Xin Zhang : Citation Profile


Are you Xin Zhang?

Sveriges Riksbank

4

H index

3

i10 index

95

Citations

RESEARCH PRODUCTION:

1

Articles

10

Papers

RESEARCH ACTIVITY:

   5 years (2011 - 2016). See details.
   Cites by year: 19
   Journals where Xin Zhang has often published
   Relations with other researchers
   Recent citing documents: 32.    Total self citations: 7 (6.86 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pzh373
   Updated: 2017-09-16    RAS profile: 2016-05-12    
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Relations with other researchers


Works with:

Lucas, Andre (9)

Schwaab, Bernd (7)

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 (26)

Koopman, Siem Jan (16)

Blasques, Francisco (11)

Ehrmann, Michael (6)

Schwaab, Bernd (6)

Fratzscher, Marcel (5)

Sosvilla-Rivero, Simon (5)

Omori, Yasuhiro (4)

Beyer, Andreas (3)

Nadal De Simone, Francisco (3)

Siegmann, Arjen (3)

Cites to:

Lucas, Andre (36)

Koopman, Siem Jan (34)

Creal, Drew (24)

Blasques, Francisco (8)

Schwaab, Bernd (7)

Hilscher, Jens (6)

Laurent, Sébastien (6)

pan, jun (6)

Singleton, Kenneth (6)

Sentana, Enrique (5)

Zhou, Hao (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 (2017 and 2016)


YearTitle of citing document
2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1504.03733.

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2016Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall. (2016). Palestini, Arsen ; Cerqueti, Roy ; Mauro, Bernardi . In: Papers. RePEc:arx:papers:1608.02365.

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2016Generalized Autoregressive Score Models in R: The GAS Package. (2016). Catania, Leopoldo ; Ardia, David ; Boudt, Kris . In: Papers. RePEc:arx:papers:1609.02354.

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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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2016Tracking Changes in the Intensity of Financial Sectors Systemic Risk. (2016). Jin, Xisong ; de Simone, Francisco Nadal . In: BCL working papers. RePEc:bcl:bclwop:bclwp102.

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2016Time series analysis of volatility in the petroleum pricing markets: the persistence, asymmetry and jumps in the returns series. (2016). YAYA, OLAOLUWA ; Olubusoye, Olusanya E. In: OPEC Energy Review. RePEc:bla:opecrv:v:40:y:2016:i:3:p:235-262.

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2016Spline-DCS for Forecasting Trade Volume in High-Frequency Finance. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1606.

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2016Asymptotic Theory for Beta-t-GARCH. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1607.

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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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2016The information in systemic risk rankings. (2016). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan ; Nucera, Federico . In: Working Paper Series. RePEc:ecb:ecbwps:20161875.

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2016Home bias in bank sovereign bond purchases and the bank-sovereign nexus. (2016). Andreeva, Desislava C ; Vlassopoulos, Thomas . In: Working Paper Series. RePEc:ecb:ecbwps:20161977.

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2016Semiparametric score driven volatility models. (2016). Lucas, Andre ; Blasques, Francisco ; Ji, Jiangyu . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:58-69.

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2016Dynamic equicorrelation stochastic volatility. (2016). Omori, Yasuhiro ; Kurose, Yuta . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:795-813.

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2016Forecasting VaR and ES using dynamic conditional score models and skew Student distribution. (2016). Gao, Chun-Ting ; Zhou, Xiao-Hua . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:216-223.

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2016Causes and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion. (2016). Sosvilla-Rivero, Simon ; Gomez-Puig, Marta . In: Economic Modelling. RePEc:eee:ecmode:v:56:y:2016:i:c:p:133-147.

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2016Spillover dynamics for systemic risk measurement using spatial financial time series models. (2016). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco ; Schaumburg, Julia . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:2:p:211-223.

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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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2016The information in systemic risk rankings. (2016). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan ; Nucera, Federico . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:461-475.

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2016International stock market cointegration under the risk-neutral measure. (2016). Power, Gabriel ; Gagnon, Marie-Helene ; Toupin, Dominique . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:243-255.

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2016A comprehensive approach to measuring the relation between systemic risk exposure and sovereign debt. (2016). Sedunov, John ; Pagano, Michael S. In: Journal of Financial Stability. RePEc:eee:finsta:v:23:y:2016:i:c:p:62-78.

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2017Credit risk interconnectedness: What does the market really know?. (2017). Abbassi, Puriya ; Podlich, Natalia ; Hans, Christina ; Brownlees, Christian . In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:1-12.

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2016Score-driven exponentially weighted moving averages and Value-at-Risk forecasting. (2016). Lucas, Andre ; Zhang, Xin . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:293-302.

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2016In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models. (2016). Lucas, Andre ; Łasak, Katarzyna ; Koopman, Siem Jan ; Blasques, Francisco. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:875-887.

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2016Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme. (2016). Schwaab, Bernd ; Eser, Fabian. In: Journal of Financial Economics. RePEc:eee:jfinec:v:119:y:2016:i:1:p:147-167.

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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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2016From bond yield to macroeconomic instability: The effect of negative interest rates. (2016). Tedeschi, Gabriele ; Recchioni, Maria Cristina . In: Working Papers. RePEc:jau:wpaper:2016/06.

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2016Comparison of Value-at-Risk models using the MCS approach. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Computational Statistics. RePEc:spr:compst:v:31:y:2016:i:2:d:10.1007_s00180-016-0646-6.

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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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2016Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads. (2016). Siegmann, Arjen ; Lucas, Andre ; Lange, Rutger-Jan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160064.

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2016Bank Business Models at Zero Interest Rates. (2016). Schwaab, Bernd ; Lucas, Andre ; Schaumburg, Julia . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160066.

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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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2016Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity. (2016). Omori, Yasuhiro ; Kurose, Yuta . In: CIRJE F-Series. RePEc:tky:fseres:2016cf1024.

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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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paper2
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: 2
paper
2013Conditional euro area sovereign default risk In: Working Paper Series.
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paper47
2014Conditional Euro Area Sovereign Default Risk.(2014) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 47
article
2015Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting In: Working Paper Series.
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paper7
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: 7
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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paper3
2012Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk In: Tinbergen Institute Discussion Papers.
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paper24
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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