Felix Chan : Citation Profile

Curtin University

10

H index

13

i10 index

914

Citations

RESEARCH PRODUCTION:

34

Articles

29

Papers

7

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   24 years (2001 - 2025). See details.
   Cites by year: 38
   Journals where Felix Chan has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 20 (2.14 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch631
   Updated: 2026-05-02    RAS profile: 2025-06-10    
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Relations with other researchers

Works with:

Matyas, Laszlo (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Felix Chan.

Is cited by:

Chang, Chia-Lin (246)

Tansuchat, Roengchai (74)

Caporin, Massimiliano (57)

Jimenez-Martin, Juan (50)

Pérez-Amaral, Teodosio (32)

Allen, David (31)

Asai, Manabu (22)

Hakim, Abdul (19)

Powell, Robert (17)

Hsu, Hui-Kuang (16)

Manera, Matteo (12)

Cites to:

Bollerslev, Tim (36)

Ling, Shiqing (35)

Engle, Robert (27)

Pesaran, Mohammad (14)

Oxley, Les (13)

Teräsvirta, Timo (11)

Perron, Pierre (11)

Bai, Jushan (11)

Andrews, Donald (9)

shin, yongcheol (9)

Franses, Philip Hans (9)

Main data

Where Felix Chan has published?

Journals with more than one article published# docs
Mathematics and Computers in Simulation (MATCOM)8
Journal of Economic Surveys2
Applied Economics2
Econometric Reviews2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo4
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute3
KIER Working Papers / Kyoto University, Institute of Economic Research2
CEU Working Papers / Department of Economics, Central European University2
Papers / arXiv.org2

Recent works citing Felix Chan (2025 and 2024)

YearTitle of citing document
2024Vector AutoRegressive Moving Average Models: A Review. (2024). Wilms, Ines ; Tsay, Ruey S ; Duker, Marie-Christine ; Matteson, David S. In: Papers. RePEc:arx:papers:2406.19702.

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2025GDP-GFCF Dynamics Across Global Economies: A Comparative Study of Panel Regressions and Random Forest. (2025). Raczkowski, Konrad ; Filip, Dariusz ; Klopotek, Robert A ; Landowska, Alina. In: Papers. RePEc:arx:papers:2504.20993.

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2025Deep Learning Enhanced Multivariate GARCH. (2025). Liu, Chen ; Wang, Haoyuan ; Tran, Minh-Ngoc. In: Papers. RePEc:arx:papers:2506.02796.

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2025A Relaxation Approach to Synthetic Control. (2025). Zheng, Yapeng ; Shi, Zhentao ; Liao, Chengwang. In: Papers. RePEc:arx:papers:2508.01793.

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2026Regularized Ensemble Forecasting for Learning Weights from Historical and Current Forecasts. (2026). Zhang, Xiaoke ; Guo, Xiaojia ; Su, Han. In: Papers. RePEc:arx:papers:2602.11379.

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2024Pre-Publication Revisions of Bank Financial Statements: a novel way to monitor banks?. (2024). Van Doornik, Bernardus ; Norden, Lars ; Naeem, Mahvish ; Guettler, Andre. In: Working Papers Series. RePEc:bcb:wpaper:590.

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2024CLARA and CARLSON: Combination of Ensemble and Neural Network Machine Learning Methods for GDP Forecasting. (2024). Bozhechkova, Alexandra ; Dzhunkeev, Urmat. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:83:y:2024:i:3:p:45-69.

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2024On vector linear double autoregression. (2024). Zhu, Qianqian ; Lin, Yuchang. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:3:p:376-397.

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2024Solving the Forecast Combination Puzzle Using Double Shrinkages. (2024). Wang, Yudong ; Hao, Xianfeng ; Liu, LI. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:3:p:714-741.

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2024Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach. (2024). Bosupeng, Mpho ; Naranpanawa, Athula. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323004042.

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2025Explaining the causality between trading volume and stock returns: What drives its cross-quantile patterns?. (2025). Gebka, Bartosz. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000720.

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2024Tail behavior of ACD models and consequences for likelihood-based estimation. (2024). Cavaliere, Giuseppe ; Mikosch, Thomas ; Vilandt, Frederik ; Rahbek, Anders. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003299.

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2026A new test for common breaks in heterogeneous panel data models. (2026). Jiang, Peiyun ; Kurozumi, Eiji. In: Econometrics and Statistics. RePEc:eee:ecosta:v:37:y:2026:i:c:p:87-125.

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2024The nonlinear impact of renewable energy, fossil energy and CO2 emissions on human development index for the eight developing countries. (2024). Bakirta, Tahsin ; Akpolat, Ahmet Gkce. In: Energy. RePEc:eee:energy:v:312:y:2024:i:c:s0360544224032420.

