11
H index
11
i10 index
2363
Citations
Academia Sinica | 11 H index 11 i10 index 2363 Citations RESEARCH PRODUCTION: 20 Articles 2 Papers 1 Chapters RESEARCH ACTIVITY: 32 years (1988 - 2020). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pch263 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Ray Yeutien Chou. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Banking & Finance | 3 |
Journal of Econometrics | 2 |
The North American Journal of Economics and Finance | 2 |
Year | Title of citing document |
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2023 | Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471. Full description at Econpapers || Download paper |
2023 | A Classical Model of Speculative Asset Price Dynamics. (2023). Smith, Vernon ; Inoua, Sabiou. In: Papers. RePEc:arx:papers:2307.00410. Full description at Econpapers || Download paper |
2023 | Trend patterns statistics for assessing irreversibility in cryptocurrencies: time-asymmetry versus inefficiency. (2023). Salgado-Garc, Ra'Ul ; Herrera, Jessica Morales. In: Papers. RePEc:arx:papers:2307.08612. Full description at Econpapers || Download paper |
2023 | News-driven Expectations and Volatility Clustering. (2023). Inoua, Sabiou. In: Papers. RePEc:arx:papers:2309.04876. Full description at Econpapers || Download paper |
2023 | Variational Inference for GARCH-family Models. (2023). Iosifidis, Alexandros ; Magris, Martin. In: Papers. RePEc:arx:papers:2310.03435. Full description at Econpapers || Download paper |
2024 | Impact of COVID-19 on Exchange rate volatility of Bangladesh: Evidence through GARCH model. (2024). Karim, Rizwanul. In: Papers. RePEc:arx:papers:2403.02560. Full description at Econpapers || Download paper |
2023 | Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309. Full description at Econpapers || Download paper |
2023 | Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047. Full description at Econpapers || Download paper |
2023 | Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula. (2023). Ortega, Esther Ruiz ; Rodriguez, Carlos Vladimir ; Gonzalez-Rivera, Gloria. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:37968. Full description at Econpapers || Download paper |
2023 | Financial Sector Troubles and Energy Markets. (2023). Soytas, Ugur ; Gormus, Alper. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-02-40. Full description at Econpapers || Download paper |
2023 | A classical model of speculative asset price dynamics. (2023). Smith, Vernon ; Inoua, Sabiou M. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001022. Full description at Econpapers || Download paper |
2023 | Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis. (2023). , Mike. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:182:y:2023:i:c:s0167947323000130. Full description at Econpapers || Download paper |
2023 | Do exchange-traded fund activities destabilize the stock market? Evidence from the China securities index 300 stocks. (2023). Xu, Liao ; Chen, Jilong. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s0264999323002626. Full description at Econpapers || Download paper |
2023 | Research on the time-varying effects among green finance markets in China: A fresh evidence from multi-frequency scale perspective. (2023). Chen, Ling ; Fu, Yating ; Xia, Yufei ; Liu, Rongyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000372. Full description at Econpapers || Download paper |
2023 | Volatility forecasting in the Bitcoin market: A new proposed measure based on the VS-ACARR approach. (2023). Iqbal, Najaf ; Umar, Zaghum ; Yin, Xuebao ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000712. Full description at Econpapers || Download paper |
2024 | Improving volatility forecasts: Evidence from range-based models. (2024). Fiszeder, Piotr ; Fadziski, Marcin ; Molnar, Peter. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001420. Full description at Econpapers || Download paper |
2023 | Your next bank is not necessarily a bank: FinTech expansion and bank branch closures. (2023). Zhang, Weijun ; Li, Wanli ; Yuan, Kaibin. In: Economics Letters. RePEc:eee:ecolet:v:222:y:2023:i:c:s0165176522004220. Full description at Econpapers || Download paper |
2023 | GARCH density and functional forecasts. (2023). Paruolo, Paolo ; Luati, Alessandra ; Abadir, Karim M. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:470-483. Full description at Econpapers || Download paper |
2023 | Following the leaders? A study of co-movement and volatility spillover in BRICS currencies. (2023). Roy, Saikat Sinha ; Das, Suman. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s0939362522000425. Full description at Econpapers || Download paper |
2023 | Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321. Full description at Econpapers || Download paper |
