Xin Zhang : Citation Profile


Are you Xin Zhang?

Sveriges Riksbank

6

H index

4

i10 index

129

Citations

RESEARCH PRODUCTION:

3

Articles

14

Papers

RESEARCH ACTIVITY:

   7 years (2011 - 2018). See details.
   Cites by year: 18
   Journals where Xin Zhang has often published
   Relations with other researchers
   Recent citing documents: 34.    Total self citations: 8 (5.84 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pzh373
   Updated: 2019-09-14    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 (36)

Koopman, Siem Jan (18)

Blasques, Francisco (14)

Schwaab, Bernd (8)

Ehrmann, Michael (6)

Omori, Yasuhiro (6)

Schaumburg, Julia (5)

Gómez-Puig, Marta (5)

Sosvilla-Rivero, Simon (5)

Fratzscher, Marcel (5)

Nadal De Simone, Francisco (4)

Cites to:

Lucas, Andre (35)

Koopman, Siem Jan (33)

Creal, Drew (24)

Ehrmann, Michael (9)

Blinder, Alan (9)

de Haan, Jakob (8)

Fratzscher, Marcel (8)

Jansen, David-Jan (8)

Schwaab, Bernd (7)

Blasques, Francisco (7)

Hilscher, Jens (6)

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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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). Frost, Jon ; Zbinden, Pablo ; Shin, Hyun Song ; Huang, YI ; Gambacorta, Leonardo. 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). Palumbo, D ; Harvey, A. 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). 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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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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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). 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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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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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). van Vlodrop, Andries C ; Lucas, Andre. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180099.

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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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paper8
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: 8
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: 8
article
2016Score-driven exponentially weighted moving averages and Value-at-Risk forecasting In: International Journal of Forecasting.
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article11
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: 11
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: 11
paper
2013Conditional euro area sovereign default risk In: Working Paper Series.
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paper60
2014Conditional Euro Area Sovereign Default Risk.(2014) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 60
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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