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2024GARCH-M model with an asymmetric risk premium: Distinguishing between ‘good’ and ‘bad’ volatility periods. (2024). Trifonov, Juri ; Potanin, Bogdan. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300457x.

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2024Pre-publication revisions of bank financial statements: A novel way to monitor banks?. (2024). Van Doornik, Bernardus ; Norden, Lars ; Naeem, Mahvish ; Guettler, Andre. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:58:y:2024:i:c:s1042957324000020.

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2025The short- and long-run cyclical variation of the cross-asset nexus: Mixed-frequency evidence on financial and ‘financialised’ assets. (2025). Yfanti, Stavroula ; Wu, Jiaying ; Karanasos, Menelaos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000066.

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2024Reinvestigating the role of oil and gold for portfolio optimization in view of COVID-19 and structural breaks: Empirical evidence of BEKK, DCC and wavelet quantile based estimations. (2024). Sarwar, Suleman ; Waheed, Rida ; Yuan, Qiong ; Morales, Lucia ; Aziz, Ghazala. In: Resources Policy. RePEc:eee:jrpoli:v:92:y:2024:i:c:s0301420724003246.

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2024Out-of-sample equity premium predictability: An EMD-denoising based model. (2024). Mei, Yuhe ; Li, Haohua ; Chen, Zhuo ; Hao, Xianfeng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24002889.

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2024Managing portfolio risk during crisis times: A dynamic conditional correlation perspective. (2024). Dufour, Alfonso ; Zhang, Hanyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:241-251.

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2025News sentiment indicators and the cross-section of stock returns in the European stock market. (2025). Gambarelli, Luca ; Muzzioli, Silvia. In: International Review of Economics & Finance. RePEc:eee:reveco:v:101:y:2025:i:c:s1059056025003703.

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2026When news travels: The role of sentiment in CME Nikkei futures returns. (2026). Smales, Lee. In: Research in International Business and Finance. RePEc:eee:riibaf:v:81:y:2026:i:c:s0275531925004799.

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2025Prediction model of bus passenger tolerable waiting time. (2025). Gao, Yuanyuan ; Yang, Yazao. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:197:y:2025:i:c:s0965856425001326.

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2025Uncertainties in shared mobility optimization problems: Survey and perspective. (2025). Zhu, Yongqiu ; Cats, Oded ; Gao, Jie. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:203:y:2025:i:c:s1366554525003916.

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2026On the Wisdom of Crowds (of Economists). (2026). Diebold, Francis ; Shin, Minchul ; Mora, Aaron. In: Working Papers. RePEc:fip:fedpwp:102886.

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2025Comparative Analysis of VAR and SVAR Models in Assessing Oil Price Shocks and Exchange Rate Transmission to Consumer Prices in South Africa. (2025). Msomi, Simiso ; Mpungose, Sakhile ; Majenge, Luyanda. In: Econometrics. RePEc:gam:jecnmx:v:13:y:2025:i:1:p:8-:d:1595752.

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2024Estimating Spillover Effect from International Oil Market to Stock Market: Evidence from Korean Portfolio-Level Analysis. (2024). Choi, Sung Hee. In: Economies. RePEc:gam:jecomi:v:12:y:2024:i:4:p:92-:d:1375970.

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2024L 1 Regularization for High-Dimensional Multivariate GARCH Models. (2024). Yao, Sijie ; Zou, Hui ; Xing, Haipeng. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:2:p:34-:d:1333357.

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2025Spillover effects and network connectedness among stock markets: evidence from the U.S. and Asia. (2025). Chiang, Shu-Mei ; Kuo, Chen-Yin. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:64:y:2025:i:1:d:10.1007_s11156-024-01291-3.

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2024Portfolio selection from risk transfer mechanisms in a time of crisis for renewable energy markets. (2024). Chang, Chia-Lin ; Wang, Yu-Ann. In: KIER Working Papers. RePEc:kyo:wpaper:1108.

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2024Herausforderungen des finanziellen Risikomanagements: Eine empirische Untersuchung des Value at Risk-Ansatzes in Stresssituationen. (2024). Nastansky, Andreas ; Barz, Till. In: Statistische Diskussionsbeiträge. RePEc:pot:statdp:57.

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2024Climate Risks and Forecastability of US Inflation: Evidence from Dynamic Quantile Model Averaging. (2024). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202420.

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2025Short- and long-run cross-border European sustainability interdependences. (2025). Yfanti, S ; Karanasos, M ; Wu, J ; Vourvachis, P. In: Annals of Operations Research. RePEc:spr:annopr:v:347:y:2025:i:1:d:10.1007_s10479-023-05765-w.

