Felix Chan : Citation Profile

Curtin University

10

H index

12

i10 index

906

Citations

RESEARCH PRODUCTION:

34

Articles

29

Papers

7

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   24 years (2001 - 2025). See details.
   Cites by year: 37
   Journals where Felix Chan has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 20 (2.16 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pch631
   Updated: 2026-01-17    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)

Perron, Pierre (11)

Teräsvirta, Timo (11)

Bai, Jushan (11)

shin, yongcheol (9)

Chang, Chia-Lin (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 Econometrics2
Applied Economics2
Econometric Reviews2
Journal of Economic Surveys2

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
CEU Working Papers / Department of Economics, Central European University2
KIER Working Papers / Kyoto University, Institute of Economic Research2
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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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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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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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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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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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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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]		article9
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]		article12
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]
This paper has nother version. Agregated cites: 17		paper
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]		article174
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.
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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]		article30
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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This paper has nother version. Agregated cites: 3		paper
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]		chapter3
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]		chapter0
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]		article0
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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