint credit risk In: Working Paper Series.
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paper2
2015Modeling financial sector joint tail risk in the euro area In: Working Paper Series.
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paper4
2015Modeling financial sector joint tail risk in the euro area.(2015) In: Working Paper Series.
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This paper has another version. Agregated cites: 4
paper
2013Conditional euro area sovereign default risk In: Working Paper Series.
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paper51
2014Conditional Euro Area Sovereign Default Risk.(2014) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51
article
2015Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting In: Working Paper Series.
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paper9
2015Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting.(2015) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2016Fed Liftoff and Subprime Loan Interest Rates: Evidence from the Peer-to-Peer Lending Market In: Working Paper Series.
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paper0
2011Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails In: Tinbergen Institute Discussion Papers.
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paper5
2012Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk In: Tinbergen Institute Discussion Papers.
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paper26
2014Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics In: Tinbergen Institute Discussion Papers.
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paper10

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