7
H index
5
i10 index
210
Citations
Fuchun Li : Citation Profile
Bank of Canada | RESEARCH PRODUCTION: 8 Articles 16 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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22 years (1999 - 2021). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Fuchun Li. | Is cited by:
| Cites to:
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Main data
Where Fuchun Li has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Staff Working Papers / Bank of Canada | 16 |
Recent works citing Fuchun Li (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Forecasting Net Charge-Off Rates of Large U.S. Bank Holding Companies using Macroeconomic Latent Factors. (2023). Son, Jisoo ; Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2023-02. Full description at Econpapers || Download paper |
| 2023 | FINANCIAL RISK OPTIMISATION METHODS: A SURVEY. (2023). Chiper, Alexandra-Maria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:chipera. Full description at Econpapers || Download paper |
| 2023 | $\Delta-$CoES. (2022). Leeuwenkamp, Aleksy. In: Papers. RePEc:arx:papers:2206.02582. Full description at Econpapers || Download paper |
| 2023 | Bank systemic risk: An analysis of the sovereign rating ceiling policy and rating downgrades. (2023). Pham, Thu Phuong ; Zurbruegg, Ralf ; Wasi, Md Abdul. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:50:y:2023:i:1-2:p:411-440. Full description at Econpapers || Download paper |
| 2023 | Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (2023). Ma, Tiejun ; Xu, Huifu ; Wang, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:322-347. Full description at Econpapers || Download paper |
| 2023 | Systemic risks in the cryptocurrency market: Evidence from the FTX collapse. (2023). Matkovskyy, Roman ; Jalan, Akanksha. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000442. Full description at Econpapers || Download paper |
| 2023 | Measuring systemic risk with high-frequency data: A realized GARCH approach. (2023). Liang, Fang ; Huang, Zhuo ; Chen, Qihao. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001265. Full description at Econpapers || Download paper |
| 2023 | Compensation regulation in banking: Executive director behavior and bank performance after the EU bonus cap. (2023). Koetter, Michael ; Wagner, Konstantin ; Colonnello, Stefano. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:76:y:2023:i:1:s0165410122000994. Full description at Econpapers || Download paper |
| 2023 | Does banks’ systemic importance affect their capital structure and balance sheet adjustment processes?. (2023). Tarazi, Amine ; de Jonghe, Olivier ; Bakkar, Yassine. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:151:y:2023:i:c:s0378426619300494. Full description at Econpapers || Download paper |
| 2023 | Bank stability and the price of loan commitments. (2023). Rauf, Asad. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:54:y:2023:i:c:s1042957323000104. Full description at Econpapers || Download paper |
| 2023 | Macro-financial spillovers. (2023). Yilmaz, Kamil ; Hallam, Mark ; Cotter, John. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000256. Full description at Econpapers || Download paper |
| 2023 | Asymmetric effects of monetary policy and financial accelerator: Evidence from India. (2023). Bicchal, Motilal ; Mundra, Sruti. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494923000087. Full description at Econpapers || Download paper |
| 2023 | Leading indicators of financial stress in Croatia: a regime switching approach. (2023). Skrinjaric, Tihana. In: Public Sector Economics. RePEc:ipf:psejou:v:47:y:2023:i:2:p:0-0. Full description at Econpapers || Download paper |
| 2023 | Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72.. Full description at Econpapers || Download paper |
Works by Fuchun Li:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2010 | Financial Stress, Monetary Policy, and Economic Activity In: Bank of Canada Review. [Full Text][Citation analysis] | article | 31 |
| 2010 | Financial Stress, Monetary Policy, and Economic Activity.(2010) In: Staff Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
| 2001 | Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods In: Staff Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2001 | A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data In: Staff Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2005 | Testing the Parametric Specification of the Diffusion Function in a Diffusion Process In: Staff Working Papers. [Full Text][Citation analysis] | paper | 15 |
| 2007 | TESTING THE PARAMETRIC SPECIFICATION OF THE DIFFUSION FUNCTION IN A DIFFUSION PROCESS.(2007) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
| 2006 | Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model In: Staff Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2009 | Testing for Financial Contagion with Applications to the Canadian Banking System In: Staff Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2009 | A Consistent Test for Multivariate Conditional Distributions In: Staff Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2011 | A Consistent Test for Multivariate Conditional Distributions.(2011) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2010 | Identifying Asymmetric Comovements of International Stock Market Returns In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach In: Staff Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2013 | A Semiparametric Early Warning Model of Financial Stress Events In: Staff Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2014 | Predicting Financial Stress Events: A Signal Extraction Approach In: Staff Working Papers. [Full Text][Citation analysis] | paper | 36 |
| 2014 | Predicting financial stress events: A signal extraction approach.(2014) In: Journal of Financial Stability. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | article | |
| 2015 | Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Measuring Systemic Risk Across Financial Market Infrastructures In: Staff Working Papers. [Full Text][Citation analysis] | paper | 56 |
| 2016 | Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach In: Staff Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Quantifying the Economic Benefits of Payments Modernization: the Case of the Large-Value Payment System In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model In: Staff Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2005 | Linking real activity and financial markets: the first steps towards a small estimated model for Canada In: BIS Papers chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2004 | Combining Forecasts with Nonparametric Kernel Regressions In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 8 |
| 2006 | A consistent bootstrap test for conditional density functions with time-series data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 27 |
| 2014 | Testing for financial contagion based on a nonparametric measure of the cross-market correlation In: Review of Financial Economics. [Full Text][Citation analysis] | article | 9 |
| 2006 | A Semiparametric Two-Factor Term Structure Model In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team