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2026Bitcoin, U.S. stock markets, and volatility: the interaction of digital assets with traditional markets. (2026). Kili, Ethem ; Eker, Kudbeddin. In: Digital Finance. RePEc:spr:digfin:v:8:y:2026:i:1:d:10.1007_s42521-026-00185-4.

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2024Forecasting the equity premium using weighted regressions: Does the jump variation help?. (2024). Zhang, Yaojie ; Wang, Yudong. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:5:d:10.1007_s00181-023-02521-8.

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2025Trading behavior-stock market volatility nexus among institutional and individual investors. (2025). Zolfaghari, Mehdi ; Saranj, Alireza. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00717-0.

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2025Conditional Correlation via Generalized Random Forests with Application to Hedge Funds. (2025). Escobar Anel, Marcos ; Aghapour, Ahmad ; Escobar-Anel, Marcos ; Arian, Hamid ; Seco, Luis. In: SN Operations Research Forum. RePEc:spr:snopef:v:6:y:2025:i:3:d:10.1007_s43069-025-00548-4.

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2025Patterns and heterogeneity in credit repayment performance: Evidence from Malian farmers. (2025). Yu, Xiaohua ; Musshoff, Oliver ; Lkers, Tim ; Liu, Shuang. In: Applied Economic Perspectives and Policy. RePEc:wly:apecpp:v:47:y:2025:i:2:p:694-722.

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2024Predicting carbon and oil price returns using hybrid models based on machine and deep learning. (2024). Perote, Javier ; Molinamuoz, Jesus ; Moravalencia, Andres. In: Intelligent Systems in Accounting, Finance and Management. RePEc:wly:isacfm:v:31:y:2024:i:2:n:e1563.

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2025Cross‐Learning With Panel Data Modeling for Stacking and Forecast Time Series Employment in Europe. (2025). Lovaglio, Pietro Giorgio. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:753-780.

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Felix Chan has edited the books:

YearTitleTypeCited

Works by Felix Chan:

