Xin Zhang : Citation Profile


Are you Xin Zhang?

Sveriges Riksbank

6

H index

4

i10 index

137

Citations

RESEARCH PRODUCTION:

3

Articles

14

Papers

RESEARCH ACTIVITY:

   7 years (2011 - 2018). See details.
   Cites by year: 19
   Journals where Xin Zhang has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 8 (5.52 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pzh373
   Updated: 2020-05-23    RAS profile: 2019-02-07    
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Relations with other researchers


Works with:

Lucas, Andre (10)

Schwaab, Bernd (7)

Hull, Isaiah (3)

Bertsch, Christoph (3)

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 (39)

Koopman, Siem Jan (18)

Blasques, Francisco (14)

Schwaab, Bernd (8)

Omori, Yasuhiro (6)

Ehrmann, Michael (6)

Schaumburg, Julia (5)

Fratzscher, Marcel (5)

Gómez-Puig, Marta (5)

Sosvilla-Rivero, Simon (5)

Nadal De Simone, Francisco (4)

Cites to:

Lucas, Andre (35)

Koopman, Siem Jan (33)

Creal, Drew (24)

Blinder, Alan (9)

Ehrmann, Michael (9)

Jansen, David-Jan (8)

de Haan, Jakob (8)

Fratzscher, Marcel (8)

Schwaab, Bernd (7)

Sentana, Enrique (7)

Blasques, Francisco (7)

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). Aste, Tomaso ; Caccioli, Fabio ; Tungsong, Sachapon . In: Papers. RePEc:arx:papers:1702.05944.

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2019Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: BIS Working Papers. RePEc:bis:biswps:766.

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2019BigTech and the changing structure of financial intermediation. (2019). Shin, Hyun Song ; Gambacorta, Leonardo ; Frost, Jon ; Zbinden, Pablo ; Huang, YI. In: BIS Working Papers. RePEc:bis:biswps:779.

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

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2019Score-Driven Models for Realized Volatility. (2019). Harvey, Andrew ; Palumbo, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1950.

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2017P2P Lending: Information Externalities, Social Networks and Loans Substitution. (2017). Faia, Ester ; Paiella, Monica . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12235.

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

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2019The Short-Run Effect of Monetary Policy Shocks on Credit Risk: An Analysis of the Euro Area. (2019). Kim, Chi Hyun ; Other, Lars. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1781.

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2018Bank to sovereign risk spillovers across borders: evidence from the ECB’s Comprehensive Assessment. (2018). Schwaab, Bernd ; Breckenfelder, Johannes. In: Working Paper Series. RePEc:ecb:ecbwps:20182193.

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2018Government debt and banking fragility: the spreading of strategic uncertainty. (2018). Nikolov, Kalin ; Cooper, Russell. In: Working Paper Series. RePEc:ecb:ecbwps:20182195.

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2019Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: Working Paper Series. RePEc:ecb:ecbwps:20192225.

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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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2020Financialization of agricultural commodities: Evidence from China. (2020). Ouyang, Ruolan ; Zhang, Xuan. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:381-389.

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2019A brief survey on the choice of parameters for: “Kernel density estimation for time series data”. (2019). Oneill, Robert ; Semeyutin, Artur. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304376.

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2017From bond yield to macroeconomic instability: A parsimonious affine model. (2017). Tedeschi, Gabriele ; Recchioni, Maria Cristina . 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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2018Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment. (2018). Schwaab, Bernd ; Breckenfelder, Johannes. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:247-262.

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2018Selection of Value at Risk Models for Energy Commodities. (2018). Laporta, Alessandro G ; Petrella, Lea ; Merlo, Luca. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:628-643.

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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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2018Improving forecasting performance using covariate-dependent copula models. (2018). Li, Feng ; Kang, Yanfei. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:456-476.

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2019Forecasting economic time series using score-driven dynamic models with mixed-data sampling. (2019). Li, Mengheng ; Koopman, Siem Jan ; Gorgi, Paolo. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1735-1747.

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2018Do fintech lenders penetrate areas that are underserved by traditional banks?. (2018). Jagtiani, Julapa ; Lemieux, Catharine. In: Journal of Economics and Business. RePEc:eee:jebusi:v:100:y:2018:i:c:p:43-54.

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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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2018Modeling inter-country spatial financial interactions with Graphical Lasso: An application to sovereign co-risk evaluation. (2018). Arbia, Giuseppe ; Zappa, Diego ; Facchinetti, Silvia ; Bramante, Riccardo. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:70:y:2018:i:c:p:72-79.

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2018Sovereign Adaptive Risk Modeling and Implications for the Eurozone GREXIT Case. (2018). Escalera, Morgan ; Tarrant, Wayne . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:2:p:48-:d:145007.

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2019Risk endogeneity at the lender/investor-of-last-resort. (2019). Schwaab, Bernd ; Lucas, Andr E ; Caballero, Diego ; Zhang, Xin. In: Working Paper Series. RePEc:hhs:rbnkwp:0382.

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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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2018Generalized Autoregressive Method of Moments. (2018). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew ; Zamojski, Marcin . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150138.

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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). Li, Mengheng ; Koopman, Siem Jan ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180026.

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2018Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models. (2018). Lucas, Andre ; van Vlodrop, Andries C. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180099.

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2019Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings. (0000). van Dijk, Dick ; Lucas, Andre ; Barra, Istvan ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190013.

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2019Time-varying tail behavior for realized kernels. (2019). Lucas, Andre ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190051.

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2019Observation-driven Models for Realized Variances and Overnight Returns. (2019). Lucas, Andre ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190052.

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2018Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity. (2018). Omori, Yasuhiro ; Kurose, Yuta. In: CIRJE F-Series. RePEc:tky:fseres:2018cf1075.

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2018Probabilistic approach to measuring early-warning signals of systemic contagion risk. (2018). Hui, Cho-Hoi ; Fong, Tom ; Zheng, Xiao-Fen ; Lo, Chi-Fai. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:02:n:s242478631850010x.

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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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paper9
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: 9
paper
2017Modeling Financial Sector Joint Tail Risk in the Euro Area.(2017) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 9
article
2016Score-driven exponentially weighted moving averages and Value-at-Risk forecasting In: International Journal of Forecasting.
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article14
2015Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting.(2015) In: Working Paper Series.
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This paper has another version. Agregated cites: 14
paper
2015Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting.(2015) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 14
paper
2013Conditional euro area sovereign default risk In: Working Paper Series.
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paper64
2014Conditional Euro Area Sovereign Default Risk.(2014) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 64
article
2016Fed Liftoff and Subprime Loan Interest Rates: Evidence from the Peer-to-Peer Lending Market In: Working Paper Series.
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paper3
2017House Prices, Home Equity, and Personal Debt Composition In: Working Paper Series.
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paper0
2018House Prices, Home Equity, and Personal Debt Composition.(2018) In: 2018 Meeting Papers.
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This paper has another version. Agregated cites: 0
paper
2018Spread the Word: International Spillovers from Central Bank Communication In: Working Paper Series.
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paper0
2017Monetary Normalizations and Consumer Credit: Evidence from Fed Liftoff and Online Lending In: 2017 Meeting Papers.
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paper1
2011Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails In: Tinbergen Institute Discussion Papers.
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paper7
2012Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk In: Tinbergen Institute Discussion Papers.
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paper27
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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