2023 | On the volatility of WTI crude oil prices: A time-varying approach with stochastic volatility. (2023). LE, Thai-Ha ; Park, Donghyun ; Bui, Manh Tien ; Boubaker, Sabri. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s014098832200603x. Full description at Econpapers || Download paper |
2023 | Attention to oil prices and its impact on the oil, gold and stock markets and their covariance. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s014098832300141x. Full description at Econpapers || Download paper |
2023 | Does Chinas new energy vehicles supply chain stock market have risk spillovers? Evidence from raw material price effect on lithium batteries. (2023). Niu, Jiangxin ; Shuai, Jing ; Zhang, QI ; Feng, YU ; Shi, Yangyan. In: Energy. RePEc:eee:energy:v:262:y:2023:i:pa:s0360544222023027. Full description at Econpapers || Download paper |
2023 | Does Bitcoin affect decomposed oil shocks differently? Evidence from a quantile-based framework. (2023). Urquhart, Andrew ; Duan, Kun ; Gao, DA ; Feng, Hao. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002727. Full description at Econpapers || Download paper |
2023 | Copula approach to market volatility and technology stocks dependence. (2023). Arenda, Peter ; Raiova, Barbara. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007292. Full description at Econpapers || Download paper |
2023 | Do extreme range estimators improve realized volatility forecasts? Evidence from G7 Stock Markets. (2023). McMillan, David G ; Kambouroudis, Dimos ; Korkusuz, Burak. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003641. Full description at Econpapers || Download paper |
2023 | Analyzing commodity futures and stock market indices: Hedging strategies using asymmetric dynamic conditional correlation models. (2023). Obeid, Hassan ; Alshammari, Saad. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004531. Full description at Econpapers || Download paper |
2023 | Conversion risk on 19th century French consols and embedded options: A simple exercise. (2023). Vaslin, Jacques-Marie ; Ureche-Rangau, Loredana. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s154461232300747x. Full description at Econpapers || Download paper |
2024 | The influence of grain futures market on stock price fluctuation of agricultural listed companies. (2024). Zhou, Ning ; Shi, QI ; Zhang, Lulu. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011674. Full description at Econpapers || Download paper |
2024 | International trade network and stock market connectedness: Evidence from eleven major economies. (2024). Mishra, Tapas ; Patra, Ramakanta ; Raju, V L ; You, Kefei. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000052. Full description at Econpapers || Download paper |
2024 | Bayesian forecasting in economics and finance: A modern review. (2024). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839. Full description at Econpapers || Download paper |
2023 | Which factor model? A systematic return covariation perspective. (2023). Tsvetanov, Daniel ; Symeonidis, Lazaros ; Bu, Ziwen ; Ahmed, Shamim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000669. Full description at Econpapers || Download paper |
2024 | A permutation entropy analysis of Bitcoin volatility. (2024). Olivier, Carel Petrus ; Seitshiro, Modisane ; Obanya, Praise Otito ; Verster, Tanja. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:638:y:2024:i:c:s0378437124001171. Full description at Econpapers || Download paper |
2024 | The impact of retail investor sentiment on the conditional volatility of stocks and bonds: Evidence from the Tel-Aviv stock exchange. (2024). Kedar-Levy, Haim ; Hadad, Elroi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1303-1313. Full description at Econpapers || Download paper |
2024 | How does oil market volatility impact mutual fund performance?. (2024). Vivian, Andrew ; Calice, Giovanni ; Alsubaiei, Bader Jawid. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1601-1621. Full description at Econpapers || Download paper |
2024 | Does COVID-19 impact the dependence between oil and stock markets? Evidence from RCEP countries. (2024). Yuan, DI ; Zhang, Feipeng ; Li, Dongxin ; Cai, Yuan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:909-939. Full description at Econpapers || Download paper |
2023 | The impact of energy-exporting countries’ EPUs on China’s energy futures investors: Risk preference, investment position and investment horizon. (2023). Ouyang, Zhi-Yi ; Wang, Qunwei ; Dai, Peng-Fei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922001921. Full description at Econpapers || Download paper |
2023 | International portfolio diversification and the home bias puzzle. (2023). Oh, Frederick Dongchuhl ; Lee, Kyounghun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922001933. Full description at Econpapers || Download paper |
2023 | Do investment fund managers behave rationally in the light of central bank communication? Survey evidence from Poland. (2023). Kutan, Ali ; Brzeszczyski, Janusz ; Gajdka, Jerzy ; Bolek, Monika ; Wolski, Rafa. In: Qualitative Research in Financial Markets. RePEc:eme:qrfmpp:qrfm-07-2021-0124. Full description at Econpapers || Download paper |