YearTitleTypeCited
2015Structure and asymptotic theory for nonlinear models with GARCH erros In: Economia.
[Full Text][Citation analysis]		article2
2010Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors.(2010) In: Working Papers in Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2011Structure and Asymptotic theory for Nonlinear Models with GARCH Errors.(2011) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2010Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors.(2010) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2024Estimation with Pairwise Observations In: Papers.
[Full Text][Citation analysis]		paper0
2025Modelling with Sensitive Variables In: Papers.
[Full Text][Citation analysis]		paper0
2012It pays to violate: how effective are the Basel accord penalties in encouraging risk management? In: Accounting and Finance.
[Full Text][Citation analysis]		article5
2024The Cost of Congestion for State and Local General Government Services in Australia In: Australian Economic Review.
[Full Text][Citation analysis]		article0
2017The Validity of Investor Sentiment Proxies In: International Review of Finance.
[Full Text][Citation analysis]		article10
2023A pulse check on recent developments in time series econometrics In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article0
2023Modeling time‐varying higher‐order conditional moments: A survey In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article0
2012Testing for Structural Change in Heterogeneous Panels with an Application to the Euros Trade Effect In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article13
2013Modeling and Simulation: An Overview In: Working Papers in Economics.
[Full Text][Citation analysis]		paper17
2013Modelling and Simulation: An Overview.(2013) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
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2013Modelling and Simulation: An Overview.(2013) In: KIER Working Papers.
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This paper has nother version. Agregated cites: 17		paper
2013Modelling and Simulation: An Overview.(2013) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 17		paper
2013Modelling and Simulation: An Overview.(2013) In: Documentos de Trabajo del ICAE.
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This paper has nother version. Agregated cites: 17		paper
2018Even Count Estimation In: CEU Working Papers.
[Full Text][Citation analysis]		paper0
2022Event count estimation.(2022) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 0		article
2019Modelling with Discretized Ordered Choice Covariates In: CEU Working Papers.
[Full Text][Citation analysis]		paper0
2009It Pays to Violate: How Effective are the Basel Accord Penalties? In: CARF F-Series.
[Full Text][Citation analysis]		paper1
2009It Pays to Violate: How Effective are the Basel Accord Penalties?.(2009) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2009It Pays to Violate: How Effective are the Basel Accord Penalties?.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2008GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION In: Econometric Theory.
[Full Text][Citation analysis]		article175
2001Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers, In: ISER Discussion Paper.
[Full Text][Citation analysis]		paper27
2003Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers.(2003) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		article
2017Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies? In: Journal of Asian Economics.
[Full Text][Citation analysis]		article2
2007An econometric analysis of asymmetric volatility: Theory and application to patents In: Journal of Econometrics.
[Full Text][Citation analysis]		article223
2008Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks In: Journal of Econometrics.
[Full Text][Citation analysis]		article32
2016Liquidation discount—a novel application of ARFIMA–GARCH In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article0
2008Efficiency of the foreign currency options market In: Global Finance Journal.
[Full Text][Citation analysis]		article4
2018Some theoretical results on forecast combinations In: International Journal of Forecasting.
[Full Text][Citation analysis]		article32
2004Modelling the asymmetric volatility of electronics patents in the USA In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article1
2003Modelling the Asymmetric Volatility of Electronics Patents in the USA.(2003) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2005Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article1
2008Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article10
2009Modelling time-varying higher moments with maximum entropy density In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article4
2011Model specification in panel data unit root tests with an unknown break In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article6
2011Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article17
2011Spectral analysis of seasonality in tourism demand In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article10
2013The impact of serial correlation on testing for structural change in binary choice model: Monte Carlo evidence In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article0
2008Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article4
2023Optimal Forecast Combination with Mean Absolute Error Loss In: CAMA Working Papers.
[Full Text][Citation analysis]		paper0
2006Stability Tests for Heterogeneous Panel Data In: IHEID Working Papers.
[Full Text][Citation analysis]		paper3
2006Stability tests for heterogeneous panel data.(2006) In: PSE Working Papers.
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This paper has nother version. Agregated cites: 3		paper
2006Stability tests for heterogeneous panel data.(2006) In: Working Papers.
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2008Stability Tests for Heterogeneous Panel Data.(2008) In: Working Papers.
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2011An econometric analysis of hotel–motel room nights in New Zealand with stochastic seasonality In: International Journal of Revenue Management.
[Full Text][Citation analysis]		article0
2002Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article43
2024Modeling the decision of ridesourcing drivers to park and wait at trip ends: a comparison between Perth, Australia and Kolkata, India In: Transportation.
[Full Text][Citation analysis]		article1
2009Modeling Volatility in Foreign Currency Option Pricing In: Multinational Finance Journal.
[Full Text][Citation analysis]		article2
2013Advantages of Non-Normality in Testing Cointegration Rank In: Bankwest Curtin Economics Centre Working Paper series.
[Full Text][Citation analysis]		paper0
2017A note on the relation between fiscal equalization and economic growth In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2005Structure and asymptotic theory for STAR(1)-GARCH(1,1) models In: Textos para discussão.
[Full Text][Citation analysis]		paper0
2022Linear Econometric Models with Machine Learning In: Advanced Studies in Theoretical and Applied Econometrics.
[Citation analysis]		chapter4
2022Nonlinear Econometric Models with Machine Learning In: Advanced Studies in Theoretical and Applied Econometrics.
[Citation analysis]		chapter3
2024When and How Much Do Fixed Effects Matter? In: Advanced Studies in Theoretical and Applied Econometrics.
[Citation analysis]		chapter0
2024Estimation of Sparse Variance-Covariance Matrix In: Advanced Studies in Theoretical and Applied Econometrics.
[Citation analysis]		chapter1
2024Models with Endogenous Regressors In: Advanced Studies in Theoretical and Applied Econometrics.
[Citation analysis]		chapter0
2024Dynamic Models and Reciprocity In: Advanced Studies in Theoretical and Applied Econometrics.
[Citation analysis]		chapter0
2025Re-estimating Supply Elasticities of Selected Agricultural Commodities In: Advanced Studies in Theoretical and Applied Econometrics.
[Citation analysis]		chapter0
2004Modelling the asymmetric volatility of anti-pollution patents in the USA In: Scientometrics.
[Full Text][Citation analysis]		article1
2014Gravity Models of Trade: Unobserved Heterogeneity and Endogeneity In: Working Papers.
[Full Text][Citation analysis]		paper1
2019Equivalence of optimal forecast combinations under affine constraints In: Working Papers.
[Full Text][Citation analysis]		paper0
2004Trends and volatilities in foreign patents registered in the USA In: Applied Economics.
[Full Text][Citation analysis]		article3
2015Permanent and transitory shocks in the presence of asymmetric error correction In: Applied Economics.
[Full Text][Citation analysis]		article0
2009Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility In: Econometric Reviews.
[Full Text][Citation analysis]		article243
2021A review of Ride-Matching strategies for Ridesourcing and other similar services In: Transport Reviews.
[Full Text][Citation analysis]		article1
2003Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings In: CIRJE F-Series.
[Full Text][Citation analysis]		paper7
2003On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models In: CIRJE F-Series.
[Full Text][Citation analysis]		paper1

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