2023 | Inflation, Equity Market Volatility, and Bond Prices: Evidence from G7 Countries. (2023). Chiang, Thomas Chinan ; Chen, Yu-Fen ; Lin, Fu-Lai. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:11:p:191-:d:1271970. Full description at Econpapers || Download paper |
2023 | A Study on Real Estate Purchase Decisions. (2023). Wang, Ming-Hui ; Chen, Jing-Yi. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:6:p:5216-:d:1098030. Full description at Econpapers || Download paper |
2024 | COVID-19 Impact on Stock Markets: A Multiscale Event Analysis Perspective. (2024). Huang, Qin ; Xu, Guanglong ; Li, Helong ; Zhang, Weiguo ; Ruan, Rubin. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:3:d:10.1007_s10614-023-10448-6. Full description at Econpapers || Download paper |
2023 | On the International Spillover Effects of Uncertainty. (2023). Wesselbaum, Dennis ; Sen, Anindya. In: Open Economies Review. RePEc:kap:openec:v:34:y:2023:i:3:d:10.1007_s11079-022-09694-2. Full description at Econpapers || Download paper |
2023 | Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates. (2023). Sibbertsen, Philipp ; Afzal, Alia. In: Open Economies Review. RePEc:kap:openec:v:34:y:2023:i:4:d:10.1007_s11079-022-09686-2. Full description at Econpapers || Download paper |
2023 | Bayesian Forecasting in the 21st Century: A Modern Review. (2023). Maheu, John ; Panagiotelis, Anastasios ; Nibbering, Didier ; Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Frazier, David T ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-1. Full description at Econpapers || Download paper |
2023 | Volatility linkages and value gains from diversifying with Islamic assets. (2023). Jahromi, Maria ; Akhtar, Shumi ; John, Kose. In: Journal of International Business Studies. RePEc:pal:jintbs:v:54:y:2023:i:8:d:10.1057_s41267-023-00641-y. Full description at Econpapers || Download paper |
2023 | Multiple measurements of CEOs’ overconfidence and future earnings management: evidence from Asia-Pacific developing countries. (2023). Naim, Ainun ; Sumiyana, Sumiyana ; Kurniawan, Firdaus. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-02279-5. Full description at Econpapers || Download paper |
2023 | Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models. (2023). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:117141. Full description at Econpapers || Download paper |
2023 | Whispers of Chaos: Intervention on the Mexican Dollar Quotes in Japan, 1869-1885. (2023). Yokoyama, Kazuki. In: MPRA Paper. RePEc:pra:mprapa:118586. Full description at Econpapers || Download paper |
2023 | Disentangling the Nexus Between Exchange Rate Volatility, Exports, and FDI: Empirical Evidence from the Indian Economy. (2023). Bhat, G M ; Jamal, Aamir. In: Global Journal of Emerging Market Economies. RePEc:sae:emeeco:v:15:y:2023:i:3:p:449-472. Full description at Econpapers || Download paper |
2023 | A copula spectral test for pairwise time reversibility. (2023). Zhang, Shibin. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:75:y:2023:i:5:d:10.1007_s10463-022-00859-x. Full description at Econpapers || Download paper |
2023 | DeepVaR: a framework for portfolio risk assessment leveraging probabilistic deep neural networks. (2023). Soldatos, John ; Kotios, Dimitrios ; Makridis, Georgios ; Fatouros, Georgios ; Kyriazis, Dimosthenis ; Filippakis, Michael. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:1:d:10.1007_s42521-022-00050-0. Full description at Econpapers || Download paper |
2023 | Research on interaction of innovation spillovers in the AI, Fin-Tech, and IoT industries: considering structural changes accelerated by COVID-19. (2023). Ho, Chi-Ming. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00403-z. Full description at Econpapers || Download paper |
2023 | Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances. (2023). Galan-Valdivieso, Federico ; Huete-Morales, Maria-Dolores ; Villar-Rubio, Elena. In: Journal of Environmental Studies and Sciences. RePEc:spr:jenvss:v:13:y:2023:i:3:d:10.1007_s13412-023-00838-5. Full description at Econpapers || Download paper |
2023 | A class of Minimum Distance Estimators in Markovian Multiplicative Error Models. (2023). Balakrishna, Narayana ; Perera, Indeewara ; Koul, Hira L. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-021-00274-x. Full description at Econpapers || Download paper |
2023 | Wavelet-L2E Stochastic Volatility Models: an Application to the Water-Energy Nexus. (2023). Ensor, Katherine B ; Raath, Kim C. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00292-3. Full description at Econpapers || Download paper |
2023 | Price discovery and risk management in asset class: a bibliometric analysis and research agenda. (2023). Dey, Kushankur ; Gairola, Gaurav. In: Applied Economics Letters. RePEc:taf:apeclt:v:30:y:2023:i:17:p:2320-2331. Full description at Econpapers || Download paper |
2023 | Dependence between foreign trade performance and exchange rate volatility: Panel ARDL approach. (2023). Theophilus, Kumeka Terver ; Oluwatosin, Adeniyi ; Abimbola, Oyinlola Mutiu. In: Croatian Review of Economic, Business and Social Statistics. RePEc:vrs:crebss:v:9:y:2023:i:1:p:1-15:n:3. Full description at Econpapers || Download paper |
2023 | REnsembling ARIMAX Model in Algorithmic Investment Strategies on Commodities Market. (2023). Windorbski, Franciszek ; Lepaczuk, Robert ; Jakubowski, Pawe. In: Working Papers. RePEc:war:wpaper:2023-20. Full description at Econpapers || Download paper |
2024 | Investor trading behavior and asset prices: Evidence from quantile regression analysis. (2024). Yang, Chunpeng ; Lin, Weinan ; Zhou, Liyun. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1722-1744. Full description at Econpapers || Download paper |
2023 | Carbon assets and Bitcoin: Hedging roles in global stock markets during the tranquil and turbulent periods?. (2023). Zhang, Yanyu ; Jiang, Wei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1183-1203. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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1991 | es modéles ARCH en finance : un point sur la théorie et les résultats empiriques In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
2016 | Outlier Detection in the Lognormal Logarithmic Conditional Autoregressive Range Model In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 2 |
2010 | The economic value of volatility timing using a range-based volatility model In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 33 |
2013 | Anchoring effect on foreign institutional investors’ momentum trading behavior: Evidence from the Taiwan stock market In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 24 |
2014 | Interest rate risk propagation: Evidence from the credit crunch In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 7 |
1992 | ARCH modeling in finance : A review of the theory and empirical evidence In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1641 |
2000 | Testing time reversibility without moment restrictions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 45 |
2009 | Range-based multivariate volatility model with double smooth transition in conditional correlation In: Global Finance Journal. [Full Text][Citation analysis] | article | 8 |
2020 | Macroeconomic forecasting using approximate factor models with outliers In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
2009 | Explaining international stock correlations with CPI fluctuations and market volatility In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 69 |
2012 | The sources of bank productivity growth in China during 2002–2009: A disaggregation view In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 57 |
2017 | Risk evaluations with robust approximate factor models In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
2020 | Causal relationship between spot and futures prices with multiple time horizons: A nonparametric wavelet Granger causality test In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 9 |
2006 | Modeling the Asymmetry of Stock Movements Using Price Ranges In: Advances in Econometrics. [Full Text][Citation analysis] | chapter | 1 |
1995 | Determinants of U.S. commercial bank performance: regulatory and econometric issues In: Finance and Economics Discussion Series. [Citation analysis] | paper | 5 |
1988 | Volatility Persistence and Stock Valuations: Some Empirical Evidence Using Garch. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 184 |
2014 | Market conditions and the effect of diversification on mutual fund performance: should funds be more concentrative under crisis? In: Journal of Productivity Analysis. [Full Text][Citation analysis] | article | 3 |
2009 | Forecasting time-varying covariance with a range-based dynamic conditional correlation model In: Review of Quantitative Finance and Accounting. [Full Text][Citation analysis] | article | 23 |
2005 | Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model. In: Journal of Money, Credit and Banking. [Citation analysis] | article | 175 |
1991 | Measuring Risk Aversion From Excess Returns on a Stock Index In: NBER Working Papers. [Full Text][Citation analysis] | paper | 59 |
2018 | Anchoring Effect on Macroeconomic Forecasts : A Heterogeneity Approach In: Journal for Economic Forecasting. [Full Text][Citation analysis] | article | 0 |
2012 | The euros impacts on the smooth transition dynamics of stock market volatilities In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
2000 | Market volatility and the demand for hedging in stock index futures In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 13 |
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